Content
December 2019, Volume 39, Issue 2
- 181-195 ML and GMM with concentrated instruments in the static panel data model
by Paul Bekker & Joëlle van Essen - 196-213 Identification and estimation in a linear correlated random coefficients model with censoring
by Zhengyu Zhang & Zequn Jin
November 2019, Volume 38, Issue 10
- 1109-1130 Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
by Young Min Kim & Kyu Ho Kang - 1131-1151 Testing explosive bubbles with time-varying volatility
by David I. Harvey & Stephen J. Leybourne & Yang Zu - 1152-1175 The Gibbs sampler with particle efficient importance sampling for state-space models
by Oliver Grothe & Tore Selland Kleppe & Roman Liesenfeld - 1176-1201 A general inversion theorem for cointegration
by Massimo Franchi & Paolo Paruolo - 1202-1215 A joint test for parametric specification and independence in nonlinear regression models
by Shuo Li & Yundong Tu - 1216-1217 List of Referees
by The Editors
October 2019, Volume 38, Issue 9
- 979-1006 A practical guide to compact infinite dimensional parameter spaces
by Joachim Freyberger & Matthew A. Masten - 1007-1023 Particle learning for Bayesian semi-parametric stochastic volatility model
by Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano - 1024-1054 Generalized information matrix tests for copulas
by Artem Prokhorov & Ulf Schepsmeier & Yajing Zhu - 1055-1088 Double filter instrumental variable estimation of panel data models with weakly exogenous variables
by Kazuhiko Hayakawa & Meng Qi & Jörg Breitung - 1089-1107 Robust block bootstrap panel predictability tests
by Stephan Smeekes & Joakim Westerlund
September 2019, Volume 38, Issue 8
- 857-880 Sparse Change-point HAR Models for Realized Variance
by Arnaud Dufays & Jeroen V. K. Rombouts - 881-898 Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
by Josep Lluís Carrion-i-Silvestre & Dukpa Kim - 899-920 Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
by Roberto León-González - 921-937 Simultaneous equations with binary outcomes and social interactions
by Xiaodong Liu - 938-960 Inference on local average treatment effects for misclassified treatment
by Takahide Yanagi - 961-977 Estimation in a semiparametric panel data model with nonstationarity
by Chaohua Dong & Jiti Gao & Bin Peng
August 2019, Volume 38, Issue 7
- 711-732 Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
by Marie Bessec - 733-762 Nonparametric localized bandwidth selection for Kernel density estimation
by Tingting Cheng & Jiti Gao & Xibin Zhang - 763-792 Focused information criterion for locally misspecified vector autoregressive models
by Jan Lohmeyer & Franz Palm & Hanno Reuvers & Jean-Pierre Urbain - 793-813 Ratio tests under limiting normality
by Uwe Hassler & Mehdi Hosseinkouchack - 814-827 OLS and IV estimation of regression models including endogenous interaction terms
by Maurice J. G. Bun & Teresa D. Harrison - 828-855 Structural breaks in panel data: Large number of panels and short length time series
by Jaromír Antoch & Jan Hanousek & Lajos Horváth & Marie Hušková & Shixuan Wang
July 2019, Volume 38, Issue 6
- 577-596 Model selection for factor analysis: Some new criteria and performance comparisons
by In Choi & Hanbat Jeong - 597-635 Parameter estimation and inference with spatial lags and cointegration
by Jan Mutl & Leopold Sögner - 636-659 Functional coefficient time series models with trending regressors
by Tingting Cheng - 660-678 Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
by Andreea G. Halunga & Christos S. Savva - 679-694 Binary quantile regression and variable selection: A new approach
by Katerina Aristodemou & Jian He & Keming Yu - 695-710 Size distributions reconsidered
by Christian Schluter & Mark Trede
May 2019, Volume 38, Issue 5
- 465-486 Alternative diff-in-diffs estimators with several pretreatment periods
by Ricardo Mora & Iliana Reggio - 487-508 Multivariate Return Decomposition: Theory and Implications
by Stanislav Anatolyev & Nikolay Gospodinov - 509-532 Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
by Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor - 533-556 Symbolic correlation integral
by M. Victoria Caballero-Pintado & Mariano Matilla-García & Manuel Ruiz Marín - 557-576 A nonparametric specification test for the volatility functions of diffusion processes
by Qiang Chen & Meidi Hu & Xiaojun Song
April 2019, Volume 38, Issue 4
- 359-385 GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
by Xiaodong Liu & Paulo Saraiva - 386-416 Nonstationary nonlinear quantile regression
