Economics at your fingertips  

Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

From Taylor & Francis Journals
Bibliographic data for series maintained by ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 40, issue 10, 2021

Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination pp. 905-918 Downloads
Tae-Hwy Lee, Millie Yi Mao and Aman Ullah
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation pp. 919-943 Downloads
Qiuhua Xu, Zongwu Cai and Ying Fang
Monotonicity-constrained nonparametric estimation and inference for first-price auctions pp. 944-982 Downloads
Jun Ma, Vadim Marmer, Artyom Shneyerov and Pai Xu
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing pp. 983-1006 Downloads
Yonghui Zhang and Qiankun Zhou
Sequential and efficient GMM estimation of dynamic short panel data models pp. 1007-1037 Downloads
Fei Jin, Lung-fei Lee and Jihai Yu
List of referees pp. 1038-1039 Downloads
The Editors

Volume 40, issue 9, 2021

Moment estimation for censored quantile regression pp. 815-829 Downloads
Qian Wang and Songnian Chen
Estimation of high-dimensional seemingly unrelated regression models pp. 830-851 Downloads
Lidan Tan, Khai Xiang Chiong and Hyungsik Roger Moon
Estimation of average treatment effect based on a semiparametric propensity score pp. 852-866 Downloads
Yu Sun, Karen Yan and Qi Li
Determination of different types of fixed effects in three-dimensional panels* pp. 867-898 Downloads
Xun Lu, Ke Miao and Liangjun Su

Volume 40, issue 8, 2021

The lower regression function and testing expectation dependence dominance hypotheses pp. 709-727 Downloads
Oliver Linton, Yoon Jae Whang and Yu-Min Yen
Right tail information and asset pricing pp. 728-749 Downloads
Qiuling Hua, Zhijie Xiao and Hongtao Zhou
Market integration, systemic risk and diagnostic tests in large mixed panels pp. 750-795 Downloads
Cindy S.H. Wang, Cheng Hsiao and Hao-Hsiang Yang
Smoothed maximum score estimation with nonparametrically generated covariates pp. 796-813 Downloads
Xiaoyong Cao, Xirong Chen, Wenzheng Gao and Cheng Hsiao

Volume 40, issue 7, 2021

Bayesian estimation of dynamic panel data gravity model pp. 607-634 Downloads
Moonhee Cho and Xiaoyong Zheng
Detecting multiple equilibria for continuous dependent variables pp. 635-656 Downloads
Zhengfei Yu
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves pp. 657-687 Downloads
Byunguk Kang and Jean-Marie Dufour
A panel data model of length of stay in hospitals for hip replacements pp. 688-707 Downloads
Yan Meng, Jiti Gao, Xibin Zhang and Xueyan Zhao

Volume 40, issue 6, 2021

Econometric Reviews Honors Cheng Hsiao pp. 535-539 Downloads
Tong Li, Esfandiar Maasoumi and Zhijie Xiao
An IV estimator for a functional coefficient model with endogenous discrete treatments pp. 540-561 Downloads
Roger Klein and Chan Shen
Quantile regression with interval data pp. 562-583 Downloads
Arie Beresteanu and Yuya Sasaki
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models pp. 584-606 Downloads
Yanan He, Ai Han, Yongmiao Hong, Yuying Sun and Shouyang Wang

Volume 40, issue 5, 2021

Predictability, real time estimation, and the formulation of unobserved components models pp. 433-454 Downloads
Tommaso Proietti
Global estimation of finite mixture and misclassification models with an application to multiple equilibria pp. 455-469 Downloads
Yingyao Hu and Ruli Xiao
Model selection in factor-augmented regressions with estimated factors pp. 470-503 Downloads
Antoine Djogbenou
Revisiting regression adjustment in experiments with heterogeneous treatment effects pp. 504-534 Downloads
Akanksha Negi and Jeffrey Wooldridge

