Econometric Reviews

1997 - 2025

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

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

George Kapetanios and Yongcheol Shin

Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling pp. 646-668

Jose Luis Aznarte, Jesus Alcala-Fdez, Antonio Arauzo and Jose Manuel Benitez

Volatility, Jumps, and Predictability of Returns: A Sequential Analysis pp. 669-695

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

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

David Harvey, Stephen Leybourne and Robert Taylor

Alternative Asymmetric Stochastic Volatility Models pp. 548-564

Manabu Asai and Michael McAleer

Marginal Changes in Random Parameters Ordered Response Models with Interaction Terms pp. 565-576

Andreas Drichoutis and Rodolfo Nayga

Book Review: Econometric Modeling and Inference pp. 577-581

Jean-Francois Richard

Volume 30, issue 4, 2011

Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models pp. 359-378

Kulan Ranasinghe and Mervyn J. Silvapulle

Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors pp. 379-405

Nikolay Gospodinov and Ye Tao

Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions pp. 406-456

Giuseppe Ragusa

Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap pp. 457-468

Dale J. Poirier

Book Review: Introducing Monte Carlo Methods with R pp. 469-474

Richard Luger

Volume 30, issue 3, 2011

A Consistent Test for Multivariate Conditional Distributions pp. 251-273

Fuchun Li and Greg Tkacz

Testing for a unit root in a stationary ESTAR process pp. 274-302

Rehim Kılıc

Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation pp. 303-336

Emma Iglesias and Garry Phillips

Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs pp. 337-357

Scott Atkinson and Christopher Cornwell

Volume 30, issue 2, 2011

Estimation and Asymptotic Inference in the AR-ARCH Model pp. 129-153

Theis Lange, Anders Rahbek and Søren Tolver Jensen

Robust Misspecification Tests for the Heckman's Two-Step Estimator pp. 154-172

Gabriel Montes-Rojas

Two-Step Estimation of Endogenous and Exogenous Group Effects pp. 173-207

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

Loukia Meligkotsidou, Elias Tzavalis and Ioannis Vrontos

Volume 30, issue 1, 2011

Empirical Likelihood for Efficient Semiparametric Average Treatment Effects pp. 1-24

Francesco Bravo and David Jacho-Chávez

Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters pp. 25-50

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

Nikolaos Kourogenis and Nikitas Pittis

The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics pp. 109-127

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

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

Nii Ayi Armah and Norman Swanson

Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth pp. 511-533

David Rapach and Jack Strauss

To Combine Forecasts or to Combine Information? pp. 534-570

Huiyu Huang and Tae Hwy Lee

The Benefits of Bagging for Forecast Models of Realized Volatility pp. 571-593

Eric Hillebrand and Marcelo Medeiros

An Empirical Comparison of Machine Learning Models for Time Series Forecasting pp. 594-621

Nesreen Ahmed, Amir Atiya, Neamat El Gayar and Hisham El-Shishiny

On Some Models for Value-At-Risk pp. 622-641

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

Alexandre Carvalho and Georgios Skoulakis

Estimating the Market Share Attraction Model using Support Vector Regressions pp. 688-716

Georgi Nalbantov, Philip Hans Franses, Patrick Groenen and Jan Bioch

Estimating Interest Rate Curves by Support Vector Regression pp. 717-753

Andre d'Almeida Monteiro

Identification of Changes in Mean with Regression Trees: An Application to Market Research pp. 754-777

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

Yingyao Hu and Geert Ridder

Cointegrating Regressions with Time Heterogeneity pp. 397-438

Chang Sik Kim and Joon Park

A Semiparametric Analysis of Gasoline Demand in the United States Reexamining The Impact of Price pp. 439-468

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

Gordon Anderson, Ying Ge and Teng Wah Leo

Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes pp. 276-306

Marcelo Fernandes and Breno Neri

Information-Theoretic Distribution Test with Application to Normality pp. 307-329

Thanasis Stengos and Ximing Wu

Testing, Estimation in GMM and CUE with Nearly-Weak Identification pp. 330-363

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

Christian Gengenbach, Franz Palm and Jean-Pierre Urbain

Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models pp. 146-157

Edward Cripps, Denzil Fiebig and Robert Kohn

Implementing Box-Cox Quantile Regression pp. 158-181

Bernd Fitzenberger, Ralf Wilke and Xuan Zhang

The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study pp. 182-223

Martin Wagner and Jaroslava Hlouskova

Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space pp. 224-242

Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

Book Review: New Introduction to Multiple Time Series Analysis pp. 243-246

Òscar Jord�

Volume 29, issue 1, 2010

Gamma Unobserved Heterogeneity and Duration Bias pp. 1-19

Pål Børing

A Multivariate Threshold Varying Conditional Correlations Model pp. 20-38

W. Kwan, W. K. Li and K. W. Ng

Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models pp. 39-61

Kien Tran and Mike Tsionas

Inferences from Cross-Sectional, Stochastic Frontier Models pp. 62-98

Leopold Simar and Paul Wilson

Book Review: Identification and Inference for Econometric Models pp. 99-105

Patrik Guggenberger

Book Review: Econometrics, Statistics and Computational Approaches in Food and Health Sciences pp. 106-109

Francis Vella