Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 43, issue 10, 2024

Lag order selection for long-run variance estimation in econometrics pp. 774-795

Marco Morales

Selecting the number of factors in approximate factor models using group variable regularization pp. 796-823

Maurizio Daniele

Estimation of random functions proxying for unobservables pp. 824-847

Jerome M. Krief and Christopher F. Parmeter

Editorial pp. 848-849

Yuya Sasaki

Best Paper Award pp. 850-850

Yuya Sasaki

Volume 43, issue 9, 2024

A one-covariate-at-a-time multiple testing approach to variable selection in additive models pp. 671-712

Liangjun Su, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

Non linear correlated random effects models with endogeneity and unbalanced panels pp. 713-732

Michael Bates, Leslie Papke and Jeffrey Wooldridge

Lassoed boosting and linear prediction in the equities market pp. 733-751

Huang Xiao

On the estimation of quantile treatment effects using a semiparametric propensity score pp. 752-773

Mingfeng Zhan and Karen X. Yan

Volume 43, issue 8, 2024

Optimal smoothing parameter selection in single-index model derivative estimation pp. 559-580

Shuang Yao and Guannan Liu

Tricks with metrics: combining statistics for improved inference in regression analysis pp. 581-594

Pierre Nguimkeu

Estimation of counterfactual distributions with a continuous endogenous treatment pp. 595-637

Santiago Pereda-Fernández

Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices pp. 638-670

Francisco Blasques, Enzo D’Innocenzo and Siem Jan Koopman

Volume 43, issue 7, 2024

Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects pp. 452-489

Lixiong Yang, I-Po Chen, Chingnun Lee and Mingjian Ren

Smoothed gradient least squares estimator for linear threshold models pp. 490-517

Yiguo Sun

Inference in the nonparametric stochastic frontier model pp. 518-539

Christopher F. Parmeter, Leopold Simar, Ingrid Van Keilegom and Valentin Zelenyuk

Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models pp. 540-557

Jad Beyhum, Jean-Pierre Florens, Elia Lapenta and Ingrid Van Keilegom

Volume 43, issue 6, 2024

Estimation of average treatment effects for massively unbalanced binary outcomes pp. 319-344

Jinyong Hahn, Xueyuan Liu and Geert Ridder

Powerful t-tests in the presence of nonclassical measurement error pp. 345-378

Dongwoo Kim and Daniel Wilhelm

MCMC conditional maximum likelihood for the two-way fixed-effects logit pp. 379-404

Francesco Bartolucci, Claudia Pigini and Francesco Valentini

An approximated exponentially tilted empirical likelihood estimator of moment condition models pp. 405-433

Fei Jin and Yuqin Wang

Semiparametric spatial autoregressive models with nonlinear endogeneity pp. 434-451

Yiguo Sun

Volume 43, issue 5, 2024

Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency pp. 238-268

Jun Cai, William C. Horrace and Yoonseok Lee

Locally time-varying parameter regression pp. 269-300

Zhongfang He

A hybrid nonparametric multivariate density estimator with applications to risk management pp. 301-318

Juan Lin and Ximing Wu

Volume 43, issue 2-4, 2024

ANNOUNCEMENT pp. 97-97

The Editors

Post-averaging inference for optimal model averaging estimator in generalized linear models pp. 98-122

Dalei Yu, Heng Lian, Yuying Sun, Xinyu Zhang and Yongmiao Hong

A method to evaluate the rank condition for CCE estimators pp. 123-155

Ignace De Vos, Gerdie Everaert and Vasilis Sarafidis

Inferring inequality: Testing for median-preserving spreads in ordinal data pp. 156-174

Ramses Abul Naga, Christopher Stapenhurst and Gaston Yalonetzky

Doubly robust estimation of multivariate fractional outcome means with multivalued treatments pp. 175-196

Akanksha Negi and Jeffrey Wooldridge

Confidence intervals for intentionally biased estimators pp. 197-214

David Kaplan and Xin Liu

Nonparametric estimation of mediation effects with a general treatment pp. 215-237

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

Zhongfang He

Testing Granger non-causality in expectiles pp. 30-51

Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti

A unifying switching regime regression framework with applications in health economics pp. 52-70

Giampiero Marra, Rosalba Radice and David Zimmer

Model averaging for generalized linear models in diverging model spaces with effective model size pp. 71-96

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

Esfandiar Maasoumi and Robert Taylor

Extremal quantiles and stock price crashes pp. 703-724

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

H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis and Robert Taylor

Endogeneity in semiparametric threshold regression models with two threshold variables pp. 758-779

Chaoyi Chen, Thanasis Stengos and Yiguo Sun

Forecasting Levels in Loglinear Unit Root Models pp. 780-805

Kees Jan van Garderen

Inference for the VEC(1) model with a heavy-tailed linear process errors* pp. 806-833

Feifei Guo and Shiqing Ling

Improved tests for stock return predictability pp. 834-861

David I. Harvey, Stephen J. Leybourne and Robert Taylor

Volume 42, issue 8, 2023

Linear fixed-effects estimation with nonrepeated outcomes pp. 635-654

Helmut Farbmacher and Harald Tauchmann

Automatic variable selection for semiparametric spatial autoregressive model pp. 655-675

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

C. Grazian and A. McInnes

Volume 42, issue 7, 2023

Forecasting vector autoregressions with mixed roots in the vicinity of unity pp. 556-585

Yundong Tu and Xinling Xie

Latent local-to-unity models pp. 586-611

Xiaohu Wang and Jun Yu

Robust nonparametric frontier estimation in two steps pp. 612-634

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

Kohtaro Hitomi, Masamune Iwasawa and Yoshihiko Nishiyama

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility pp. 513-539

Yuta Yamauchi and Yasuhiro Omori

A unified unit root test regardless of intercept pp. 540-555

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

Estela Bee Dagum and Silvia Bianconcini

A robust score-driven filter for multivariate time series pp. 441-470

Enzo D’Innocenzo, Alessandra Luati and Mario Mazzocchi

Inference in a similarity-based spatial autoregressive model pp. 471-486

Offer Lieberman and Francesca Rossi

Volume 42, issue 4, 2023

Inference and extrapolation in finite populations with special attention to clustering pp. 343-357

Richard Startz and Douglas Steigerwald

Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference pp. 358-392

Martin Wagner and Karsten Reichold

Bandwidth selection for nonparametric regression with errors-in-variables pp. 393-419

Hao Dong, Taisuke Otsu and Luke Taylor

Volume 42, issue 3, 2023

Indirect inference estimation of higher-order spatial autoregressive models pp. 247-280

Yong Bao

Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings pp. 281-306

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

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

Andres Aradillas-Lopez

Estimating flow data models of international trade: dual gravity and spatial interactions pp. 157-194

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

Eric Beutner, Yicong Lin and Stephan Smeekes

Efficient estimation with missing data and endogeneity pp. 220-239

Bhavna Rai

The two-way Mundlak estimator pp. 240-246

Badi Baltagi

Volume 42, issue 1, 2023

Yet another look at the omitted variable bias pp. 1-27

Masayuki Hirukawa, Irina Murtazashvili and Artem Prokhorov

Forward detrending for heteroskedasticity-robust panel unit root testing pp. 28-53

Helmut Herwartz, Simone Maxand and Yabibal Walle

Hamiltonian sequential Monte Carlo with application to consumer choice behavior pp. 54-77

Martin Burda and Remi Daviet

Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures† pp. 78-97

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

Jingjie Xiang, Gangzheng Guo and Jiaolong Li