Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 35, issue 8-10, 2016

Model Selection and Shrinkage: An Overview pp. 1343-1346

Mehmet Caner and Marcelo Medeiros

Detection and Estimation of Block Structure in Spatial Weight Matrix pp. 1347-1376

Clifford Lam and Pedro C. L. Souza

Oracle Inequalities for Convex Loss Functions with Nonlinear Targets pp. 1377-1411

Mehmet Caner and Anders Kock

Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models pp. 1412-1455

Ulrike Schneider

The Risk of James--Stein and Lasso Shrinkage pp. 1456-1470

Bruce Hansen

The Penalized Analytic Center Estimator pp. 1471-1484

Keith Knight

Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics pp. 1485-1521

Francesco Audrino and Simon D. Knaus

Lassoing the Determinants of Retirement pp. 1522-1561

Malene Kallestrup-Lamb, Anders Kock and Johannes Tang Kristensen

Moment and IV Selection Approaches: A Comparative Simulation Study pp. 1562-1581

Mehmet Caner, Esfandiar Maasoumi and Juan Andrés Riquelme

Estimation of Sparse Structural Parameters with Many Endogenous Variables pp. 1582-1608

Zhentao Shi

Efficient Estimation with Many Weak Instruments Using Regularization Techniques pp. 1609-1637

Marine Carrasco and Guy Tchuente

Stochastic Model Specification Search for Time-Varying Parameter VARs pp. 1638-1665

Eric Eisenstat, Joshua Chan and Rodney Strachan

Particle Learning for Fat-Tailed Distributions pp. 1666-1691

Hedibert F. Lopes and Nicholas G. Polson

Generalized Least Squares Model Averaging pp. 1692-1752

Qingfeng Liu, Ryo Okui and Arihiro Yoshimura

Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques pp. 1753-1779

Anders Kock and Timo Teräsvirta

Volume 35, issue 7, 2016

A General Quantile Function Model for Economic and Financial Time Series pp. 1173-1193

Yuzhi Cai

Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors pp. 1194-1220

Kun Ho Kim

A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model pp. 1221-1250

Marcelo Fernandes, Marcelo Medeiros and Alvaro Veiga

Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change pp. 1251-1270

Mariano Kulish and Adrian Pagan

Modified Profile Likelihood for Fixed-Effects Panel Data Models pp. 1271-1289

Francesco Bartolucci, R. Bellio, A. Salvan and N. Sartori

Testing for Serial Correlation in Fixed-Effects Panel Data Models pp. 1290-1316

Benjamin Born and Jörg Breitung

Evidence of Convergence Clubs Using Mixture Models pp. 1317-1342

Maria Grazia Pittau, Roberto Zelli and Riccardo Massari

Volume 35, issue 6, 2016

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets pp. 929-950

Álvaro Cartea and Dimitrios Karyampas

Semiparametric Sieve-Type Generalized Least Squares Inference pp. 951-985

George Kapetanios and Zacharias Psaradakis

A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data pp. 986-1012

Aaron D. Smallwood

Imposing and Testing for Shape Restrictions in Flexible Parametric Models pp. 1013-1039

Hendrik Wolff

Weighted-Average Least Squares Prediction pp. 1040-1074

Jan Magnus, Wendun Wang and Xinyu Zhang

Inference for Shared-Frailty Survival Models with Left-Truncated Data pp. 1075-1098

Gerard van den Berg and Bettina Drepper

An Odd Couple: Monotone Instrumental Variables and Binary Treatments pp. 1099-1110

Jeremiah Richey

A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models pp. 1111-1141

Indeewara Perera, Javier Hidalgo and Mervyn J. Silvapulle

Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series pp. 1142-1171

J. Miller

Volume 35, issue 5, 2016

Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate pp. 693-726

Sadat Reza and Paul Rilstone

Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions pp. 727-750

Helmut Herwartz, Florian Siedenburg and Yabibal Walle

Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances pp. 751-781

Matei Demetrescu and Christoph Hanck

On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests pp. 782-844

Pierre Perron and Yohei Yamamoto

The Local Power of the CADF and CIPS Panel Unit Root Tests pp. 845-870

Joakim Westerlund, Mehdi Hosseinkouchack and Martin Solberger

On the Joint Estimation of Heterogeneous Technologies, Technical, and Allocative Inefficiency pp. 871-893

Mike Tsionas and Kien Tran

A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors pp. 894-928

Alan T. K. Wan, Jinhong You and Riquan Zhang

Volume 35, issue 4, 2016

Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification pp. 465-514

Prosper Dovonon

Regression Analysis of Multivariate Fractional Data pp. 515-552

José M. R. Murteira and Joaquim Ramalho

Improving the Power of Tests of Stochastic Dominance pp. 553-585

Stephen G. Donald and Yu-Chin Hsu

Understanding Estimators of Treatment Effects in Regression Discontinuity Designs pp. 586-637

Ping Yu

Random Effects, Fixed Effects and Hausman's Test for the Generalized Mixed Regressive Spatial Autoregressive Panel Data Model pp. 638-658

Badi Baltagi and Long Liu

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models pp. 659-687

Geert Mesters, Siem Jan Koopman and Marius Ooms

Discrete Choice Methods with Simulation pp. 688-692

Florian Heiss

Volume 35, issue 3, 2016

Exact Estimation of Demand Functions under Block-Rate Pricing pp. 311-343

Koji Miyawaki, Yasuhiro Omori and Akira Hibiki

Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data pp. 344-372

Alain Guay and Florian Pelgrin

The Multistep Beveridge--Nelson Decomposition pp. 373-395

Tommaso Proietti

Pooled Panel Unit Root Tests and the Effect of Past Initialization pp. 396-427

Joakim Westerlund

Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence pp. 428-463

Gerdie Everaert and Tom De Groote

Volume 35, issue 2, 2016

The Co-Integrated Vector Autoregression with Errors-in-Variables pp. 169-200

Heino Bohn Nielsen

Empirical Likelihood in Causal Inference pp. 201-231

Biao Zhang

Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators pp. 232-256

Francesco Audrino, Fulvio Corsi and Kameliya Filipova

Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method pp. 257-262

Moawia Alghalith

Conditional VAR and Expected Shortfall: A New Functional Approach pp. 263-292

Frédéric Ferraty and Alejandro Quintela-Del-Río

Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model pp. 293-310

Sofia Anyfantaki and Antonis Demos

Volume 35, issue 1, 2016

Special Section on Meritocracy and Assessment of Scholarly Outcomes pp. 1-1

Esfandiar Maasoumi

Meritocracy Voting: Measuring the Unmeasurable pp. 2-40

Peter Phillips

Meritocracy Voting: Measuring the Unmeasurable pp. 41-43

Peter Schmidt

Elites and Secret Handshakes Versus Metrics and Rule-Based Acclamation: A Comment on "Measuring the Unmeasurable" pp. 44-49

Les Oxley

Robust Ranking of Journal Quality: An Application to Economics pp. 50-97

Chia-Lin Chang, Esfandiar Maasoumi and Michael McAleer

Nonparametric Estimation of Large Auctions with Risk Averse Bidders pp. 98-121

Xiaodong Liu

The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests pp. 122-168

Tomás del Barrio Castro, Denise Osborn and Robert Taylor