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

From Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().

Access Statistics for this chapter series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Jianghao Chu, Tae Hwy Lee and Aman Ullah

A comparison of the maximum simulated likelihood and composite marginal likelihood estimation approaches in the context of the multivariate ordered-response model , pp 65-106

Chandra R. Bhat, Cristiano Varin and Nazneen Ferdous

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

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

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

Enrique Martínez-García and Mark Wynne

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

David S. Lee and Justin McCrary

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

Model Selection for Explosive Models , pp 73-103

Yubo Tao and Jun Yu

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

Andreas Pick and Matthijs Carpay

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

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

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

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

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

Mihaela Craioveanu and Dek Terrell

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

Eric Sims

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

Aureo de Paula

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

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

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

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

Massimo Guidolin

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

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

Ngai Hang Chan and Wilfredo Palma

Fully Nonparametric Bayesian Additive Regression Trees , pp 89-110

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

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

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

Matias Cattaneo and Max Farrell

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

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

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

Whayoung Jung and Ji Hyung Lee

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

BAYESIAN MODEL CHOICE IN SPATIAL ECONOMETRICS , pp 101-126

Leslie W. Hepple

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

Yiguo Sun, Raymond J. Carroll and Dingding Li

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

Pretest Estimation in the Random Parameters Logit Model , pp 107-136

Tong Zeng and Carter Hill