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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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Volume 34, issue 6-10, 2015

The Special Issue in Honor of Aman Ullah: An Overview pp. 653-658 Downloads
Esfandiar Maasoumi and Qi Li
EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects pp. 659-694 Downloads
Badi Baltagi and Ying Deng
Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models pp. 695-719 Downloads
Zongwu Cai, Linna Chen and Ying Fang
Location Properties of Point Estimators in Linear Instrumental Variables and Related Models pp. 720-733 Downloads
Keisuke Hirano and Jack R. Porter
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model pp. 734-762 Downloads
Juan Carlos Escanciano and Lin Zhu
Residential Mobility, Neighborhood Effects, and Educational Attainment of Blacks and Whites pp. 763-798 Downloads
Yan Dong, Li Gan and Yingning Wang
Endogeneity in Semiparametric Panel Binary Choice Model pp. 799-827 Downloads
Chunrong Ai and Meixia Meng
Symmetrized Multivariate k -NN Estimators pp. 828-848 Downloads
Yanqin Fan and Ruixuan Liu
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice pp. 849-881 Downloads
Patrick W. Saart, Jiti Gao and David Allen
Local Linear Estimation of a Nonparametric Cointegration Model pp. 882-906 Downloads
Zhongwen Liang, Zhongjian Lin and Cheng Hsiao
High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression pp. 907-958 Downloads
Carlos Martins-Filho, Feng Yao and Maximo Torero
A Partially Linear Kernel Estimator for Categorical Data pp. 959-978 Downloads
Qi Gao, Long Liu and Jeffrey Racine
Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution pp. 979-1010 Downloads
Jingping Gu, Qi Li and Jui-Chung Yang
A Nonparametric Distribution-Free Test for Serial Independence of Errors pp. 1011-1034 Downloads
Zaichao Du and Juan Carlos Escanciano
Limit Theory for VARs with Mixed Roots Near Unity pp. 1035-1056 Downloads
Peter Phillips and Ji Hyung Lee
Testing Additive Separability of Error Term in Nonparametric Structural Models pp. 1057-1088 Downloads
Liangjun Su, Yundong Tu and Aman Ullah
Testing Weak Cross-Sectional Dependence in Large Panels pp. 1089-1117 Downloads
M Pesaran
Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates pp. 1118-1140 Downloads
Dayong Zhang, Marco Barassi and Jijun Tan
Constructing Common Factors from Continuous and Categorical Data pp. 1141-1171 Downloads
Serena Ng
GARCH Model Estimation Using Estimated Quadratic Variation pp. 1172-1192 Downloads
John Galbraith, Victoria Zinde-Walsh and Jingmei Zhu

Volume 34, issue 5, 2015

Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach pp. 537-558 Downloads
Markus Jochmann
Proximity-Structured Multivariate Volatility Models pp. 559-593 Downloads
Massimiliano Caporin and Paolo Paruolo
Independent Factor Autoregressive Conditional Density Model pp. 594-616 Downloads
Alexios Ghalanos, Eduardo Rossi and Giovanni Urga
M Tests with a New Normalization Matrix pp. 617-652 Downloads
Yi-Ting Chen and Zhongjun Qu

Volume 34, issue 4, 2015

Semiparametric Stochastic Frontier Estimation via Profile Likelihood pp. 413-451 Downloads
Carlos Martins-Filho and Feng Yao
True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison pp. 452-479 Downloads
Arturo Leccadito, Omar Rachedi and Giovanni Urga
Time-Deformation Modeling of Stock Returns Directed by Duration Processes pp. 480-511 Downloads
Dingan Feng, Peter X.-K. Song and Tony S. Wirjanto
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility pp. 512-536 Downloads
Giuseppe Cavaliere, Peter Phillips, Stephan Smeekes and Robert Taylor

