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June 2016, Volume 35, Issue 6
- 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
May 2016, Volume 35, Issue 5
- 693-726 Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate
by Sadat Reza & Paul Rilstone - 727-750 Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions
by Helmut Herwartz & Florian Siedenburg & Yabibal M. Walle - 751-781 Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
by Matei Demetrescu & Christoph Hanck - 782-844 On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
by Pierre Perron & Yohei Yamamoto - 845-870 The Local Power of the CADF and CIPS Panel Unit Root Tests
by Joakim Westerlund & Mehdi Hosseinkouchack & Martin Solberger - 871-893 On the Joint Estimation of Heterogeneous Technologies, Technical, and Allocative Inefficiency
by Efthymios G. Tsionas & Kien C. Tran - 894-928 A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
by Alan T. K. Wan & Jinhong You & Riquan Zhang
April 2016, Volume 35, Issue 4
- 465-514 Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
by Prosper Dovonon - 515-552 Regression Analysis of Multivariate Fractional Data
by José M. R. Murteira & Joaquim J. S. Ramalho - 553-585 Improving the Power of Tests of Stochastic Dominance
by Stephen G. Donald & Yu-Chin Hsu - 586-637 Understanding Estimators of Treatment Effects in Regression Discontinuity Designs
by Ping Yu - 638-658 Random Effects, Fixed Effects and Hausman's Test for the Generalized Mixed Regressive Spatial Autoregressive Panel Data Model
by Badi H. Baltagi & Long Liu - 659-687 Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
by G. Mesters & S. J. Koopman & M. Ooms - 688-692 Discrete Choice Methods with Simulation
by Florian Heiss
March 2016, Volume 35, Issue 3
- 311-343 Exact Estimation of Demand Functions under Block-Rate Pricing
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - 344-372 Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data
by Alain Guay & Florian Pelgrin - 373-395 The Multistep Beveridge--Nelson Decomposition
by Tommaso Proietti - 396-427 Pooled Panel Unit Root Tests and the Effect of Past Initialization
by Joakim Westerlund - 428-463 Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
by Gerdie Everaert & Tom De Groote
February 2016, Volume 35, Issue 2
- 169-200 The Co-Integrated Vector Autoregression with Errors-in-Variables
by Heino Bohn Nielsen - 201-231 Empirical Likelihood in Causal Inference
by Biao Zhang - 232-256 Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
by Francesco Audrino & Fulvio Corsi & Kameliya Filipova - 257-262 Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
by Moawia Alghalith - 263-292 Conditional VAR and Expected Shortfall: A New Functional Approach
by Frédéric Ferraty & Alejandro Quintela-Del-Río - 293-310 Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model
by Sofia Anyfantaki & Antonis Demos
January 2016, Volume 35, Issue 1
- 1-1 Special Section on Meritocracy and Assessment of Scholarly Outcomes
by Esfandiar Maasoumi - 2-40 Meritocracy Voting: Measuring the Unmeasurable
by Peter C. B. Phillips - 41-43 Meritocracy Voting: Measuring the Unmeasurable
by Peter Schmidt - 44-49 Elites and Secret Handshakes Versus Metrics and Rule-Based Acclamation: A Comment on "Measuring the Unmeasurable"
by Les Oxley - 50-97 Robust Ranking of Journal Quality: An Application to Economics
by Chia-Lin Chang & Esfandiar Maasoumi & Michael McAleer - 98-121 Nonparametric Estimation of Large Auctions with Risk Averse Bidders
by Xiaodong Liu - 122-168 The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
by Tom�s del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor
December 2015, Volume 34, Issue 6-10
- 653-658 The Special Issue in Honor of Aman Ullah: An Overview
by Esfandiar Maasoumi & Qi Li - 659-694 EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects
by Badi H. Baltagi & Ying Deng - 695-719 Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models
by Zongwu Cai & Linna Chen & Ying Fang - 720-733 Location Properties of Point Estimators in Linear Instrumental Variables and Related Models
