Taylor and Francis Journals
Econometric Reviews
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2013, Volume 32, Issue 4
- 415-448 On Sample Skewness and Kurtosis
by Yong Bao - 449-468 Granularity Adjustment for Efficient Portfolios
by C. Gourieroux & A. Monfort - 469-512 A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
by Sainan Jin & Liangjun Su - 513-523 Empirical Likelihood-Based Inference for Poverty Measures with Relative Poverty Lines
by Brennan S. Thompson - 524-541 Disparity, Shortfall, and Twice-Endogenous HARA Utility
by M. Ryan Haley & M. Kevin McGee & Todd B. Walker
2013, Volume 32, Issue 3
- 273-317 Identification and Identification Failure for Treatment Effects Using Structural Systems
by Halbert White & Karim Chalak - 318-360 Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
by Alex Maynard & Aaron Smallwood & Mark E. Wohar - 361-383 Consistent GMM Residuals-Based Tests of Functional Form
by Jonathan B. Hill - 384-414 Identification of Treatment Effects on the Treated with One-Sided Non-Compliance
by Markus Fr�lich & Blaise Melly
2013, Volume 32, Issue 2
- 183-203 An Intersection Test for Panel Unit Roots
by Christoph Hanck - 204-219 Wild Bootstrap of the Sample Mean in the Infinite Variance Case
by Giuseppe Cavaliere & Iliyan Georgiev & A. M. Robert Taylor - 220-243 Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model
by Alan J. Rogers - 244-271 A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks
by Sarantis Tsiaplias & Chew Lian Chua
2013, Volume 32, Issue 1
- 1-6 Introduction to Robustness in Multidimensional Wellbeing Analysis
by E. Maasoumi & G. Yalonetzky - 7-34 Weights in Multidimensional Indices of Wellbeing: An Overview
by Koen Decancq & María Ana Lugo - 35-56 Composite Indices: Rank Robustness, Statistical Association, and Redundancy
by James E. Foster & Mark McGillivray & Suman Seth - 57-83 Multidimensional Poverty: Measurement, Estimation, and Inference
by Christopher J. Bennett & Shabana Mitra - 84-125 Testing for Restricted Stochastic Dominance
by Russell Davidson & Jean-Yves Duclos - 126-163 Stochastic Dominance with Ordinal Variables: Conditions and a Test
by Gaston Yalonetzky - 164-182 Institutions and Economic Outcomes: A Dominance-Based Analysis
by Gordon Anderson & Kinda Hachem
2012, Volume 31, Issue 6
- 593-624 A Review of Some Modern Approaches to the Problem of Trend Extraction
by Theodore Alexandrov & Silvia Bianconcini & Estela Bee Dagum & Peter Maass & Tucker S. McElroy - 625-653 Centered-Residuals-Based Moment Estimator and Test for Stochastic Frontier Models
by Yi-Ting Chen & Hung-Jen Wang - 654-687 A Survey on Time-Varying Copulas: Specification, Simulations, and Application
by Hans Manner & Olga Reznikova
2012, Volume 31, Issue 5
- 483-531 Cross-Sectional Dependence in Panel Data Analysis
by Vasilis Sarafidis & Tom Wansbeek - 532-557 Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
by Emma M. Iglesias & Garry D. A. Phillips - 558-591 Python for Unified Research in Econometrics and Statistics
by Roseline Bilina & Steve Lawford
2011, Volume 30, Issue 6
- 583-619 Great Expectatrics: Great Papers, Great Journals, Great Econometrics
by Chia-Lin Chang & Michael McAleer & Les Oxley - 620-645 Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
by George Kapetanios & Yongcheol Shin - 646-668 Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling
by Jose Luis Aznarte & Jesus Alcala-Fdez & Antonio Arauzo & Jose Manuel Benitez - 669-695 Volatility, Jumps, and Predictability of Returns: A Sequential Analysis
by Davide Raggi & Silvano Bordignon
2011, Volume 30, Issue 5
- 475-513 On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
by Tucker McElroy & Thomas Trimbur - 514-547 Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices
by David Harvey & Stephen Leybourne & A.M. Robert Taylor - 548-564 Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer - 565-576 Marginal Changes in Random Parameters Ordered Response Models with Interaction Terms
by Andreas Drichoutis & Rodolfo Nayga - 577-581 Book Review: Econometric Modeling and Inference
by Jean-Francois Richard
2011, Volume 30, Issue 4
- 359-378 Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models
by Kulan Ranasinghe & Mervyn Silvapulle - 379-405 Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
