Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 40, issue 10, 2021

Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination pp. 905-918

Tae-Hwy Lee, Millie Yi Mao and Aman Ullah

Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation pp. 919-943

Qiuhua Xu, Zongwu Cai and Ying Fang

Monotonicity-constrained nonparametric estimation and inference for first-price auctions pp. 944-982

Jun Ma, Vadim Marmer, Artyom Shneyerov and Pai Xu

Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing pp. 983-1006

Yonghui Zhang and Qiankun Zhou

Sequential and efficient GMM estimation of dynamic short panel data models pp. 1007-1037

Fei Jin, Lung-fei Lee and Jihai Yu

List of referees pp. 1038-1039

The Editors

Volume 40, issue 9, 2021

Moment estimation for censored quantile regression pp. 815-829

Qian Wang and Songnian Chen

Estimation of high-dimensional seemingly unrelated regression models pp. 830-851

Lidan Tan, Khai Xiang Chiong and Hyungsik Roger Moon

Estimation of average treatment effect based on a semiparametric propensity score pp. 852-866

Yu Sun, Karen Yan and Qi Li

Determination of different types of fixed effects in three-dimensional panels* pp. 867-898

Xun Lu, Ke Miao and Liangjun Su

Volume 40, issue 8, 2021

The lower regression function and testing expectation dependence dominance hypotheses pp. 709-727

Oliver Linton, Yoon Jae Whang and Yu-Min Yen

Right tail information and asset pricing pp. 728-749

Qiuling Hua, Zhijie Xiao and Hongtao Zhou

Market integration, systemic risk and diagnostic tests in large mixed panels pp. 750-795

Cindy S.H. Wang, Cheng Hsiao and Hao-Hsiang Yang

Smoothed maximum score estimation with nonparametrically generated covariates pp. 796-813

Xiaoyong Cao, Xirong Chen, Wenzheng Gao and Cheng Hsiao

Volume 40, issue 7, 2021

Bayesian estimation of dynamic panel data gravity model pp. 607-634

Moonhee Cho and Xiaoyong Zheng

Detecting multiple equilibria for continuous dependent variables pp. 635-656

Zhengfei Yu

Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves pp. 657-687

Byunguk Kang and Jean-Marie Dufour

A panel data model of length of stay in hospitals for hip replacements pp. 688-707

Yan Meng, Jiti Gao, Xibin Zhang and Xueyan Zhao

Volume 40, issue 6, 2021

Econometric Reviews Honors Cheng Hsiao pp. 535-539

Tong Li, Esfandiar Maasoumi and Zhijie Xiao

An IV estimator for a functional coefficient model with endogenous discrete treatments pp. 540-561

Roger Klein and Chan Shen

Quantile regression with interval data pp. 562-583

Arie Beresteanu and Yuya Sasaki

Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models pp. 584-606

Yanan He, Ai Han, Yongmiao Hong, Yuying Sun and Shouyang Wang

Volume 40, issue 5, 2021

Predictability, real time estimation, and the formulation of unobserved components models pp. 433-454

Tommaso Proietti

Global estimation of finite mixture and misclassification models with an application to multiple equilibria pp. 455-469

Yingyao Hu and Ruli Xiao

Model selection in factor-augmented regressions with estimated factors pp. 470-503

Antoine Djogbenou

Revisiting regression adjustment in experiments with heterogeneous treatment effects pp. 504-534

Akanksha Negi and Jeffrey Wooldridge

Volume 40, issue 4, 2021

Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach pp. 321-358

Anders Isaksson, Chenjun Shang and Robin Sickles

In-fill asymptotic theory for structural break point in autoregressions pp. 359-386

Liang Jiang, Xiaohu Wang and Jun Yu

On asymptotic risk of selecting models for possibly nonstationary time-series pp. 387-414

Shu-Hui Yu and Chor-yiu (CY) Sin

Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors pp. 415-432

Ruohao Zhang, Subal Kumbhakar and Hung-pin Lai

Volume 40, issue 3, 2021

Fellows and Scholars of Econometric Reviews pp. 217-219

Esfandiar Maasoumi

Testing for strict stationarity in a random coefficient autoregressive model pp. 220-256

