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Econometric Reviews

1997 - 2021

Current editor(s): Dr. Essie Maasoumi

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Volume 26, issue 6, 2007

Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity pp. 609-641 Downloads
Silvia Goncalves and Lutz Kilian
Testing Covariance Stationarity pp. 643-667 Downloads
Zhijie Xiao and Luiz Lima
Specification and Identification of Stochastic Demand Models pp. 669-683 Downloads
Walter Beckert
Testing for State Dependence with Time-Variant Transition Probabilities pp. 685-703 Downloads
Timothy Halliday
Testing for the Null Hypothesis of Cointegration with a Structural Break pp. 705-739 Downloads
Yoichi Arai and Eiji Kurozumi

Volume 26, issue 5, 2007

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression pp. 487-501 Downloads
Bent Nielsen and J Reade
Assessing the Precision of Turning Point Estimates in Polynomial Regression Functions pp. 503-528 Downloads
Florenz Plassmann and Neha Khanna
Bayesian Proportional Hazard Analysis of the Timing of High School Dropout Decisions pp. 529-556 Downloads
Mingliang Li
A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns pp. 557-566 Downloads
Yasemin Ulu
U-Statistics and Their Asymptotic Results for Some Inequality and Poverty Measures pp. 567-577 Downloads
Kuan Xu
Formative Indicators and Effects of a Causal Model for Household Human Capital with Application pp. 579-596 Downloads
Camilo Dagum, Giorgio Vittadini and Pietro Giorgio Lovaglio
A Review of: “Book Review: Empirical Dynamic Asset Pricing” pp. 597-604 Downloads
Massimo Guidolin
A Review of: “Book Review: Mathematical and Statistical Foundations” pp. 605-607 Downloads
James Davidson

Volume 26, issue 2-4, 2007

Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics pp. 107-112 Downloads
Gary Koop and Herman van Dijk
Bayesian Analysis of DSGE Models pp. 113-172 Downloads
Sungbae An and Frank Schorfheide
Bayesian Analysis of DSGE Models—Some Comments pp. 173-185 Downloads
Malin Adolfson, Jesper Lindé and Mattias Villani
Bayesian Analysis of DSGE Models by S. An and F. Schorfheide pp. 187-192 Downloads
Fabio Canova
Comment pp. 193-200 Downloads
John Geweke
Econometric Issues in DSGE Models pp. 201-204 Downloads
Fabio Milani and Dale J. Poirier
Comment on An and Schorfheide's Bayesian Analysis of DSGE Models pp. 205-210 Downloads
Tao Zha
Bayesian Analysis of DSGE Models—Rejoinder pp. 211-219 Downloads
Sungbae An and Frank Schorfheide
Normalization in Econometrics pp. 221-252 Downloads
James Hamilton, Daniel Waggoner and Tao Zha
Learning, Structural Instability, and Present Value Calculations pp. 253-288 Downloads
M Pesaran, Davide Pettenuzzo and Allan Timmermann
Forecasting Performance of an Open Economy DSGE Model pp. 289-328 Downloads
Malin Adolfson, Jesper Lindé and Mattias Villani
Forecast Combination and Model Averaging Using Predictive Measures pp. 329-363 Downloads
Jana Eklund and Sune Karlsson
Bayesian Clustering of Many Garch Models pp. 365-386 Downloads
Luc Bauwens and Jeroen Rombouts
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter pp. 387-418 Downloads
Catherine Forbes, Gael Martin and Jill Wright
Flexible Threshold Models for Modelling Interest Rate Volatility pp. 419-437 Downloads
Petros Dellaportas, David G. T. Denison and Chris Holmes
Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model pp. 439-468 Downloads
Rodney Strachan
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market pp. 469-486 Downloads
Luc Bauwens and Michel Lubrano

Volume 26, issue 1, 2007

Variance (Non) Causality in Multivariate GARCH pp. 1-24 Downloads
Massimiliano Caporin
The Sample Selection Model from a Method of Moments Perspective pp. 25-51 Downloads
Erik Meijer and Tom Wansbeek
MIDAS Regressions: Further Results and New Directions pp. 53-90 Downloads
Eric Ghysels, Arthur Sinko and Rossen Valkanov
Nonparametric Methods in Continuous Time Model Specification pp. 91-106 Downloads
Isabel Casas and Jiti Gao

Volume 25, issue 4, 2006

Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling pp. 475-496 Downloads
Esmeralda Ramalho and Joaquim Ramalho
On Testing Equality of Distributions of Technical Efficiency Scores pp. 497-522 Downloads
Leopold Simar and Valentin Zelenyuk
Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models pp. 523-544 Downloads
Jeffrey Racine, Jeffrey Hart and Qi Li

Volume 25, issue 2-3, 2006

Multivariate Stochastic Volatility: An Overview pp. 139-144 Downloads
Esfandiar Maasoumi and Michael McAleer
Multivariate Stochastic Volatility: A Review pp. 145-175 Downloads
Manabu Asai, Michael McAleer and Jun Yu
Continuous Time Wishart Process for Stochastic Risk pp. 177-217 Downloads
Christian Gourieroux
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form pp. 219-244 Downloads
Charles Bos and Neil Shephard
Multivariate Stochastic Volatility Models with Correlated Errors pp. 245-274 Downloads
David Chan, Robert Kohn and Chris Kirby
Factor Stochastic Volatility in Mean Models: A GMM Approach pp. 275-309 Downloads
Catherine Doz and Eric Renault
Factor Multivariate Stochastic Volatility via Wishart Processes pp. 311-334 Downloads
Alexander Philipov and Mark Glickman
Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models pp. 335-360 Downloads
Roman Liesenfeld and Jean-Francois Richard
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison pp. 361-384 Downloads
Jun Yu and Renate Meyer
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models pp. 385-408 Downloads
Borus Jungbacker and Siem Jan Koopman
A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates pp. 409-424 Downloads
Ben Tims and Ronald Mahieu
Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model pp. 425-451 Downloads
Michael Smith and Andrew Pitts
Asymmetric Multivariate Stochastic Volatility pp. 453-473 Downloads
Manabu Asai and Michael McAleer

Volume 25, issue 1, 2006

Estimation, Learning and Parameters of Interest in a Multiple Outcome Selection Model pp. 1-40 Downloads
Justin Tobias
The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors pp. 41-60 Downloads
Pieter Omtzigt and Stefano Fachin
Trend-Cycle Decompositions with Correlated Components pp. 61-84 Downloads
Tommaso Proietti
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study pp. 85-116 Downloads
Jaroslava Hlouskova and Martin Wagner
The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution pp. 117-138 Downloads
Fernanda Peixe, Alastair Hall and Kostas Kyriakoulis
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