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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Nonparametric and semiparametric methods in R , pp 335-375

Jeffrey Racine

Deflation in Durable Goods Markets: An Empirical Model of the Tokyo Condominium Market , pp 337-386

Migiwa Tanaka

Identification-robust Inference for Endogeneity Parameters in Models with an Incomplete Reduced Form , pp 337-355

Jean-Marie Dufour and Vinh Nguyen

Regression Kink Design: Theory and Practice , pp 341-382

David Card, David S. Lee, Zhuan Pei and Andrea Weber

OMNIBUS TESTS FOR MULTIVARIATE NORMALITY BASED ON A CLASS OF MAXIMUM ENTROPY DISTRIBUTIONS , pp 341-358

Carlos Urzúa

The Mode is the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design , pp 341-357

Heng Chen, Geoffrey Dunbar and Q. Rallye Shen

City and Industry Network Impacts on Innovation by Chinese Manufacturing Firms: A Hierarchical Spatial-Interindustry Model , pp 343-386

Yuxue Sheng and James LeSage

Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances , pp 347-394

Badi Baltagi, Chihwa Kao and Long Liu

Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies , pp 349-365

Ying Zhou, Hsein Kew and Jiti Gao

Causality and Markovianity: Information Theoretic Measures , pp 349-385

Eric Renault and Daniela Scidá

Maximum Likelihood Estimation of Dynamic Panel Data Models with Interactive Effects: Quasi-Differencing Over Time or Across Individuals? , pp 353-384

Cheng Hsiao and Qiankun Zhou

Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression , pp 355-434

Liangjun Su and Halbert White

An empirical assessment of the effects of parenthood on wages , pp 359-380

Marianne Simonsen and Lars Skipper

Estimating Peer Effects on Career Choice: A Spatial Multinomial Logit Approach , pp 359-381

Bolun Li, Robin Sickles and Jenny Williams

Cyclical Co-Movement Between Output, the Price-Level, and the Inflation Rate , pp 359-384

Joseph H. Haslag and Yu-Chin Hsu

Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement , pp 361-400

Laura Jackson Young, Ayhan Kose, Christopher Otrok and Michael Owyang

Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data , pp 361-393

Thomas B. Götz, Alain Hecq and Jean-Pierre Urbain

Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p , pp 365-379

Peter Zadrozny

Best Linear Prediction in Cointegrated Systems , pp 367-391

Yun-Yeong Kim

Random Versus Explained Inefficiency in Stochastic Frontier Analysis: The Case of Queensland Hospitals , pp 371-413

Zhichao Wang and Valentin Zelenyuk

Some recent developments in nonparametric finance , pp 379-432

Zongwu Cai and Yongmiao Hong

The employment effects of job-creation schemes in Germany: A microeconometric evaluation , pp 381-428

Marco Caliendo, Reinhard Hujer and Stephan Thomsen

Mortgage Portfolio Diversification in the Presence of Cross-Sectional and Spatial Dependence , pp 383-411

Timothy Dombrowski, R. Kelley Pace and Rajesh P. Narayanan

Regression Discontinuity Designs with Clustered Data , pp 383-420

Otavio Bartalotti and Quentin Brummet

Money–Income Granger-Causality in Quantiles , pp 385-409

Tae Hwy Lee and Weiping Yang

Informational Content of Factor Structures in Simultaneous Binary Response Models , pp 385-410

Shakeeb Khan, Arnaud Maurel and Yichong Zhang

A Dynamic Analysis of the U.S. Cigarette Market and Antismoking Policies , pp 387-432

Wei Tan

On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach , pp 387-419

Sara Riscado

A Likelihood-Free Reverse Sampler of the Posterior Distribution , pp 389-415

Jean-Jacques Forneron and Serena Ng

Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation , pp 395-427

Bertrand Candelon, Elena-Ivona Dumitrescu, Christophe Hurlin and Franz C. Palm

Limit Theory and Inference About Conditional Distributions , pp 397-423

Purevdorj Tuvaandorj and Victoria Zinde-Walsh

Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment , pp 401-434

Pilar Poncela and Esther Ruiz

Forecasting in vector autoregressions with many predictors , pp 403-431

Dimitris Korobilis

Copula–GARCH Time-Varying Tail Dependence , pp 411-425

Jiaqi Chen and Jeffery W. Gunther

An Econometrician’s Perspective on Big Data , pp 413-423

Cheng Hsiao

Forty Years ofAdvances in Econometrics , pp 413-435

Asli Ogunc and Randall C. Campbell

Indirect Inference of Stochastic Frontier Models , pp 415-438

Hung-pin Lai

A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data , pp 417-460

Ai Han, Yongmiao Hong, Shouyang Wang and Xin Yun

Bootstrap Confidence Intervals for Sharp Regression Discontinuity Designs* , pp 421-453

Otavio Bartalotti, Gray Calhoun and Yang He

Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior , pp 421-467

Tae-Seok Jang

Comments on “an Econometrician’s Perspective on Big Data” by cheng hsiao , pp 425-430

Thomas B. Fomby

On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous , pp 425-490

Jan Kiviet and Jerzy Niemczyk

Monte Carlo Experiments Using Stata: A Primer with Examples , pp 429-477

Lee Adkins and Mary N. Gade

Comments on “An Econometrician’s Perspective on Big Data” by Cheng Hsiao , pp 431-443

Georges Bresson

Imposing economic constraints in nonparametric regression: survey, implementation, and extension , pp 433-469

Daniel Henderson and Christopher F. Parmeter

Bayesian inference in a cointegrating panel data model , pp 433-469

Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

Extending the Hausman Test to Check for the Presence of Outliers , pp 435-453

Catherine Dehon, Marjorie Gassner and Vincenzo Verardi

Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation , pp 437-479

Laurent Callot and Johannes Tang Kristensen

The Nash Bargaining Two-tier Stochastic Frontier Model* , pp 439-476

Alecos Papadopoulos

A Simple Test for Identification in GMM under Conditional Moment Restrictions , pp 455-477

Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu