Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

From Taylor & Francis Journals
Bibliographic data for series maintained by ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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