Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 24, issue 4, 2005

Class Size and Educational Policy: Who Benefits from Smaller Classes? pp. 333-368

Esfandiar Maasoumi, Daniel Millimet and Vasudha Rangaprasad

Evaluating Direct Multistep Forecasts pp. 369-404

Todd Clark and Michael McCracken

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration pp. 405-443

Morten Nielsen and Per Houmann Frederiksen

A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals pp. 445-466

Achim Zeileis

On Testing Sample Selection Bias Under the Multicollinearity Problem pp. 467-481

Takashi Yamagata and Chris Orme

Volume 24, issue 3, 2005

Finite Sample Properties of the Two-Step Empirical Likelihood Estimator pp. 247-263

Patrik Guggenberger and Jinyong Hahn

Optimal Range for the iid Test Based on Integration Across the Correlation Integral pp. 265-296

Evžen Kočenda and Lubos Briatka

New Simple Tests for Panel Cointegration pp. 297-316

Joakim Westerlund

Dynamic Asymmetric Leverage in Stochastic Volatility Models pp. 317-332

Manabu Asai and Michael McAleer

Volume 24, issue 2, 2005

How can we Define the Concept of Long Memory? An Econometric Survey pp. 113-149

Dominique Guegan

A Parametric approach to the Estimation of Cointegration Vectors in Panel Data pp. 151-173

Jörg Breitung

Monotonicity Conditions and Inequality Imputation for Sample-Selection and Non-Response Problems pp. 175-194

Myoung-jae Lee

Likelihood Estimation for Censored Random Vectors pp. 195-217

Wendelin Schnedler

More Efficient Tests Robust to Heteroskedasticity of Unknown Form pp. 219-241

Emmanuel Flachaire

A Review of: “Stochastic Frontier Analysis” pp. 243-245

Scott Atkinson

Volume 24, issue 1, 2005

RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS pp. 1-37

Stephen Bond and Frank Windmeijer

ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS pp. 39-58

Badi Baltagi, Georges Bresson and Alain Pirotte

ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS pp. 59-81

Nikolay Gospodinov

THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS pp. 83-108

Artur Silva Lopes and Antonio Montañés

Book Review: Panel Data Econometrics pp. 109-111

Sourafel Girma

Volume 23, issue 4, 2005

Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity pp. 293-323

Hyungsik Moon and Benoit Perron

Bootstrap Tests of Nonnested Hypotheses: Some Further Results pp. 325-340

Leslie Godfrey and João Santos Silva

The Sensitivity of Chi-Squared Goodness-of-Fit Tests to the Partitioning of Data pp. 341-370

Gianna Boero, Jeremy Smith and Kenneth Wallis

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? pp. 371-402

Atsushi Inoue and Lutz Kilian

Volume 23, issue 3, 2005

Forecast Evaluation in the Presence of Unobserved Volatility pp. 175-198

George Christodoulakis and Stephen Satchell

Estimating Long and Short Run Effects in Static Panel Models pp. 199-214

Peter Egger and Michael Pfaffermayr

On the Power of Bootstrapped Specification Tests pp. 215-228

Manuel Dominguez

Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form pp. 229-257

Douglas Hodgson

Unit Root Tests under Time-Varying Variances pp. 259-292

Giuseppe Cavaliere

Volume 23, issue 2, 2004

Empirical Characteristic Function Estimation and Its Applications pp. 93-123

Jun Yu

Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model pp. 125-147

William Greene

Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends pp. 149-166

Richard Harris and Elias Tzavalis

A Note on the Role of the Propensity Score for Estimating Average Treatment Effects pp. 167-174

Markus Frölich

Volume 23, issue 1, 2004

On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank pp. 1-23

Bent Nielsen

Estimator Choice and Fisher's Paradox: A Monte Carlo Study pp. 25-52

Guglielmo Maria Caporale and Nikitas Pittis

Automatic Block-Length Selection for the Dependent Bootstrap pp. 53-70

Dimitris Politis and Halbert White

A Small-Sample Estimator for the Sample-Selection Model pp. 71-91

Amos Golan, Enrico Moretti and Jeffrey Perloff

Volume 22, issue 4, 2003

Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances pp. 307-335

Lung-Fei Lee

A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges pp. 337-349

Jorge Belaire-Franch

Testing the Martingale Difference Hypothesis pp. 351-377

Manuel Dominguez and Ignacio Lobato

Optimal Predictive Tests pp. 379-410

Alain Guay

Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison pp. 411-435

Vasco Gabriel

Volume 22, issue 3, 2003

Statistical Adequacy and the Testing of Trend Versus Difference Stationarity pp. 217-237

Elena Andreou and Aris Spanos

Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1) pp. 239-245

Pierre Perron

Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 2)-super-# pp. 247-252

Robin L. Lumsdaine

Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 3) pp. 253-260

Ragnar Nymoen

The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset pp. 261-267

Maozu Lu and Jan Podivinsky

A Consistent Method for the Selection of Relevant Instruments pp. 269-287

Alastair Hall and Fernanda Peixe

Modeling Technology as a Dynamic Error Components Process: The Case of the Inter-country Agricultural Production Function† pp. 289-306

Rodolfo Cermeño, G. S. Maddala and Michael A. Trueblood

Volume 22, issue 2, 2003

A Comparison of Partially Adaptive and Reweighted Least Squares Estimation pp. 115-134

Brian Boyer, James McDonald and Whitney Newey

Regularity of the Generalized Quadratic Production Model: A Counterexample pp. 135-154

William Barnett and Meenakshi Pasupathy

Dynamics of Market Power and Concentration Profiles pp. 155-177

Esfandiar Maasoumi and Daniel Slottje

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence pp. 179-202

Shiqing Ling, W. K. Li and Michael McAleer

Some Recent Developments in Econometric Inference pp. 203-215

Arnold Zellner

Volume 22, issue 1, 2003

In Memoriam: G. S. Maddala pp. vii-ix

Cheng Hsiao

In Memoriam: Zvi Griliches pp. xi-xv

Jacques Mairesse

Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects pp. 1-28

Francois Laisney and Michael Lechner

Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix pp. 29-58

Maurice Bun

Provincial Conditional Income Convergence in China, 1953-1997: A Panel Data Approach pp. 59-77

Melvyn Weeks and James Yudong Yao

Stochastic Production Frontier and Technical Inefficiency: A Sensitivity Analysis pp. 79-91

Rafik Baccouche and Mokhtar Kouki

Efficiency Measure from Dynamic Stochastic Production Frontier: Application to Tunisian Textile, Clothing, and Leather Industries pp. 93-111

Rim Mouelhi and Mohamed Goa�ed