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Econometric Reviews

1997 - 2024

Current editor(s): Dr. Essie Maasoumi

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Volume 43, issue 5, 2024

Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency pp. 238-268 Downloads
Jun Cai, William C. Horrace and Yoonseok Lee
Locally time-varying parameter regression pp. 269-300 Downloads
Zhongfang He
A hybrid nonparametric multivariate density estimator with applications to risk management pp. 301-318 Downloads
Juan Lin and Ximing Wu

Volume 43, issue 2-4, 2024

ANNOUNCEMENT pp. 97-97 Downloads
The Editors
Post-averaging inference for optimal model averaging estimator in generalized linear models pp. 98-122 Downloads
Dalei Yu, Heng Lian, Yuying Sun, Xinyu Zhang and Yongmiao Hong
A method to evaluate the rank condition for CCE estimators pp. 123-155 Downloads
Ignace De Vos, Gerdie Everaert and Vasilis Sarafidis
Inferring inequality: Testing for median-preserving spreads in ordinal data pp. 156-174 Downloads
Ramses H. Abul Naga, Christopher Stapenhurst and Gaston Yalonetzky
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments pp. 175-196 Downloads
Akanksha Negi and Wooldridge Jeffrey M.
Confidence intervals for intentionally biased estimators pp. 197-214 Downloads
David Kaplan and Xin Liu
Nonparametric estimation of mediation effects with a general treatment pp. 215-237 Downloads
Lukang Huang, Wei Huang, Oliver Linton and Zheng Zhang

Volume 43, issue 1, 2024

Time-dependent shrinkage of time-varying parameter regression models pp. 1-29 Downloads
Zhongfang He
Testing Granger non-causality in expectiles pp. 30-51 Downloads
Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti
A unifying switching regime regression framework with applications in health economics pp. 52-70 Downloads
Giampiero Marra, Rosalba Radice and David Zimmer
Model averaging for generalized linear models in diverging model spaces with effective model size pp. 71-96 Downloads
Chaoxia Yuan, Fang Fang and Jialiang Li

Volume 42, issue 9-10, 2023

In memory of Michael McAleer: special issue of Econometric Reviews pp. 700-702 Downloads
Esfandiar Maasoumi and Robert Taylor
Extremal quantiles and stock price crashes pp. 703-724 Downloads
Panayiotis C. Andreou, Sofia Anyfantaki, Esfandiar Maasoumi and Carlo Sala
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models pp. 725-757 Downloads
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis and Robert Taylor
Endogeneity in semiparametric threshold regression models with two threshold variables pp. 758-779 Downloads
Chaoyi Chen, Thanasis Stengos and Yiguo Sun
Forecasting Levels in Loglinear Unit Root Models pp. 780-805 Downloads
Kees Jan van Garderen
Inference for the VEC(1) model with a heavy-tailed linear process errors* pp. 806-833 Downloads
Feifei Guo and Shiqing Ling
Improved tests for stock return predictability pp. 834-861 Downloads
David I. Harvey, Stephen J. Leybourne and Robert Taylor

Volume 42, issue 8, 2023

Linear fixed-effects estimation with nonrepeated outcomes pp. 635-654 Downloads
Helmut Farbmacher and Harald Tauchmann
Automatic variable selection for semiparametric spatial autoregressive model pp. 655-675 Downloads
Fang Lu, Sisheng Liu, Jing Yang and Xuewen Lu
An application of copulas to OPEC’s changing influence on fossil fuel prices pp. 676-699 Downloads
C. Grazian and A. McInnes

Volume 42, issue 7, 2023

Forecasting vector autoregressions with mixed roots in the vicinity of unity pp. 556-585 Downloads
Yundong Tu and Xinling Xie
Latent local-to-unity models pp. 586-611 Downloads
Xiaohu Wang and Jun Yu
Robust nonparametric frontier estimation in two steps pp. 612-634 Downloads
Yining Chen, Hudson S. Torrent and Flavio A. Ziegelmann

Volume 42, issue 6, 2023

Optimal minimax rates of specification testing with data-driven bandwidth pp. 487-512 Downloads
Kohtaro Hitomi, Masamune Iwasawa and Yoshihiko Nishiyama
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility pp. 513-539 Downloads
Yuta Yamauchi and Yasuhiro Omori
A unified unit root test regardless of intercept pp. 540-555 Downloads
Bingduo Yang, Xiaohui Liu, Wei Long and Liang Peng

