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Econometric Reviews

1997 - 2019

Current editor(s): Dr. Essie Maasoumi

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Volume 38, issue 8, 2019

Sparse Change-point HAR Models for Realized Variance pp. 857-880 Downloads
Arnaud Dufays and Jeroen V. K. Rombouts
Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending pp. 881-898 Downloads
Josep Carrion-i-Silvestre and Dukpa Kim
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility pp. 899-920 Downloads
Roberto Leon-Gonzalez
Simultaneous equations with binary outcomes and social interactions pp. 921-937 Downloads
Xiaodong Liu
Inference on local average treatment effects for misclassified treatment pp. 938-960 Downloads
Takahide Yanagi
Estimation in a semiparametric panel data model with nonstationarity pp. 961-977 Downloads
Chaohua Dong, Jiti Gao and Bin Peng

Volume 38, issue 7, 2019

Revisiting the transitional dynamics of business cycle phases with mixed-frequency data pp. 711-732 Downloads
Marie Bessec
Nonparametric localized bandwidth selection for Kernel density estimation pp. 733-762 Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
Focused information criterion for locally misspecified vector autoregressive models pp. 763-792 Downloads
Jan Lohmeyer, Franz Palm, Hanno Reuvers and Jean-Pierre Urbain
Ratio tests under limiting normality pp. 793-813 Downloads
Uwe Hassler and Mehdi Hosseinkouchack
OLS and IV estimation of regression models including endogenous interaction terms pp. 814-827 Downloads
Maurice J. G. Bun and Teresa D. Harrison
Structural breaks in panel data: Large number of panels and short length time series pp. 828-855 Downloads
Jaromír Antoch, Jan Hanousek, Lajos Horvath, Marie Hušková and Shixuan Wang

Volume 38, issue 6, 2019

Model selection for factor analysis: Some new criteria and performance comparisons pp. 577-596 Downloads
In Choi and Hanbat Jeong
Parameter estimation and inference with spatial lags and cointegration pp. 597-635 Downloads
Jan Mutl and Leopold Sögner
Functional coefficient time series models with trending regressors pp. 636-659 Downloads
Tingting Cheng
Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation pp. 660-678 Downloads
Andreea G. Halunga and Christos Savva
Binary quantile regression and variable selection: A new approach pp. 679-694 Downloads
Katerina Aristodemou, Jian He and Keming Yu
Size distributions reconsidered pp. 695-710 Downloads
Christian Schluter and Mark Trede

Volume 38, issue 5, 2019

Alternative diff-in-diffs estimators with several pretreatment periods pp. 465-486 Downloads
Ricardo Mora and Iliana Reggio
Multivariate Return Decomposition: Theory and Implications pp. 487-508 Downloads
Stanislav Anatolyev and Nikolay Gospodinov
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility pp. 509-532 Downloads
Giuseppe Cavaliere, Anton Skrobotov and Robert Taylor
Symbolic correlation integral pp. 533-556 Downloads
M. Victoria Caballero-Pintado, Mariano Matilla-García and Manuel Ruiz Marín
A nonparametric specification test for the volatility functions of diffusion processes pp. 557-576 Downloads
Qiang Chen, Meidi Hu and Xiaojun Song

Volume 38, issue 4, 2019

GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity pp. 359-385 Downloads
Xiaodong Liu and Paulo Saraiva
Nonstationary nonlinear quantile regression pp. 386-416 Downloads
Yoshimasa Uematsu
Common threshold in quantile regressions with an application to pricing for reputation pp. 417-450 Downloads
Liangjun Su and Pai Xu
Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach pp. 451-464 Downloads
Sivagowry Sriananthakumar

Volume 38, issue 3, 2019

Similarity-based model for ordered categorical data pp. 263-278 Downloads
Gabi Gayer, Offer Lieberman and Omer Yaffe
The estimation uncertainty of permanent-transitory decompositions in co-integrated systems pp. 279-300 Downloads
Sven Schreiber
Welfare gains of the poor: An endogenous Bayesian approach with spatial random effects pp. 301-318 Downloads
Andrés Ramírez Hassan and Santiago Montoya Blandón
Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity pp. 319-331 Downloads
Dong Li, Shaojun Guo and Ke Zhu
Estimation bias and bias correction in reduced rank autoregressions pp. 332-349 Downloads
Heino Bohn Nielsen
Identification of average marginal effects under misspecification when covariates are normal pp. 350-357 Downloads
José Ignacio Cuesta, Jonathan Davis, Andrew Gianou and Alejandro Hoyos

