Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 28, issue 6, 2009

Pairwise Tests of Purchasing Power Parity pp. 495-521

Mohammad Pesaran, Ronald Smith, Takashi Yamagata and Lyudmyla Hvozdyk

Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments pp. 522-554

Suhejla Hoti, Esfandiar Maasoumi, Michael McAleer and Daniel Slottje

Parametric Nonlinear Regression with Endogenous Switching pp. 555-580

Joseph Terza

Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling pp. 581-611

Gonzalo Camba-Mendez and George Kapetanios

A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets pp. 612-631

Christian Hafner and Philip Hans Franses

Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View pp. 632-657

Bo Li

Length-bias Correction in Transformation Models with Supplementary Data pp. 658-681

Youngki Shin

Volume 28, issue 5, 2009

Bootstrap M Unit Root Tests pp. 393-421

Giuseppe Cavaliere and Robert Taylor

Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility pp. 422-440

Michael McAleer, Suhejla Hoti and Felix Chan

Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments pp. 441-467

Kenneth West, Ka-fu Wong and Stanislav Anatolyev

Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples pp. 468-494

Simon Broda, Kai Carstensen and Marc Paolella

Volume 28, issue 4, 2009

A Panel Unit Root Test with Good Power in Small Samples pp. 295-313

Claude Lopez

A Note on Unit Root Tests with Infinite Variance Noise pp. 314-334

D. M. Mahinda Samarakoon and Keith Knight

Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications pp. 335-363

Daiki Maki

A Note on Testing Covariance Stationarity pp. 364-371

Giuseppe Cavaliere and Robert Taylor

Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White pp. 372-375

Andrew Patton, Dimitris Politis and Halbert White

Two Books on the New Macroeconometrics pp. 376-387

Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

Book Review pp. 388-392

Tong Li

Volume 28, issue 1-3, 2009

Editorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics pp. 1-3

Estelle Dagum and Silvano Bordignon

Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series pp. 4-20

Richard Ashley and Randal Verbrugge

Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics pp. 21-39

Anthony Atkinson

A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation pp. 40-59

Estelle Dagum and Alessandra Luati

Periodic Long-Memory GARCH Models pp. 60-82

Silvano Bordignon, Massimiliano Caporin and Francesco Lisi

Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models pp. 83-101

Yongjae Kwon, Hamparsum Bozdogan and Halima Bensmail

Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models pp. 102-120

Giovanni De Luca and Giampiero Gallo

Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes pp. 121-145

Soren Johansen

Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures pp. 146-169

Fabrizio Laurini and Jonathan Tawn

Pairwise Likelihood Inference for General State Space Models pp. 170-185

Cristiano Varin and Paolo Vidoni

On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates pp. 186-208

Tommaso Proietti

Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes pp. 209-224

Matteo Grigoletto and Corrado Provasi

Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change pp. 225-245

Changli He, Timo Teräsvirta and Andres Gonzalez

A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes pp. 246-261

Esfandiar Maasoumi and Jeffrey Racine

Robust Transformations in Univariate and Multivariate Time Series pp. 262-278

Marco Riani

A New Bispectral Test for NonLinear Serial Dependence pp. 279-293

Elena Rusticelli, Richard Ashley, Estelle Dagum and Douglas Patterson

Volume 27, issue 4-6, 2008

Information Theoretic and Entropy Methods: An Overview pp. 317-328

Amos Golan and Esfandiar Maasoumi

Approximate Entropy as an Irregularity Measure for Financial Data pp. 329-362

Steve Pincus

Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective pp. 363-384

Andreas Koutris, Maria Heracleous and Aris Spanos

Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach pp. 385-397

Jan Jacobs and Pieter Otter

Entropy-Based Moment Selection in the Presence of Weak Identification pp. 398-427

Alastair Hall, Atsushi Inoue and Changmock Shin

Bayes Estimate and Inference for Entropy and Information Index of Fit pp. 428-456

Thomas Mazzuchi, Ehsan Soofi and Refik Soyer

Generalized Safety First and a New Twist on Portfolio Performance pp. 457-483

M. Ryan Haley and Charles Whiteman

Optimal Portfolio Diversification Using the Maximum Entropy Principle pp. 484-512

Anil Bera and Sung Y. Park

Large-Deviations Theory and Empirical Estimator Choice pp. 513-525

Marian Grendar and George Judge

Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator pp. 526-541

Patrik Guggenberger

A Class of Improved Parametrically Guided Nonparametric Regression Estimators pp. 542-573

Carlos Martins-Filho, Santosh Mishra and Aman Ullah

A Generalized Cross-Entropy Approach for Modeling Spatially Correlated Counts pp. 574-595

Avinash Bhati

A Composite Generalized Cross-Entropy Formulation in Small Samples Estimation pp. 596-609

R. Bernardini Papalia

Volume 27, issue 1-3, 2008

Realized Volatility and Long Memory: An Overview pp. 1-9

Esfandiar Maasoumi and Michael McAleer

Realized Volatility: A Review pp. 10-45

Michael McAleer and Marcelo Medeiros

The Volatility of Realized Volatility pp. 46-78

Fulvio Corsi, Stefan Mittnik, Christian Pigorsch and Uta Pigorsch

Moving Average-Based Estimators of Integrated Variance pp. 79-111

Peter Hansen, Jeremy Large and Asger Lunde

Nonparametric Estimation Methods of Integrated Multivariate Volatilities pp. 112-138

Toshiya Hoshikawa, Keiji Nagai, Taro Kanatani and Yoshihiko Nishiyama

Edgeworth Corrections for Realized Volatility pp. 139-162

Silvia Goncalves and Nour Meddahi

Using High-Frequency Data in Dynamic Portfolio Choice pp. 163-198

Federico Bandi, Jeffrey Russell and Yinghua Zhu

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? pp. 199-229

Michiel De Pooter, Martin Martens and Dick van Dijk

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? pp. 230-253

Jim Griffin and Roel Oomen

Refined Inference on Long Memory in Realized Volatility pp. 254-267

Offer Lieberman and Peter Phillips

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory pp. 268-297

Afonso Gonçalves da Silva and Peter Robinson

Why Aggregate Long Memory Time Series? pp. 298-316

Leonardo Souza