Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence pp. 1033-1050: Antonia Arsova and Deniz Karaman Örsal
The estimation for Lévy processes in high frequency data pp. 1051-1066: Jing Zheng, Wentao Gu, Baolin Xu and Zongwu Cai
Robust inference for predictability in smooth transition predictive regressions pp. 1067-1094: Rehim Kılıç
Heterogeneous credit union production technologies with endogenous switching and correlated effects pp. 1095-1119: Emir Malikov, Diego Restrepo-Tobon and Subal Kumbhakar
Testing the homogeneous marginal utility of income assumption pp. 1120-1136: Thomas Demuynck
Estimation of time-invariant effects in static panel data models pp. 1137-1171: Mohammad Pesaran and Qiankun Zhou
List of Referees pp. 1172-1173: The Editors
Editorial Board EOV pp. ebi-ebi: The Editors

GMM inference in spatial autoregressive models pp. 931-954: Süleyman Taşpınar, Osman Doğan and Wim Vijverberg
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root pp. 955-973: Efstathios Paparoditis and Dimitris N. Politis
A modified confidence set for the structural break date in linear regression models pp. 974-999: Yohei Yamamoto
Structural change tests for GEL criteria pp. 1000-1032: Alain Guay and Jean-François Lamarche

Specification tests for time-varying parameter models with stochastic volatility pp. 807-823: Joshua Chan
On the invertibility of EGARCH(p, q) pp. 824-849: Guillaume Gaetan Martinet and Michael McAleer
Testing for Granger-causality in quantiles pp. 850-866: Victor Troster
Testing for a unit root in a nonlinear quantile autoregression framework pp. 867-892: Haiqi Li and Sung Y. Park
Fixed T dynamic panel data estimators with multifactor errors pp. 893-929: Artūras Juodis and Vasilis Sarafidis

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models pp. 695-718: Nikolay Gospodinov, Raymond Kan and Cesare Robotti
GMM estimation of a realized stochastic volatility model: A Monte Carlo study pp. 719-743: Pierre Chaussé and Dinghai Xu
Maximum simulated likelihood estimation of the panel sample selection model pp. 744-759: Hung-pin Lai and Wen-Jen Tsay
More efficient local polynomial regression with random-effects panel data models pp. 760-776: Ke Yang
Bayesian model averaging for dynamic panels with an application to a trade gravity model pp. 777-805: Huigang Chen, Alin Mirestean and Charalambos Tsangarides

Robust parametric tests of constant conditional correlation in a MGARCH model pp. 551-576: Wasel Shadat and Chris Orme
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models pp. 577-601: Seong Yeon Chang and Pierre Perron
Asymptotics and bootstrap for random-effects panel data transformation models pp. 602-625: Liangjun Su and Zhenlin Yang
Extremal dependence tests for contagion pp. 626-649: Renee Fry-McKibbin and Cody Yu-Ling Hsiao
First difference transformation in panel VAR models: Robustness, estimation, and inference pp. 650-693: Artūras Juodis

Estimation of factor-augmented panel regressions with weakly influential factors pp. 401-465: Simon Reese and Joakim Westerlund
Bootstrap tests for time varying cointegration pp. 466-483: Luis Martins
Sample path properties of an explosive double autoregressive model pp. 484-490: Feng Liu, Dong Li and Xinmei Kang
Testing for sphericity in a two-way error components panel data model pp. 491-506: Guangyu Mao
Functional-coefficient cointegration models in the presence of deterministic trends pp. 507-533: Masayuki Hirukawa and Mari Sakudo
Parameter estimation in multivariate logit models with many binary choices pp. 534-550: Koen Bel, Dennis Fok and Richard Paap

A multivariate volatility vine copula model pp. 281-308: E. C. Brechmann, Moritz Heiden and Y. Okhrin
The asymptotic covariance matrix of the QMLE in ARMA models pp. 309-324: Yong Bao
Granger-causal analysis of GARCH models: A Bayesian approach pp. 325-346: Tomasz Woźniak
Information theoretic methods in small domain estimation pp. 347-359: Rosa Bernardini Papalia and Esteban Fernandez-Vazquez
Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach pp. 360-379: Mototsugu Shintani and Zi-Yi Guo
The “wrong skewness” problem in stochastic frontier models: A new approach pp. 380-400: Christian Hafner, Hans Manner and Leopold Simar

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency pp. 183-211: Tomohiro Ando and Jushan Bai
The estimation of multidimensional fixed effects panel data models pp. 212-227: Laszlo Balazsi, Laszlo Matyas and Tom Wansbeek
Trends cycles and seasons: Econometric methods of signal extraction pp. 228-246: D. S. G. Pollock
A slack analysis framework for improving composite indicators with applications to human development and sustainable energy indices pp. 247-259: S. M. Hatefi and S. A. Torabi
A Laplace stochastic frontier model pp. 260-280: William Horrace and Christopher Parmeter

A discrete/continuous choice model on a nonconvex budget set pp. 89-113: Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
Modeling and forecasting realized covariance matrices with accounting for leverage pp. 114-139: Stanislav Anatolyev and Nikita Kobotaev
A general approach to conditional moment specification testing with projections pp. 140-165: Xuexin Wang
A stochastic recurrence equations approach for score driven correlation models pp. 166-181: Francisco Blasques, Andre Lucas and Erkki Silde

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form pp. 1-28: Eric Lin and Ta-Sheng Chou
Stock return predictability: A factor-augmented predictive regression system with shrinkage method pp. 29-60: Saburo Ohno and Tomohiro Ando
Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model pp. 61-88: Francesco Bartolucci, Valentina Nigro and Claudia Pigini