Volume 38, issue 2, 2019

Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression pp. 125-150 Downloads
Chaohua Dong and Jiti Gao
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors pp. 151-169 Downloads
Rongmao Zhang, Chenxue Li and Liang Peng
Bias-corrected realized variance pp. 170-192 Downloads
Jin-Huei Yeh and Jying-Nan Wang
Practical procedures to deal with common support problems in matching estimation pp. 193-207 Downloads
Michael Lechner and Anthony Strittmatter
The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model pp. 208-247 Downloads
Giovanni Forchini and Bin Jiang
Portmanteau tests for linearity of stationary time series pp. 248-262 Downloads
Zacharias Psaradakis and Marian Vavra

Volume 38, issue 1, 2019

Fellows and Scholars of Econometric Reviews pp. 1-3 Downloads
Esfandiar Maasoumi
Estimation of nonseparable models with censored dependent variables and endogenous regressors pp. 4-24 Downloads
Luke Taylor and Taisuke Otsu
A goodness-of-fit test for regular vine copula models pp. 25-46 Downloads
Ulf Schepsmeier
Information measures of kernel estimation pp. 47-68 Downloads
Neshat Beheshti, Jeffrey Racine and Ehsan S. Soofi
Wavelet energy ratio unit root tests pp. 69-94 Downloads
Mirza Trokić
Two-sample least squares projection pp. 95-123 Downloads
David Pacini

Volume 37, issue 10, 2018

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence pp. 1033-1050 Downloads
Antonia Arsova and Deniz Karaman Örsal
The estimation for Lévy processes in high frequency data pp. 1051-1066 Downloads
Jing Zheng, Wentao Gu, Baolin Xu and Zongwu Cai
Robust inference for predictability in smooth transition predictive regressions pp. 1067-1094 Downloads
Rehim Kılıç
Heterogeneous credit union production technologies with endogenous switching and correlated effects pp. 1095-1119 Downloads
Emir Malikov, Diego Restrepo-Tobon and Subal Kumbhakar
Testing the homogeneous marginal utility of income assumption pp. 1120-1136 Downloads
Thomas Demuynck
Estimation of time-invariant effects in static panel data models pp. 1137-1171 Downloads
M Pesaran and Qiankun Zhou
List of Referees pp. 1172-1173 Downloads
The Editors
Editorial Board EOV pp. ebi-ebi Downloads
The Editors

Volume 37, issue 9, 2018

GMM inference in spatial autoregressive models pp. 931-954 Downloads
Süleyman Taşpınar, Osman Doğan and Wim Vijverberg
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root pp. 955-973 Downloads
Efstathios Paparoditis and Dimitris N. Politis
A modified confidence set for the structural break date in linear regression models pp. 974-999 Downloads
Yohei Yamamoto
Structural change tests for GEL criteria pp. 1000-1032 Downloads
Alain Guay and Jean-François Lamarche

Volume 37, issue 8, 2018

Specification tests for time-varying parameter models with stochastic volatility pp. 807-823 Downloads
Joshua Chan
On the invertibility of EGARCH(p, q) pp. 824-849 Downloads
Guillaume Gaetan Martinet and Michael McAleer
Testing for Granger-causality in quantiles pp. 850-866 Downloads
Victor Troster
Testing for a unit root in a nonlinear quantile autoregression framework pp. 867-892 Downloads
Haiqi Li and Sung Y. Park
Fixed T dynamic panel data estimators with multifactor errors pp. 893-929 Downloads
Artūras Juodis and Vasilis Sarafidis