Lorenzo Trapani

Improved confidence sets for the date of a structural break pp. 257-289

Daisuke Yamazaki

Multiple subordinated modeling of asset returns: Implications for option pricing pp. 290-319

Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi

Volume 40, issue 2, 2021

A specification test for dynamic conditional distribution models with function-valued parameters pp. 109-127

Victor Troster and Dominik Wied

Quantile structural treatment effects: application to smoking wage penalty and its determinants pp. 128-147

Yu-Chin Hsu, Kamhon Kan and Tsung-Chih Lai

Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models pp. 148-176

Antonio Pacifico

Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions pp. 177-196

Matei Demetrescu, Julian S. Leppin and Stefan Reitz

The continuous limit of weak GARCH pp. 197-216

Carol Alexander and Emese Lazar

Volume 40, issue 1, 2021

An upper bound for functions of estimators in high dimensions pp. 1-13

Mehmet Caner and Xu Han

Common factors and spatial dependence: an application to US house prices pp. 14-50

Cynthia Fan Yang

Heteroscedasticity testing after outlier removal pp. 51-85

Vanessa Berenguer-Rico and Ines Wilms

High-dimensional penalized arch processes pp. 86-107

Benjamin Poignard and Jean-David Fermanian

Volume 39, issue 10, 2020

A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities pp. 971-990

João Henrique G. Mazzeu, Gloria Gonzalez-Rivera, Esther Ruiz and Helena Veiga

On the estimation of integrated volatility in the presence of jumps and microstructure noise pp. 991-1013

Christian Brownlees, Eulalia Nualart and Yucheng Sun

Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata pp. 1014-1041

John Gardner

Finite sample properties of the GMM Anderson–Rubin test pp. 1042-1056

Maurice J. G. Bun, Helmut Farbmacher and Rutger W. Poldermans

Data cloning estimation for asymmetric stochastic volatility models pp. 1057-1074

P. de Zea Bermudez, J. Miguel Marín and Helena Veiga

A theory of dichotomous valuation with applications to variable selection pp. 1075-1099

Xingwei Hu

Model averaging in a multiplicative heteroscedastic model pp. 1100-1124

Shangwei Zhao, Yanyuan Ma, Alan T. K. Wan, Xinyu Zhang and Shouyang Wang

List of referees pp. 1125-1126

The Editors

Volume 39, issue 9, 2020

Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data pp. 875-903

Mikkel Bennedsen

Testing for a unit root with nonstationary nonlinear heteroskedasticity pp. 904-929

Yundong Tu, Nigel Chan and Qiying Wang

A diagnostic test for specification of copulas under censorship pp. 930-946

Juan Lin and Ximing Wu

Bayesian semiparametric multivariate stochastic volatility with application pp. 947-970

Martina Danielova Zaharieva, Mark Trede and Bernd Wilfling

Volume 39, issue 8, 2020

Testing for shifts in a time trend panel data model with serially correlated error component disturbances pp. 745-762

Badi Baltagi, Chihwa Kao and Long Liu

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors pp. 763-791

Elise Coudin and Jean-Marie Dufour

Nonparametric estimation of marginal effects in regression-spline random effects models pp. 792-825

Shujie Ma, Jeffrey Racine and Aman Ullah

Time evolution of income distributions with subgroup decompositions pp. 826-857

Yi-Ting Chen and Ruey S. Tsay

Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation pp. 858-874

Cheng Hsiao

Volume 39, issue 7, 2020

Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician pp. 649-654

Esfandiar Maasoumi and Zhijie Xiao

Some notes on nonlinear cointegration: A partial review with some novel perspectives pp. 655-673

Dag Tjøstheim

Standard Errors for Nonparametric Regression pp. 674-690

Ba Chu, David Jacho-Chávez and Oliver Linton

Identification strength with a large number of moments pp. 691-714

Hyojin Han and Eric Renault

Quantile aggregation and combination for stock return prediction pp. 715-743

Chuanliang Jiang, Esfandiar Maasoumi and Zhijie Xiao

Volume 39, issue 6, 2020

Decomposing joint distributions via reweighting functions: an application to intergenerational economic mobility pp. 541-558

Jeremiah Richey and Alicia Rosburg

Nonlinear autoregressive models with optimality properties pp. 559-578

Francisco Blasques, Siem Jan Koopman and Andre Lucas

Where does the tail begin? An approach based on scoring rules pp. 579-601

Yannick Hoga

Optimal adaptive sampling for a symmetric two-state continuous time Markov chain pp. 602-611

