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 21, issue 4, 2002

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS pp. 397-417

Jonathan Wright

FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS pp. 419-429

Russell Davidson and James MacKinnon

ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS pp. 431-447

Yoosoon Chang and Joon Park

DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY pp. 449-476

Ionel Birgean and Lutz Kilian

A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS pp. 477-496

Edoardo Otranto and Giampiero Gallo

Volume 21, issue 3, 2002

SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES pp. 273-307

Alain Hecq, Franz Palm and Jean-Pierre Urbain

A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS pp. 309-336

Jinyong Hahn and Atsushi Inoue

A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS pp. 337-352

Yanqin Fan and Qi Li

ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN pp. 353-381

Serena Ng and Timothy Vogelsang

COMPUTING MARGINAL EFFECTS IN THE BOX-COX MODEL pp. 383-393

Jason Abrevaya

Volume 21, issue 2, 2002

IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES pp. 149-165

Zeng-Hua Lu and Maxwell King

SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL pp. 167-187

Badi Baltagi, Seuck Heun Song and Byoung Cheol Jung

IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE pp. 189-203

Nilanjana Roy

ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION pp. 205-219

John Galbraith, Aman Ullah and Victoria Zinde-Walsh

ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH pp. 221-241

Denise Osborn and Paulo Rodrigues

TESTING FOR PERIODIC STATIONARITY pp. 243-270

Eiji Kurozumi

Volume 21, issue 1, 2002

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS pp. 1-47

Dick van Dijk, Timo Teräsvirta and Philip Hans Franses

LONG-RUN STRUCTURAL MODELLING pp. 49-87

M Pesaran and Yongcheol Shin

DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL pp. 89-119

Mukhtar Ali

ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION pp. 121-134

Kazuhiro Ohtani and Alan Wan

ESTIMATION OF DISCRETE CHOICE MODELS WITH MINIMAL VARIATION OF ALTERNATIVE-SPECIFIC VARIABLES pp. 135-146

Gerd Ronning

Volume 20, issue 4, 2001

DYNAMIC FACTOR MODELS pp. 385-424

Christian Gourieroux and Joann Jasiak

GENERALIZED INTEGER-VALUED AUTOREGRESSION pp. 425-443

Kurt Brännäs and Jorgen Hellstrom

ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS pp. 445-460

Badi Baltagi and Qi Li

UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS pp. 461-483

Sung Ahn, Stergios Fotopoulos and Lijian He

OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS pp. 485-505

David Mandy and Carlos Martins-Filho

Volume 20, issue 3, 2001

A REVIEW OF SYSTEMS COINTEGRATION TESTS pp. 247-318

Kirstin Hubrich, Helmut Lütkepohl and Pentti Saikkonen

RECENTERED AND RESCALED INSTRUMENTAL VARIABLE ESTIMATION OF TOBIT AND PROBIT MODELS WITH ERRORS IN VARIABLES pp. 319-335

Shigeru Iwata

AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL pp. 337-351

Evžen Kočenda

DENSITY ESTIMATION FOR CLUSTERED DATA pp. 353-367

Robert Breunig

THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR pp. 369-383

Offer Lieberman

Volume 20, issue 2, 2001

MODEL BUILDING AND DATA MINING pp. 159-170

J. Sargan

THE CHOICE BETWEEN SETS OF REGRESSORS pp. 171-186

J. Sargan

SEASONAL INTEGRATION FOR DAILY DATA pp. 187-200

Akira Tokihisa and Shigeyuki Hamori

COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY pp. 201-216

Gianluca Cubadda

BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL pp. 217-234

Gael Martin

A BAYESIAN INTERPRETATION OF MULTIPLE POINT ESTIMATES pp. 235-245

Mahmoud El-Gamal

Volume 20, issue 1, 2001

THE POWER AND SIZE OF NONPARAMETRIC TESTS FOR COMMON DISTRIBUTIONAL CHARACTERISTICS pp. 1-30

Gordon Anderson

DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE pp. 31-40

Badi Baltagi and Dong Li

A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION pp. 41-60

Thanasis Stengos and Yiguo Sun

ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY pp. 61-84

Nunzio Cappuccio and Diego Lubian

A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION pp. 85-104

Param Silvapulle

SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE pp. 105-112

Kazumitsu Nawata and Michael McAleer

A MODIFIED AVERAGE DERIVATIVES ESTIMATOR pp. 113-131

Chunrong Ai

Volume 19, issue 4, 2000

Introduction pp. 5-5

Esfandiar Maasoumi and Almas Heshmati

Estimation of firm-specific technological bias, technical change and total factor productivity growth: a dual approach pp. 162-173

Subal Kumbhakar, Shinichiro Nakamura and Almas Heshmati

Estimation and decomposition of productivity change when production is not efficient: a paneldata approach pp. 312-320

Subal Kumbhakar, Michael Denny and M. Fuss

Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences pp. 391-424

Erik Biorn

Estimation of long-run inefficiency levels: a dynamic frontier approach pp. 461-492

Seung Ahn and Robin Sickles

Volume 19, issue 3, 2000

Introduction pp. 5-5

Esfandiar Maasoumi and Almas Heshmati

Nonstationary panel data analysis: an overview of some recent developments pp. 263-286

Peter Phillips and Hyungsik Moon

Stochastic dominance amongst swedish income distributions pp. 287-320

Esfandiar Maasoumi and Almas Heshmati

GMM Estimation with persistent panel data: an application to production functions pp. 321-340

Richard Blundell and Stephen Bond

Estimation of tobit-type models with individual specific effects pp. 341-366

Bo Honore, Ekaterini Kyriazidou and James Powell

Flexible panel data models for risky production technologies with an application to salmon aquaculture pp. 367-389

Ragner Tveterås and Guanghua Wan

Volume 19, issue 2, 2000

Adaptive testing in arch models pp. 145-174

Oliver Linton and Douglas Steigerwald

Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form pp. 175-206

Douglas Hodgson

Modified lag augmented vector autoregressions pp. 207-231

Eiji Kurozumi and Taku Yamamoto

GNR, MGR, and exact misspeclfication testing pp. 233-240

Kenneth Stewart and Kenneth Stewart

Alternative approaches to testing by variable addition pp. 241-261

Leslie Godfrey and M. R. Veal

Volume 19, issue 1, 2000

Recent developments in bootstrapping time series pp. 1-48

Jeremy Berkowitz and Lutz Kilian

Bootstrap tests: how many bootstraps? pp. 55-68

Russell Davidson and James MacKinnon

Problems related to confidence intervals for impulse responses of autoregressive processes pp. 69-103

Alexander Benkwitz, Michael Neumann and Helmut Lutekpohl

Estimation and inference in sur models when the number of equations is large pp. 105-130

Denzil Fiebig and Jae Kim

Book review pp. 135-137

James Hamilton

Remark on pseudo-generalized least squares pp. 139-144

Jorgen Grofi and Simo Puntanen