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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

From Taylor & Francis Journals
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Volume 21, issue 4, 2002

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS pp. 397-417 Downloads
Jonathan Wright
FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS pp. 419-429 Downloads
Russell Davidson and James MacKinnon
ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS pp. 431-447 Downloads
Yoosoon Chang and Joon Park
DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY pp. 449-476 Downloads
Ionel Birgean and Lutz Kilian
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS pp. 477-496 Downloads
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 Downloads
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 Downloads
Jinyong Hahn and Atsushi Inoue
A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS pp. 337-352 Downloads
Yanqin Fan and Qi Li
ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN pp. 353-381 Downloads
Serena Ng and Timothy Vogelsang
COMPUTING MARGINAL EFFECTS IN THE BOX-COX MODEL pp. 383-393 Downloads
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 Downloads
Zeng-Hua Lu and Maxwell King
SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL pp. 167-187 Downloads
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 Downloads
Nilanjana Roy
ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION pp. 205-219 Downloads
John Galbraith, Aman Ullah and Victoria Zinde-Walsh
ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH pp. 221-241 Downloads
Denise Osborn and Paulo Rodrigues
TESTING FOR PERIODIC STATIONARITY pp. 243-270 Downloads
Eiji Kurozumi

Volume 21, issue 1, 2002

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS pp. 1-47 Downloads
Dick van Dijk, Timo Teräsvirta and Philip Hans Franses
LONG-RUN STRUCTURAL MODELLING pp. 49-87 Downloads
M Pesaran and Yongcheol Shin
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL pp. 89-119 Downloads
Mukhtar Ali
ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION pp. 121-134 Downloads
Kazuhiro Ohtani and Alan Wan
ESTIMATION OF DISCRETE CHOICE MODELS WITH MINIMAL VARIATION OF ALTERNATIVE-SPECIFIC VARIABLES pp. 135-146 Downloads
Gerd Ronning

Volume 20, issue 4, 2001

DYNAMIC FACTOR MODELS pp. 385-424 Downloads
Christian Gourieroux and Joann Jasiak
GENERALIZED INTEGER-VALUED AUTOREGRESSION pp. 425-443 Downloads
Kurt Brännäs and Jorgen Hellstrom
ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS pp. 445-460 Downloads
Badi Baltagi and Qi Li
UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS pp. 461-483 Downloads
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 Downloads
David Mandy and Carlos Martins-Filho

Volume 20, issue 3, 2001

A REVIEW OF SYSTEMS COINTEGRATION TESTS pp. 247-318 Downloads
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 Downloads
Shigeru Iwata
AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL pp. 337-351 Downloads
Evžen Kočenda
DENSITY ESTIMATION FOR CLUSTERED DATA pp. 353-367 Downloads
Robert Breunig
THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR pp. 369-383 Downloads
Offer Lieberman

Volume 20, issue 2, 2001

MODEL BUILDING AND DATA MINING pp. 159-170 Downloads
J. Sargan
THE CHOICE BETWEEN SETS OF REGRESSORS pp. 171-186 Downloads
J. Sargan
SEASONAL INTEGRATION FOR DAILY DATA pp. 187-200 Downloads
Akira Tokihisa and Shigeyuki Hamori
COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY pp. 201-216 Downloads
Gianluca Cubadda
BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL pp. 217-234 Downloads
Gael Martin
A BAYESIAN INTERPRETATION OF MULTIPLE POINT ESTIMATES pp. 235-245 Downloads
Mahmoud El-Gamal

Volume 20, issue 1, 2001

THE POWER AND SIZE OF NONPARAMETRIC TESTS FOR COMMON DISTRIBUTIONAL CHARACTERISTICS pp. 1-30 Downloads
Gordon Anderson
DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE pp. 31-40 Downloads
Badi Baltagi and Dong Li
A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION pp. 41-60 Downloads
Thanasis Stengos and Yiguo Sun
ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY pp. 61-84 Downloads
Nunzio Cappuccio and Diego Lubian
A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION pp. 85-104 Downloads
Param Silvapulle
SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE pp. 105-112 Downloads
Kazumitsu Nawata and Michael McAleer
A MODIFIED AVERAGE DERIVATIVES ESTIMATOR pp. 113-131 Downloads
Chunrong Ai

Volume 19, issue 4, 2000

Introduction pp. 5-5 Downloads
Esfandiar Maasoumi and Almas Heshmati
Estimation of firm-specific technological bias, technical change and total factor productivity growth: a dual approach pp. 162-173 Downloads
Subal Kumbhakar, Shinichiro Nakamura and Almas Heshmati
Estimation and decomposition of productivity change when production is not efficient: a paneldata approach pp. 312-320 Downloads
Subal Kumbhakar, Michael Denny and M. Fuss
Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences pp. 391-424 Downloads
Erik Biorn
Estimation of long-run inefficiency levels: a dynamic frontier approach pp. 461-492 Downloads
Seung Ahn and Robin Sickles

Volume 19, issue 3, 2000

Introduction pp. 5-5 Downloads
Esfandiar Maasoumi and Almas Heshmati
Nonstationary panel data analysis: an overview of some recent developments pp. 263-286 Downloads
Peter Phillips and Hyungsik Moon
Stochastic dominance amongst swedish income distributions pp. 287-320 Downloads
Esfandiar Maasoumi and Almas Heshmati
GMM Estimation with persistent panel data: an application to production functions pp. 321-340 Downloads
Richard Blundell and Stephen Bond
Estimation of tobit-type models with individual specific effects pp. 341-366 Downloads
Bo Honore, Ekaterini Kyriazidou and James Powell
Flexible panel data models for risky production technologies with an application to salmon aquaculture pp. 367-389 Downloads
Ragner Tveterås and Guanghua Wan

Volume 19, issue 2, 2000

Adaptive testing in arch models pp. 145-174 Downloads
Oliver Linton and Douglas Steigerwald
Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form pp. 175-206 Downloads
Douglas Hodgson
Modified lag augmented vector autoregressions pp. 207-231 Downloads
Eiji Kurozumi and Taku Yamamoto
GNR, MGR, and exact misspeclfication testing pp. 233-240 Downloads
Kenneth Stewart and Kenneth Stewart
Alternative approaches to testing by variable addition pp. 241-261 Downloads
Leslie Godfrey and M. R. Veal

Volume 19, issue 1, 2000

Recent developments in bootstrapping time series pp. 1-48 Downloads
Jeremy Berkowitz and Lutz Kilian
Bootstrap tests: how many bootstraps? pp. 55-68 Downloads
Russell Davidson and James MacKinnon
Problems related to confidence intervals for impulse responses of autoregressive processes pp. 69-103 Downloads
Alexander Benkwitz, Michael Neumann and Helmut Lutekpohl
Estimation and inference in sur models when the number of equations is large pp. 105-130 Downloads
Denzil Fiebig and Jae Kim
Book review pp. 135-137 Downloads
James Hamilton
Remark on pseudo-generalized least squares pp. 139-144 Downloads
Jorgen Grofi and Simo Puntanen
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