by Keisuke Hirano & Jack R. Porter - 734-762 A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model
by Juan Carlos Escanciano & Lin Zhu - 763-798 Residential Mobility, Neighborhood Effects, and Educational Attainment of Blacks and Whites
by Yan Dong & Li Gan & Yingning Wang - 799-827 Endogeneity in Semiparametric Panel Binary Choice Model
by Chunrong Ai & Meixia Meng - 828-848 Symmetrized Multivariate k -NN Estimators
by Yanqin Fan & Ruixuan Liu - 849-881 Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
by Patrick W. Saart & Jiti Gao & David E. Allen - 882-906 Local Linear Estimation of a Nonparametric Cointegration Model
by Zhongwen Liang & Zhongjian Lin & Cheng Hsiao - 907-958 High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression
by Carlos Martins-Filho & Feng Yao & Maximo Torero - 959-978 A Partially Linear Kernel Estimator for Categorical Data
by Qi Gao & Long Liu & Jeffrey S. Racine - 979-1010 Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution
by Jingping Gu & Qi Li & Jui-Chung Yang - 1011-1034 A Nonparametric Distribution-Free Test for Serial Independence of Errors
by Zaichao Du & Juan Carlos Escanciano - 1035-1056 Limit Theory for VARs with Mixed Roots Near Unity
by Peter C. B. Phillips & Ji Hyung Lee - 1057-1088 Testing Additive Separability of Error Term in Nonparametric Structural Models
by Liangjun Su & Yundong Tu & Aman Ullah - 1089-1117 Testing Weak Cross-Sectional Dependence in Large Panels
by M. Hashem Pesaran - 1118-1140 Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
by Dayong Zhang & Marco R. Barassi & Jijun Tan - 1141-1171 Constructing Common Factors from Continuous and Categorical Data
by Serena Ng - 1172-1192 GARCH Model Estimation Using Estimated Quadratic Variation
by John W. Galbraith & Victoria Zinde-Walsh & Jingmei Zhu
May 2015, Volume 34, Issue 5
- 537-558 Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach
by Markus Jochmann - 559-593 Proximity-Structured Multivariate Volatility Models
by Massimiliano Caporin & Paolo Paruolo - 594-616 Independent Factor Autoregressive Conditional Density Model
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga - 617-652 M Tests with a New Normalization Matrix
by Yi-Ting Chen & Zhongjun Qu
April 2015, Volume 34, Issue 4
- 413-451 Semiparametric Stochastic Frontier Estimation via Profile Likelihood
by Carlos Martins-Filho & Feng Yao - 452-479 True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
by Arturo Leccadito & Omar Rachedi & Giovanni Urga - 480-511 Time-Deformation Modeling of Stock Returns Directed by Duration Processes
by Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto - 512-536 Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
by Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor
March 2015, Volume 34, Issue 3
- 255-255 Editorial Note
by Amos Golan & Esfandiar Maasoumi - 256-285 Marginal Likelihood Estimation with the Cross-Entropy Method
by Joshua C. C. Chan & Eric Eisenstat - 286-327 Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach
by Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko - 328-351 Shrinkage of Variance for Minimum Distance Based Tests
by Saraswata Chaudhuri & Eric Renault - 352-393 Robustness of Bootstrap in Instrumental Variable Regression
by Lorenzo Camponovo & Taisuke Otsu - 394-412 Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval
by Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang
February 2015, Volume 34, Issue 1-2
- 1-5 Introduction to Econometrics with Theory: A Special Issue Honoring William A. Barnett
by James J. Heckman & Apostolos Serletis - 6-31 Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs
by James J. Heckman & Rodrigo Pinto - 32-55 Factor Model Forecasts of Exchange Rates
by Charles Engel & Nelson C. Mark & Kenneth D. West - 56-81 Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy
by Arnold Zellner & Jacques Kibambe Ngoie - 82-105 A Simple Estimator for Binary Choice Models with Endogenous Regressors
