Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter pp. 1109-1130: Young Min Kim and Kyu Ho Kang
Testing explosive bubbles with time-varying volatility pp. 1131-1151: David Harvey, Stephen Leybourne and Yang Zu
The Gibbs sampler with particle efficient importance sampling for state-space models* pp. 1152-1175: Oliver Grothe, Tore Kleppe and Roman Liesenfeld
A general inversion theorem for cointegration pp. 1176-1201: Massimo Franchi and Paolo Paruolo
A joint test for parametric specification and independence in nonlinear regression models pp. 1202-1215: Shuo Li and Yundong Tu
List of Referees pp. 1216-1217: The Editors

A practical guide to compact infinite dimensional parameter spaces pp. 979-1006: Joachim Freyberger and Matthew Masten
Particle learning for Bayesian semi-parametric stochastic volatility model pp. 1007-1023: Audrone Virbickaite, Hedibert F. Lopes, M. Concepción Ausín and Pedro Galeano
Generalized information matrix tests for copulas pp. 1024-1054: Artem Prokhorov, Ulf Schepsmeier and Yajing Zhu
Double filter instrumental variable estimation of panel data models with weakly exogenous variables pp. 1055-1088: Kazuhiko Hayakawa, Meng Qi and Jörg Breitung
Robust block bootstrap panel predictability tests pp. 1089-1107: Stephan Smeekes and Joakim Westerlund

Sparse Change-point HAR Models for Realized Variance pp. 857-880: Arnaud Dufays and Jeroen V. K. Rombouts
Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending pp. 881-898: Josep Carrion-i-Silvestre and Dukpa Kim
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility pp. 899-920: Roberto Leon-Gonzalez
Simultaneous equations with binary outcomes and social interactions pp. 921-937: Xiaodong Liu
Inference on local average treatment effects for misclassified treatment pp. 938-960: Takahide Yanagi
Estimation in a semiparametric panel data model with nonstationarity pp. 961-977: Chaohua Dong, Jiti Gao and Bin Peng

Revisiting the transitional dynamics of business cycle phases with mixed-frequency data pp. 711-732: Marie Bessec
Nonparametric localized bandwidth selection for Kernel density estimation pp. 733-762: Tingting Cheng, Jiti Gao and Xibin Zhang
Focused information criterion for locally misspecified vector autoregressive models pp. 763-792: Jan Lohmeyer, Franz Palm, Hanno Reuvers and Jean-Pierre Urbain
Ratio tests under limiting normality pp. 793-813: Uwe Hassler and Mehdi Hosseinkouchack
OLS and IV estimation of regression models including endogenous interaction terms pp. 814-827: Maurice J. G. Bun and Teresa Harrison
Structural breaks in panel data: Large number of panels and short length time series pp. 828-855: Jaromír Antoch, Jan Hanousek, Lajos Horvath, Marie Hušková and Shixuan Wang

Model selection for factor analysis: Some new criteria and performance comparisons pp. 577-596: In Choi and Hanbat Jeong
Parameter estimation and inference with spatial lags and cointegration pp. 597-635: Jan Mutl and Leopold Sögner
Functional coeﬃcient time series models with trending regressors pp. 636-659: Tingting Cheng
Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation pp. 660-678: Andreea Halunga and Christos Savva
Binary quantile regression and variable selection: A new approach pp. 679-694: Katerina Aristodemou, Jian He and Keming Yu
Size distributions reconsidered pp. 695-710: Christian Schluter and Mark Trede

Alternative diff-in-diffs estimators with several pretreatment periods pp. 465-486: Ricardo Mora Villarrubia and Iliana Reggio
Multivariate Return Decomposition: Theory and Implications pp. 487-508: Stanislav Anatolyev and Nikolay Gospodinov
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility pp. 509-532: Giuseppe Cavaliere, Anton Skrobotov and Robert Taylor
Symbolic correlation integral pp. 533-556: M. Victoria Caballero-Pintado, Mariano Matilla-García and Manuel Ruiz Marin
A nonparametric specification test for the volatility functions of diffusion processes pp. 557-576: Qiang Chen, Meidi Hu and Xiaojun Song

GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity pp. 359-385: Xiaodong Liu and Paulo Saraiva
Nonstationary nonlinear quantile regression pp. 386-416: Yoshimasa Uematsu
Common threshold in quantile regressions with an application to pricing for reputation pp. 417-450: Liangjun Su and Pai Xu
Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach pp. 451-464: Sivagowry Sriananthakumar

Similarity-based model for ordered categorical data pp. 263-278: Gabi Gayer, Offer Lieberman and Omer Yaffe
The estimation uncertainty of permanent-transitory decompositions in co-integrated systems pp. 279-300: Sven Schreiber
Welfare gains of the poor: An endogenous Bayesian approach with spatial random effects pp. 301-318: Andrés Ramírez Hassan and Santiago Montoya Blandón
Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity pp. 319-331: Dong Li, Shaojun Guo and Ke Zhu
Estimation bias and bias correction in reduced rank autoregressions pp. 332-349: Heino Bohn Nielsen
Identification of average marginal effects under misspecification when covariates are normal pp. 350-357: José Ignacio Cuesta, Jonathan Davis, Andrew Gianou and Alejandro Hoyos Suarez

Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression pp. 125-150: Chaohua Dong and Jiti Gao
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors pp. 151-169: Rongmao Zhang, Chenxue Li and Liang Peng
Bias-corrected realized variance pp. 170-192: Jin-Huei Yeh and Jying-Nan Wang
Practical procedures to deal with common support problems in matching estimation pp. 193-207: Michael Lechner and Anthony Strittmatter
The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model pp. 208-247: Giovanni Forchini and Bin Jiang
Portmanteau tests for linearity of stationary time series pp. 248-262: Zacharias Psaradakis and Marian Vavra

Fellows and Scholars of Econometric Reviews pp. 1-3: Esfandiar Maasoumi
Estimation of nonseparable models with censored dependent variables and endogenous regressors pp. 4-24: Luke Taylor and Taisuke Otsu
A goodness-of-fit test for regular vine copula models pp. 25-46: Ulf Schepsmeier
Information measures of kernel estimation pp. 47-68: Neshat Beheshti, Jeffrey Racine and Ehsan S. Soofi
Wavelet energy ratio unit root tests pp. 69-94: Mirza Trokić
Two-sample least squares projection pp. 95-123: David Pacini