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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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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
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