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Content
October 2019, Volume 7, Issue 4
- 1-35 Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
by Takamitsu Kurita & Bent Nielsen
July 2019, Volume 7, Issue 3
- 1-19 Misclassification in Binary Choice Models with Sample Selection
by Maria Felice Arezzo & Giuseppina Guagnano - 1-28 Evaluating Approximate Point Forecasting of Count Processes
by Annika Homburg & Christian H. Weiß & Layth C. Alwan & Gabriel Frahm & Rainer Göb - 1-28 A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments
by Chuanming Gao & Kajal Lahiri - 1-43 Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components
by Franz Ramsauer & Aleksey Min & Michael Lingauer
September 2019, Volume 7, Issue 3
- 1-12 A Combination Method for Averaging OLS and GLS Estimators
by Qingfeng Liu & Andrey L. Vasnev - 1-15 Bivariate Volatility Modeling with High-Frequency Data
by Marius Matei & Xari Rovira & Núria Agell - 1-20 Compulsory Schooling and Returns to Education: A Re-Examination
by Sophie van Huellen & Duo Qin - 1-20 Forecast Bitcoin Volatility with Least Squares Model Averaging
by Tian Xie - 1-26 On the Forecast Combination Puzzle
by Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang - 1-27 Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data
by Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner
August 2019, Volume 7, Issue 3
- 1-22 Heteroskedasticity in One-Way Error Component Probit Models
by Richard Kouamé Moussa - 1-23 Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation
by Jie Chen & Dimitris N. Politis
June 2019, Volume 7, Issue 3
- 1-32 Bayesian Analysis of Coefficient Instability in Dynamic Regressions
by Emanuela Ciapanna & Marco Taboga
April 2019, Volume 7, Issue 2
- 1-23 Measures of Dispersion and Serial Dependence in Categorical Time Series
by Christian H. Weiß
June 2019, Volume 7, Issue 2
- 1-14 A Frequentist Alternative to Significance Testing, p -Values, and Confidence Intervals
by David Trafimow - 1-24 Looking Backward and Looking Forward
by Zhengyuan Gao & Christian M. Hafner - 1-29 A Semi-Parametric Approach to the Oaxaca–Blinder Decomposition with Continuous Group Variable and Self-Selection
by Fernando Rios-Avila
May 2019, Volume 7, Issue 2
- 1-3 On Using the t -Ratio as a Diagnostic
by Jan R. Magnus - 1-8 Threshold Regression with Endogeneity for Short Panels
by Tue Gørgens & Allan H. Würtz - 1-11 Important Issues in Statistical Testing and Recommended Improvements in Accounting Research
by Thomas R. Dyckman & Stephen A. Zeff - 1-11 Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
by Pierre Perron & Yohei Yamamoto - 1-13 Efficiency of Average Treatment Effect Estimation When the True Propensity Is Parametric
by Kyoo il Kim - 1-14 Background Indicators
by Burkhard Raunig - 1-22 Interval-Based Hypothesis Testing and Its Applications to Economics and Finance
by Jae H. Kim & Andrew P. Robinson - 1-24 Covariance Prediction in Large Portfolio Allocation
by Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos
February 2019, Volume 7, Issue 1
- 1-18 Panel Data Estimation for Correlated Random Coefficients Models
by Cheng Hsiao & Qi Li & Zhongwen Liang & Wei Xie
January 2019, Volume 7, Issue 1
- 1-2 Acknowledgement to Reviewers of Econometrics in 2018
by Econometrics Editorial Office - 1-10 Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
by Søren Johansen - 1-16 Gini Regressions and Heteroskedasticity
by Arthur Charpentier & Ndéné Ka & Stéphane Mussard & Oumar Hamady Ndiaye - 1-20 Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
by Mardi Dungey & Stan Hurn & Shuping Shi & Vladimir Volkov - 1-24 Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
by David H. Bernstein & Bent Nielsen
March 2019, Volume 7, Issue 1
- 1-5 Not p -Values, Said a Little Bit Differently
by Richard Startz - 1-13 On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models
by Karl-Heinz Schild & Karsten Schweikert - 1-14 On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator
by Tomohiro Ando & Naoya Sueishi - 1-15 Monte Carlo Inference on Two-Sided Matching Models
by Taehoon Kim & Jacob Schwartz & Kyungchul Song & Yoon-Jae Whang - 1-16 Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series
by Miguel Henry & George Judge - 1-17 Indirect Inference: Which Moments to Match?