Volume 34, issue 3, 2015

Editorial Note pp. 255-255 Downloads
Amos Golan and Esfandiar Maasoumi
Marginal Likelihood Estimation with the Cross-Entropy Method pp. 256-285 Downloads
Joshua Chan and Eric Eisenstat
Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach pp. 286-327 Downloads
Alastair R. Hall, Yuyi Li, Chris Orme and Arthur Sinko
Shrinkage of Variance for Minimum Distance Based Tests pp. 328-351 Downloads
Saraswata Chaudhuri and Eric Renault
Robustness of Bootstrap in Instrumental Variable Regression pp. 352-393 Downloads
Lorenzo Camponovo and Taisuke Otsu
Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval pp. 394-412 Downloads
Song Li, Mervyn J. Silvapulle, Param Silvapulle and Xibin Zhang

Volume 34, issue 1-2, 2015

Introduction to Econometrics with Theory: A Special Issue Honoring William A. Barnett pp. 1-5 Downloads
James Heckman and Apostolos Serletis
Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs pp. 6-31 Downloads
James Heckman and Rodrigo Pinto
Factor Model Forecasts of Exchange Rates pp. 32-55 Downloads
Charles Engel, Nelson Mark and Kenneth West
Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy pp. 56-81 Downloads
Arnold Zellner and Jacques Kibambe Ngoie
A Simple Estimator for Binary Choice Models with Endogenous Regressors pp. 82-105 Downloads
Yingying Dong and Arthur Lewbel
Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components pp. 106-126 Downloads
Walter Diewert, Jan de Haan and Rens Hendriks
Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process pp. 127-145 Downloads
Yiguo Sun, Cheng Hsiao and Qi Li
What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models? pp. 146-173 Downloads
Shigeru Iwata and Han Li
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach pp. 174-197 Downloads
Annastiina Silvennoinen and Timo Ter�svirta
Imposing Theoretical Regularity on Flexible Functional Forms pp. 198-227 Downloads
Apostolos Serletis and Guohua Feng
Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy pp. 228-254 Downloads
Richard G. Anderson, Marcelle Chauvet and Barry Jones

Volume 33, issue 8, 2014

Lessons From Quantile Panel Estimation of the Environmental Kuznets Curve pp. 815-853 Downloads
Carlos A. Flores, Alfonso Flores-Lagunes and Dimitrios Kapetanakis
Partial Effects in Ordered Response Models with Factor Variables pp. 854-868 Downloads
Andrew Hodge and Sriram Shankar
Treatment Evaluation in the Presence of Sample Selection pp. 869-905 Downloads
Martin Huber
A Test for Slope Heterogeneity in Fixed Effects Models pp. 906-935 Downloads
Ted Juhl and Oleksandr Lugovskyy
Some Theoretical and Simulation Results on the Frequency Domain Causality Test pp. 936-947 Downloads
Hiroshi Yamada and Wei Yanfeng

Volume 33, issue 7, 2014

A Note on Nonlinear Cointegration, Misspecification, and Bimodality pp. 713-731 Downloads
Marcelo Medeiros, Eduardo Mendes and Les Oxley
Partially Adaptive Estimation of the Censored Regression Model pp. 732-750 Downloads
Randall Lewis and James McDonald
A Goodness-of-fit Test for Copulas pp. 751-771 Downloads
Wanling Huang and Artem Prokhorov
Applying the GLM Variance Assumption to Overcome the Scale-Dependence of the Negative Binomial QGPML Estimator pp. 772-784 Downloads
Clement Bosquet and Herve Boulhol
Estimation of Long Memory in Integrated Variance pp. 785-814 Downloads
Eduardo Rossi and Paolo Santucci de Magistris