by Nikolay Gospodinov & Ye Tao - 406-456 Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
by Giuseppe Ragusa - 457-468 Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
by Dale Poirier - 469-474 Book Review: Introducing Monte Carlo Methods with R
by Richard Luger
2011, Volume 30, Issue 3
- 251-273 A Consistent Test for Multivariate Conditional Distributions
by Fuchun Li & Greg Tkacz - 274-302 Testing for a unit root in a stationary ESTAR process
by Rehim Kılıc - 303-336 Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
by Emma Iglesias & Garry Phillips - 337-357 Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs
by Scott Atkinson & Christopher Cornwell
2011, Volume 30, Issue 2
- 129-153 Estimation and Asymptotic Inference in the AR-ARCH Model
by Theis Lange & Anders Rahbek & S�ren Tolver Jensen - 154-172 Robust Misspecification Tests for the Heckman's Two-Step Estimator
by Gabriel Montes-Rojas - 173-207 Two-Step Estimation of Endogenous and Exogenous Group Effects
by Qingyan Shang & Lung-fei Lee - 208-249 A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
by Loukia Meligkotsidou & Elias Tzavalis & Ioannis Vrontos
2011, Volume 30, Issue 1
- 1-24 Empirical Likelihood for Efficient Semiparametric Average Treatment Effects
by Francesco Bravo & David Jacho-Chavez - 25-50 Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
by Dinghai Xu & John Knight - 88-108 Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences
by Nikolaos Kourogenis & Nikitas Pittis - 109-127 The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics
by Michael Lechner
2010, Volume 29, Issue 5-6
- 470-475 The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing
by Esfandiar Maasoumi & Marcelo Medeiros - 476-510 Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments
by Nii Ayi Armah & Norman Swanson - 511-533 Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth
by David Rapach & Jack Strauss - 534-570 To Combine Forecasts or to Combine Information?
by Huiyu Huang & Tae-Hwy Lee - 571-593 The Benefits of Bagging for Forecast Models of Realized Volatility
by Eric Hillebrand & Marcelo Medeiros - 594-621 An Empirical Comparison of Machine Learning Models for Time Series Forecasting
by Nesreen Ahmed & Amir Atiya & Neamat El Gayar & Hisham El-Shishiny - 622-641 On Some Models for Value-At-Risk
by Philip Yu & Wai Keung Li & Shusong Jin - 642-687 Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting
by Alexandre Carvalho & Georgios Skoulakis - 688-716 Estimating the Market Share Attraction Model using Support Vector Regressions
by Georgi Nalbantov & Philip Hans Franses & Patrick Groenen & Jan Bioch - 717-753 Estimating Interest Rate Curves by Support Vector Regression
by Andre d'Almeida Monteiro - 754-777 Identification of Changes in Mean with Regression Trees: An Application to Market Research
by William Rea & Marco Reale & Carmela Cappelli & Jennifer Brown
2010, Volume 29, Issue 4
- 365-396 On Deconvolution as a First Stage Nonparametric Estimator
by Yingyao Hu & Geert Ridder - 397-438 Cointegrating Regressions with Time Heterogeneity
by Chang Sik Kim & Joon Park - 439-468 A Semiparametric Analysis of Gasoline Demand in the United States Reexamining The Impact of Price
by Sebastiano Manzan & Dawit Zerom
2010, Volume 29, Issue 3
- 247-275 Distributional Overlap: Simple, Multivariate, Parametric, and Nonparametric Tests for Alienation, Convergence, and General Distributional Difference Issues
by Gordon Anderson & Ying Ge & Teng Wah Leo - 276-306 Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
by Marcelo Fernandes & Breno Neri - 307-329 Information-Theoretic Distribution Test with Application to Normality
by Thanasis Stengos & Ximing Wu - 330-363 Testing, Estimation in GMM and CUE with Nearly-Weak Identification
by Mehmet Caner
2010, Volume 29, Issue 2
- 111-145 Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
by Christian Gengenbach & Franz Palm & Jean-Pierre Urbain - 146-157 Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models
by Edward Cripps & Denzil Fiebig & Robert Kohn - 158-181 Implementing Box-Cox Quantile Regression
by Bernd Fitzenberger & Ralf Wilke & Xuan Zhang - 182-223 The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
by Martin Wagner & Jaroslava Hlouskova - 224-242 Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
by Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan - 243-246 Book Review: New Introduction to Multiple Time Series Analysis
by Oscar Jorda
2010, Volume 29, Issue 1
- 1-19 Gamma Unobserved Heterogeneity and Duration Bias
by P�l B�ring - 20-38 A Multivariate Threshold Varying Conditional Correlations Model
by W. Kwan & W. K. Li & K. W. Ng - 39-61 Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models
by Kien Tran & Efthymios Tsionas - 62-98 Inferences from Cross-Sectional, Stochastic Frontier Models
by Leopold Simar & Paul Wilson - 99-105 Book Review: Identification and Inference for Econometric Models
by Patrik Guggenberger - 106-109 Book Review: Econometrics, Statistics and Computational Approaches in Food and Health Sciences
by Francis Vella
2009, Volume 28, Issue 6
- 495-521 Pairwise Tests of Purchasing Power Parity
by M. Hashem Pesaran & Ron Smith & Takashi Yamagata & Lyudmyla Hvozdyk - 522-554 Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
by Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje - 555-580 Parametric Nonlinear Regression with Endogenous Switching
by Joseph Terza - 581-611 Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
by Gonzalo Camba-Mendez & George Kapetanios - 612-631 A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
by Christian Hafner & Philip Hans Franses - 632-657 Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
by Bo Li - 658-681 Length-bias Correction in Transformation Models with Supplementary Data
by Youngki Shin
2009, Volume 28, Issue 5
- 393-421 Bootstrap M Unit Root Tests
by Giuseppe Cavaliere & A. M. Robert Taylor - 422-440 Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
by Michael McAleer & Suhejla Hoti & Felix Chan - 441-467 Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
by Kenneth West & Ka-fu Wong & Stanislav Anatolyev - 468-494 Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
by Simon Broda & Kai Carstensen & Marc Paolella
2009, Volume 28, Issue 4
- 295-313 A Panel Unit Root Test with Good Power in Small Samples
by Claude Lopez - 314-334 A Note on Unit Root Tests with Infinite Variance Noise
by D. M. Mahinda Samarakoon & Keith Knight - 335-363 Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
by Daiki Maki - 364-371 A Note on Testing Covariance Stationarity
by Giuseppe Cavaliere & A. M. Robert Taylor - 372-375 Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
by Andrew Patton & Dimitris Politis & Halbert White - 376-387 Two Books on the New Macroeconometrics
by Jesus Fernandez-Villaverde & Juan Rubio-Ramirez - 388-392 Book Review
by Tong Li
2009, Volume 28, Issue 1-3
- 1-3 Editorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics
by Estela Bee Dagum & Silvano Bordignon - 4-20 Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
by Richard Ashley & Randal Verbrugge - 21-39 Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics
by Anthony Atkinson - 40-59 A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
by Estela Bee Dagum & Alessandra Luati - 60-82 Periodic Long-Memory GARCH Models
by Silvano Bordignon & Massimiliano Caporin & Francesco Lisi - 83-101 Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
by Yongjae Kwon & Hamparsum Bozdogan & Halima Bensmail - 102-120 Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni Luca & Giampiero Gallo - 121-145 Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
by S�ren Johansen - 146-169 Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
by Fabrizio Laurini & Jonathan Tawn - 170-185 Pairwise Likelihood Inference for General State Space Models
by Cristiano Varin & Paolo Vidoni - 186-208 On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
by Tommaso Proietti - 209-224 Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
by Matteo Grigoletto & Corrado Provasi - 225-245 Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
by Changli He & Timo Terasvirta & Andres Gonzalez - 246-261 A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
by Esfandiar Maasoumi & Jeffrey Racine - 262-278 Robust Transformations in Univariate and Multivariate Time Series
by Marco Riani - 279-293 A New Bispectral Test for NonLinear Serial Dependence
by Elena Rusticelli & Richard Ashley & Estela Bee Dagum & Douglas Patterson
2008, Volume 27, Issue 4-6
- 317-328 Information Theoretic and Entropy Methods: An Overview
by Amos Golan & Esfandiar Maasoumi - 329-362 Approximate Entropy as an Irregularity Measure for Financial Data