by David T. Frazier & Eric Renault - 1-22 A Parametric Factor Model of the Term Structure of Mortality
by Niels Haldrup & Carsten P. T. Rosenskjold - 1-24 Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems
by Antonio Pacifico - 1-32 Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence
by Mingmian Cheng & Norman R. Swanson
December 2018, Volume 7, Issue 1
- 1-16 The Specification of Dynamic Discrete-Time Two-State Panel Data Models
by Tue Gørgens & Dean Robert Hyslop
October 2018, Volume 6, Issue 4
- 1-3 Econometrics and Income Inequality
by Martin Biewen & Emmanuel Flachaire - 1-24 Estimation of Treatment Effects in Repeated Public Goods Experiments
by Jianning Kong & Donggyu Sul
November 2018, Volume 6, Issue 4
- 1-23 On the Stock–Yogo Tables
by Christopher L. Skeels & Frank Windmeijer - 1-27 A Review on Variable Selection in Regression Analysis
by Loann David Denis Desboulets
December 2018, Volume 6, Issue 4
- 1-14 Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems
by George Judge - 1-22 State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
by Yukai Yang & Luc Bauwens - 1-30 Interval Estimation of Value-at-Risk Based on Nonparametric Models
by Hussein Khraibani & Bilal Nehme & Olivier Strauss
July 2018, Volume 6, Issue 3
- 1-10 Some Results on ℓ 1 Polynomial Trend Filtering
by Hiroshi Yamada & Ruixue Du - 1-33 Filters, Waves and Spectra
by D. Stephen G. Pollock - 1-45 Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics
by Dorota Toczydlowska & Gareth W. Peters
August 2018, Volume 6, Issue 3
- 1-2 Econometrics Best Paper Award 2018
by In Choi & Steve Cook & Marc S. Paolella & Jeffrey S. Racine - 1-14 The Relation between Monetary Policy and the Stock Market in Europe
by Helmut Lütkepohl & Aleksei Netšunajev - 1-27 Detecting and Measuring Nonlinearity
by Rachidi Kotchoni - 1-27 Using the Entire Yield Curve in Forecasting Output and Inflation
by Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li - 1-33 The Stochastic Stationary Root Model
by Andreas Hetland
September 2018, Volume 6, Issue 3
- 1-26 Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?
by Chung Choe & Philippe Van Kerm
June 2018, Volume 6, Issue 3
- 1-15 Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information
by John W. Galbraith & Douglas J. Hodgson
April 2018, Volume 6, Issue 2
- 1-11 Parametric Inference for Index Functionals
by Stéphane Guerrier & Samuel Orso & Maria-Pia Victoria-Feser - 1-12 TSLS and LIML Estimators in Panels with Unobserved Shocks
by Giovanni Forchini & Bin Jiang & Bin Peng - 1-16 Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality
by Giovanni M. Giorgi & Alessio Guandalini - 1-24 Using the GB2 Income Distribution
by Duangkamon Chotikapanich & William E. Griffiths & Gholamreza Hajargasht & Wasana Karunarathne & D. S. Prasada Rao - 1-25 Forecasting Inflation Uncertainty in the G7 Countries
by Mawuli Segnon & Stelios Bekiros & Bernd Wilfling - 1-33 Polarization and Rising Wage Inequality: Comparing the U.S. and Germany
by Dirk Antonczyk & Thomas DeLeire & Bernd Fitzenberger
March 2018, Volume 6, Issue 2
- 1-9 On the Decomposition of the Esteban and Ray Index by Income Sources
by Elena Bárcena-Martín & Jacques Silber - 1-20 Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis
by Gordon Anderson & Maria Grazia Pittau & Roberto Zelli & Jasmin Thomas - 1-25 Data-Driven Jump Detection Thresholds for Application in Jump Regressions
by Robert Davies & George Tauchen
June 2018, Volume 6, Issue 2
- 1-21 Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data
by Vladimir Hlasny & Paolo Verme - 1-24 Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?