by Yoshimasa Uematsu - 417-450 Common threshold in quantile regressions with an application to pricing for reputation
by Liangjun Su & Pai Xu - 451-464 Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
by Sivagowry Sriananthakumar
March 2019, Volume 38, Issue 3
- 263-278 Similarity-based model for ordered categorical data
by Gabi Gayer & Offer Lieberman & Omer Yaffe - 279-300 The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
by Sven Schreiber - 301-318 Welfare gains of the poor: An endogenous Bayesian approach with spatial random effects
by Andrés Ramírez Hassan & Santiago Montoya Blandón - 319-331 Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
by Dong Li & Shaojun Guo & Ke Zhu - 332-349 Estimation bias and bias correction in reduced rank autoregressions
by Heino Bohn Nielsen - 350-357 Identification of average marginal effects under misspecification when covariates are normal
by José Ignacio Cuesta & Jonathan M. V. Davis & Andrew Gianou & Alejandro Hoyos
February 2019, Volume 38, Issue 2
- 125-150 Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
by Chaohua Dong & Jiti Gao - 151-169 Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
by Rongmao Zhang & Chenxue Li & Liang Peng - 170-192 Bias-corrected realized variance
by Jin-Huei Yeh & Jying-Nan Wang - 193-207 Practical procedures to deal with common support problems in matching estimation
by Michael Lechner & Anthony Strittmatter - 208-247 The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
by Giovanni Forchini & Bin Jiang - 248-262 Portmanteau tests for linearity of stationary time series
by Zacharias Psaradakis & Marián Vávra
January 2019, Volume 38, Issue 1
- 1-3 “Fellows and Scholars of Econometric Reviews”
by Esfandiar Maasoumi - 4-24 Estimation of nonseparable models with censored dependent variables and endogenous regressors
by Luke Taylor & Taisuke Otsu - 25-46 A goodness-of-fit test for regular vine copula models
by Ulf Schepsmeier - 47-68 Information measures of kernel estimation
by Neshat Beheshti & Jeffrey S. Racine & Ehsan S. Soofi - 69-94 Wavelet energy ratio unit root tests
by Mirza Trokić - 95-123 Two-sample least squares projection
by David Pacini
November 2018, Volume 37, Issue 10
- 1-1 Editorial Board EOV
by The Editors - 1033-1050 Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
by Antonia Arsova & Deniz Dilan Karaman Örsal - 1051-1066 The estimation for Lévy processes in high frequency data
by Jing Zheng & Wentao Gu & Baolin Xu & Zongwu Cai - 1067-1094 Robust inference for predictability in smooth transition predictive regressions
by Rehim Kılıç - 1095-1119 Heterogeneous credit union production technologies with endogenous switching and correlated effects
by Emir Malikov & Diego A. Restrepo-Tobón & Subal C. Kumbhakar - 1120-1136 Testing the homogeneous marginal utility of income assumption
by Thomas Demuynck - 1137-1171 Estimation of time-invariant effects in static panel data models
by M. Hashem Pesaran & Qiankun Zhou - 1172-1173 List of Referees
by The Editors
October 2018, Volume 37, Issue 9
- 931-954 GMM inference in spatial autoregressive models
by Süleyman Taşpınar & Osman Doğan & Wim P. M. Vijverberg - 955-973 The asymptotic size and power of the augmented Dickey–Fuller test for a unit root
by Efstathios Paparoditis & Dimitris N. Politis - 974-999 A modified confidence set for the structural break date in linear regression models
by Yohei Yamamoto - 1000-1032 Structural change tests for GEL criteria
by Alain Guay & Jean-François Lamarche
September 2018, Volume 37, Issue 8
- 807-823 Specification tests for time-varying parameter models with stochastic volatility
by Joshua C. C. Chan - 824-849 On the invertibility of EGARCH(p, q)
by Guillaume Gaetan Martinet & Michael McAleer - 850-866 Testing for Granger-causality in quantiles
by Victor Troster - 867-892 Testing for a unit root in a nonlinear quantile autoregression framework
by Haiqi Li & Sung Y. Park - 893-929 Fixed T dynamic panel data estimators with multifactor errors
by Artūras Juodis & Vasilis Sarafidis
August 2018, Volume 37, Issue 7
- 695-718 Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - 719-743 GMM estimation of a realized stochastic volatility model: A Monte Carlo study
by Pierre Chaussé & Dinghai Xu - 744-759 Maximum simulated likelihood estimation of the panel sample selection model
by Hung-Pin Lai & Wen-Jen Tsay - 760-776 More efficient local polynomial regression with random-effects panel data models
by Ke Yang - 777-805 Bayesian model averaging for dynamic panels with an application to a trade gravity model
