Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Detrending Bootstrap Unit Root Tests pp. 869-891: Stephan Smeekes
Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation pp. 892-927: Mohitosh Kejriwal and Claude Lopez
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions pp. 928-955: Jia Chen, Jiti Gao and Degui Li

State Space Models and MIDAS Regressions pp. 779-813: Jennie Bai, Eric Ghysels and Jonathan Wright
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion pp. 814-847: Giuseppe Cavaliere, Robert Taylor and Carsten Trenkler
A Unified View of Nonparametric Trend-Cycle Predictors Via Reproducing Kernel Hilbert Spaces pp. 848-867: Estelle Dagum and Silvia Bianconcini

An Overview of Dependence in Cross-Section, Time-Series, and Panel Data pp. 543-546: Badi Baltagi and Esfandiar Maasoumi
Lessons from a Decade of IPS and LLC pp. 547-591: Joakim Westerlund and Jörg Breitung
Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit pp. 592-649: Alexander Chudik and Mohammad Pesaran
A Generalized Spatial Panel Data Model with Random Effects pp. 650-685: Badi Baltagi, Peter Egger and Michael Pfaffermayr
On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors pp. 686-733: David Drukker, Peter Egger and Ingmar Prucha
Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments pp. 734-753: Xiaodong Liu and Lung-Fei Lee
Nonparametric Estimation in Large Panels with Cross-Sectional Dependence pp. 754-777: Xiao Huang

On Sample Skewness and Kurtosis pp. 415-448: Yong Bao
Granularity Adjustment for Efficient Portfolios pp. 449-468: Christian Gourieroux and Alain Monfort
A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence pp. 469-512: Sainan Jin and Liangjun Su
Empirical Likelihood-Based Inference for Poverty Measures with Relative Poverty Lines pp. 513-523: Brennan Thompson
Disparity, Shortfall, and Twice-Endogenous HARA Utility pp. 524-541: M. Ryan Haley, M Kevin McGee and Todd Walker

Identification and Identification Failure for Treatment Effects Using Structural Systems pp. 273-317: Halbert White and Karim Chalak
Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach pp. 318-360: Alex Maynard, Aaron Smallwood and Mark Wohar
Consistent GMM Residuals-Based Tests of Functional Form pp. 361-383: Jonathan B. Hill
Identification of Treatment Effects on the Treated with One-Sided Non-Compliance pp. 384-414: Markus Frölich and Blaise Melly

An Intersection Test for Panel Unit Roots pp. 183-203: Christoph Hanck
Wild Bootstrap of the Sample Mean in the Infinite Variance Case pp. 204-219: Giuseppe Cavaliere, Iliyan Georgiev and Robert Taylor
Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model pp. 220-243: Alan J. Rogers
A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks pp. 244-271: Sarantis Tsiaplias and Chew Chua

Introduction to Robustness in Multidimensional Wellbeing Analysis pp. 1-6: Esfandiar Maasoumi and Gaston Yalonetzky
Weights in Multidimensional Indices of Wellbeing: An Overview pp. 7-34: Koen Decancq and Maria Ana Lugo
Composite Indices: Rank Robustness, Statistical Association, and Redundancy pp. 35-56: James Foster, Mark McGillivray and Suman Seth
Multidimensional Poverty: Measurement, Estimation, and Inference pp. 57-83: Christopher Bennett and Shabana Mitra
Testing for Restricted Stochastic Dominance pp. 84-125: Russell Davidson and Jean-Yves Duclos
Stochastic Dominance with Ordinal Variables: Conditions and a Test pp. 126-163: Gaston Yalonetzky
Institutions and Economic Outcomes: A Dominance-Based Analysis pp. 164-182: Gordon Anderson and Kinda Hachem

A Review of Some Modern Approaches to the Problem of Trend Extraction pp. 593-624: Theodore Alexandrov, Silvia Bianconcini, Estelle Dagum, Peter Maass and Tucker McElroy
Centered-Residuals-Based Moment Estimator and Test for Stochastic Frontier Models pp. 625-653: Yi-Ting Chen and Hung-Jen Wang
A Survey on Time-Varying Copulas: Specification, Simulations, and Application pp. 654-687: Hans Manner and Olga Reznikova

Cross-Sectional Dependence in Panel Data Analysis pp. 483-531: Vasilis Sarafidis and Tom Wansbeek
Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models pp. 532-557: Emma Iglesias and Garry Phillips
Python for Unified Research in Econometrics and Statistics pp. 558-591: Roseline Bilina and Steve Lawford

Weak Instrumental Variables Models for Longitudinal Data pp. 361-389: Zongwu Cai, Ying Fang and Henong Li
Asymptotics for Panel Models with Common Shocks pp. 390-439: Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models pp. 440-474: Josu Arteche
On the Characteristic Function for Asymmetric Exponential Power Distributions pp. 475-481: Saralees Nadarajah and Mahdi Teimouri

A Survey of Sequential Monte Carlo Methods for Economics and Finance pp. 245-296: Drew Creal
A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models pp. 297-324: Christian Kascha
Likelihood-Based Inference for Weak Exogeneity in (2) Cointegrated VAR Models pp. 325-360: Takamitsu Kurita

A Note on Two-Way ECM Estimation of SUR Systems on Unbalanced Panel Data pp. 119-141: Silvia Platoni, Paolo Sckokai and Daniele Moro
Theory and Applications of TAR Model with Two Threshold Variables pp. 142-170: Haiqiang Chen, Terence Tai Leung Chong and Jushan Bai
Semiparametric Estimators for Limited Dependent Variable (LDV) Models with Endogenous Regressors pp. 171-214: Myoung-jae Lee
Testing for Spatial Autocorrelation: The Regressors that Make the Power Disappear pp. 215-240: Federico Martellosio
Review of Microfit5 pp. 241-244: Ronald Smith

Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS pp. 1-33: Otilia Boldea, Alastair Hall and Sanggohn Han
Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes pp. 34-59: Changli He and Rickard Sandberg
Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form pp. 60-83: George Athanasopoulos, Donald Poskitt and Farshid Vahid
Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations pp. 84-106: Andriy Norets
Book Review: and pp. 107-117: Patrick Bajari and Thomas Youle