Jon Michel

Efficiency bounds for semiparametric models with singular score functions pp. 612-648

Prosper Dovonon and Yves F. Atchadé

Volume 39, issue 5, 2020

Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances pp. 437-475

Anna Gloria Billé and Samantha Leorato

Specification testing with estimated variables pp. 476-494

Manuel A. Domínguez and Ignacio N. Lobato

A new class of tests for overidentifying restrictions in moment condition models pp. 495-509

Xuexin Wang

Asymptotic properties of bubble monitoring tests pp. 510-538

Eiji Kurozumi

Best Paper Award pp. 539-539

Esfandiar Maasoumi

Volume 39, issue 4, 2020

Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series pp. 319-343

Stefanos Dimitrakopoulos and Michalis Kolossiatis

Minimum distance estimation of parametric Lorenz curves based on grouped data pp. 344-361

Gholamreza Hajargasht and William Griffiths

Bootstrap inference for penalized GMM estimators with oracle properties pp. 362-372

Lorenzo Camponovo

Multistep forecast selection for panel data pp. 373-406

Ryan Greenaway-McGrevy

Stationarity and ergodicity of vector STAR models pp. 407-414

Igor Kheifets and Pentti Saikkonen

On endogeneity and shape invariance in extended partially linear single index models pp. 415-435

Jiti Gao, Namhyun Kim and Patrick W. Saart

Volume 39, issue 3, 2020

Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function pp. 215-233

Qichang Xie, Qiankun Sun and Junxian Liu

The polar confidence curve for a ratio pp. 234-243

Halvor Mehlum

Robust inference in conditionally heteroskedastic autoregressions pp. 244-259

Rasmus Søndergaard Pedersen

Maximum likelihood estimation of dynamic panel threshold models pp. 260-276

Nelson R. Ramírez-Rondán

Testing for distributional features in varying coefficient panel data models pp. 277-298

Alexandra Soberon, Winfried Stute and Juan M. Rodriguez-Poo

Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets pp. 299-318

Yundong Tu and Ying Wang

Volume 39, issue 2, 2019

Testing initial conditions in dynamic panel data models pp. 115-134

Laura Magazzini and Giorgio Calzolari

Testing initial conditions in dynamic panel data models pp. 115-134

Laura Magazzini and Giorgio Calzolari

Modeling temporal treatment effects with zero inflated semi-parametric regression models: The case of local development policies in France pp. 135-157

Hervé Cardot and Antonio Musolesi

Modeling temporal treatment effects with zero inflated semi-parametric regression models: The case of local development policies in France pp. 135-157

Hervé Cardot and Antonio Musolesi

Smooth coefficient models with endogenous environmental variables pp. 158-180

Michael S. Delgado, Deniz Ozabaci, Yiguo Sun and Subal Kumbhakar

Smooth coefficient models with endogenous environmental variables pp. 158-180

Michael S. Delgado, Deniz Ozabaci, Yiguo Sun and Subal Kumbhakar

ML and GMM with concentrated instruments in the static panel data model pp. 181-195

Paul Bekker and Joëlle van Essen

ML and GMM with concentrated instruments in the static panel data model pp. 181-195

Paul Bekker and Joëlle van Essen

Identification and estimation in a linear correlated random coefficients model with censoring pp. 196-213

Zhengyu Zhang and Zequn Jin

Identification and estimation in a linear correlated random coefficients model with censoring pp. 196-213

Zhengyu Zhang and Zequn Jin

Volume 39, issue 1, 2020

A Projection-Based Nonparametric Test of Conditional Quantile Independence pp. 1-26

Milan Nedeljkovic

A multifactor transformed diffusion model with applications to VIX and VIX futures pp. 27-53

Ruijun Bu, Fredj Jawadi and Yuyi Li

Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models pp. 54-70

Fredj Jawadi, Zied Ftiti and Waël Louhichi

Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model pp. 71-91

Cem Çakmaklı

Identification of the linear factor model pp. 92-109

Benjamin Williams

Foundations of info-metrics: modeling, inference and imperfect information pp. 110-113

Alastair R. Hall