Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

From Taylor & Francis Journals
Bibliographic data for series maintained by ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 36, issue 10, 2017

Modeling and forecasting persistent financial durations pp. 1081-1110

Filip Žikeš, Jozef Baruník and Nikhil Shenai

Stochastic volatility demand systems pp. 1111-1122

Apostolos Serletis and Maksim Isakin

Local power of panel unit root tests allowing for structural breaks pp. 1123-1156

Yiannis Karavias and Elias Tzavalis

A nonparametric test for a constant correlation matrix pp. 1157-1172

Dominik Wied

List of Referees pp. 1173-1174

The Editors

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 36, issue 6-9, 2017

Econometric Reviews honors Esfandiar Maasoumi pp. 563-567

Peter Phillips and Aman Ullah

The impact of integrated measurement errors on modeling long-run macroeconomic time series pp. 568-587

James A. Duffy and David Hendry

Assessing point forecast accuracy by stochastic error distance pp. 588-598

Francis Diebold and Minchul Shin

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model pp. 599-621

Paul Catani, Timo Teräsvirta and Meiqun Yin

Adaptive LASSO estimation for ARDL models with GARCH innovations pp. 622-637

Marcelo Medeiros and Eduardo F. Mendes

The impact of jumps and leverage in forecasting covolatility pp. 638-650

Manabu Asai and Michael McAleer

Tests for an end-of-sample bubble in financial time series pp. 651-666

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

Alastair R. Hall, Denise Osborn and Nikolaos Sakkas

Correlated defaults, temporal correlation, expert information and predictability of default rates pp. 699-712

Nicholas Kiefer

Identification-robust moment-based tests for Markov switching in autoregressive models pp. 713-727

Jean-Marie Dufour and Richard Luger

An efficient integrated nonparametric entropy estimator of serial dependence pp. 728-780

Yongmiao Hong, Xia Wang, Wenjie Zhang and Shouyang Wang

Interval estimation: An information theoretic approach pp. 781-795

Amos Golan and Aman Ullah

Uncertainty, information, and disagreement of economic forecasters pp. 796-817

Mehdi Shoja and Ehsan S. Soofi

Reduced forms and weak instrumentation pp. 818-839

Peter Phillips

Stein-like 2SLS estimator pp. 840-852

Bruce Hansen

Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model pp. 853-882

Badi Baltagi, Chihwa Kao and Fa Wang

First difference or forward demeaning: Implications for the method of moments estimators pp. 883-897

Cheng Hsiao and Qiankun Zhou

Exponential class of dynamic binary choice panel data models with fixed effects pp. 898-927

Majid Al-Sadoon, Tong Li and Mohammad Pesaran

On the relevance of weaker instruments pp. 928-945

Bertille Antoine and Eric Renault

Determining the number of factors with potentially strong within-block correlations in error terms pp. 946-969

Xu Han and Mehmet Caner

Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions pp. 970-987

Cong Li, Hongjun Li and Jeffrey Racine

Nonparametric Knn estimation with monotone constraints pp. 988-1006

Zheng Li, Guannan Liu and Qi Li

Stochastic metafrontiers pp. 1007-1020

Christine Amsler, Christopher J. O’Donnell and Peter Schmidt

Diagnostics for the bootstrap and fast double bootstrap pp. 1021-1038

Russell Davidson

Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process pp. 1039-1056

Yong Bao, Aman Ullah and Yun Wang

Partial identification of average treatment effects on the treated through difference-in-differences pp. 1057-1080

Yanqin Fan and Carlos A. Manzanares

Volume 36, issue 5, 2017

Multistep ahead forecasting of vector time series pp. 495-513

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

Guillaume Chevillon

Bayesian analysis of multivariate stochastic volatility with skew return distribution pp. 546-562

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

Esmeralda A. Ramalho and Joaquim Ramalho

Specification and testing of multiplicative time-varying GARCH models with applications pp. 421-446

Cristina Amado and Timo Teräsvirta

Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation pp. 447-467

Chris Blakely and Tucker McElroy

Fourier--type tests involving martingale difference processes pp. 468-492

Zdeněk Hlávka, Marie Hušková, Claudia Kirch and Simos G. Meintanis

Correction of Caporin and Paruolo (2015) pp. 493-493

Massimiliano Caporin and Paolo Paruolo

Volume 36, issue 1-3, 2017

Peter Schmidt: Econometrician and consummate professional pp. 1-5

Esfandiar Maasoumi and Robin Sickles

Estimation of partially specified spatial panel data models with fixed-effects pp. 6-22

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

Martyn Andrews, Obbey Elamin, Alastair R. Hall, Kostas Kyriakoulis and Matthew Sutton

A fractionally integrated Wishart stochastic volatility model pp. 42-59

Manabu Asai and Michael McAleer

Inference for impulse response coefficients from multivariate fractionally integrated processes pp. 60-84

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

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

Herman J. Bierens and Li Wang

Bootstrapping unit root tests with covariates pp. 136-155

Yoosoon Chang, Robin Sickles and Wonho Song

Measuring firm performance using nonparametric quantile-type distances pp. 156-181

Abdelaati Daouia, Leopold Simar and Paul Wilson

Invariant tests based on M -estimators, estimating functions, and the generalized method of moments pp. 182-204

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

Carl Green, Qi Li and Yu Yvette Zhang

Lag length selection in panel autoregression pp. 225-240

Chirok Han, Peter Phillips and Donggyu Sul

The smooth colonel and the reverend find common ground pp. 241-256

Nicholas Kiefer and Jeffrey Racine

Online learning and forecast combination in unbalanced panels pp. 257-288

Kajal Lahiri, Huaming Peng and Yongchen Zhao

Inference on locally ordered breaks in multiple regressions pp. 289-353

Ye Li and Pierre Perron

Estimation of semi-varying coefficient models with nonstationary regressors pp. 354-369

Kunpeng Li, Degui Li, Zhongwen Liang and Cheng Hsiao

A semiparametric generalized ridge estimator and link with model averaging pp. 370-384

Aman Ullah, Alan T. K. Wan, Huansha Wang, Xinyu Zhang and Guohua Zou

LIML in the static linear panel data model pp. 385-395

Tom Wansbeek and Dennis Prak