by Gulasekaran Rajaguru & Michael O’Neill & Tilak Abeysinghe
May 2018, Volume 6, Issue 2
- 1-5 Recent Developments in Macro-Econometric Modeling: Theory and Applications
by Gilles Dufrénot & Fredj Jawadi & Alexander Mihailov - 1-9 Johansen’s Reduced Rank Estimator Is GMM
by Bruce E. Hansen - 1-11 A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function
by El Moctar Laghlal & Abdoul Aziz Junior Ndoye - 1-24 The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections
by Tareq Sadeq & Michel Lubrano - 1-39 Structural Break Tests Robust to Regression Misspecification
by Alaa Abi Morshed & Elena Andreou & Otilia Boldea - 1-40 Decomposing Wage Distributions Using Recentered Influence Function Regressions
by Sergio P. Firpo & Nicole M. Fortin & Thomas Lemieux
March 2018, Volume 6, Issue 1
- 1-16 Top Incomes, Heavy Tails, and Rank-Size Regressions
by Christian Schluter - 1-17 Response-Based Sampling for Binary Choice Models With Sample Selection
by Maria Felice Arezzo & Giuseppina Guagnano - 1-18 Statistical Inference on the Canadian Middle Class
by Russell Davidson - 1-21 An Overview of Modified Semiparametric Memory Estimation Methods
by Marie Busch & Philipp Sibbertsen - 1-28 Jackknife Bias Reduction in the Presence of a Near-Unit Root
by Marcus J. Chambers & Maria Kyriacou
January 2018, Volume 6, Issue 1
- 1-2 Acknowledgement to Reviewers of Econometrics in 2017
by Econometrics Editorial Office - 1-15 Spurious Seasonality Detection: A Non-Parametric Test Proposal
by Aurelio F. Bariviera & Angelo Plastino & George Judge - 1-20 From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective
by Francesca Greselin & Ričardas Zitikis
February 2018, Volume 6, Issue 1
- 1-15 A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade
by Rodolfo Metulini & Roberto Patuelli & Daniel A. Griffith - 1-19 Assessing News Contagion in Finance
by Paola Cerchiello & Giancarlo Nicola - 1-20 Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve
by Francesca Rondina - 1-24 Lasso Maximum Likelihood Estimation of Parametric Models with Singular Information Matrices
by Fei Jin & Lung-fei Lee - 1-27 A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns
by Ralf Becker & Adam Clements & Robert O'Neill
December 2017, Volume 6, Issue 1
- 1-5 Recent Developments in Cointegration
by Katarina Juselius
December 2017, Volume 5, Issue 4
- 1-16 Reducing Approximation Error in the Fourier Flexible Functional Form
by Tristan D. Skolrud - 1-29 Time-Varying Window Length for Correlation Forecasts
by Yoontae Jeon & Thomas H. McCurdy
November 2017, Volume 5, Issue 4
- 1-12 Synthetic Control and Inference
by Jinyong Hahn & Ruoyao Shi - 1-19 Inequality and Poverty When Effort Matters
by Martin Ravallion - 1-19 Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility
by Yingjie Dong & Yiu-Kuen Tse - 1-30 Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models
by Jurgen A. Doornik & Rocco Mosconi & Paolo Paruolo
October 2017, Volume 5, Issue 4
- 1-4 Non-Causality Due to Included Variables
by Umberto Triacca - 1-22 Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
by Alain Hecq & Sean Telg & Lenard Lieb - 1-23 Bayesian Analysis of Bubbles in Asset Prices
by Andras Fulop & Jun Yu - 1-28 Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis
by Antoni Espasa & Eva Senra - 1-32 An Interview with William A. Barnett
by Apostolos Serletis
August 2017, Volume 5, Issue 3
- 1-15 Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
by Søren Johansen & Morten Nyboe Tabor - 1-21 The Turkish Spatial Wage Curve
by Haci Mevlut Karatas - 1-46 Building News Measures from Textual Data and an Application to Volatility Forecasting
by Massimiliano Caporin & Francesco Poli
September 2017, Volume 5, Issue 3
- 1-2 Announcement of the 2017 Econometrics Young Researcher Award
by Econometrics Editorial Office - 1-21 Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market
by Andreas Hetland & Simon Hetland - 1-23 Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels
by Jae H. Kim & In Choi - 1-27 Evaluating Forecasts, Narratives and Policy Using a Test of Invariance
by Jennifer L. Castle & David F. Hendry & Andrew B. Martinez - 1-33 Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development
by P. Dorian Owen - 1-33 Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations
by Ronald W. Butler & Marc S. Paolella
July 2017, Volume 5, Issue 3
- 1-3 On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply
by P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & Peter Von zur Muehlen - 1-3 Recent Developments in Copula Models
by Jean-David Fermanian - 1-6 On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment
