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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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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 Villarrubia 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 Marin
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
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