Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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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

Volume 41, issue 10, 2022

Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition pp. 1141-1163

Martin Huber and Lukas Laffers

Nonparametric estimation of additive models with errors-in-variables pp. 1164-1204

Hao Dong, Taisuke Otsu and Luke Taylor

Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* pp. 1205-1242

Marie-Claude Beaulieu, Lynda Khalaf, Maral Kichian and Olena Melin

The variances of non-parametric estimates of the cross-sectional distribution of durations pp. 1243-1264

Maoshan Tian and Huw Dixon

Testing rank similarity in the local average treatment effects model pp. 1265-1286

Ju Hyun Kim and Byoung Park

Back Matter pp. 1287-1288

The Editors

Volume 41, issue 9, 2022

Two-step series estimation and specification testing of (partially) linear models with generated regressors pp. 985-1007

Yu-Chin Hsu, Jen-Che Liao and Eric Lin

Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system pp. 1008-1046

Xin Geng and Kai Sun

Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators pp. 1047-1076

David Drukker and Di Liu

Rotation group bias and the persistence of misclassification errors in the Current Population Surveys pp. 1077-1094

Shuaizhang Feng, Yingyao Hu and Jiandong Sun

A robust test for serial correlation in panel data models pp. 1095-1112

Bin Chen

Income and democracy: a semiparametric approach pp. 1113-1140

Shunan Zhao, Yiguo Sun and Subal Kumbhakar

Volume 41, issue 8, 2022

Model selection and model averaging for matrix exponential spatial models pp. 827-858

Ye Yang, Osman Doğan and Suleyman Taspinar

Binary outcomes, OLS, 2SLS and IV probit pp. 859-876

Chuhui Li, Donald Poskitt, Frank Windmeijer and Xueyan Zhao

Reconciling negative return skewness with positive time-varying risk premia pp. 877-894

Dimitra Kyriakopoulou and Christian Hafner

A state-space approach to time-varying reduced-rank regression pp. 895-917

Barbara Brune, Wolfgang Scherrer and Efstathia Bura

Testing for time-varying factor loadings in high-dimensional factor models pp. 918-965

Wen Xu

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model pp. 966-984

Dakyung Seong, Jin Seo Cho and Timo Teräsvirta

Volume 41, issue 7, 2022

Panel data nowcasting pp. 675-696

Jack Fosten and Ryan Greenaway-McGrevy

Testing independence between exogenous variables and unobserved errors pp. 697-728

Shuo Li, Liuhua Peng and Yundong Tu

Unified M-estimation of matrix exponential spatial dynamic panel specification pp. 729-748

Ye Yang

Moment conditions for the quadratic regression model with measurement error pp. 749-774

Erik Meijer, Laura Spierdijk and Tom Wansbeek

Optimal model averaging for divergent-dimensional Poisson regressions pp. 775-805

Jiahui Zou, Wendun Wang, Xinyu Zhang and Guohua Zou

A new Bayesian model for contagion and interdependence pp. 806-826

Aubrey Poon and Dan Zhu

Volume 41, issue 6, 2022

Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data pp. 583-606

Francesco Bravo

Specification tests for univariate diffusions pp. 607-632

Stan Hurn, Vance Martin and Lina Xu

A James-Stein-type adjustment to bias correction in fixed effects panel models pp. 633-651

Dalia Ghanem

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors pp. 652-674

Fei Jin and Yuqin Wang

Volume 41, issue 5, 2022

Efficient semiparametric copula estimation of regression models with endogeneity pp. 485-504

Kien Tran and Mike G. Tsionas

A control function approach to estimate panel data binary response model pp. 505-538

Amaresh K. Tiwari

Large dimensional portfolio allocation based on a mixed frequency dynamic factor model pp. 539-563

Siyang Peng, Shaojun Guo and Yonghong Long

A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* pp. 564-582

Natalia Bailey, Dandan Jiang and Jianfeng Yao

Volume 41, issue 4, 2022

A simple test of completeness in a class of nonparametric specification pp. 373-399

Yingyao Hu and Ji-Liang Shiu

Semiparametric transition models pp. 400-415

Pavel Cizek and Chao Hui Koo

An augmented Anderson–Hsiao estimator for dynamic short-T panels† pp. 416-447

Alexander Chudik and Mohammad Pesaran

Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data pp. 448-483

Kyoo il Kim and Suyong Song

Volume 41, issue 3, 2022

Panel data measures of price discovery pp. 269-290

Hande Karabiyik, Joakim Westerlund and Paresh Narayan

Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures pp. 291-320

Minyu Han, Jihun Kwak and Donggyu Sul

Nonparametric multidimensional fixed effects panel data models pp. 321-358

Daniel Henderson, Alexandra Soberon and Juan M. Rodriguez-Poo

Modeling heterogeneous treatment effects in the presence of endogeneity pp. 359-372

Giacomo Benini and Stefan Sperlich

Volume 41, issue 2, 2022

Estimation of dynamic panel data models with a lot of heterogeneity pp. 117-146

Hugo Kruiniger

Event count estimation pp. 147-176

Laszlo Balazsi, Felix Chan and Laszlo Matyas

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation pp. 177-206

Yixiao Sun and Xuexin Wang

Random autoregressive models: A structured overview pp. 207-230

Marta Regis, Paulo Serra and Edwin R. van den Heuvel

Semiparametric estimation of signaling games with equilibrium refinement pp. 231-267

Kyoo il Kim

Volume 41, issue 1, 2022

Time-varying cointegration and the Kalman filter pp. 1-21

Burak Alparslan Eroğlu, J. Miller and Taner Yigit

Estimation and inference for distribution and quantile functions in endogenous treatment effect models pp. 22-50

Yu-Chin Hsu, Tsung-Chih Lai and Robert Lieli

Efficiency gains in least squares estimation: A new approach pp. 51-74

Alecos Papadopoulos and Mike G. Tsionas

Approximate state space modelling of unobserved fractional components pp. 75-98

Tobias Hartl and Roland Jucknewitz

The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE pp. 99-114

Collin S. Philipps

Best Paper Award Econometric Reviews, 2017–2018 pp. 115-115

Esfandiar Maasoumi

Best Paper Award Econometric Reviews, 2019–2020 pp. 116-116

Esfandiar Maasoumi