by Burkhard Raunig - 1-20 Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
by Katarina Juselius - 1-21 Modeling Real Exchange Rate Persistence in Chile
by Leonardo Salazar - 1-21 Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity
by Junrong Liu & Robin C. Sickles & E. G. Tsionas
June 2017, Volume 5, Issue 3
- 1-17 Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
by H. Peter Boswijk & Paolo Paruolo
May 2017, Volume 5, Issue 2
- 1-3 Unit Roots and Structural Breaks
by Pierre Perron - 1-20 Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
by Jurgen A. Doornik - 1-23 Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting
by Benedikt Schamberger & Lutz F. Gruber & Claudia Czado - 1-24 Copula-Based Factor Models for Multivariate Asset Returns
by Eugen Ivanov & Aleksey Min & Franz Ramsauer - 1-33 The Univariate Collapsing Method for Portfolio Optimization
by Marc S. Paolella
April 2017, Volume 5, Issue 2
- 1-10 Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations
by Ricardo Quineche & Gabriel Rodríguez - 1-24 Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
June 2017, Volume 5, Issue 2
- 1-14 Dependence between Stock Returns of Italian Banks and the Sovereign Risk
by Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner - 1-20 Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
by Massimo Franchi & Søren Johansen - 1-23 A Spatial Econometric Analysis of the Calls to the Portuguese National Health Line
by Paula Simões & M. Lucília Carvalho & Sandra Aleixo & Sérgio Gomes & Isabel Natário - 1-23 Sustainable Financial Obligations and Crisis Cycles
by Mikael Juselius & Moshe Kim - 1-31 The Realized Hierarchical Archimedean Copula in Risk Modelling
by Ostap Okhrin & Anastasija Tetereva
February 2017, Volume 5, Issue 1
- 1-11 A Note on Identification of Bivariate Copulas for Discrete Count Data
by Pravin Trivedi & David Zimmer - 1-17 Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models
by P.A.V.B. Swamy & Jatinder S. Mehta & I-Lok Chang - 1-17 Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries
by Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes
January 2017, Volume 5, Issue 1
- 1-2 Acknowledgement to Reviewers of Econometrics in 2016
by Econometrics Editorial Office - 1-11 Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression
by Luis J. Álvarez - 1-16 A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators
by Jochen Heberle & Cristina Sattarhoff - 1-19 Consistency of Trend Break Point Estimator with Underspecified Break Number
by Jingjing Yang - 1-26 Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses
by Seong Yeon Chang & Pierre Perron - 1-38 Regime Switching Vine Copula Models for Global Equity and Volatility Indices
by Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber - 1-54 Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation
by Ragnar Nymoen
March 2017, Volume 5, Issue 1
- 1-5 A Simple Test for Causality in Volatility
by Chia-Lin Chang & Michael McAleer - 1-17 Testing for a Structural Break in a Spatial Panel Model
by Aparna Sengupta - 1-23 Goodness-of-Fit Tests for Copulas of Multivariate Time Series
by Bruno Rémillard - 1-54 Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
by Jan Kiviet & Milan Pleus & Rutger Poldermans
December 2016, Volume 5, Issue 1
- 1-26 Fixed- b Inference for Testing Structural Change in a Time Series Regression
by Cheol-Keun Cho & Timothy J. Vogelsang
December 2016, Volume 4, Issue 4
- 1-10 Testing for the Equality of Integration Orders of Multiple Series
by Man Wang & Ngai Hang Chan - 1-19 Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency
by Kyoo Il Kim - 1-22 The Status of Bridge Principles in Applied Econometrics
by Bernt P. Stigum
November 2016, Volume 4, Issue 4
- 1-13 Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
by Richard A. Ashley & Xiaojin Sun - 1-16 Panel Cointegration Testing in the Presence of Linear Time Trends
by Uwe Hassler & Mehdi Hosseinkouchack - 1-24 Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation
by Badi H. Baltagi & Chihwa Kao & Bin Peng - 1-24 Generalized Information Matrix Tests for Detecting Model Misspecification
by Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner
October 2016, Volume 4, Issue 4
- 1-2 Editorial Announcement
by Kerry Patterson - 1-13 Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
by Wen Xu - 1-15 Pair-Copula Constructions for Financial Applications: A Review
by Kjersti Aas - 1-26 Social Networks and Choice Set Formation in Discrete Choice Models
by Bruno Wichmann & Minjie Chen & Wiktor Adamowicz - 1-28 Oil Price and Economic Growth: A Long Story?
