Advances in Econometrics

Current editor(s): Juan Carlos Escanciano, Thomas B. Fomby, R. Carter Hill, Eric Hillebrand, David Jacho-Chavez, Ivan Jeliazkov, Daniel Millimet, Alicia Rambaldi and Rodney Strachan

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The Relationship Between DSGE and VAR Models , pp 1-25

Raffaella Giacomini

Price errors from thin markets and their corrections: Studies based on Taiwan's political futures markets , pp 1-25

Shu-Heng Chen and Wei-Shao Wu

The Diffusion of Hausman's Econometric Ideas , pp 1-29

Hector O. Zapata and Cristina M. Caminita

Introduction , pp 1-6

Alexander Chudik, Cheng Hsiao and Allan Timmermann

TESTING FOR RANDOM INDIVIDUAL AND TIME EFFECTS USING UNBALANCED PANEL DATA , pp 1-20

Badi Baltagi, Young-Jae Chang and Qi Li

STATISTICAL ANALYSIS OF GENETIC ALGORITHMS IN DISCOVERING TECHNICAL TRADING STRATEGIES , pp 1-43

Chueh-Yung Tsao and Shu-Heng Chen

Markov Switching Models in Empirical Finance , pp 1-86

Massimo Guidolin

Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments , pp 1-44

Garland Durham and John Geweke

Econometric models in marketing: Editors' introduction , pp 1-9

Philip Hans Franses and Alan L. Montgomery

Fast solution of the Gaussian copula model , pp 1-13

Bjorn Flesaker

A COMPARATIVE STUDY OF PURE AND PRETEST ESTIMATORS FOR A POSSIBLY MISSPECIFIED TWO-WAY ERROR COMPONENT MODEL , pp 1-27

Badi Baltagi, Georges Bresson and Alain Pirotte

Realized Beta: Persistence and Predictability , pp 1-39

Torben Andersen, Tim Bollerslev, Francis Diebold and Ginger Wu

The Elephant in the Corner: A Cautionary Tale about Measurement Error in Treatment Effects Models , pp 1-39

Daniel Millimet

An Interview with Dale Poirier , pp 1-16

Ivan Jeliazkov and Justin L. Tobias

Tests for Random Coefficient Variation in Vector Autoregressive Models , pp 1-35

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Editors’ Introduction , pp 1-12

Christopher F. Parmeter, Mike G. Tsionas and Hung-Jen Wang

On Interpreting the Regression Discontinuity Design as a Local Experiment , pp 1-28

Jasjeet S. Sekhon and Rocio Titiunik

A Semiparametric Stochastic Frontier Model with Correlated Effects , pp 1-28

Gholamreza Hajargasht and William Griffiths

Introduction , pp 1-4

Juan Dolado, Luca Gambetti and Christian Matthes

Selection bias in evaluating treatment effects: Some formal illustrations , pp 1-31

Arthur Goldberger

INTRODUCTION , pp 1-32

James LeSage and R. Kelley Pace

Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models , pp 1-24

Yonghui Zhang and Qiankun Zhou

Introduction , pp 1-5

Alexander Chudik, Cheng Hsiao and Allan Timmermann

Partial identification of the distribution of treatment effects and its confidence sets , pp 3-70

Yanqin Fan and Sang Soo Park

MCMC perspectives on simulated likelihood estimation , pp 3-39

Ivan Jeliazkov and Esther Hee Lee

Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models , pp 3-44

Victor Aguirregabiria and Arvind Magesan

A Selective Review of Aman Ullah’s Contributions to Econometrics , pp 3-43

Yong Bao, Fan Yanqin, Liangjun Su and Victoria Zinde-Walsh

Identification and Estimation of Network models with Heterogeneous Interactions , pp 3-25

Tiziano Arduini, Eleonora Patacchini and Edoardo Rainone

An Overview of the Factor-augmented Error-Correction Model , pp 3-41

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk , pp 3-21

Bruce Hansen

The Modeling of Expectations in Empirical DSGE Models: A Survey , pp 3-38

Fabio Milani

Fast Simulated Maximum Likelihood Estimation of the Spatial Probit Model Capable of Handling Large Samples , pp 3-34

R. Kelley Pace and James LeSage

Can Internet Match High-quality Traditional Surveys? Comparing the Health and Retirement Study and its Online Version , pp 3-33

Marco Angrisani, Brian Finley and Arie Kapteyn

Aggregate Output Measurements: A Common Trend Approach , pp 3-33

Martín Almuzara, Gabriele Fiorentini and Enrique Sentana

THE MAXIMUM ENTROPY APPROACH TO ESTIMATION AND INFERENCE , pp 3-24

Amos Golan, George Judge and Douglas Miller

A History of the Advances in Econometrics Series , pp 3-24

Randall C. Campbell and Asli Ogunc

Discrete Fourier Transforms of Fractional Processes with Econometric Applications* , pp 3-71

Peter Phillips

A Flexible Dynamic Correlation Model , pp 3-31

Dirk Baur

Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 , pp 5-24

Francis Diebold

On the Evolution of US Temperature Dynamics , pp 9-28

Francis Diebold and Glenn Rudebusch

A Panel Data Model with Generalized Higher-Order Network Effects , pp 9-35

Badi Baltagi, Sophia Ding and Peter Egger

Bayesian econometrics: past, present, and future , pp 11-60

Arnold Zellner

Hausman’s Specification Test for Panel Data: Practical Tips , pp 13-24

Badi Baltagi

An empirical study of pricing and hedging collateralized debt obligation (CDO) , pp 15-54

Lijuan Cao, Zhang Jingqing, Lim Kian Guan and Zhonghui Zhao

Macroeconomic Nowcasting Using Google Probabilities☆ , pp 17-40

Gary Koop and Luca Onorante

A STATISTICAL APPROACH FOR DISAGGREGATING MIXED-FREQUENCY ECONOMIC TIME-SERIES DATA , pp 21-45

Wai-Sum Chan and Zhao-Guo Chen

Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation , pp 23-63

Yixiao Sun

State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models , pp 25-53

Luis Uzeda

Testing Convergence Using HAR Inference , pp 25-72

Jianning Kong, Peter Phillips and Donggyu Sul

Do Federal Disability Insurance Participants Exaggerate Their Health Problems? A Study Using Anchoring Vignettes , pp 25-44

Kajal Lahiri and Paul Noroski