Volume 37, issue 7, 2018

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models pp. 695-718 Downloads
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
GMM estimation of a realized stochastic volatility model: A Monte Carlo study pp. 719-743 Downloads
Pierre Chaussé and Dinghai Xu
Maximum simulated likelihood estimation of the panel sample selection model pp. 744-759 Downloads
Hung-pin Lai and Wen-Jen Tsay
More efficient local polynomial regression with random-effects panel data models pp. 760-776 Downloads
Ke Yang
Bayesian model averaging for dynamic panels with an application to a trade gravity model pp. 777-805 Downloads
Huigang Chen, Alin Mirestean and Charalambos Tsangarides

Volume 37, issue 6, 2018

Robust parametric tests of constant conditional correlation in a MGARCH model pp. 551-576 Downloads
Wasel Shadat and Chris Orme
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models pp. 577-601 Downloads
Seong Yeon Chang and Pierre Perron
Asymptotics and bootstrap for random-effects panel data transformation models pp. 602-625 Downloads
Liangjun Su and Zhenlin Yang
Extremal dependence tests for contagion pp. 626-649 Downloads
Renee Fry-McKibbin and Cody Yu-Ling Hsiao
First difference transformation in panel VAR models: Robustness, estimation, and inference pp. 650-693 Downloads
Artūras Juodis

Volume 37, issue 5, 2018

Estimation of factor-augmented panel regressions with weakly influential factors pp. 401-465 Downloads
Simon Reese and Joakim Westerlund
Bootstrap tests for time varying cointegration pp. 466-483 Downloads
Luis Martins
Sample path properties of an explosive double autoregressive model pp. 484-490 Downloads
Feng Liu, Dong Li and Xinmei Kang
Testing for sphericity in a two-way error components panel data model pp. 491-506 Downloads
Guangyu Mao
Functional-coefficient cointegration models in the presence of deterministic trends pp. 507-533 Downloads
Masayuki Hirukawa and Mari Sakudo
Parameter estimation in multivariate logit models with many binary choices pp. 534-550 Downloads
Koen Bel, Dennis Fok and Richard Paap

Volume 37, issue 4, 2018

A multivariate volatility vine copula model pp. 281-308 Downloads
E. C. Brechmann, Moritz Heiden and Y. Okhrin
The asymptotic covariance matrix of the QMLE in ARMA models pp. 309-324 Downloads
Yong Bao
Granger-causal analysis of GARCH models: A Bayesian approach pp. 325-346 Downloads
Tomasz Woźniak
Information theoretic methods in small domain estimation pp. 347-359 Downloads
Rosa Bernardini Papalia and Esteban Fernandez-Vazquez
Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach pp. 360-379 Downloads
Mototsugu Shintani and Zi-Yi Guo
The “wrong skewness” problem in stochastic frontier models: A new approach pp. 380-400 Downloads
Christian Hafner, Hans Manner and Leopold Simar

Volume 37, issue 3, 2018

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency pp. 183-211 Downloads
Tomohiro Ando and Jushan Bai
The estimation of multidimensional fixed effects panel data models pp. 212-227 Downloads
Laszlo Balazsi, Laszlo Matyas and Tom Wansbeek
Trends cycles and seasons: Econometric methods of signal extraction pp. 228-246 Downloads
D. S. G. Pollock
A slack analysis framework for improving composite indicators with applications to human development and sustainable energy indices pp. 247-259 Downloads
S. M. Hatefi and S. A. Torabi
A Laplace stochastic frontier model pp. 260-280 Downloads
William Horrace and Christopher Parmeter

Volume 37, issue 2, 2018

A discrete/continuous choice model on a nonconvex budget set pp. 89-113 Downloads
Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
Modeling and forecasting realized covariance matrices with accounting for leverage pp. 114-139 Downloads
Stanislav Anatolyev and Nikita Kobotaev
A general approach to conditional moment specification testing with projections pp. 140-165 Downloads
Xuexin Wang
A stochastic recurrence equations approach for score driven correlation models pp. 166-181 Downloads
Francisco Blasques, Andre Lucas and Erkki Silde

Volume 37, issue 1, 2018

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form pp. 1-28 Downloads
Eric Lin and Ta-Sheng Chou
Stock return predictability: A factor-augmented predictive regression system with shrinkage method pp. 29-60 Downloads
Saburo Ohno and Tomohiro Ando
Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model pp. 61-88 Downloads
Francesco Bartolucci, Valentina Nigro and Claudia Pigini
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