Volume 42, issue 5, 2023

Monitoring the direction of the short-term trend of economic indicators pp. 421-440 Downloads
Estela Bee Dagum and Silvia Bianconcini
A robust score-driven filter for multivariate time series pp. 441-470 Downloads
Enzo D’Innocenzo, Alessandra Luati and Mario Mazzocchi
Inference in a similarity-based spatial autoregressive model pp. 471-486 Downloads
Offer Lieberman and Francesca Rossi

Volume 42, issue 4, 2023

Inference and extrapolation in finite populations with special attention to clustering pp. 343-357 Downloads
Richard Startz and Douglas Steigerwald
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference pp. 358-392 Downloads
Martin Wagner and Karsten Reichold
Bandwidth selection for nonparametric regression with errors-in-variables pp. 393-419 Downloads
Hao Dong, Taisuke Otsu and Luke Taylor

Volume 42, issue 3, 2023

Indirect inference estimation of higher-order spatial autoregressive models pp. 247-280 Downloads
Yong Bao
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings pp. 281-306 Downloads
Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi and Pierre Perron
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence pp. 307-341 Downloads
Sungho Noh

Volume 42, issue 2, 2023

Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics pp. 123-156 Downloads
Andres Aradillas-Lopez
Estimating flow data models of international trade: dual gravity and spatial interactions pp. 157-194 Downloads
Fei Jin, Lung-fei Lee and Jihai Yu
GLS estimation and confidence sets for the date of a single break in models with trends pp. 195-219 Downloads
Eric Beutner, Yicong Lin and Stephan Smeekes
Efficient estimation with missing data and endogeneity pp. 220-239 Downloads
Bhavna Rai
The two-way Mundlak estimator pp. 240-246 Downloads
Badi Baltagi

Volume 42, issue 1, 2023

Yet another look at the omitted variable bias pp. 1-27 Downloads
Masayuki Hirukawa, Irina Murtazashvili and Artem Prokhorov
Forward detrending for heteroskedasticity-robust panel unit root testing pp. 28-53 Downloads
Helmut Herwartz, Simone Maxand and Yabibal Walle
Hamiltonian sequential Monte Carlo with application to consumer choice behavior pp. 54-77 Downloads
Martin Burda and Remi Daviet
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures† pp. 78-97 Downloads
Saban Nazlioglu, Junsoo Lee, Margie Tieslau, Cagin Karul and Yu You
Determining the number of factors in constrained factor models via Bayesian information criterion pp. 98-122 Downloads
Jingjie Xiang, Gangzheng Guo and Jiaolong Li

Volume 41, issue 10, 2022

Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition pp. 1141-1163 Downloads
Martin Huber and Lukas Laffers
Nonparametric estimation of additive models with errors-in-variables pp. 1164-1204 Downloads
Hao Dong, Taisuke Otsu and Luke Taylor
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* pp. 1205-1242 Downloads
Marie-Claude Beaulieu, Lynda Khalaf, Maral Kichian and Olena Melin
The variances of non-parametric estimates of the cross-sectional distribution of durations pp. 1243-1264 Downloads
Maoshan Tian and Huw Dixon
Testing rank similarity in the local average treatment effects model pp. 1265-1286 Downloads
Ju Hyun Kim and Byoung G. Park
Back Matter pp. 1287-1288 Downloads
The Editors

Volume 41, issue 9, 2022

Two-step series estimation and specification testing of (partially) linear models with generated regressors pp. 985-1007 Downloads
Yu-Chin Hsu, Jen-Che Liao and Eric Lin
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system pp. 1008-1046 Downloads
Xin Geng and Kai Sun
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators pp. 1047-1076 Downloads
David Drukker and Di Liu
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys pp. 1077-1094 Downloads
Shuaizhang Feng, Yingyao Hu and Jiandong Sun
A robust test for serial correlation in panel data models pp. 1095-1112 Downloads
Bin Chen
Income and democracy: a semiparametric approach pp. 1113-1140 Downloads
Shunan Zhao, Yiguo Sun and Subal Kumbhakar

Volume 41, issue 8, 2022

Model selection and model averaging for matrix exponential spatial models pp. 827-858 Downloads
Ye Yang, Osman Doğan and Suleyman Taspinar
Binary outcomes, OLS, 2SLS and IV probit pp. 859-876 Downloads
Chuhui Li, Donald Poskitt, Frank Windmeijer and Xueyan Zhao
Reconciling negative return skewness with positive time-varying risk premia pp. 877-894 Downloads
Dimitra Kyriakopoulou and Christian Hafner
A state-space approach to time-varying reduced-rank regression pp. 895-917 Downloads
Barbara Brune, Wolfgang Scherrer and Efstathia Bura
Testing for time-varying factor loadings in high-dimensional factor models pp. 918-965 Downloads
Wen Xu
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model pp. 966-984 Downloads
Dakyung Seong, Jin Seo Cho and Timo Teräsvirta

