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Content
November 2015, Volume 3, Issue 4
- 1-28 Forecasting Interest Rates Using Geostatistical Techniques
by Giuseppe Arbia & Michele Di Marcantonio - 1-28 Forecast Combination under Heavy-Tailed Errors
by Gang Cheng & Sicong Wang & Yuhong Yang - 1-36 Testing in a Random Effects Panel Data Model with Spatially Correlated Error Components and Spatially Lagged Dependent Variables
by Ming He & Kuan-Pin Lin
October 2015, Volume 3, Issue 4
- 1-10 Measurement Errors Arising When Using Distances in Microeconometric Modelling and the Individuals’ Position Is Geo-Masked for Confidentiality
by Giuseppe Arbia & Giuseppe Espa & Diego Giuliani - 1-11 Is Benford’s Law a Universal Behavioral Theory?
by Sofia B. Villas-Boas & Qiuzi Fu & George Judge
June 2015, Volume 3, Issue 3
- 1-28 A New Approach to Model Verification, Falsification and Selection
by Andrew J. Buck & George M. Lady
September 2015, Volume 3, Issue 3
- 1-13 On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study
by Antonio F. Galvao & Gabriel Montes-Rojas - 1-31 A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models
by Masamune Iwasawa
August 2015, Volume 3, Issue 3
- 1-20 A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts
by Hossein Hassani & Emmanuel Sirimal Silva - 1-21 A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index
by Jose Olmo - 1-23 Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting
by Stanislav Anatolyev & Stanislav Khrapov
July 2015, Volume 3, Issue 3
- 1-7 Efficient Estimation in Heteroscedastic Varying Coefficient Models
by Chuanhua Wei & Lijie Wan - 1-13 A Spectral Model of Turnover Reduction
by Zura Kakushadze - 1-16 A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise
by Yang Zu - 1-29 New Graphical Methods and Test Statistics for Testing Composite Normality
by Marc S. Paolella - 1-31 Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects
by Guangjie Li
May 2015, Volume 3, Issue 2
- 1-16 The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms
by Ghassen El Montasser - 1-21 A Jackknife Correction to a Test for Cointegration Rank
by Marcus J. Chambers - 1-22 The SAR Model for Very Large Datasets: A Reduced Rank Approach
by Sandy Burden & Noel Cressie & David G. Steel - 1-28 Selection Criteria in Regime Switching Conditional Volatility Models
by Thomas Chuffart - 1-36 Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model
by Shew Fan Liu & Zhenlin Yang
March 2015, Volume 3, Issue 2
- 1-12 Information Recovery in a Dynamic Statistical Markov Model
by Douglas J. Miller & George Judge - 1-16 Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data
by Chi-Yang Chu & Daniel J. Henderson & Christopher F. Parmeter
June 2015, Volume 3, Issue 2
- 1-23 Bayesian Approach to Disentangling Technical and Environmental Productivity
by Emir Malikov & Subal C. Kumbhakar & Efthymios G. Tsionas - 1-31 Strategic Interaction Model with Censored Strategies
by Nazgul Jenish
April 2015, Volume 3, Issue 2
- 1-7 A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models
by Umberto Triacca - 1-18 Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
by Hassan Mohammadi & Yuting Tan - 1-24 Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
by Biqing Cai & Dag Tjøstheim - 1-25 Detecting Location Shifts during Model Selection by Step-Indicator Saturation
by Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis
February 2015, Volume 3, Issue 1
March 2015, Volume 3, Issue 1
- 1-28 Two-Step Lasso Estimation of the Spatial Weights Matrix
by Achim Ahrens & Arnab Bhattacharjee - 1-31 A Joint Chow Test for Structural Instability
by Bent Nielsen & Andrew Whitby
January 2015, Volume 3, Issue 1
- 1-1 Acknowledgement to Reviewers of Econometrics in 2014
by Econometrics Editorial Office - 1-10 On the Interpretation of Instrumental Variables in the Presence of Specification Errors
by P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall - 1-26 Finding Starting-Values for the Estimation of Vector STAR Models
by Frauke Schleer - 1-53 Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity
by Isao Ishida & Virmantas Kvedaras
October 2014, Volume 2, Issue 4
- 1-18 A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model
by Michael Pfaffermayr
December 2014, Volume 2, Issue 4
- 1-14 Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test
by Francesca Di Iorio & Umberto Triacca - 1-33 The Biggest Myth in Spatial Econometrics
by James P. LeSage & R. Kelley Pace - 1-34 Success at the Summer Olympics: How Much Do Economic Factors Explain?
by Pravin K. Trivedi & David M. Zimmer
September 2014, Volume 2, Issue 3
- 1-6 Asymmetry and Leverage in Conditional Volatility Models
by Michael McAleer - 1-22 Two-Part Models for Fractional Responses Defined as Ratios of Integers
by Harald Oberhofer & Michael Pfaffermayr
June 2014, Volume 2, Issue 2
- 1-6 A One Line Derivation of EGARCH
by Michael McAleer & Christian M. Hafner - 1-25 A Fast, Accurate Method for Value-at-Risk and Expected Shortfall
by Jochen Krause & Marc S. Paolella
March 2014, Volume 2, Issue 1
- 1-20 Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach
by Richard A. Ashley & Kwok Ping Tsang - 1-27 Bias-Correction in Vector Autoregressive Models: A Simulation Study
by Tom Engsted & Thomas Q. Pedersen
February 2014, Volume 2, Issue 1
- 1-19 Referee Bias and Stoppage Time in Major League Soccer: A Partially Adaptive Approach
by Katherine G. Yewell & Steven B. Caudill & Franklin G. Mixon, Jr. - 1-25 Incorporating Responsiveness to Marketing Efforts in Brand Choice Modeling
by Dennis Fok & Richard Paap & Philip Hans Franses
November 2013, Volume 1, Issue 3
- 1-10 The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process
by Umberto Triacca - 1-13 Polynomial Regressions and Nonsense Inference
by Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero - 1-19 Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
by Chia-Lin Chang & Michael McAleer
December 2013, Volume 1, Issue 3
- 1-32 Academic Rankings with RePEc
by Christian Zimmermann
July 2013, Volume 1, Issue 2
September 2013, Volume 1, Issue 2
- 1-23 Parametric and Nonparametric Frequentist Model Selection and Model Averaging
by Aman Ullah & Huansha Wang - 1-27 Structural Panel VARs
by Peter Pedroni
June 2013, Volume 1, Issue 1
- 1-12 Ten Things You Should Know about the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer - 1-14 Forecasting Value-at-Risk Using High-Frequency Information
by Huiyu Huang & Tae-Hwy Lee
May 2013, Volume 1, Issue 1
- 1-18 Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
by Søren Johansen & Bent Nielsen - 1-44 Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments
by Fei Jin & Lung-fei Lee
April 2013, Volume 1, Issue 1
- 1-21 Constructing U.K. Core Inflation
by Terence C. Mills - 1-31 On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
by Yongning Wang & Ruey S. Tsay