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 Devil is in the Tails: Regression Discontinuity Design with Measurement Error in the Assignment Variable , pp 455-502

Zhuan Pei and Yi Shen

Inference in Near-Singular Regression , pp 461-486

Peter Phillips

Investigating nonlinear purchasing power parity during the post-Bretton Woods era – A Bayesian exponential smooth transition VECM approach , pp 471-500

Deborah Gefang

Functional form of the environmental Kuznets curve , pp 471-493

Hector O. Zapata and Krishna Paudel

Fixed vs Random: The Hausman Test Four Decades Later , pp 479-513

Shahram Amini, Michael S. Delgado, Daniel Henderson and Christopher F. Parmeter

Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach , pp 481-538

Catherine Doz and Anna Petronevich

Multivariate Local Polynomial Estimators: Uniform Boundary Properties and Asymptotic Linear Representation , pp 489-537

Yangin Fan and Emmanuel Guerre

Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing☆A glossary of notation and the program codes written in GAUSS for our simulations are available at:http://web.yonsei.ac.kr/jinseocho/research.htm , pp 491-556

Jin Seo Cho and Halbert White

Some recent developments on nonparametric econometrics , pp 495-549

Zongwu Cai, Jingping Gu and Qi Li

Bayesian forecast combination for VAR models , pp 501-524

Michael K. Andersson and Sune Karlsson

The Hausman Test, and Some Alternatives, with Heteroskedastic Data , pp 515-546

Lee Adkins, Randall C. Campbell, Viera Chmelarova and Carter Hill

Bayesian inference on time-varying proportions , pp 525-544

William McCausland and Brahim Lgui

Model Averaging Over Nonparametric Estimators , pp 539-560

Daniel Henderson and Christopher Parmeter

Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation , pp 539-565

Davide Delle Monache, Ivan Petrella and Fabrizio Venditti

Imposing stationarity constraints on the parameters of ARCH and GARCH models , pp 545-566

Christopher J. O’Donnell and Vanessa Rayner

A Hausman Test for Spatial Regression Model , pp 547-559

Monalisa Sen, Anil K. Bera and Yu-Hsien Kao

Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk , pp 557-585

Kyungchul Song

Smoothness: Bias and Efficiency of Nonparametric Kernel Estimators , pp 561-589

Yulia Kotlyarova, Marcia M. A. Schafgans and Victoria Zinde-Walsh

Bayesian model selection for heteroskedastic models , pp 567-594

Cathy W. S. Chen, Richard Gerlach and Mike K.P. So

Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models , pp 569-594

Antonello D’Agostino, Domenico Giannone, Michele Lenza and Michele Modugno

The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering , pp 587-612

Esfandiar Maasoumi, Melinda Pitts and Ke Wu

A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions , pp 591-615

Kairat Mynbaev, Carlos Martins-Filho and Aziza Aipenova

On the Selection of Common Factors for Macroeconomic Forecasting , pp 593-628

Tommaso Proietti

Bayesian student-t , pp 595-618

S.T. Boris Choy, Wai-yin Wan and Chun-man Chan

Deviance Information Criterion for Comparing VAR Models , pp 615-637

Tao Zeng, Yong Li and Jun Yu

Local Polynomial Derivative Estimation: Analytic or Taylor? , pp 617-633

Jeffrey Racine

Bayesian analysis of the consumption CAPM , pp 619-643

Veni Arakelian and Efthymios G. Tsionas

On the Design of Data Sets for Forecasting with Dynamic Factor Models , pp 629-662

Gerhard Rünstler

A Simple Consistent Nonparametric Estimator of the Lorenz Curve , pp 635-653

Yu Yvette Zhang, Ximing Wu and Qi Li

Stable Limit Theory for the Variance Targeting Estimator , pp 639-672

Igor Vaynman and Brendan Beare

Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets , pp 673-711

Alex Maynard and Dongmeng Ren

Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns , pp 713-749

Chi Wan and Zhijie Xiao