Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 26, issue 6, 2007

Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity pp. 609-641

Silvia Goncalves and Lutz Kilian

Testing Covariance Stationarity pp. 643-667

Zhijie Xiao and Luiz Lima

Specification and Identification of Stochastic Demand Models pp. 669-683

Walter Beckert

Testing for State Dependence with Time-Variant Transition Probabilities pp. 685-703

Timothy Halliday

Testing for the Null Hypothesis of Cointegration with a Structural Break pp. 705-739

Yoichi Arai and Eiji Kurozumi

Volume 26, issue 5, 2007

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression pp. 487-501

Bent Nielsen and J Reade

Assessing the Precision of Turning Point Estimates in Polynomial Regression Functions pp. 503-528

Florenz Plassmann and Neha Khanna

Bayesian Proportional Hazard Analysis of the Timing of High School Dropout Decisions pp. 529-556

Mingliang Li

A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns pp. 557-566

Yasemin Ulu

U-Statistics and Their Asymptotic Results for Some Inequality and Poverty Measures pp. 567-577

Kuan Xu

Formative Indicators and Effects of a Causal Model for Household Human Capital with Application pp. 579-596

Camilo Dagum, Giorgio Vittadini and Pietro Giorgio Lovaglio

A Review of: “Book Review: Empirical Dynamic Asset Pricing” pp. 597-604

Massimo Guidolin

A Review of: “Book Review: Mathematical and Statistical Foundations” pp. 605-607

James Davidson

Volume 26, issue 2-4, 2007

Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics pp. 107-112

Gary Koop and Herman van Dijk

Bayesian Analysis of DSGE Models pp. 113-172

Sungbae An and Frank Schorfheide

Bayesian Analysis of DSGE Models—Some Comments pp. 173-185

Malin Adolfson, Jesper Lindé and Mattias Villani

Bayesian Analysis of DSGE Models by S. An and F. Schorfheide pp. 187-192

Fabio Canova

Comment pp. 193-200

John Geweke

Econometric Issues in DSGE Models pp. 201-204

Fabio Milani and Dale J. Poirier

Comment on An and Schorfheide's Bayesian Analysis of DSGE Models pp. 205-210

Tao Zha

Bayesian Analysis of DSGE Models—Rejoinder pp. 211-219

Sungbae An and Frank Schorfheide

Normalization in Econometrics pp. 221-252

James Hamilton, Daniel Waggoner and Tao Zha

Learning, Structural Instability, and Present Value Calculations pp. 253-288

Mohammad Pesaran, Davide Pettenuzzo and Allan Timmermann

Forecasting Performance of an Open Economy DSGE Model pp. 289-328

Malin Adolfson, Jesper Lindé and Mattias Villani

Forecast Combination and Model Averaging Using Predictive Measures pp. 329-363

Jana Eklund and Sune Karlsson

Bayesian Clustering of Many Garch Models pp. 365-386

Luc Bauwens and Jeroen Rombouts

Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter pp. 387-418

Catherine Forbes, Gael Martin and Jill Wright

Flexible Threshold Models for Modelling Interest Rate Volatility pp. 419-437

Petros Dellaportas, David G. T. Denison and Chris Holmes

Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model pp. 439-468

Rodney Strachan

Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market pp. 469-486

Luc Bauwens and Michel Lubrano

Volume 26, issue 1, 2007

Variance (Non) Causality in Multivariate GARCH pp. 1-24

Massimiliano Caporin

The Sample Selection Model from a Method of Moments Perspective pp. 25-51

Erik Meijer and Tom Wansbeek

MIDAS Regressions: Further Results and New Directions pp. 53-90

Eric Ghysels, Arthur Sinko and Rossen Valkanov

Nonparametric Methods in Continuous Time Model Specification pp. 91-106

Isabel Casas and Jiti Gao

Volume 25, issue 4, 2006

Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling pp. 475-496

Esmeralda Ramalho and Joaquim Ramalho

On Testing Equality of Distributions of Technical Efficiency Scores pp. 497-522

Leopold Simar and Valentin Zelenyuk

Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models pp. 523-544

Jeffrey Racine, Jeffrey Hart and Qi Li

Volume 25, issue 2-3, 2006

Multivariate Stochastic Volatility: An Overview pp. 139-144

Esfandiar Maasoumi and Michael McAleer

Multivariate Stochastic Volatility: A Review pp. 145-175

Manabu Asai, Michael McAleer and Jun Yu

Continuous Time Wishart Process for Stochastic Risk pp. 177-217

Christian Gourieroux

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form pp. 219-244

Charles Bos and Neil Shephard

Multivariate Stochastic Volatility Models with Correlated Errors pp. 245-274

David Chan, Robert Kohn and Chris Kirby

Factor Stochastic Volatility in Mean Models: A GMM Approach pp. 275-309

Catherine Doz and Eric Renault

Factor Multivariate Stochastic Volatility via Wishart Processes pp. 311-334

Alexander Philipov and Mark Glickman

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models pp. 335-360

Roman Liesenfeld and Jean-Francois Richard

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison pp. 361-384

Jun Yu and Renate Meyer

Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models pp. 385-408

Borus Jungbacker and Siem Jan Koopman

A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates pp. 409-424

Ben Tims and Ronald Mahieu

Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model pp. 425-451

Michael Smith and Andrew Pitts

Asymmetric Multivariate Stochastic Volatility pp. 453-473

Manabu Asai and Michael McAleer

Volume 25, issue 1, 2006

Estimation, Learning and Parameters of Interest in a Multiple Outcome Selection Model pp. 1-40

Justin Tobias

The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors pp. 41-60

Pieter Omtzigt and Stefano Fachin

Trend-Cycle Decompositions with Correlated Components pp. 61-84

Tommaso Proietti

The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study pp. 85-116

Jaroslava Hlouskova and Martin Wagner

The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution pp. 117-138

Fernanda Peixe, Alastair Hall and Kostas Kyriakoulis