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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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Introduction , pp 1-6 Downloads
Alexander Chudik, Cheng Hsiao and Allan Timmermann
INTRODUCTION , pp 1-32 Downloads
James LeSage and R. Kelley Pace
An Interview with Dale Poirier , pp 1-16 Downloads
Ivan Jeliazkov and Justin L. Tobias
Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models , pp 1-24 Downloads
Yonghui Zhang and Qiankun Zhou
The Relationship Between DSGE and VAR Models , pp 1-25 Downloads
Raffaella Giacomini
Price errors from thin markets and their corrections: Studies based on Taiwan's political futures markets , pp 1-25 Downloads
Shu-Heng Chen and Wei-Shao Wu
A COMPARATIVE STUDY OF PURE AND PRETEST ESTIMATORS FOR A POSSIBLY MISSPECIFIED TWO-WAY ERROR COMPONENT MODEL , pp 1-27 Downloads
Badi Baltagi, Georges Bresson and Alain Pirotte
Selection bias in evaluating treatment effects: Some formal illustrations , pp 1-31 Downloads
Arthur Goldberger
Tests for Random Coefficient Variation in Vector Autoregressive Models , pp 1-35 Downloads
Dante Amengual, Gabriele Fiorentini and Enrique Sentana
TESTING FOR RANDOM INDIVIDUAL AND TIME EFFECTS USING UNBALANCED PANEL DATA , pp 1-20 Downloads
Badi Baltagi, Young-Jae Chang and Qi Li
STATISTICAL ANALYSIS OF GENETIC ALGORITHMS IN DISCOVERING TECHNICAL TRADING STRATEGIES , pp 1-43 Downloads
Chueh-Yung Tsao and Shu-Heng Chen
Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments , pp 1-44 Downloads
Garland Durham and John Geweke
A Semiparametric Stochastic Frontier Model with Correlated Effects , pp 1-28 Downloads
Gholamreza Hajargasht and William Griffiths
On Interpreting the Regression Discontinuity Design as a Local Experiment , pp 1-28 Downloads
Jasjeet S. Sekhon and Rocio Titiunik
Introduction , pp 1-4 Downloads
Juan Dolado, Luca Gambetti and Christian Matthes
Fast solution of the Gaussian copula model , pp 1-13 Downloads
Bjorn Flesaker
Introduction , pp 1-5 Downloads
Alexander Chudik, Cheng Hsiao and Allan Timmermann
The Diffusion of Hausman's Econometric Ideas , pp 1-29 Downloads
Hector O. Zapata and Cristina M. Caminita
Markov Switching Models in Empirical Finance , pp 1-86 Downloads
Massimo Guidolin
Editors’ Introduction , pp 1-12 Downloads
Christopher F. Parmeter, Mike G. Tsionas and Hung-Jen Wang
Econometric models in marketing: Editors' introduction , pp 1-9 Downloads
Philip Hans Franses and Alan L. Montgomery
Realized Beta: Persistence and Predictability , pp 1-39 Downloads
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 Downloads
Daniel Millimet
THE MAXIMUM ENTROPY APPROACH TO ESTIMATION AND INFERENCE , pp 3-24 Downloads
Amos Golan, George Judge and Douglas Miller
A History of the Advances in Econometrics Series , pp 3-24 Downloads
Randall C. Campbell and Asli Ogunc
Identification and Estimation of Network models with Heterogeneous Interactions , pp 3-25 Downloads
Tiziano Arduini, Eleonora Patacchini and Edoardo Rainone
The Modeling of Expectations in Empirical DSGE Models: A Survey , pp 3-38 Downloads
Fabio Milani
Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk , pp 3-21 Downloads
Bruce Hansen
Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models , pp 3-44 Downloads
Victor Aguirregabiria and Arvind Magesan
Aggregate Output Measurements: A Common Trend Approach , pp 3-33 Downloads
Martín Almuzara, Gabriele Fiorentini and Enrique Sentana
Can Internet Match High-quality Traditional Surveys? Comparing the Health and Retirement Study and its Online Version , pp 3-33 Downloads
Marco Angrisani, Brian Finley and Arie Kapteyn
Fast Simulated Maximum Likelihood Estimation of the Spatial Probit Model Capable of Handling Large Samples , pp 3-34 Downloads
R. Kelley Pace and James LeSage
A Selective Review of Aman Ullah’s Contributions to Econometrics , pp 3-43 Downloads
Yong Bao, Fan Yanqin, Liangjun Su and Victoria Zinde-Walsh
A Flexible Dynamic Correlation Model , pp 3-31 Downloads
Dirk Baur
An Overview of the Factor-augmented Error-Correction Model , pp 3-41 Downloads
Anindya Banerjee, Massimiliano Marcellino and Igor Masten
Discrete Fourier Transforms of Fractional Processes with Econometric Applications* , pp 3-71 Downloads
Peter Phillips
Partial identification of the distribution of treatment effects and its confidence sets , pp 3-70 Downloads
Yanqin Fan and Sang Soo Park
MCMC perspectives on simulated likelihood estimation , pp 3-39 Downloads
Ivan Jeliazkov and Esther Hee Lee
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 , pp 5-24 Downloads
Francis Diebold
A Panel Data Model with Generalized Higher-Order Network Effects , pp 9-35 Downloads
Badi Baltagi, Sophia Ding and Peter Egger
On the Evolution of US Temperature Dynamics , pp 9-28 Downloads
Francis Diebold and Glenn Rudebusch
Bayesian econometrics: past, present, and future , pp 11-60 Downloads
Arnold Zellner
Hausman’s Specification Test for Panel Data: Practical Tips , pp 13-24 Downloads
Badi Baltagi
An empirical study of pricing and hedging collateralized debt obligation (CDO) , pp 15-54 Downloads
Lijuan Cao, Zhang Jingqing, Lim Kian Guan and Zhonghui Zhao
Macroeconomic Nowcasting Using Google Probabilities☆ , pp 17-40 Downloads
Gary Koop and Luca Onorante
A STATISTICAL APPROACH FOR DISAGGREGATING MIXED-FREQUENCY ECONOMIC TIME-SERIES DATA , pp 21-45 Downloads
Wai-Sum Chan and Zhao-Guo Chen
Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation , pp 23-63 Downloads
Yixiao Sun
Testing Convergence Using HAR Inference , pp 25-72 Downloads
Jianning Kong, Peter Phillips and Donggyu Sul
INFORMATION THEORETIC REGRESSION METHODS , pp 25-83 Downloads
Ehsan S. Soofi
Do Federal Disability Insurance Participants Exaggerate Their Health Problems? A Study Using Anchoring Vignettes , pp 25-44 Downloads
Kajal Lahiri and Paul Noroski
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