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Advances in Econometrics

Current editor(s): Thomas B. Fomby, R. Carter Hill, Ivan Jeliazkov, Juan Carlos Escanciano and Eric Hillebrand

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Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments , pp 1-44 Downloads
Garland Durham and John Geweke
On Interpreting the Regression Discontinuity Design as a Local Experiment , pp 1-28 Downloads
Jasjeet S. Sekhon and Rocío Titiunik
A Selective Review of Aman Ullah’s Contributions to Econometrics , pp 3-43 Downloads
Yong Bao, Fan Yanqin, Liangjun Su and Victoria Zinde-Walsh
Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk , pp 3-21 Downloads
Bruce Hansen
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
An Overview of the Factor-augmented Error-Correction Model , pp 3-41 Downloads
Anindya Banerjee, Massimiliano Marcellino and Igor Masten
Fixed-smoothing Asymptotics and Asymptotic: F: and: t: Tests in the Presence of Strong Autocorrelation , pp 23-63 Downloads
Yixiao Sun
Identification and Estimation Using a Density Discontinuity Approach , pp 29-72 Downloads
Hugo Jales and Zhengfei Yu
Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables , pp 35-77 Downloads
Roman Liesenfeld, Jean-Francois Richard and Jan Vogler
Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case , pp 43-73 Downloads
Lukas Koelbl, Alexander Braumann, Elisabeth Felsenstein and Manfred Deistler
Model Switching and Model Averaging in Time-Varying Parameter Regression Models , pp 45-69 Downloads
Miguel Belmonte and Gary Koop
Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models , pp 47-65 Downloads
Yonghong An, Cheng Hsiao and Dong Li
Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors , pp 65-92 Downloads
Yong Bao, Aman Ullah and Ru Zhang
Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions , pp 67-84 Downloads
H. Baltagi Badi and Liu Long
Assessing Bayesian Model Comparison in Small Samples , pp 71-115 Downloads
Enrique Martínez-García and Mark Wynne
The Deterrence Effect of Prison: Dynamic Theory and Evidence: * , pp 73-146 Downloads
David S. Lee and Justin McCrary
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? , pp 75-125 Downloads
Jens H. E. Christensen and Glenn Rudebusch
The Impact of Storms on Firm Survival: A Bayesian Spatial Econometric Model for Firm Survival , pp 81-118 Downloads
Mihaela Craioveanu and Dek Terrell
Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors , pp 85-135 Downloads
Alexander Chudik, Kamiar Mohaddes, M Pesaran and Mehdi Raissi
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests , pp 93-122 Downloads
Eric Ghysels and J. Miller
Bayesian Selection of Systemic Risk Networks , pp 117-153 Downloads
Daniel Felix Ahelegbey and Paolo Giudici
Bayesian Spatial Bivariate Panel Probit Estimation , pp 119-144 Downloads
Badi Baltagi, Peter Egger and Michaela Kesina
Testing for Cointegration in Markov Switching Error Correction Models , pp 123-150 Downloads
Liang Hu and Yongcheol Shin
Dynamic Factor Models for the Volatility Surface , pp 127-174 Downloads
Michel van der Wel, Sait Ozturk and Dick van Dijk
Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects , pp 137-204 Downloads
Liangjun Su and Yonghui Zhang
Estimating Binary Spatial Autoregressive Models for Rare Events , pp 145-166 Downloads
Raffaella Calabrese and Johan A. Elkink
An Overview of Geographically Discontinuous Treatment Assignments with an Application to Children’s Health Insurance , pp 147-194 Downloads
Luke Keele, Scott Lorch, Molly Passarella, Dylan Small and Rocío Titiunik
Specification Testing in Parametric Trending Models with Unknown Errors , pp 151-202 Downloads
Jiti Gao and Maxwell King
Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison , pp 155-179 Downloads
Martin Burda
A Multivariate Spatial Analysis for Anticipating New Firm Counts , pp 167-193 Downloads
Yiyi Wang, Kara M. Kockelman and Paul Damien
Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches , pp 177-214 Downloads
Jörg Breitung and Eickmeier Sandra
Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach , pp 181-222 Downloads
Guillaume Weisang
External and Internal Validity of a Geographic Quasi-Experiment Embedded in a Cluster-Randomized Experiment , pp 195-236 Downloads
Sebastian Galiani, Patrick McEwan and Brian Quistorff
A Multivariate Spatial-Time of Day Analysis of Truck Crash Frequency across Neighborhoods in New York City , pp 195-219 Downloads
Wei Zou, Xiaokun Wang and Yiyi Wang
Panel Macroeconometric Modeling: This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics , pp 205-239 Downloads
Cheng Hsiao
Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models , pp 207-244 Downloads
Yong Bao
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation , pp 215-282 Downloads
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Group Interaction in Research and the Use of General Nesting Spatial Models , pp 223-258 Downloads
Peter Burridge, J.Paul Elhorst and Katarina Zigova
Determining the Proper Specification for Endogenous Covariates in Discrete Data Settings , pp 223-247 Downloads
Angela Vossmeyer
The Comparative Regression Discontinuity (CRD) Design: An Overview and Demonstration of its Performance Relative to Basic RD and the Randomized Experiment , pp 237-279 Downloads
Yang Tang, Thomas D. Cook, Yasemin Kisbu-Sakarya, Heinrich Hock and Hanley Chiang
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition , pp 241-279 Downloads
John Chao, Myungsup Kim and Donggyu Sul
Finite Sample BIAS Corrected IV Estimation for Weak and Many Instruments , pp 245-273 Downloads
Matthew Harding, Jerry Hausman and Christopher J. Palmer
Variable Selection in Bayesian Models: Using Parameter Estimation and Non Parameter Estimation Methods , pp 249-278 Downloads
Gail Blattenberger, Richard Fowles and Peter D. Loeb
How to Measure Spillover Effects of Public Capital Stock: A Spatial Autoregressive Stochastic Frontier Model , pp 259-294 Downloads
Jaepil Han, Deockhyun Ryu and Robin Sickles
On the Construction of Prior Information – An Info-Metrics Approach , pp 277-314 Downloads
Amos Golan and Robin L. Lumsdaine
Intrinsic Priors for Objective Bayesian Model Selection , pp 279-300 Downloads
Elías Moreno and Luís Raúl Pericchi
Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors , pp 281-302 Downloads
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul
Party Bias in Union Representation Elections: Testing for Manipulation in the Regression Discontinuity Design when the Running Variable is Discrete , pp 281-315 Downloads
Brigham R. Frandsen
Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-linear Approach , pp 283-316 Downloads
Maximo Camacho, Danilo Leiva-Leon and Gabriel Perez-Quiros
Local Marginal Analysis of Spatial Data: A Gaussian Process Regression Approach with Bayesian Model and Kernel Averaging , pp 297-342 Downloads
Jacob Dearmon and Tony E. Smith
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