Econometrics Journal

2011 - 2018

Continuation of Econometrics Journal. Continued by The Econometrics Journal.

Current editor(s): Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen

From Royal Economic Society
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Volume 15, month 10, 2012

A Review of Structural Macroeconometrics by DeJong (David N.) and Dave (Chetan) pp. B5-B10

Christoph Görtz

A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman) pp. B11-B15

Gael Martin

Weak instrument inference in the presence of parameter instability pp. 395-419

Hong Li and Zhijie Xiao

Non‐parametric detection and estimation of structural change pp. 420-461

Dennis Kristensen

Testing a parametric function against a non‐parametric alternative in IV and GMM settings pp. 462-489

Tue Gørgens and Allan Würtz

Estimation of dynamic latent variable models using simulated non‐parametric moments pp. 490-515

Michael Creel and Dennis Kristensen

Testing for uncorrelated errors in ARMA models: non‐standard Andrews‐Ploberger tests pp. 516-534

John C. Nankervis and Nathan E. Savin

Volume 15, month 06, 2012

A Review of Modelling Nonlinear Economic Time Series by TERÄSVIRTA (TIMO), TJØSTHEIM (DAG) and GRANGER (CLIVE W.J.) pp. B1-B3

Denise Osborn

Estimating and testing non‐affine option pricing models with a large unbalanced panel of options pp. 171-203

Fabrizio Ferriani and Sergio Pastorello

Non‐stationary non‐parametric volatility model pp. 204-225

Heejoon Han and Shen Zhang

Testing for rational bubbles in a coexplosive vector autoregression pp. 226-254

Tom Engsted and Bent Nielsen

Non‐stationary regression with logistic transition pp. 255-287

Yoosoon Chang, Bibo Jiang and Joon Park

Discrete endogenous variables in weakly separable models pp. 288-303

Sung Jae Jun, Joris Pinkse and Haiqing Xu

Instrumental regression in partially linear models pp. 304-324

Jean‐Pierre Florens, Jan Johannes and Sebastien Van Bellegem

Estimating the effect of a variable in a high‐dimensional linear model pp. 325-357

Peter Jensen and Allan Würtz

Misspecification tests based on quantile residuals pp. 358-393

Leena Kalliovirta

Volume 15, month 02, 2012

EDITORIAL pp. Ci-Cii

Oliver Linton and Richard Smith

Generalized empirical likelihood testing in semiparametric conditional moment restrictions models pp. 1-31

Francesco Bravo

Incorporating covariates in the measurement of welfare and inequality: methods and applications pp. C1-C30

Stephen Donald, Yu-Chin Hsu and Garry Barrett

Statistical inference in the presence of heavy tails pp. C31-C53

Russell Davidson

Breakdown point theory for implied probability bootstrap pp. 32-55

Lorenzo Camponovo and Taisuke Otsu

Discussion of S.G. Donald et al. and R. Davidson pp. C54-C57

Christian Schluter

Testing for common trends in semi‐parametric panel data models with fixed effects pp. 56-100

Yonghui Zhang, Liangjun Su and Peter Phillips

Unit root tests for panel data with AR(1) errors and small T pp. 101-124

Rembert De Blander and Geert Dhaene

On the problem of inference for inequality measures for heavy‐tailed distributions pp. 125-153

Christian Schluter

Break point estimators for a slope shift: levels versus first differences pp. 154-169

Jingjing Yang

Volume 14, month 02, 2011

Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives pp. Ci-Ciii

Pierre Perron and Richard J. Smith

Quantile regression models with factor‐augmented predictors and information criterion pp. 1-24

Tomohiro Ando and Ruey S. Tsay

A hierarchical factor analysis of U.S. housing market dynamics pp. C1-C24

Emanuel Moench and Serena Ng

Short‐term forecasts of euro area GDP growth pp. C25-C44

Elena Angelini, Gonzalo Camba‐Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler

Testing for sphericity in a fixed effects panel data model pp. 25-47

Badi Baltagi, Qu Feng and Chihwa Kao

Weak and strong cross‐section dependence and estimation of large panels pp. C45-C90

Alexander Chudik, Mohammad Pesaran and Elisa Tosetti

The Hausman test in a Cliff and Ord panel model pp. 48-76

Jan Mutl and Michael Pfaffermayr

Fully modified narrow‐band least squares estimation of weak fractional cointegration pp. 77-120

Morten Nielsen and Per Frederiksen

Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren, Econometrics Journal, 4, 2001, 109–142) pp. 121-125

Deniz Karaman Örsal and Bernd Droge

Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) pp. 126-129

Peter Phillips and Jun Yu