by Steve Pincus - 363-384 Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
by Andreas Koutris & Maria Heracleous & Aris Spanos - 385-397 Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
by Jan Jacobs & Pieter Otter - 398-427 Entropy-Based Moment Selection in the Presence of Weak Identification
by Alastair Hall & Atsushi Inoue & Changmock Shin - 428-456 Bayes Estimate and Inference for Entropy and Information Index of Fit
by Thomas Mazzuchi & Ehsan Soofi & Refik Soyer - 457-483 Generalized Safety First and a New Twist on Portfolio Performance
by M. Ryan Haley & Charles Whiteman - 484-512 Optimal Portfolio Diversification Using the Maximum Entropy Principle
by Anil Bera & Sung Park - 513-525 Large-Deviations Theory and Empirical Estimator Choice
by Marian Grendar & George Judge - 526-541 Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
by Patrik Guggenberger - 542-573 A Class of Improved Parametrically Guided Nonparametric Regression Estimators
by Carlos Martins-Filho & Santosh Mishra & Aman Ullah - 574-595 A Generalized Cross-Entropy Approach for Modeling Spatially Correlated Counts
by Avinash Singh Bhati - 596-609 A Composite Generalized Cross-Entropy Formulation in Small Samples Estimation
by R. Bernardini Papalia
2008, Volume 27, Issue 1-3
- 1-9 Realized Volatility and Long Memory: An Overview
by Esfandiar Maasoumi & Michael McAleer - 10-45 Realized Volatility: A Review
by Michael McAleer & Marcelo Medeiros - 46-78 The Volatility of Realized Volatility
by Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch - 79-111 Moving Average-Based Estimators of Integrated Variance
by Peter Hansen & Jeremy Large & Asger Lunde - 112-138 Nonparametric Estimation Methods of Integrated Multivariate Volatilities
by Toshiya Hoshikawa & Keiji Nagai & Taro Kanatani & Yoshihiko Nishiyama - 139-162 Edgeworth Corrections for Realized Volatility
by Silvia Goncalves & Nour Meddahi - 163-198 Using High-Frequency Data in Dynamic Portfolio Choice
by Federico Bandi & Jeffrey Russell & Yinghua Zhu - 199-229 Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
by Michiel de Pooter & Martin Martens & Dick van Dijk - 230-253 Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
by Jim Griffin & Roel Oomen - 254-267 Refined Inference on Long Memory in Realized Volatility
by Offer Lieberman & Peter Phillips - 268-297 Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
by Afonso Goncalves da Silva & Peter Robinson - 298-316 Why Aggregate Long Memory Time Series?
by Leonardo Rocha Souza
2007, Volume 26, Issue 6
- 609-641 Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
by Silvia Goncalves & Lutz Kilian - 643-667 Testing Covariance Stationarity
by Zhijie Xiao & Luiz Renato Lima - 669-683 Specification and Identification of Stochastic Demand Models
by Walter Beckert - 685-703 Testing for State Dependence with Time-Variant Transition Probabilities
by Timothy Halliday - 705-739 Testing for the Null Hypothesis of Cointegration with a Structural Break
by Yoichi Arai & Eiji Kurozumi
2007, Volume 26, Issue 5
- 487-501 Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
by Bent Nielsen & J. James Reade - 503-528 Assessing the Precision of Turning Point Estimates in Polynomial Regression Functions
by Florenz Plassmann & Neha Khanna - 529-556 Bayesian Proportional Hazard Analysis of the Timing of High School Dropout Decisions
by Mingliang Li - 557-566 A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
by Yasemin Ulu - 567-577 U-Statistics and Their Asymptotic Results for Some Inequality and Poverty Measures
by Kuan Xu - 579-596 Formative Indicators and Effects of a Causal Model for Household Human Capital with Application
by Camilo Dagum & Giorgio Vittadini & Pietro Giorgio Lovaglio - 597-604 A Review of: “Book Review: Empirical Dynamic Asset Pricing”
by Massimo Guidolin - 605-607 A Review of: “Book Review: Mathematical and Statistical Foundations”
by James Davidson
2007, Volume 26, Issue 2-4
- 107-112 Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
by Gary Koop & Herman K. van Dijk - 113-172 Bayesian Analysis of DSGE Models
by Sungbae An & Frank Schorfheide - 173-185 Bayesian Analysis of DSGE Models—Some Comments
by Malin Adolfson & Jesper Linde & Mattias Villani - 187-192 Bayesian Analysis of DSGE Models by S. An and F. Schorfheide