Volume 40, issue 4, 2020

Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach pp. 321-358 Downloads
Anders Isaksson, Chenjun Shang and Robin C. Sickles
In-fill asymptotic theory for structural break point in autoregressions pp. 359-386 Downloads
Liang Jiang, Xiaohu Wang and Jun Yu
On asymptotic risk of selecting models for possibly nonstationary time-series pp. 387-414 Downloads
Shu-Hui Yu and Chor-yiu (CY) Sin
Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors pp. 415-432 Downloads
Ruohao Zhang, Subal Kumbhakar and Hung-pin Lai

Volume 40, issue 3, 2021

Fellows and Scholars of Econometric Reviews pp. 217-219 Downloads
Esfandiar Maasoumi
Testing for strict stationarity in a random coefficient autoregressive model pp. 220-256 Downloads
Lorenzo Trapani
Improved confidence sets for the date of a structural break pp. 257-289 Downloads
Daisuke Yamazaki
Multiple subordinated modeling of asset returns: Implications for option pricing pp. 290-319 Downloads
Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi

Volume 40, issue 2, 2021

A specification test for dynamic conditional distribution models with function-valued parameters pp. 109-127 Downloads
Victor Troster and Dominik Wied
Quantile structural treatment effects: application to smoking wage penalty and its determinants pp. 128-147 Downloads
Yu-Chin Hsu, Kamhon Kan and Tsung-Chih Lai
Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models pp. 148-176 Downloads
Antonio Pacifico
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions pp. 177-196 Downloads
Matei Demetrescu, Julian S. Leppin and Stefan Reitz
The continuous limit of weak GARCH pp. 197-216 Downloads
Carol Alexander and Emese Lazar

Volume 40, issue 1, 2021

An upper bound for functions of estimators in high dimensions pp. 1-13 Downloads
Mehmet Caner and Xu Han
Common factors and spatial dependence: an application to US house prices pp. 14-50 Downloads
Cynthia Fan Yang
Heteroscedasticity testing after outlier removal pp. 51-85 Downloads
Vanessa Berenguer-Rico and Ines Wilms
High-dimensional penalized arch processes pp. 86-107 Downloads
Benjamin Poignard and Jean-David Fermanian

Volume 39, issue 10, 2020

A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities pp. 971-990 Downloads
João Henrique G. Mazzeu, Gloria González-Rivera, Esther Ruiz and Helena Veiga
On the estimation of integrated volatility in the presence of jumps and microstructure noise pp. 991-1013 Downloads
Christian Brownlees, Eulalia Nualart and Yucheng Sun
Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata pp. 1014-1041 Downloads
John Gardner
Finite sample properties of the GMM Anderson–Rubin test pp. 1042-1056 Downloads
Maurice J. G. Bun, Helmut Farbmacher and Rutger W. Poldermans
Data cloning estimation for asymmetric stochastic volatility models pp. 1057-1074 Downloads
P. de Zea Bermudez, J. Miguel Marín and Helena Veiga
A theory of dichotomous valuation with applications to variable selection pp. 1075-1099 Downloads
Xingwei Hu
Model averaging in a multiplicative heteroscedastic model pp. 1100-1124 Downloads
Shangwei Zhao, Yanyuan Ma, Alan T. K. Wan, Xinyu Zhang and Shouyang Wang
List of referees pp. 1125-1126 Downloads
The Editors

Volume 39, issue 9, 2020

Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data pp. 875-903 Downloads
Mikkel Bennedsen
Testing for a unit root with nonstationary nonlinear heteroskedasticity pp. 904-929 Downloads
Yundong Tu, Nigel Chan and Qiying Wang
A diagnostic test for specification of copulas under censorship pp. 930-946 Downloads
Juan Lin and Ximing Wu
Bayesian semiparametric multivariate stochastic volatility with application pp. 947-970 Downloads
Martina Danielova Zaharieva, Mark Trede and Bernd Wilfling

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 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 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 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
Nelson 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
Page updated 2021-12-07