by Yingying Dong & Arthur Lewbel - 106-126 Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components
by W. Erwin Diewert & Jan de Haan & Rens Hendriks - 127-145 Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process
by Yiguo Sun & Cheng Hsiao & Qi Li - 146-173 What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
by Shigeru Iwata & Han Li - 174-197 Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
by Annastiina Silvennoinen & Timo Ter�svirta - 198-227 Imposing Theoretical Regularity on Flexible Functional Forms
by Apostolos Serletis & Guohua Feng - 228-254 Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy
by Richard G. Anderson & Marcelle Chauvet & Barry Jones
November 2014, Volume 33, Issue 8
- 815-853 Lessons From Quantile Panel Estimation of the Environmental Kuznets Curve
by Carlos A. Flores & Alfonso Flores-Lagunes & Dimitrios Kapetanakis - 854-868 Partial Effects in Ordered Response Models with Factor Variables
by Andrew Hodge & Sriram Shankar - 869-905 Treatment Evaluation in the Presence of Sample Selection
by Martin Huber - 906-935 A Test for Slope Heterogeneity in Fixed Effects Models
by Ted Juhl & Oleksandr Lugovskyy - 936-947 Some Theoretical and Simulation Results on the Frequency Domain Causality Test
by Hiroshi Yamada & Wei Yanfeng
October 2014, Volume 33, Issue 7
- 713-731 A Note on Nonlinear Cointegration, Misspecification, and Bimodality
by Marcelo C. Medeiros & Eduardo Mendes & Les Oxley - 732-750 Partially Adaptive Estimation of the Censored Regression Model
by Randall A. Lewis & James B. McDonald - 751-771 A Goodness-of-fit Test for Copulas
by Wanling Huang & Artem Prokhorov - 772-784 Applying the GLM Variance Assumption to Overcome the Scale-Dependence of the Negative Binomial QGPML Estimator
by Clément Bosquet & Hervé Boulhol - 785-814 Estimation of Long Memory in Integrated Variance
by Eduardo Rossi & Paolo Santucci de Magistris
August 2014, Volume 33, Issue 5-6
- 429-430 Overview
by Karim M. Abadir & Esfandiar Maasoumi - 431-471 A Heteroskedasticity-Robust F -Test Statistic for Individual Effects
by Chris D. Orme & Takashi Yamagata - 472-496 Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity
by Jerry Hausman & Tiemen Woutersen - 497-522 Using Copulas to Model Time Dependence in Stochastic Frontier Models
by Christine Amsler & Artem Prokhorov & Peter Schmidt - 523-552 Testing Conditional Independence Restrictions
by Oliver Linton & Pedro Gozalo - 553-574 Misspecification Testing: Non-Invariance of Expectations Models of Inflation
by Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen - 575-605 Robustify Financial Time Series Forecasting with Bagging
by Sainan Jin & Liangjun Su & Aman Ullah - 606-650 Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - 651-675 Bootstrap Confidence Sets with Weak Instruments
by Russell Davidson & James G. MacKinnon - 676-712 Nonlinearity Induced Weak Instrumentation
by Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos
June 2014, Volume 33, Issue 1-4
- 1-2 Arnold Zellner: Scientist, Leader, Mentor, and Friend
by Esfandiar (Essie) Maasoumi & Ehsan S. Soofi - 3-35 Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
by Arnold Zellner & Tomohiro Ando & Nalan Baştük & Lennart Hoogerheide & Herman K. van Dijk - 36-67 Treatment Effects: A Bayesian Perspective
by James J. Heckman & Hedibert F. Lopes & Rémi Piatek - 68-99 A Predictive Approach for Selection of Diffusion Index Models
by Tomohiro Ando & Ruey S. Tsay - 100-121 Bayesian Instrumental Variables: Priors and Likelihoods
by Hedibert F. Lopes & Nicholas G. Polson - 122-151 Two-Stage Bayesian Model Averaging in Endogenous Variable Models
by Alex Lenkoski & Theo S. Eicher & Adrian E. Raftery - 152-171 DSGE Models with Student- t Errors
by Siddhartha Chib & Srikanth Ramamurthy - 172-196 Explaining Trends in Body Mass Index Using Demographic Counterfactuals
by Brendan Kline & Justin L. Tobias - 197-217 The Effective Sample Size
by James Berger & M. J. Bayarri & L. R. Pericchi - 218-250 I Got More Data, My Model is More Refined, but My Estimator is Getting Worse! Am I Just Dumb?