Volume 33, issue 5-6, 2014

Overview pp. 429-430 Downloads
Karim M. Abadir and Esfandiar Maasoumi
A Heteroskedasticity-Robust F -Test Statistic for Individual Effects pp. 431-471 Downloads
Chris Orme and Takashi Yamagata
Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity pp. 472-496 Downloads
Jerry Hausman and Tiemen Woutersen
Using Copulas to Model Time Dependence in Stochastic Frontier Models pp. 497-522 Downloads
Christine Amsler, Artem Prokhorov and Peter Schmidt
Testing Conditional Independence Restrictions pp. 523-552 Downloads
Oliver Linton and Pedro Gozalo
Misspecification Testing: Non-Invariance of Expectations Models of Inflation pp. 553-574 Downloads
Jennifer Castle, Jurgen Doornik, David Hendry and Ragnar Nymoen
Robustify Financial Time Series Forecasting with Bagging pp. 575-605 Downloads
Sainan Jin, Liangjun Su and Aman Ullah
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models pp. 606-650 Downloads
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
Bootstrap Confidence Sets with Weak Instruments pp. 651-675 Downloads
Russell Davidson and James MacKinnon
Nonlinearity Induced Weak Instrumentation pp. 676-712 Downloads
Ioannis Kasparis, Peter Phillips and Tassos Magdalinos

Volume 33, issue 1-4, 2014

Arnold Zellner: Scientist, Leader, Mentor, and Friend pp. 1-2 Downloads
Esfandiar Maasoumi and Ehsan S. Soofi
Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo pp. 3-35 Downloads
Arnold Zellner, Tomohiro Ando, Nalan Baştük, Lennart Hoogerheide and Herman van Dijk
Treatment Effects: A Bayesian Perspective pp. 36-67 Downloads
James Heckman, Hedibert F. Lopes and Rémi Piatek
A Predictive Approach for Selection of Diffusion Index Models pp. 68-99 Downloads
Tomohiro Ando and Ruey S. Tsay
Bayesian Instrumental Variables: Priors and Likelihoods pp. 100-121 Downloads
Hedibert F. Lopes and Nicholas G. Polson
Two-Stage Bayesian Model Averaging in Endogenous Variable Models pp. 122-151 Downloads
Alex Lenkoski, Theo Eicher and Adrian E. Raftery
DSGE Models with Student- t Errors pp. 152-171 Downloads
Siddhartha Chib and Srikanth Ramamurthy
Explaining Trends in Body Mass Index Using Demographic Counterfactuals pp. 172-196 Downloads
Brendan Kline and Justin Tobias
The Effective Sample Size pp. 197-217 Downloads
James Berger, M. J. Bayarri and L. R. Pericchi
I Got More Data, My Model is More Refined, but My Estimator is Getting Worse! Am I Just Dumb? pp. 218-250 Downloads
Xiao-Li Meng and Xianchao Xie
Posterior Odds with a Generalized Hyper- g -Prior pp. 251-269 Downloads
Edward I. George and Yuzo Maruyama
Analysis of Variance for Bayesian Inference pp. 270-288 Downloads
John Geweke and Gianni Amisano
On Some Optimal Bayesian Nonparametric Rules for Estimating Distribution Functions pp. 289-304 Downloads
Fabrizio Ruggeri
Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem pp. 305-336 Downloads
Minxian Yang
Statistical Problem Classes and Their Links to Information Theory pp. 337-371 Downloads
Bertrand Clarke, Jennifer Clarke and Chi Wai Yu
Uniform Distributions on the Integers: A connection to the Bernouilli Random Walk pp. 372-378 Downloads
Joseph B. Kadane and Jiashun Jin
Adaptive Percolation Using Subjective Likelihoods pp. 379-394 Downloads
Nozer D. Singpurwalla
Importance of Components for a System pp. 395-420 Downloads
Nader Ebrahimi, Nima Y. Jalali, Ehsan S. Soofi and Refik Soyer
All Roads Lead to Arnold pp. 421-423 Downloads
Peter Rossi
Memorial Statements by Anderson, Judge, Press, Aigner, Allenby, and Palm pp. 424-427 Downloads
Ehsan S. Soofi
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