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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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Volume 36, issue 10, 2017

Modeling and forecasting persistent financial durations pp. 1081-1110 Downloads
Filip Žikeš, Jozef Baruník and Nikhil Shenai
Stochastic volatility demand systems pp. 1111-1122 Downloads
Apostolos Serletis and Maksim Isakin
Local power of panel unit root tests allowing for structural breaks pp. 1123-1156 Downloads
Yiannis Karavias and Elias Tzavalis
A nonparametric test for a constant correlation matrix pp. 1157-1172 Downloads
Dominik Wied
List of Referees pp. 1173-1174 Downloads
The Editors
Editorial Board EOV pp. ebi-ebi Downloads
The Editors

Volume 36, issue 6-9, 2017

Econometric Reviews honors Esfandiar Maasoumi pp. 563-567 Downloads
Peter Phillips and Aman Ullah
The impact of integrated measurement errors on modeling long-run macroeconomic time series pp. 568-587 Downloads
James A. Duffy and David Hendry
Assessing point forecast accuracy by stochastic error distance pp. 588-598 Downloads
Francis Diebold and Minchul Shin
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model pp. 599-621 Downloads
Paul Catani, Timo Teräsvirta and Meiqun Yin
Adaptive LASSO estimation for ARDL models with GARCH innovations pp. 622-637 Downloads
Marcelo Medeiros and Eduardo F. Mendes
The impact of jumps and leverage in forecasting covolatility pp. 638-650 Downloads
Manabu Asai and Michael McAleer
Tests for an end-of-sample bubble in financial time series pp. 651-666 Downloads
Sam Astill, David Harvey, Stephen Leybourne and Robert Taylor
The asymptotic behaviour of the residual sum of squares in models with multiple break points pp. 667-698 Downloads
Alastair R. Hall, Denise Osborn and Nikolaos Sakkas
Correlated defaults, temporal correlation, expert information and predictability of default rates pp. 699-712 Downloads
Nicholas Kiefer
Identification-robust moment-based tests for Markov switching in autoregressive models pp. 713-727 Downloads
Jean-Marie Dufour and Richard Luger
An efficient integrated nonparametric entropy estimator of serial dependence pp. 728-780 Downloads
Yongmiao Hong, Xia Wang, Wenjie Zhang and Shouyang Wang
Interval estimation: An information theoretic approach pp. 781-795 Downloads
Amos Golan and Aman Ullah
Uncertainty, information, and disagreement of economic forecasters pp. 796-817 Downloads
Mehdi Shoja and Ehsan S. Soofi
Reduced forms and weak instrumentation pp. 818-839 Downloads
Peter Phillips
Stein-like 2SLS estimator pp. 840-852 Downloads
Bruce Hansen
Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model pp. 853-882 Downloads
Badi Baltagi, Chihwa Kao and Fa Wang
First difference or forward demeaning: Implications for the method of moments estimators pp. 883-897 Downloads
Cheng Hsiao and Qiankun Zhou
Exponential class of dynamic binary choice panel data models with fixed effects pp. 898-927 Downloads
Majid Al-Sadoon, Tong Li and M Pesaran
On the relevance of weaker instruments pp. 928-945 Downloads
Bertille Antoine and Eric Renault
Determining the number of factors with potentially strong within-block correlations in error terms pp. 946-969 Downloads
Xu Han and Mehmet Caner
Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions pp. 970-987 Downloads
Cong Li, Hongjun Li and Jeffrey Racine
Nonparametric Knn estimation with monotone constraints pp. 988-1006 Downloads
Zheng Li, Guannan Liu and Qi Li
Stochastic metafrontiers pp. 1007-1020 Downloads
Christine Amsler, Christopher J. O’Donnell and Peter Schmidt
Diagnostics for the bootstrap and fast double bootstrap pp. 1021-1038 Downloads
Russell Davidson
Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process pp. 1039-1056 Downloads
Yong Bao, Aman Ullah and Yun Wang
Partial identification of average treatment effects on the treated through difference-in-differences pp. 1057-1080 Downloads
Yanqin Fan and Carlos A. Manzanares

Volume 36, issue 5, 2017

Multistep ahead forecasting of vector time series pp. 495-513 Downloads
Tucker McElroy and Michael McCracken
Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming pp. 514-545 Downloads
Guillaume Chevillon
Bayesian analysis of multivariate stochastic volatility with skew return distribution pp. 546-562 Downloads
Jouchi Nakajima

Volume 36, issue 4, 2017

Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses pp. 397-420 Downloads
Esmeralda A. Ramalho and Joaquim Ramalho
Specification and testing of multiplicative time-varying GARCH models with applications pp. 421-446 Downloads
Cristina Amado and Timo Teräsvirta
Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation pp. 447-467 Downloads
Chris Blakely and Tucker McElroy
Fourier--type tests involving martingale difference processes pp. 468-492 Downloads
Zdeněk Hlávka, Marie Hušková, Claudia Kirch and Simos G. Meintanis
Correction of Caporin and Paruolo (2015) pp. 493-493 Downloads
Massimiliano Caporin and Paolo Paruolo

Volume 36, issue 1-3, 2017

Peter Schmidt: Econometrician and consummate professional pp. 1-5 Downloads
Esfandiar Maasoumi and Robin Sickles
Estimation of partially specified spatial panel data models with fixed-effects pp. 6-22 Downloads
Chunrong Ai and Yuanqing Zhang
Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England pp. 23-41 Downloads
Martyn Andrews, Obbey Elamin, Alastair R. Hall, Kostas Kyriakoulis and Matthew Sutton
A fractionally integrated Wishart stochastic volatility model pp. 42-59 Downloads
Manabu Asai and Michael McAleer
Inference for impulse response coefficients from multivariate fractionally integrated processes pp. 60-84 Downloads
Richard T. Baillie, George Kapetanios and Fotis Papailias
Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term pp. 85-102 Downloads
Badi Baltagi, Chihwa Kao and Long Liu
Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes pp. 103-135 Downloads
Herman J. Bierens and Li Wang
Bootstrapping unit root tests with covariates pp. 136-155 Downloads
Yoosoon Chang, Robin Sickles and Wonho Song
Measuring firm performance using nonparametric quantile-type distances pp. 156-181 Downloads
Abdelaati Daouia, Leopold Simar and Paul Wilson
Invariant tests based on M -estimators, estimating functions, and the generalized method of moments pp. 182-204 Downloads
Jean-Marie Dufour, Alain Trognon and Purevdorj Tuvaandorj
Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method pp. 205-224 Downloads
Carl Green, Qi Li and Yu Yvette Zhang
Lag length selection in panel autoregression pp. 225-240 Downloads
Chirok Han, Peter Phillips and Donggyu Sul
The smooth colonel and the reverend find common ground pp. 241-256 Downloads
Nicholas Kiefer and Jeffrey Racine
Online learning and forecast combination in unbalanced panels pp. 257-288 Downloads
Kajal Lahiri, Huaming Peng and Yongchen Zhao
Inference on locally ordered breaks in multiple regressions pp. 289-353 Downloads
Ye Li and Pierre Perron
Estimation of semi-varying coefficient models with nonstationary regressors pp. 354-369 Downloads
Kunpeng Li, Degui Li, Zhongwen Liang and Cheng Hsiao
A semiparametric generalized ridge estimator and link with model averaging pp. 370-384 Downloads
Aman Ullah, Alan T. K. Wan, Huansha Wang, Xinyu Zhang and Guohua Zou
LIML in the static linear panel data model pp. 385-395 Downloads
Tom Wansbeek and Dennis Prak
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