by Xiao-Li Meng & Xianchao Xie - 251-269 Posterior Odds with a Generalized Hyper- g -Prior
by Edward I. George & Yuzo Maruyama - 270-288 Analysis of Variance for Bayesian Inference
by John Geweke & Gianni Amisano - 289-304 On Some Optimal Bayesian Nonparametric Rules for Estimating Distribution Functions
by Fabrizio Ruggeri - 305-336 Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem
by Minxian Yang - 337-371 Statistical Problem Classes and Their Links to Information Theory
by Bertrand Clarke & Jennifer Clarke & Chi Wai Yu - 372-378 Uniform Distributions on the Integers: A connection to the Bernouilli Random Walk
by Joseph B. Kadane & Jiashun Jin - 379-394 Adaptive Percolation Using Subjective Likelihoods
by Nozer D. Singpurwalla - 395-420 Importance of Components for a System
by Nader Ebrahimi & Nima Y. Jalali & Ehsan S. Soofi & Refik Soyer - 421-423 All Roads Lead to Arnold
by Peter Rossi - 424-427 Memorial Statements by Anderson, Judge, Press, Aigner, Allenby, and Palm
by Ehsan S. Soofi
November 2013, Volume 32, Issue 8
- 869-891 Detrending Bootstrap Unit Root Tests
by Stephan Smeekes - 892-927 Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation
by Mohitosh Kejriwal & Claude Lopez - 928-955 Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
by Jia Chen & Jiti Gao & Degui Li
October 2013, Volume 32, Issue 7
- 779-813 State Space Models and MIDAS Regressions
by Jennie Bai & Eric Ghysels & Jonathan H. Wright - 814-847 Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
by Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler - 848-867 A Unified View of Nonparametric Trend-Cycle Predictors Via Reproducing Kernel Hilbert Spaces
by Estela Bee Dagum & Silvia Bianconcini
August 2013, Volume 32, Issue 5-6
- 543-546 An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
by Badi H. Baltagi & Esfandiar Maasoumi - 547-591 Lessons from a Decade of IPS and LLC
by Joakim Westerlund & Jörg Breitung - 592-649 Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
by Alexander Chudik & M. Hashem Pesaran - 650-685 A Generalized Spatial Panel Data Model with Random Effects
by Badi H. Baltagi & Peter Egger & Michael Pfaffermayr - 686-733 On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors
by David M. Drukker & Peter Egger & Ingmar R. Prucha - 734-753 Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments
by Xiaodong Liu & Lung-Fei Lee - 754-777 Nonparametric Estimation in Large Panels with Cross-Sectional Dependence
by Xiao Huang
December 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
November 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 Frölich & Blaise Melly
February 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
January 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
November 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
September 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
2012, Volume 31, Issue 4
- 361-389 Weak Instrumental Variables Models for Longitudinal Data
by Zongwu Cai & Ying Fang & Henong Li - 390-439 Asymptotics for Panel Models with Common Shocks
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - 440-474 Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models
by J. Arteche - 475-481 On the Characteristic Function for Asymmetric Exponential Power Distributions
by Saralees Nadarajah & Mahdi Teimouri
2012, Volume 31, Issue 3
- 245-296 A Survey of Sequential Monte Carlo Methods for Economics and Finance
by Drew Creal - 297-324 A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
by Christian Kascha - 325-360 Likelihood-Based Inference for Weak Exogeneity in (2) Cointegrated VAR Models
by Takamitsu Kurita
2012, Volume 31, Issue 2
- 119-141 A Note on Two-Way ECM Estimation of SUR Systems on Unbalanced Panel Data
by Silvia Platoni & Paolo Sckokai & Daniele Moro - 142-170 Theory and Applications of TAR Model with Two Threshold Variables
by Haiqiang Chen & Terence Chong & Jushan Bai - 171-214 Semiparametric Estimators for Limited Dependent Variable (LDV) Models with Endogenous Regressors
by Myoung-Jae Lee - 215-240 Testing for Spatial Autocorrelation: The Regressors that Make the Power Disappear
by Federico Martellosio - 241-244 Review of Microfit5
by Ron Smith
2012, Volume 31, Issue 1
- 1-33 Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
by Otilia Boldea & Alastair Hall & Sanggohn Han - 34-59 Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
by Changli He & Rickard Sandberg - 60-83 Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
by George Athanasopoulos & D. Poskitt & Farshid Vahid - 84-106 Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations
by Andriy Norets - 107-117 Book Review: and
by Patrick Bajari & Thomas Youle
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
October 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 M. Trimbur - 514-547 Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices
by David I. Harvey & Stephen J. 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 C. Drichoutis & Rodolfo M. Nayga - 577-581 Book Review: Econometric Modeling and Inference
by Jean-Fran�ois Richard
August 2011, Volume 30, Issue 4
- 359-378 Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models
by Kulan Ranasinghe & Mervyn J. 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 J. 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 & Søren 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