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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Specification Testing in Parametric Trending Models with Unknown Errors , pp 151-202

Jiti Gao and Maxwell King

A Monte Carlo study of the necessary and sufficient conditions for weak separability , pp 151-182

Per Hjertstrand

Comparative Static and Computational Methods for an Empirical One-to-one Transferable Utility Matching Model , pp 153-181

Bryan S. Graham

Overlaying Time Scales in Financial Volatility Data , pp 153-178

Eric Hillebrand

Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations , pp 155-181

Elena Andreou and Eric Ghysels

Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison , pp 155-179

Martin Burda

Consistent Estimation and Orthogonality , pp 155-178

Tiemen Woutersen

Intra-household allocation and consumption of WIC-approved foods: A Bayesian approach , pp 157-182

Ariun Ishdorj, Helen Jensen and Justin Tobias

A Simple Efficient Moment-based Estimator for the Stochastic Volatility Model , pp 157-201

Md. Nazmul Ahsan and Jean-Marie Dufour

Functional-Coefficient Cointegrating Regression with Endogeneity , pp 157-186

Han-Ying Liang, Yu Shen and Qiying Wang

Estimation and Applications of Quantile Regression for Binary Longitudinal Data , pp 157-191

Mohammad Arshad Rahman and Angela Vossmeyer

Data mining procedures in generalized Cox regressions , pp 159-194

Zhen Wei

Estimating Diffusion Models of Interest Rates at the Zero Lower Bound: From the Great Depression to the Great Recession and Beyond , pp 159-179

Lealand Morin

MAXIMUM-ENTROPY ACCEPTABLE-LIKELIHOOD ESTIMATION OF POPULATION HETEROGENEITY , pp 163-181

Peter S. Faynzilberg

INSTRUMENTAL VARIABLE ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES: LARGE AND SMALL SAMPLE RESULTS , pp 163-198

Harry H. Kelejian, Ingmar Prucha and Yevgeny Yuzefovich

Education savings accounts, parent contributions, and education attainment , pp 165-198

Michael D.S. Morris

Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression , pp 165-175

Markku Lanne and Jani Luoto

AN EXAMINATION OF THE SIGN AND VOLATILITY SWITCHING ARCH MODELS UNDER ALTERNATIVE DISTRIBUTIONAL ASSUMPTIONS , pp 165-176

Mohamed F. Omran and Florin Avram

A Multivariate Spatial Analysis for Anticipating New Firm Counts , pp 167-193

Yiyi Wang, Kara M. Kockelman and Paul Damien

Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems , pp 167-196

Luca Nocciola

Fertility and the health of children: A nonparametric investigation , pp 167-195

Daniel Henderson, Daniel Millimet, Christopher F. Parmeter and Le Wang

Identifying Structural Vector Autoregressions Via Changes in Volatility☆This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –http://www.diw.de/sixcms/detail.php?id=diw_0.1.c.412678.de , pp 169-203

Helmut Lütkepohl

Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors , pp 171-196

Eric Hillebrand and Tae Hwy Lee

The evolution of the conditional joint distribution of life expectancy and per capita income growth , pp 171-191

Thanasis Stengos, Brennan Thompson and Ximing Wu

Nonparametric Kernel Regression Using Complex Survey Data , pp 173-208

Luc Clair

A Robust Hausman–Taylor Estimator , pp 175-214

Badi Baltagi and Georges Bresson

A Spatial Panel Model of Bank Branches in Canada , pp 175-204

Heng Chen and Matthew Strathearn

FINDING OR NOT FINDING RULES IN TIME SERIES , pp 175-201

Jessica Lin and Eamonn Keogh

Skewed SVARs: Tracking the Structural Sources of Macroeconomic Tail Risks , pp 177-210

Carlos Montes-Galdón and Eva Ortega

ESTIMATING A LINEAR EXPONENTIAL DENSITY WHEN THE WEIGHTING MATRIX AND MEAN PARAMETER VECTOR ARE FUNCTIONALLY RELATED , pp 177-197

Chor-yiu Sin

Trimmed Mean Group Estimation , pp 177-202

Yoonseok Lee and Donggyu Sul

Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches , pp 177-214

Jörg Breitung and Sandra Eickmeier

Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps , pp 179-233

Diep Duong and Norman R. Swanson

On the Estimation of Selection Models when Participation is Endogenous and Misclassified , pp 179-207

Ian McCarthy and Rusty Tchernis

Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective , pp 179-204

Dennis W. Jansen and Zijun Wang

A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market , pp 181-205

Zeyu Xing and Rustam Ibragimov

Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach , pp 181-222

Guillaume Weisang

TEMPORAL DISAGGREGATION, MISSING OBSERVATIONS, OUTLIERS, AND FORECASTING , pp 181-202

Massimiliano Marcellino

Threshold stock price adjustment , pp 183-198

Fredj Jawadi

A Test for Monotone Comparative Statics , pp 183-232

Federico Echenique and Ivana Komunjer

Model-Based Measurement of Actual Volatility in High-Frequency Data , pp 183-210

Borus Jungbacker and Siem Jan Koopman

A MONTE CARLO STUDY OF A GENERALIZED MAXIMUM ENTROPY ESTIMATOR OF THE BINARY CHOICE MODEL , pp 183-197

Lee Adkins

Causal effects from panel data in randomized experiments with partial compliance , pp 183-215

Siddhartha Chib and Liana Jacobi

The Role of Management in Efficient Production: Theoretical and Statistical Implications , pp 185-210

Mike G. Tsionas

A Specification Test Based on Convolution-Type Distribution Function Estimates for Non-Linear Autoregressive Processes , pp 187-206

Kun Ho Kim, Hira L. Koul and Jiwoong Kim

The Determinants of Health Care Expenditure and Trends: A Semiparametric Panel Data Analysis of OECD Countries , pp 191-216

Ming Kong, Jiti Gao and Xueyan Zhao

A nonparametric quantile analysis of growth and governance , pp 193-221

Kim Huynh and David Jacho-Chávez

On Quantile Estimator in Volatility Model with Non-negative Error Density and Bayesian Perspective , pp 193-210

Debajit Dutta, Subhra Sankar Dhar and Amit Mitra

A Multivariate Spatial-Time of Day Analysis of Truck Crash Frequency across Neighborhoods in New York City , pp 195-219

Wei Zou, Xiaokun Wang and Yiyi Wang

External and Internal Validity of a Geographic Quasi-Experiment Embedded in a Cluster-Randomized Experiment , pp 195-236

Sebastian Galiani, Patrick McEwan and Brian Quistorff