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Econometric Reviews

1997 - 2020

Current editor(s): Dr. Essie Maasoumi

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Volume 39, issue 8, 2020

Testing for shifts in a time trend panel data model with serially correlated error component disturbances pp. 745-762 Downloads
Badi H. Baltagi, Chihwa Kao and Long Liu
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors pp. 763-791 Downloads
Elise Coudin and Jean-Marie Dufour
Nonparametric estimation of marginal effects in regression-spline random effects models pp. 792-825 Downloads
Shujie Ma, Jeffrey Racine and Aman Ullah
Time evolution of income distributions with subgroup decompositions pp. 826-857 Downloads
Yi-Ting Chen and Ruey S. Tsay
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation pp. 858-874 Downloads
Cheng Hsiao

Volume 39, issue 7, 2020

Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician pp. 649-654 Downloads
Esfandiar Maasoumi and Zhijie Xiao
Some notes on nonlinear cointegration: A partial review with some novel perspectives pp. 655-673 Downloads
Dag Tjøstheim
Standard Errors for Nonparametric Regression pp. 674-690 Downloads
Ba M. Chu, David Jacho-Chávez and Oliver B. Linton
Identification strength with a large number of moments pp. 691-714 Downloads
Hyojin Han and Eric Renault
Quantile aggregation and combination for stock return prediction pp. 715-743 Downloads
Chuanliang Jiang, Esfandiar Maasoumi and Zhijie Xiao

Volume 39, issue 6, 2020

Decomposing joint distributions via reweighting functions: an application to intergenerational economic mobility pp. 541-558 Downloads
Jeremiah Richey and Alicia Rosburg
Nonlinear autoregressive models with optimality properties pp. 559-578 Downloads
Francisco Blasques, Siem Jan Koopman and Andre Lucas
Where does the tail begin? An approach based on scoring rules pp. 579-601 Downloads
Yannick Hoga
Optimal adaptive sampling for a symmetric two-state continuous time Markov chain pp. 602-611 Downloads
Jon Michel
Efficiency bounds for semiparametric models with singular score functions pp. 612-648 Downloads
Prosper Dovonon and Yves F. Atchadé

Volume 39, issue 5, 2020

Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances pp. 437-475 Downloads
Anna Gloria Billé and Samantha Leorato
Specification testing with estimated variables pp. 476-494 Downloads
Manuel A. Domínguez and Ignacio N. Lobato
A new class of tests for overidentifying restrictions in moment condition models pp. 495-509 Downloads
Xuexin Wang
Asymptotic properties of bubble monitoring tests pp. 510-538 Downloads
Eiji Kurozumi
Best Paper Award pp. 539-539 Downloads
Esfandiar Maasoumi

Volume 39, issue 4, 2020

Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series pp. 319-343 Downloads
Stefanos Dimitrakopoulos and Michalis Kolossiatis
Minimum distance estimation of parametric Lorenz curves based on grouped data pp. 344-361 Downloads
Gholamreza Hajargasht and William E. Griffiths
Bootstrap inference for penalized GMM estimators with oracle properties pp. 362-372 Downloads
Lorenzo Camponovo
Multistep forecast selection for panel data pp. 373-406 Downloads
Ryan Greenaway-McGrevy
Stationarity and ergodicity of vector STAR models pp. 407-414 Downloads
Igor Kheifets and Pentti Saikkonen
On endogeneity and shape invariance in extended partially linear single index models pp. 415-435 Downloads
Jiti Gao, Namhyun Kim and Patrick W. Saart

Volume 39, issue 3, 2020

Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function pp. 215-233 Downloads
Qichang Xie, Qiankun Sun and Junxian Liu
The polar confidence curve for a ratio pp. 234-243 Downloads
Halvor Mehlum
Robust inference in conditionally heteroskedastic autoregressions pp. 244-259 Downloads
Rasmus Søndergaard Pedersen
Maximum likelihood estimation of dynamic panel threshold models pp. 260-276 Downloads
N.R. Ramírez-Rondán
Testing for distributional features in varying coefficient panel data models pp. 277-298 Downloads
Alexandra Soberon, Winfried Stute and Juan M. Rodriguez-Poo
Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets pp. 299-318 Downloads
Yundong Tu and Ying Wang

Volume 39, issue 2, 2020

Testing initial conditions in dynamic panel data models pp. 115-134 Downloads
Laura Magazzini and Giorgio Calzolari
Modeling temporal treatment effects with zero inflated semi-parametric regression models: The case of local development policies in France pp. 135-157 Downloads
Hervé Cardot and Antonio Musolesi
Smooth coefficient models with endogenous environmental variables pp. 158-180 Downloads
Michael S. Delgado, Deniz Ozabaci, Yiguo Sun and Subal Kumbhakar
ML and GMM with concentrated instruments in the static panel data model pp. 181-195 Downloads
Paul Bekker and Jelle van Essen
Identification and estimation in a linear correlated random coefficients model with censoring pp. 196-213 Downloads
Zhengyu Zhang and Zequn Jin

Volume 39, issue 1, 2020

A Projection-Based Nonparametric Test of Conditional Quantile Independence pp. 1-26 Downloads
Milan Nedeljkovic
A multifactor transformed diffusion model with applications to VIX and VIX futures pp. 27-53 Downloads
Ruijun Bu, Fredj Jawadi and Yuyi Li
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models pp. 54-70 Downloads
Fredj Jawadi, Zied Ftiti and Waël Louhichi
Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model pp. 71-91 Downloads
Cem Çakmaklı
Identification of the linear factor model pp. 92-109 Downloads
Benjamin Williams
Foundations of info-metrics: modeling, inference and imperfect information pp. 110-113 Downloads
Alastair R. Hall

Volume 38, issue 10, 2019

Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter pp. 1109-1130 Downloads
Young Min Kim and Kyu Ho Kang
Testing explosive bubbles with time-varying volatility pp. 1131-1151 Downloads
David Harvey, Stephen Leybourne and Yang Zu
The Gibbs sampler with particle efficient importance sampling for state-space models* pp. 1152-1175 Downloads
Oliver Grothe, Tore Selland Kleppe and Roman Liesenfeld
A general inversion theorem for cointegration pp. 1176-1201 Downloads
Massimo Franchi and Paolo Paruolo
A joint test for parametric specification and independence in nonlinear regression models pp. 1202-1215 Downloads
Shuo Li and Yundong Tu
List of Referees pp. 1216-1217 Downloads
The Editors

Volume 38, issue 9, 2019

A practical guide to compact infinite dimensional parameter spaces pp. 979-1006 Downloads
Joachim Freyberger and Matthew Masten
Particle learning for Bayesian semi-parametric stochastic volatility model pp. 1007-1023 Downloads
Audronė Virbickaitė, Hedibert F. Lopes, M. Concepción Ausín and Pedro Galeano
Generalized information matrix tests for copulas pp. 1024-1054 Downloads
Artem Prokhorov, Ulf Schepsmeier and Yajing Zhu
Double filter instrumental variable estimation of panel data models with weakly exogenous variables pp. 1055-1088 Downloads
Kazuhiko Hayakawa, Meng Qi and Jörg Breitung
Robust block bootstrap panel predictability tests pp. 1089-1107 Downloads
Stephan Smeekes and Joakim Westerlund

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 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 Suarez

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
Page updated 2020-11-23