EconPapers    
Economics at your fingertips  
 

Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 30, issue 6, 2011

Great Expectatrics: Great Papers, Great Journals, Great Econometrics pp. 583-619 Downloads
Chia-Lin Chang, Michael McAleer and Les Oxley
Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model pp. 620-645 Downloads
George Kapetanios and Yongcheol Shin
Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling pp. 646-668 Downloads
Jose Luis Aznarte, Jesus Alcala-Fdez, Antonio Arauzo and Jose Manuel Benitez
Volatility, Jumps, and Predictability of Returns: A Sequential Analysis pp. 669-695 Downloads
Davide Raggi and Silvano Bordignon

Volume 30, issue 5, 2011

On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series pp. 475-513 Downloads
Tucker McElroy and Thomas Trimbur
Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices pp. 514-547 Downloads
David Harvey, Stephen Leybourne and Robert Taylor
Alternative Asymmetric Stochastic Volatility Models pp. 548-564 Downloads
Manabu Asai and Michael McAleer
Marginal Changes in Random Parameters Ordered Response Models with Interaction Terms pp. 565-576 Downloads
Andreas Drichoutis and Rodolfo Nayga
Book Review: Econometric Modeling and Inference pp. 577-581 Downloads
Jean-Francois Richard

Volume 30, issue 4, 2011

Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models pp. 359-378 Downloads
Kulan Ranasinghe and Mervyn J. Silvapulle
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors pp. 379-405 Downloads
Nikolay Gospodinov and Ye Tao
Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions pp. 406-456 Downloads
Giuseppe Ragusa
Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap pp. 457-468 Downloads
Dale J. Poirier
Book Review: Introducing Monte Carlo Methods with R pp. 469-474 Downloads
Richard Luger

Volume 30, issue 3, 2011

A Consistent Test for Multivariate Conditional Distributions pp. 251-273 Downloads
Fuchun Li and Greg Tkacz
Testing for a unit root in a stationary ESTAR process pp. 274-302 Downloads
Rehim Kılıc
Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation pp. 303-336 Downloads
Emma Iglesias and Garry Phillips
Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs pp. 337-357 Downloads
Scott Atkinson and Christopher Cornwell

Volume 30, issue 2, 2011

Estimation and Asymptotic Inference in the AR-ARCH Model pp. 129-153 Downloads
Theis Lange, Anders Rahbek and Søren Tolver Jensen
Robust Misspecification Tests for the Heckman's Two-Step Estimator pp. 154-172 Downloads
Gabriel Montes-Rojas
Two-Step Estimation of Endogenous and Exogenous Group Effects pp. 173-207 Downloads
Qingyan Shang and Lung-Fei Lee
A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series pp. 208-249 Downloads
Loukia Meligkotsidou, Elias Tzavalis and Ioannis Vrontos

Volume 30, issue 1, 2011

Empirical Likelihood for Efficient Semiparametric Average Treatment Effects pp. 1-24 Downloads
Francesco Bravo and David Jacho-Chávez
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters pp. 25-50 Downloads
Dinghai Xu and John Knight
Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences pp. 88-108 Downloads
Nikolaos Kourogenis and Nikitas Pittis
The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics pp. 109-127 Downloads
Michael Lechner

Volume 29, issue 5-6, 2010

The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing pp. 470-475 Downloads
Esfandiar Maasoumi and Marcelo Medeiros
Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments pp. 476-510 Downloads
Nii Ayi Armah and Norman Swanson
Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth pp. 511-533 Downloads
David Rapach and Jack Strauss
To Combine Forecasts or to Combine Information? pp. 534-570 Downloads
Huiyu Huang and Tae Hwy Lee
The Benefits of Bagging for Forecast Models of Realized Volatility pp. 571-593 Downloads
Eric Hillebrand and Marcelo Medeiros
An Empirical Comparison of Machine Learning Models for Time Series Forecasting pp. 594-621 Downloads
Nesreen Ahmed, Amir Atiya, Neamat El Gayar and Hisham El-Shishiny
On Some Models for Value-At-Risk pp. 622-641 Downloads
Philip Yu, Wai Keung Li and Shusong Jin
Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting pp. 642-687 Downloads
Alexandre Carvalho and Georgios Skoulakis
Estimating the Market Share Attraction Model using Support Vector Regressions pp. 688-716 Downloads
Georgi Nalbantov, Philip Hans Franses, Patrick Groenen and Jan Bioch
Estimating Interest Rate Curves by Support Vector Regression pp. 717-753 Downloads
Andre d'Almeida Monteiro
Identification of Changes in Mean with Regression Trees: An Application to Market Research pp. 754-777 Downloads
William Rea, Marco Reale, Carmela Cappelli and Jennifer Brown

Volume 29, issue 4, 2010

On Deconvolution as a First Stage Nonparametric Estimator pp. 365-396 Downloads
Yingyao Hu and Geert Ridder
Cointegrating Regressions with Time Heterogeneity pp. 397-438 Downloads
Chang Sik Kim and Joon Park
A Semiparametric Analysis of Gasoline Demand in the United States Reexamining The Impact of Price pp. 439-468 Downloads
Sebastiano Manzan and Dawit Zerom

Volume 29, issue 3, 2010

Distributional Overlap: Simple, Multivariate, Parametric, and Nonparametric Tests for Alienation, Convergence, and General Distributional Difference Issues pp. 247-275 Downloads
Gordon Anderson, Ying Ge and Teng Wah Leo
Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes pp. 276-306 Downloads
Marcelo Fernandes and Breno Neri
Information-Theoretic Distribution Test with Application to Normality pp. 307-329 Downloads
Thanasis Stengos and Ximing Wu
Testing, Estimation in GMM and CUE with Nearly-Weak Identification pp. 330-363 Downloads
Mehmet Caner

Volume 29, issue 2, 2010

Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling pp. 111-145 Downloads
Christian Gengenbach, Franz Palm and Jean-Pierre Urbain
Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models pp. 146-157 Downloads
Edward Cripps, Denzil Fiebig and Robert Kohn
Implementing Box-Cox Quantile Regression pp. 158-181 Downloads
Bernd Fitzenberger, Ralf Wilke and Xuan Zhang
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study pp. 182-223 Downloads
Martin Wagner and Jaroslava Hlouskova
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space pp. 224-242 Downloads
Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan
Book Review: New Introduction to Multiple Time Series Analysis pp. 243-246 Downloads
Òscar Jord�

Volume 29, issue 1, 2010

Gamma Unobserved Heterogeneity and Duration Bias pp. 1-19 Downloads
Pål Børing
A Multivariate Threshold Varying Conditional Correlations Model pp. 20-38 Downloads
W. Kwan, W. K. Li and K. W. Ng
Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models pp. 39-61 Downloads
Kien Tran and Mike Tsionas
Inferences from Cross-Sectional, Stochastic Frontier Models pp. 62-98 Downloads
Leopold Simar and Paul Wilson
Book Review: Identification and Inference for Econometric Models pp. 99-105 Downloads
Patrik Guggenberger
Book Review: Econometrics, Statistics and Computational Approaches in Food and Health Sciences pp. 106-109 Downloads
Francis Vella
Page updated 2022-01-24