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 34, issue 6-10, 2015

The Special Issue in Honor of Aman Ullah: An Overview pp. 653-658

Esfandiar Maasoumi and Qi Li

EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects pp. 659-694

Badi Baltagi and Ying Deng

Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models pp. 695-719

Zongwu Cai, Linna Chen and Ying Fang

Location Properties of Point Estimators in Linear Instrumental Variables and Related Models pp. 720-733

Keisuke Hirano and Jack R. Porter

A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model pp. 734-762

Juan Carlos Escanciano and Lin Zhu

Residential Mobility, Neighborhood Effects, and Educational Attainment of Blacks and Whites pp. 763-798

Yan Dong, Li Gan and Yingning Wang

Endogeneity in Semiparametric Panel Binary Choice Model pp. 799-827

Chunrong Ai and Meixia Meng

Symmetrized Multivariate k -NN Estimators pp. 828-848

Yanqin Fan and Ruixuan Liu

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice pp. 849-881

Patrick W. Saart, Jiti Gao and David Allen

Local Linear Estimation of a Nonparametric Cointegration Model pp. 882-906

Zhongwen Liang, Zhongjian Lin and Cheng Hsiao

High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression pp. 907-958

Carlos Martins-Filho, Feng Yao and Maximo Torero

A Partially Linear Kernel Estimator for Categorical Data pp. 959-978

Qi Gao, Long Liu and Jeffrey Racine

Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution pp. 979-1010

Jingping Gu, Qi Li and Jui-Chung Yang

A Nonparametric Distribution-Free Test for Serial Independence of Errors pp. 1011-1034

Zaichao Du and Juan Carlos Escanciano

Limit Theory for VARs with Mixed Roots Near Unity pp. 1035-1056

Peter Phillips and Ji Hyung Lee

Testing Additive Separability of Error Term in Nonparametric Structural Models pp. 1057-1088

Liangjun Su, Yundong Tu and Aman Ullah

Testing Weak Cross-Sectional Dependence in Large Panels pp. 1089-1117

Mohammad Pesaran

Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates pp. 1118-1140

Dayong Zhang, Marco Barassi and Jijun Tan

Constructing Common Factors from Continuous and Categorical Data pp. 1141-1171

Serena Ng

GARCH Model Estimation Using Estimated Quadratic Variation pp. 1172-1192

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

Markus Jochmann

Proximity-Structured Multivariate Volatility Models pp. 559-593

Massimiliano Caporin and Paolo Paruolo

Independent Factor Autoregressive Conditional Density Model pp. 594-616

Alexios Ghalanos, Eduardo Rossi and Giovanni Urga

M Tests with a New Normalization Matrix pp. 617-652

Yi-Ting Chen and Zhongjun Qu

Volume 34, issue 4, 2015

Semiparametric Stochastic Frontier Estimation via Profile Likelihood pp. 413-451

Carlos Martins-Filho and Feng Yao

True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison pp. 452-479

Arturo Leccadito, Omar Rachedi and Giovanni Urga

Time-Deformation Modeling of Stock Returns Directed by Duration Processes pp. 480-511

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

Giuseppe Cavaliere, Peter Phillips, Stephan Smeekes and Robert Taylor

Volume 34, issue 3, 2015

Editorial Note pp. 255-255

Amos Golan and Esfandiar Maasoumi

Marginal Likelihood Estimation with the Cross-Entropy Method pp. 256-285

Joshua Chan and Eric Eisenstat

Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach pp. 286-327

Alastair R. Hall, Yuyi Li, Chris Orme and Arthur Sinko

Shrinkage of Variance for Minimum Distance Based Tests pp. 328-351

Saraswata Chaudhuri and Eric Renault

Robustness of Bootstrap in Instrumental Variable Regression pp. 352-393

Lorenzo Camponovo and Taisuke Otsu

Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval pp. 394-412

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

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

James Heckman and Rodrigo Pinto

Factor Model Forecasts of Exchange Rates pp. 32-55

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

Arnold Zellner and Jacques Kibambe Ngoie

A Simple Estimator for Binary Choice Models with Endogenous Regressors pp. 82-105

Yingying Dong and Arthur Lewbel

Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components pp. 106-126

Walter Diewert, Jan de Haan and Rens Hendriks

Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process pp. 127-145

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

Shigeru Iwata and Han Li

Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach pp. 174-197

Annastiina Silvennoinen and Timo Ter�svirta

Imposing Theoretical Regularity on Flexible Functional Forms pp. 198-227

Apostolos Serletis and Guohua Feng

Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy pp. 228-254

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

Carlos A. Flores, Alfonso Flores-Lagunes and Dimitrios Kapetanakis

Partial Effects in Ordered Response Models with Factor Variables pp. 854-868

Andrew Hodge and Sriram Shankar

Treatment Evaluation in the Presence of Sample Selection pp. 869-905

Martin Huber

A Test for Slope Heterogeneity in Fixed Effects Models pp. 906-935

Ted Juhl and Oleksandr Lugovskyy

Some Theoretical and Simulation Results on the Frequency Domain Causality Test pp. 936-947