by María Dolores Gadea & Ana Gómez-Loscos & Antonio Montañés
September 2016, Volume 4, Issue 3
- 1-11 Econometric Information Recovery in Behavioral Networks
by George Judge - 1-17 Nonparametric Regression with Common Shocks
by Eduardo A. Souza-Rodrigues - 1-21 Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
by M. Shelton Peiris & Manabu Asai
June 2016, Volume 4, Issue 3
- 1-12 Estimation of Gini Index within Pre-Specified Error Bound
by Bhargab Chattopadhyay & Shyamal Krishna De
August 2016, Volume 4, Issue 3
- 1-2 Econometrics Best Paper Award 2016
by Kerry Patterson - 1-2 Special Issues of Econometrics: Celebrated Econometricians
by Econometrics Editorial Office - 1-26 Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
by Xin Zhang & Donggyu Kim & Yazhen Wang
July 2016, Volume 4, Issue 3
- 1-11 Measuring the Distance between Sets of ARMA Models
by Umberto Triacca - 1-31 Market Microstructure Effects on Firm Default Risk Evaluation
by Flavia Barsotti & Simona Sanfelici
May 2016, Volume 4, Issue 2
- 1-28 Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability
by Marc S. Paolella
April 2016, Volume 4, Issue 2
- 1-11 Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series
by Nunzio Cappuccio & Diego Lubian - 1-12 Distribution of Budget Shares for Food: An Application of Quantile Regression to Food Security 1
by Charles B. Moss & James F. Oehmke & Alexandre Lyambabaje & Andrew Schmitz - 1-16 Building a Structural Model: Parameterization and Structurality
by Michel Mouchart & Renzo Orsi - 1-27 Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors
by Xibin Zhang & Maxwell L. King & Han Lin Shang
March 2016, Volume 4, Issue 2
- 1-21 Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence
by Ba Chu & Stephen Satchell - 1-23 A Method for Measuring Treatment Effects on the Treated without Randomization
by P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & I-Lok Chang & Heather D. Gibson & William H. Greene & Jatinder S. Mehta
June 2016, Volume 4, Issue 2
- 1-12 Evaluating Eigenvector Spatial Filter Corrections for Omitted Georeferenced Variables
by Daniel A. Griffith & Yongwan Chun - 1-15 Continuous and Jump Betas: Implications for Portfolio Diversification
by Vitali Alexeev & Mardi Dungey & Wenying Yao - 1-21 Removing Specification Errors from the Usual Formulation of Binary Choice Models
by P.A.V.B. Swamy & I-Lok Chang & Jatinder S. Mehta & William H. Greene & Stephen G. Hall & George S. Tavlas - 1-27 Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels
by Masayuki Hirukawa & Mari Sakudo
February 2016, Volume 4, Issue 1
- 1-3 Computational Complexity and Parallelization in Bayesian Econometric Analysis
by Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk - 1-16 Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth
by Mustafa Koroglu & Yiguo Sun - 1-21 Multiple Discrete Endogenous Variables in Weakly-Separable Triangular Models
by Sung Jae Jun & Joris Pinkse & Haiqing Xu & Neşe Yıldız - 1-24 Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
by Francesco Audrino & Yujia Hu
January 2016, Volume 4, Issue 1
- 1-2 Acknowledgement to Reviewers of Econometrics in 2015
by Econometrics Editorial Office - 1-12 A Conditional Approach to Panel Data Models with Common Shocks
by Giovanni Forchini & Bin Peng - 1-27 Forecasting Value-at-Risk under Different Distributional Assumptions
by Manuela Braione & Nicolas K. Scholtes
March 2016, Volume 4, Issue 1
- 1-4 Spatial Econometrics: A Rapidly Evolving Discipline
by Giuseppe Arbia - 1-18 The Evolving Transmission of Uncertainty Shocks in the United Kingdom
by Haroon Mumtaz - 1-19 Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
by David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk - 1-20 Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
by Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. Van Dijk - 1-23 Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP
by John Geweke - 1-23 Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns
by Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez - 1-23 Timing Foreign Exchange Markets
by Samuel W. Malone & Robert B. Gramacy & Enrique Ter Horst - 1-24 Bayesian Calibration of Generalized Pools of Predictive Distributions
by Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo - 1-33 Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
by Arnaud Dufays
December 2015, Volume 4, Issue 1
- 1-14 Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification
by Ying-Ying Lee - 1-31 How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?
by Duo Qin & Sophie Van Huellen & Qing-Chao Wang
December 2015, Volume 3, Issue 4
- 1-24 Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
by Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu - 1-39 Bootstrap Tests for Overidentification in Linear Regression Models
by Russell Davidson & James G. MacKinnon
November 2015, Volume 3, Issue 4
- 1-14 Counterfactual Distributions in Bivariate Models—A Conditional Quantile Approach
by Javier Alejo & Nicolás Badaracco