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 Econometrics of Oil Market VAR Models , pp 65-95

Lutz Kilian and Xiaoqing Zhou

Variable Selection in Sparse Semiparametric Single Index Models , pp 65-88

Jianghao Chu, Tae Hwy Lee and Aman Ullah

Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions , pp 67-84

H. Baltagi Badi and Liu Long

Assessing Bayesian Model Comparison in Small Samples , pp 71-115

Enrique Martínez-García and Mark Wynne

TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS , pp 71-91

Jane M. Binner, Thomas Elger, Birger Nilsson and Jonathan A. Tepper

Cross-validated bandwidths and significance testing , pp 71-98

Christopher F. Parmeter, Zhiyuan Zheng and Patrick McCann

Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise , pp 73-95

Xiaohu Wang, Weilin Xiao and Jun Yu

Multi-step Forecasting with Large Vector Autoregressions , pp 73-98

Andreas Pick and Matthijs Carpay

The Deterrence Effect of Prison: Dynamic Theory and Evidence* , pp 73-146

David S. Lee and Justin McCrary

Model Selection for Explosive Models , pp 73-103

Yubo Tao and Jun Yu

MISSING DATA FROM INFREQUENCY OF PURCHASE , pp 75-102

William Griffiths and Ma. Rebecca Valenzuela

Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? , pp 75-125

Jens H. E. Christensen and Glenn Rudebusch

SPATIAL LAGS AND SPATIAL ERRORS REVISITED: SOME MONTE CARLO EVIDENCE , pp 75-98

Robin Dubin

TEST STATISTICS AND CRITICAL VALUES IN SELECTIVITY MODELS , pp 75-105

Carter Hill, Lee Adkins and Keith Bender

Unit Roots, Cointegration, and Pretesting in Var Models☆The views expressed here are the authors and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System , pp 81-115

Nikolay Gospodinov, Ana María Herrera and Elena Pesavento

News, Non-Invertibility, and Structural VARs , pp 81-135

Eric Sims

The Impact of Storms on Firm Survival: A Bayesian Spatial Econometric Model for Firm Survival , pp 81-118

Mihaela Craioveanu and Dek Terrell

Multiple Treatment Effects in Panel-Heterogeneity and Aggregation , pp 81-101

Cheng Hsiao, Yan Shen and Qiankun Zhou

Bootstrap Model Averaging Unit Root Inference , pp 81-98

Bruce E. Hansen and Jeffrey Racine

Trade Networks and the Strength of Strong Ties , pp 83-110

Aureo de Paula

Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors , pp 85-135

Alexander Chudik, Kamiar Mohaddes, Mohammad Pesaran and Mehdi Raissi

Credit risk dependence modeling with dynamic copula: An application to CDO tranches , pp 85-102

Daniel Totouom and Margaret Armstrong

THE BAYESIAN METHOD OF MOMENTS (BMOM) , pp 85-105

Arnold Zellner

Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire , pp 87-106

Heng Chen and Q. Rallye Shen

An Expository Note on the Existence of Moments of Fuller and HFUL Estimators , pp 87-106

John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson and Tiemen Woutersen

A Bayesian analysis of the OPES model with a nonparametric component: An application to dental insurance and dental care , pp 87-114

Murat Munkin and Pravin Trivedi

Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey , pp 87-178

Massimo Guidolin

Fully Nonparametric Bayesian Additive Regression Trees , pp 89-110

Edward George, Purushottam Laud, Brent Logan, Robert McCulloch and Rodney Sparapani

Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods , pp 89-121

Ngai Hang Chan and Wilfredo Palma

Measurement error in the national accounts , pp 91-105

Dennis Fixler

A Bayesian Model for Activation and Connectivity in Task-related fMRI Data , pp 91-132

Zhe Yu, Raquel Prado, Steve C. Cramer, Erin B. Quinlan and Hernando Ombao

USING NON-PARAMETRIC SEARCH ALGORITHMS TO FORECAST DAILY EXCESS STOCK RETURNS , pp 93-125

Nathan Lael Joseph, David S. Brée and Efstathios Kalyvas

On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests , pp 93-122

Eric Ghysels and J. Miller

Efficient Estimation of the Dose–Response Function Under Ignorability Using Subclassification on the Covariates , pp 93-127

Matias Cattaneo and Max Farrell

Instrumental variables estimation of the average treatment effect in the correlated random coefficient model , pp 93-116

Jeffrey Wooldridge

Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root , pp 97-114

Uwe Hassler and Mehdi Hosseinkouchack

Serial Correlation Robust LM , pp 97-131

Jingjing Yang and Timothy Vogelsang

Identifying Dynamic Games with Serially Correlated Unobservables , pp 97-113

Yingyao Hu and Matthew Shum

Business Cycles in the EU: A Comprehensive Comparison Across Methods , pp 99-146

Dmitrij Celov and Mariarosaria Comunale

Gains from Switching Between Forecasts , pp 99-116

Allan Timmermann and Yinchu Zhu

Averaging Heterogeneous Autoregression Models with Heteroskedastic Errors: Theory and an Application to Cryptocurrency Volatility Forecasting , pp 99-131

Ziwen Gao, Steven Lehrer, Tian Xie and Xinyu Zhang

Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance , pp 99-131

Whayoung Jung and Ji Hyung Lee

Semiparametric estimation of fixed-effects panel data varying coefficient models , pp 101-129

Yiguo Sun, Raymond J. Carroll and Dingding Li

BAYESIAN MODEL CHOICE IN SPATIAL ECONOMETRICS , pp 101-126

Leslie W. Hepple

Backward Mean Transformation in Panel Data with Predetermined Regressors , pp 103-143

Artūras Juodis

MESSY TIME SERIES , pp 103-143

Andrew Harvey, Siem Jan Koopman and Jeremy Penzer

Perturbed Gaussian copula , pp 103-121

Jean-Pierre Fouque and Xianwen Zhou

A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals , pp 105-124

Dimitris N. Politis

A VAR Approach to Forecasting Multivariate Long Memory Processes Subject to Structural Breaks , pp 105-141

Cindy S. H. Wang and Shui Ki Wan

Overcoming the Many Weak Instrument Problem Using Normalized Principal Components , pp 107-147

Nicky Grant