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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

From Taylor & Francis Journals
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Volume 28, issue 6, 2009

Pairwise Tests of Purchasing Power Parity pp. 495-521 Downloads
M Pesaran, Ronald Smith, Takashi Yamagata and Lyudmyla Hvozdyk
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments pp. 522-554 Downloads
Suhejla Hoti, Esfandiar Maasoumi, Michael McAleer and Daniel Slottje
Parametric Nonlinear Regression with Endogenous Switching pp. 555-580 Downloads
Joseph Terza
Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling pp. 581-611 Downloads
Gonzalo Camba-Mendez and George Kapetanios
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets pp. 612-631 Downloads
Christian Hafner and Philip Hans Franses
Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View pp. 632-657 Downloads
Bo Li
Length-bias Correction in Transformation Models with Supplementary Data pp. 658-681 Downloads
Youngki Shin

Volume 28, issue 5, 2009

Bootstrap M Unit Root Tests pp. 393-421 Downloads
Giuseppe Cavaliere and Robert Taylor
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility pp. 422-440 Downloads
Michael McAleer, Suhejla Hoti and Felix Chan
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments pp. 441-467 Downloads
Kenneth West, Ka-fu Wong and Stanislav Anatolyev
Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples pp. 468-494 Downloads
Simon Broda, Kai Carstensen and Marc Paolella

Volume 28, issue 4, 2009

A Panel Unit Root Test with Good Power in Small Samples pp. 295-313 Downloads
Claude Lopez
A Note on Unit Root Tests with Infinite Variance Noise pp. 314-334 Downloads
D. M. Mahinda Samarakoon and Keith Knight
Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications pp. 335-363 Downloads
Daiki Maki
A Note on Testing Covariance Stationarity pp. 364-371 Downloads
Giuseppe Cavaliere and Robert Taylor
Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White pp. 372-375 Downloads
Andrew Patton, Dimitris Politis and Halbert White
Two Books on the New Macroeconometrics pp. 376-387 Downloads
Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez
Book Review pp. 388-392 Downloads
Tong Li

Volume 28, issue 1-3, 2009

Editorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics pp. 1-3 Downloads
Estelle Dagum and Silvano Bordignon
Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series pp. 4-20 Downloads
Richard Ashley and Randal Verbrugge
Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics pp. 21-39 Downloads
Anthony Atkinson
A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation pp. 40-59 Downloads
Estelle Dagum and Alessandra Luati
Periodic Long-Memory GARCH Models pp. 60-82 Downloads
Silvano Bordignon, Massimiliano Caporin and Francesco Lisi
Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models pp. 83-101 Downloads
Yongjae Kwon, Hamparsum Bozdogan and Halima Bensmail
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models pp. 102-120 Downloads
Giovanni De Luca and Giampiero Gallo
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes pp. 121-145 Downloads
Soren Johansen
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures pp. 146-169 Downloads
Fabrizio Laurini and Jonathan Tawn
Pairwise Likelihood Inference for General State Space Models pp. 170-185 Downloads
Cristiano Varin and Paolo Vidoni
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates pp. 186-208 Downloads
Tommaso Proietti
Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes pp. 209-224 Downloads
Matteo Grigoletto and Corrado Provasi
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change pp. 225-245 Downloads
Changli He, Timo Teräsvirta and Andres Gonzalez
A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes pp. 246-261 Downloads
Esfandiar Maasoumi and Jeffrey Racine
Robust Transformations in Univariate and Multivariate Time Series pp. 262-278 Downloads
Marco Riani
A New Bispectral Test for NonLinear Serial Dependence pp. 279-293 Downloads
Elena Rusticelli, Richard Ashley, Estelle Dagum and Douglas Patterson

Volume 27, issue 4-6, 2008

Information Theoretic and Entropy Methods: An Overview pp. 317-328 Downloads
Amos Golan and Esfandiar Maasoumi
Approximate Entropy as an Irregularity Measure for Financial Data pp. 329-362 Downloads
Steve Pincus
Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective pp. 363-384 Downloads
Andreas Koutris, Maria Heracleous and Aris Spanos
Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach pp. 385-397 Downloads
Jan Jacobs and Pieter Otter
Entropy-Based Moment Selection in the Presence of Weak Identification pp. 398-427 Downloads
Alastair Hall, Atsushi Inoue and Changmock Shin
Bayes Estimate and Inference for Entropy and Information Index of Fit pp. 428-456 Downloads
Thomas Mazzuchi, Ehsan Soofi and Refik Soyer
Generalized Safety First and a New Twist on Portfolio Performance pp. 457-483 Downloads
M. Ryan Haley and Charles Whiteman
Optimal Portfolio Diversification Using the Maximum Entropy Principle pp. 484-512 Downloads
Anil Bera and Sung Y. Park
Large-Deviations Theory and Empirical Estimator Choice pp. 513-525 Downloads
Marian Grendar and George Judge
Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator pp. 526-541 Downloads
Patrik Guggenberger
A Class of Improved Parametrically Guided Nonparametric Regression Estimators pp. 542-573 Downloads
Carlos Martins-Filho, Santosh Mishra and Aman Ullah
A Generalized Cross-Entropy Approach for Modeling Spatially Correlated Counts pp. 574-595 Downloads
Avinash Bhati
A Composite Generalized Cross-Entropy Formulation in Small Samples Estimation pp. 596-609 Downloads
R. Bernardini Papalia

Volume 27, issue 1-3, 2008

Realized Volatility and Long Memory: An Overview pp. 1-9 Downloads
Esfandiar Maasoumi and Michael McAleer
Realized Volatility: A Review pp. 10-45 Downloads
Michael McAleer and Marcelo Medeiros
The Volatility of Realized Volatility pp. 46-78 Downloads
Fulvio Corsi, Stefan Mittnik, Christian Pigorsch and Uta Pigorsch
Moving Average-Based Estimators of Integrated Variance pp. 79-111 Downloads
Peter Hansen, Jeremy Large and Asger Lunde
Nonparametric Estimation Methods of Integrated Multivariate Volatilities pp. 112-138 Downloads
Toshiya Hoshikawa, Keiji Nagai, Taro Kanatani and Yoshihiko Nishiyama
Edgeworth Corrections for Realized Volatility pp. 139-162 Downloads
Silvia Goncalves and Nour Meddahi
Using High-Frequency Data in Dynamic Portfolio Choice pp. 163-198 Downloads
Federico Bandi, Jeffrey Russell and Yinghua Zhu
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? pp. 199-229 Downloads
Michiel De Pooter, Martin Martens and Dick van Dijk
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? pp. 230-253 Downloads
Jim Griffin and Roel Oomen
Refined Inference on Long Memory in Realized Volatility pp. 254-267 Downloads
Offer Lieberman and Peter Phillips
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory pp. 268-297 Downloads
Afonso Gonçalves da Silva and Peter Robinson
Why Aggregate Long Memory Time Series? pp. 298-316 Downloads
Leonardo Souza
Page updated 2022-01-20