by Huigang Chen & Alin Mirestean & Charalambos G. Tsangarides
July 2018, Volume 37, Issue 6
- 551-576 Robust parametric tests of constant conditional correlation in a MGARCH model
by Wasel Shadat & Chris Orme - 577-601 A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
by Seong Yeon Chang & Pierre Perron - 602-625 Asymptotics and bootstrap for random-effects panel data transformation models
by Liangjun Su & Zhenlin Yang - 626-649 Extremal dependence tests for contagion
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao - 650-693 First difference transformation in panel VAR models: Robustness, estimation, and inference
by Artūras Juodis
May 2018, Volume 37, Issue 5
- 401-465 Estimation of factor-augmented panel regressions with weakly influential factors
by Simon Reese & Joakim Westerlund - 466-483 Bootstrap tests for time varying cointegration
by Luis F. Martins - 484-490 Sample path properties of an explosive double autoregressive model
by Feng Liu & Dong Li & Xinmei Kang - 491-506 Testing for sphericity in a two-way error components panel data model
by Guangyu Mao - 507-533 Functional-coefficient cointegration models in the presence of deterministic trends
by Masayuki Hirukawa & Mari Sakudo - 534-550 Parameter estimation in multivariate logit models with many binary choices
by Koen Bel & Dennis Fok & Richard Paap
April 2018, Volume 37, Issue 4
- 281-308 A multivariate volatility vine copula model
by E. C. Brechmann & M. Heiden & Y. Okhrin - 309-324 The asymptotic covariance matrix of the QMLE in ARMA models
by Yong Bao - 325-346 Granger-causal analysis of GARCH models: A Bayesian approach
by Tomasz Woźniak - 347-359 Information theoretic methods in small domain estimation
by Rosa Bernardini Papalia & Esteban Fernandez-Vazquez - 360-379 Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach
by Mototsugu Shintani & Zi-Yi Guo - 380-400 The “wrong skewness” problem in stochastic frontier models: A new approach
by Christian M. Hafner & Hans Manner & Léopold Simar
March 2018, Volume 37, Issue 3
- 183-211 Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
by Tomohiro Ando & Jushan Bai - 212-227 The estimation of multidimensional fixed effects panel data models
by Laszlo Balazsi & Laszlo Matyas & Tom Wansbeek - 228-246 Trends cycles and seasons: Econometric methods of signal extraction
by D. S. G. Pollock - 247-259 A slack analysis framework for improving composite indicators with applications to human development and sustainable energy indices
by S. M. Hatefi & S. A. Torabi - 260-280 A Laplace stochastic frontier model
by William C. Horrace & Christopher F. Parmeter
February 2018, Volume 37, Issue 2
- 89-113 A discrete/continuous choice model on a nonconvex budget set
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - 114-139 Modeling and forecasting realized covariance matrices with accounting for leverage
by Stanislav Anatolyev & Nikita Kobotaev - 140-165 A general approach to conditional moment specification testing with projections
by Xuexin Wang - 166-181 A stochastic recurrence equations approach for score driven correlation models
by Francisco Blasques & André Lucas & Erkki Silde
January 2018, Volume 37, Issue 1
- 1-28 Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
by Eric S. Lin & Ta-Sheng Chou - 29-60 Stock return predictability: A factor-augmented predictive regression system with shrinkage method
by Saburo Ohno & Tomohiro Ando - 61-88 Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
by Francesco Bartolucci & Valentina Nigro & Claudia Pigini
November 2017, Volume 36, Issue 10
- 1-1 Editorial Board EOV
by The Editors - 1081-1110 Modeling and forecasting persistent financial durations
by Filip Žikeš & Jozef Baruník & Nikhil Shenai - 1111-1122 Stochastic volatility demand systems
by Apostolos Serletis & Maksim Isakin - 1123-1156 Local power of panel unit root tests allowing for structural breaks
by Yiannis Karavias & Elias Tzavalis - 1157-1172 A nonparametric test for a constant correlation matrix
by Dominik Wied - 1173-1174 List of Referees
by The Editors
October 2017, Volume 36, Issue 6-9
- 563-567 Econometric Reviews honors Esfandiar Maasoumi
by Peter C. B. Phillips & Aman Ullah - 568-587 The impact of integrated measurement errors on modeling long-run macroeconomic time series
by James A. Duffy & David F. Hendry - 588-598 Assessing point forecast accuracy by stochastic error distance
by Francis X. Diebold & Minchul Shin - 599-621 A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