Hiroshi Yamada and Wei Yanfeng

Volume 33, issue 7, 2014

A Note on Nonlinear Cointegration, Misspecification, and Bimodality pp. 713-731

Marcelo Medeiros, Eduardo Mendes and Les Oxley

Partially Adaptive Estimation of the Censored Regression Model pp. 732-750

Randall Lewis and James McDonald

A Goodness-of-fit Test for Copulas pp. 751-771

Wanling Huang and Artem Prokhorov

Applying the GLM Variance Assumption to Overcome the Scale-Dependence of the Negative Binomial QGPML Estimator pp. 772-784

Clement Bosquet and Herve Boulhol

Estimation of Long Memory in Integrated Variance pp. 785-814

Eduardo Rossi and Paolo Santucci de Magistris

Volume 33, issue 5-6, 2014

Overview pp. 429-430

Karim M. Abadir and Esfandiar Maasoumi

A Heteroskedasticity-Robust F -Test Statistic for Individual Effects pp. 431-471

Chris Orme and Takashi Yamagata

Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity pp. 472-496

Jerry Hausman and Tiemen Woutersen

Using Copulas to Model Time Dependence in Stochastic Frontier Models pp. 497-522

Christine Amsler, Artem Prokhorov and Peter Schmidt

Testing Conditional Independence Restrictions pp. 523-552

Oliver Linton and Pedro Gozalo

Misspecification Testing: Non-Invariance of Expectations Models of Inflation pp. 553-574

Jennifer Castle, Jurgen Doornik, David Hendry and Ragnar Nymoen

Robustify Financial Time Series Forecasting with Bagging pp. 575-605

Sainan Jin, Liangjun Su and Aman Ullah

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models pp. 606-650

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

Bootstrap Confidence Sets with Weak Instruments pp. 651-675

Russell Davidson and James MacKinnon

Nonlinearity Induced Weak Instrumentation pp. 676-712

Ioannis Kasparis, Peter Phillips and Tassos Magdalinos

Volume 33, issue 1-4, 2014

Arnold Zellner: Scientist, Leader, Mentor, and Friend pp. 1-2

Esfandiar Maasoumi and Ehsan S. Soofi

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo pp. 3-35

Arnold Zellner, Tomohiro Ando, Nalan Baştük, Lennart Hoogerheide and Herman van Dijk

Treatment Effects: A Bayesian Perspective pp. 36-67

James Heckman, Hedibert F. Lopes and Rémi Piatek

A Predictive Approach for Selection of Diffusion Index Models pp. 68-99

Tomohiro Ando and Ruey S. Tsay

Bayesian Instrumental Variables: Priors and Likelihoods pp. 100-121

Hedibert F. Lopes and Nicholas G. Polson

Two-Stage Bayesian Model Averaging in Endogenous Variable Models pp. 122-151

Alex Lenkoski, Theo Eicher and Adrian E. Raftery

DSGE Models with Student- t Errors pp. 152-171

Siddhartha Chib and Srikanth Ramamurthy

Explaining Trends in Body Mass Index Using Demographic Counterfactuals pp. 172-196

Brendan Kline and Justin Tobias

The Effective Sample Size pp. 197-217

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

Xiao-Li Meng and Xianchao Xie

Posterior Odds with a Generalized Hyper- g -Prior pp. 251-269

Edward I. George and Yuzo Maruyama

Analysis of Variance for Bayesian Inference pp. 270-288

John Geweke and Gianni Amisano

On Some Optimal Bayesian Nonparametric Rules for Estimating Distribution Functions pp. 289-304

Fabrizio Ruggeri

Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem pp. 305-336

Minxian Yang

Statistical Problem Classes and Their Links to Information Theory pp. 337-371

Bertrand Clarke, Jennifer Clarke and Chi Wai Yu

Uniform Distributions on the Integers: A connection to the Bernouilli Random Walk pp. 372-378

Joseph B. Kadane and Jiashun Jin

Adaptive Percolation Using Subjective Likelihoods pp. 379-394

Nozer D. Singpurwalla

Importance of Components for a System pp. 395-420

Nader Ebrahimi, Nima Y. Jalali, Ehsan S. Soofi and Refik Soyer

All Roads Lead to Arnold pp. 421-423

Peter Rossi

Memorial Statements by Anderson, Judge, Press, Aigner, Allenby, and Palm pp. 424-427

Ehsan S. Soofi