Volume 41, issue 7, 2022

Panel data nowcasting pp. 675-696 Downloads
Jack Fosten and Ryan Greenaway-McGrevy
Testing independence between exogenous variables and unobserved errors pp. 697-728 Downloads
Shuo Li, Liuhua Peng and Yundong Tu
Unified M-estimation of matrix exponential spatial dynamic panel specification pp. 729-748 Downloads
Ye Yang
Moment conditions for the quadratic regression model with measurement error pp. 749-774 Downloads
Erik Meijer, Laura Spierdijk and Tom Wansbeek
Optimal model averaging for divergent-dimensional Poisson regressions pp. 775-805 Downloads
Jiahui Zou, Wendun Wang, Xinyu Zhang and Guohua Zou
A new Bayesian model for contagion and interdependence pp. 806-826 Downloads
Aubrey Poon and Dan Zhu

Volume 41, issue 6, 2022

Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data pp. 583-606 Downloads
Francesco Bravo
Specification tests for univariate diffusions pp. 607-632 Downloads
Stan Hurn, Vance Martin and Lina Xu
A James-Stein-type adjustment to bias correction in fixed effects panel models pp. 633-651 Downloads
Dalia Ghanem
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors pp. 652-674 Downloads
Fei Jin and Yuqin Wang

Volume 41, issue 5, 2022

Efficient semiparametric copula estimation of regression models with endogeneity pp. 485-504 Downloads
Kien Tran and Mike G. Tsionas
A control function approach to estimate panel data binary response model pp. 505-538 Downloads
Amaresh K. Tiwari
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model pp. 539-563 Downloads
Siyang Peng, Shaojun Guo and Yonghong Long
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* pp. 564-582 Downloads
Natalia Bailey, Dandan Jiang and Jianfeng Yao

Volume 41, issue 4, 2022

A simple test of completeness in a class of nonparametric specification pp. 373-399 Downloads
Yingyao Hu and Ji-Liang Shiu
Semiparametric transition models pp. 400-415 Downloads
Pavel Cizek and Chao Hui Koo
An augmented Anderson–Hsiao estimator for dynamic short-T panels† pp. 416-447 Downloads
Alexander Chudik and Mohammad Pesaran
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data pp. 448-483 Downloads
Kyoo il Kim and Suyong Song

Volume 41, issue 3, 2022

Panel data measures of price discovery pp. 269-290 Downloads
Hande Karabiyik, Joakim Westerlund and Paresh Narayan
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures pp. 291-320 Downloads
Minyu Han, Jihun Kwak and Donggyu Sul
Nonparametric multidimensional fixed effects panel data models pp. 321-358 Downloads
Daniel Henderson, Alexandra Soberon and Juan M. Rodriguez-Poo
Modeling heterogeneous treatment effects in the presence of endogeneity pp. 359-372 Downloads
Giacomo Benini and Stefan Sperlich

Volume 41, issue 2, 2022

Estimation of dynamic panel data models with a lot of heterogeneity pp. 117-146 Downloads
Hugo Kruiniger
Event count estimation pp. 147-176 Downloads
Laszlo Balazsi, Felix Chan and Laszlo Matyas
An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation pp. 177-206 Downloads
Yixiao Sun and Xuexin Wang
Random autoregressive models: A structured overview pp. 207-230 Downloads
Marta Regis, Paulo Serra and Edwin R. van den Heuvel
Semiparametric estimation of signaling games with equilibrium refinement pp. 231-267 Downloads
Kyoo il Kim

Volume 41, issue 1, 2022

Time-varying cointegration and the Kalman filter pp. 1-21 Downloads
Burak Alparslan Eroğlu, J. Miller and Taner Yigit
Estimation and inference for distribution and quantile functions in endogenous treatment effect models pp. 22-50 Downloads
Yu-Chin Hsu, Tsung-Chih Lai and Robert Lieli
Efficiency gains in least squares estimation: A new approach pp. 51-74 Downloads
Alecos Papadopoulos and Mike G. Tsionas
Approximate state space modelling of unobserved fractional components pp. 75-98 Downloads
Tobias Hartl and Roland Jucknewitz
The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE pp. 99-114 Downloads
Collin S. Philipps
Best Paper Award Econometric Reviews, 2017–2018 pp. 115-115 Downloads
Esfandiar Maasoumi
Best Paper Award Econometric Reviews, 2019–2020 pp. 116-116 Downloads
Esfandiar Maasoumi
Page updated 2024-06-19