by Fabio Canova - 193-200 Comment
by John Geweke - 201-204 Econometric Issues in DSGE Models
by Fabio Milani & Dale J. Poirier - 205-210 Comment on An and Schorfheide's Bayesian Analysis of DSGE Models
by Tao Zha - 211-219 Bayesian Analysis of DSGE Models—Rejoinder
by Sungbae An & Frank Schorfheide - 221-252 Normalization in Econometrics
by James D. Hamilton & Daniel F. Waggoner & Tao Zha - 253-288 Learning, Structural Instability, and Present Value Calculations
by Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann - 289-328 Forecasting Performance of an Open Economy DSGE Model
by Malin Adolfson & Jesper Linde & Mattias Villani - 329-363 Forecast Combination and Model Averaging Using Predictive Measures
by Jana Eklund & Sune Karlsson - 365-386 Bayesian Clustering of Many Garch Models
by L. Bauwens & J. V. K. Rombouts - 387-418 Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
by Catherine S. Forbes & Gael M. Martin & Jill Wright - 419-437 Flexible Threshold Models for Modelling Interest Rate Volatility
by Petros Dellaportas & David G. T. Denison & Chris Holmes - 439-468 Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model
by Rodney W. Strachan - 469-486 Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
by Luc Bauwens & Michel Lubrano
2007, Volume 26, Issue 1
- 1-24 Variance (Non) Causality in Multivariate GARCH
by Massimiliano Caporin - 25-51 The Sample Selection Model from a Method of Moments Perspective
by Erik Meijer & Tom Wansbeek - 53-90 MIDAS Regressions: Further Results and New Directions
by Eric Ghysels & Arthur Sinko & Rossen Valkanov - 91-106 Nonparametric Methods in Continuous Time Model Specification
by Isabel Casas & Jiti Gao
2006, Volume 25, Issue 4
- 475-496 Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling
by Esmeralda Ramalho & Joaquim Ramalho - 497-522 On Testing Equality of Distributions of Technical Efficiency Scores
by Leopold Simar & Valentin Zelenyuk - 523-544 Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models
by Jeffery Racine & Jeffrey Hart & Qi Li
2006, Volume 25, Issue 2-3
- 139-144 Multivariate Stochastic Volatility: An Overview
by Esfandiar Maasoumi & Michael McAleer - 145-175 Multivariate Stochastic Volatility: A Review
by Manabu Asai & Michael McAleer & Jun Yu - 177-217 Continuous Time Wishart Process for Stochastic Risk
by C. Gourieroux - 219-244 Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
by Charles Bos & Neil Shephard - 245-274 Multivariate Stochastic Volatility Models with Correlated Errors
by David Chan & Robert Kohn & Chris Kirby - 275-309 Factor Stochastic Volatility in Mean Models: A GMM Approach
by Catherine Doz & Eric Renault - 311-334 Factor Multivariate Stochastic Volatility via Wishart Processes
by Alexander Philipov & Mark Glickman - 335-360 Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
by Roman Liesenfeld & Jean-Francois Richard - 361-384 Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
by Jun Yu & Renate Meyer - 385-408 Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
by Borus Jungbacker & Siem Jan Koopman - 409-424 A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
by Ben Tims & Ronald Mahieu - 425-451 Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
by Michael Smith & Andrew Pitts - 453-473 Asymmetric Multivariate Stochastic Volatility
by Manabu Asai & Michael McAleer
2006, Volume 25, Issue 1
- 1-40 Estimation, Learning and Parameters of Interest in a Multiple Outcome Selection Model
by Justin Tobias - 41-60 The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
by Pieter Omtzigt & Stefano Fachin - 61-84 Trend-Cycle Decompositions with Correlated Components
by Tommaso Proietti - 85-116 The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
by Jaroslava Hlouskova & Martin Wagner - 117-138 The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
by Fernanda Peixe & Alastair Hall & Kostas Kyriakoulis
2005, Volume 24, Issue 4
- 333-368 Class Size and Educational Policy: Who Benefits from Smaller Classes?
by Esfandiar Maasoumi & Daniel Millimet & Vasudha Rangaprasad - 369-404 Evaluating Direct Multistep Forecasts
by Todd Clark & Michael McCracken - 405-443 Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
by Morten �rregaard Nielsen & Per Houmann Frederiksen - 445-466 A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals
by Achim Zeileis