by Paul Catani & Timo Teräsvirta & Meiqun Yin - 622-637 Adaptive LASSO estimation for ARDL models with GARCH innovations
by Marcelo C. Medeiros & Eduardo F. Mendes - 638-650 The impact of jumps and leverage in forecasting covolatility
by Manabu Asai & Michael McAleer - 651-666 Tests for an end-of-sample bubble in financial time series
by Sam Astill & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 667-698 The asymptotic behaviour of the residual sum of squares in models with multiple break points
by Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas - 699-712 Correlated defaults, temporal correlation, expert information and predictability of default rates
by Nicholas M. Kiefer - 713-727 Identification-robust moment-based tests for Markov switching in autoregressive models
by Jean-Marie Dufour & Richard Luger - 728-780 An efficient integrated nonparametric entropy estimator of serial dependence
by Yongmiao Hong & Xia Wang & Wenjie Zhang & Shouyang Wang - 781-795 Interval estimation: An information theoretic approach
by Amos Golan & Aman Ullah - 796-817 Uncertainty, information, and disagreement of economic forecasters
by Mehdi Shoja & Ehsan S. Soofi - 818-839 Reduced forms and weak instrumentation
by Peter C. B. Phillips - 840-852 Stein-like 2SLS estimator
by Bruce E. Hansen - 853-882 Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
by Badi H. Baltagi & Chihwa Kao & Fa Wang - 883-897 First difference or forward demeaning: Implications for the method of moments estimators
by Cheng Hsiao & Qiankun Zhou - 898-927 Exponential class of dynamic binary choice panel data models with fixed effects
by Majid M. Al-Sadoon & Tong Li & M. Hashem Pesaran - 928-945 On the relevance of weaker instruments
by Bertille Antoine & Eric Renault - 946-969 Determining the number of factors with potentially strong within-block correlations in error terms
by Xu Han & Mehmet Caner - 970-987 Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions
by Cong Li & Hongjun Li & Jeffrey S. Racine - 988-1006 Nonparametric Knn estimation with monotone constraints
by Zheng Li & Guannan Liu & Qi Li - 1007-1020 Stochastic metafrontiers
by Christine Amsler & Christopher J. O’Donnell & Peter Schmidt - 1021-1038 Diagnostics for the bootstrap and fast double bootstrap
by Russell Davidson - 1039-1056 Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
by Yong Bao & Aman Ullah & Yun Wang - 1057-1080 Partial identification of average treatment effects on the treated through difference-in-differences
by Yanqin Fan & Carlos A. Manzanares
May 2017, Volume 36, Issue 5
- 495-513 Multistep ahead forecasting of vector time series
by Tucker McElroy & Michael W. McCracken - 514-545 Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
by Guillaume Chevillon - 546-562 Bayesian analysis of multivariate stochastic volatility with skew return distribution
by Jouchi Nakajima
April 2017, Volume 36, Issue 4
- 397-420 Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses
by Esmeralda A. Ramalho & Joaquim J. S. Ramalho - 421-446 Specification and testing of multiplicative time-varying GARCH models with applications
by Cristina Amado & Timo Teräsvirta - 447-467 Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
by Chris Blakely & Tucker McElroy - 468-492 Fourier--type tests involving martingale difference processes
by Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis - 493-493 Correction of Caporin and Paruolo (2015)
by Massimilano Caporin & Paolo Paruolo
March 2017, Volume 36, Issue 1-3
- 1-5 Peter Schmidt: Econometrician and consummate professional
by Esfandiar Maasoumi & Robin Sickles - 6-22 Estimation of partially specified spatial panel data models with fixed-effects
by Chunrong Ai & Yuanqing Zhang - 23-41 Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
by Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton - 42-59 A fractionally integrated Wishart stochastic volatility model
by Manabu Asai & Michael McAleer - 60-84 Inference for impulse response coefficients from multivariate fractionally integrated processes
by Richard T. Baillie & George Kapetanios & Fotis Papailias - 85-102 Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
by Badi H. Baltagi & Chihwa Kao & Long Liu - 103-135 Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
by Herman J. Bierens & Li Wang - 136-155 Bootstrapping unit root tests with covariates
by Yoosoon Chang & Robin C. Sickles & Wonho Song - 156-181 Measuring firm performance using nonparametric quantile-type distances
by Abdelaati Daouia & Léopold Simar & Paul W. Wilson - 182-204 Invariant tests based on M -estimators, estimating functions, and the generalized method of moments
by Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj - 205-224 Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method
by Carl Green & Qi Li & Yu Yvette Zhang - 225-240 Lag length selection in panel autoregression
by Chirok Han & Peter C. B. Phillips & Donggyu Sul - 241-256 The smooth colonel and the reverend find common ground
by Nicholas M. Kiefer & Jeffrey S. Racine - 257-288 Online learning and forecast combination in unbalanced panels
by Kajal Lahiri & Huaming Peng & Yongchen Zhao - 289-353 Inference on locally ordered breaks in multiple regressions
by Ye Li & Pierre Perron - 354-369 Estimation of semi-varying coefficient models with nonstationary regressors
by Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao - 370-384 A semiparametric generalized ridge estimator and link with model averaging
by Aman Ullah & Alan T. K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou - 385-395 LIML in the static linear panel data model
by Tom Wansbeek & Dennis Prak
December 2016, Volume 35, Issue 8-10
- 1343-1346 Model Selection and Shrinkage: An Overview
by Mehmet Caner & Marcelo C. Medeiros - 1347-1376 Detection and Estimation of Block Structure in Spatial Weight Matrix
by Clifford Lam & Pedro C. L. Souza - 1377-1411 Oracle Inequalities for Convex Loss Functions with Nonlinear Targets
by Mehmet Caner & Anders Bredahl Kock - 1412-1455 Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models
by Ulrike Schneider - 1456-1470 The Risk of James--Stein and Lasso Shrinkage
by Bruce E. Hansen - 1471-1484 The Penalized Analytic Center Estimator
by Keith Knight - 1485-1521 Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
by Francesco Audrino & Simon D. Knaus - 1522-1561 Lassoing the Determinants of Retirement
by Malene Kallestrup-Lamb & Anders Bredahl Kock & Johannes Tang Kristensen - 1562-1581 Moment and IV Selection Approaches: A Comparative Simulation Study
by Mehmet Caner & Esfandiar Maasoumi & Juan Andrés Riquelme - 1582-1608 Estimation of Sparse Structural Parameters with Many Endogenous Variables
by Zhentao Shi - 1609-1637 Efficient Estimation with Many Weak Instruments Using Regularization Techniques
by Marine Carrasco & Guy Tchuente - 1638-1665 Stochastic Model Specification Search for Time-Varying Parameter VARs
by Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan - 1666-1691 Particle Learning for Fat-Tailed Distributions
by Hedibert F. Lopes & Nicholas G. Polson - 1692-1752 Generalized Least Squares Model Averaging
by Qingfeng Liu & Ryo Okui & Arihiro Yoshimura - 1753-1779 Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
by Anders Bredahl Kock & Timo Teräsvirta
August 2016, Volume 35, Issue 7
- 1173-1193 A General Quantile Function Model for Economic and Financial Time Series
by Yuzhi Cai - 1194-1220 Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors
by Kun Ho Kim - 1221-1250 A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
by Marcelo Fernandes & Marcelo C. Medeiros & Alvaro Veiga - 1251-1270 Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
by Mariano Kulish & Adrian Pagan - 1271-1289 Modified Profile Likelihood for Fixed-Effects Panel Data Models
by F. Bartolucci & R. Bellio & A. Salvan & N. Sartori - 1290-1316 Testing for Serial Correlation in Fixed-Effects Panel Data Models
by Benjamin Born & Jörg Breitung - 1317-1342 Evidence of Convergence Clubs Using Mixture Models
by Maria Grazia Pittau & Roberto Zelli & Riccardo Massari
June 2016, Volume 35, Issue 6
- 929-950 The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
by Álvaro Cartea & Dimitrios Karyampas - 951-985 Semiparametric Sieve-Type Generalized Least Squares Inference
by George Kapetanios & Zacharias Psaradakis - 986-1012 A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data
by Aaron D. Smallwood - 1013-1039 Imposing and Testing for Shape Restrictions in Flexible Parametric Models
by Hendrik Wolff - 1040-1074 Weighted-Average Least Squares Prediction
by Jan R. Magnus & Wendun Wang & Xinyu Zhang - 1075-1098 Inference for Shared-Frailty Survival Models with Left-Truncated Data
by Gerard J. van den Berg & Bettina Drepper - 1099-1110 An Odd Couple: Monotone Instrumental Variables and Binary Treatments
by Jeremiah Richey - 1111-1141 A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
by Indeewara Perera & Javier Hidalgo & Mervyn J. Silvapulle - 1142-1171 Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
by J. Isaac Miller