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Content
2015, Volume 189, Issue 2
- 272-284 Functional index coefficient models with variable selection
by Cai, Zongwu & Juhl, Ted & Yang, Bingduo
- 285-296 LASSO estimation of threshold autoregressive models
by Chan, Ngai Hang & Yau, Chun Yip & Zhang, Rong-Mao
- 297-312 High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
by Chang, Jinyuan & Guo, Bin & Yao, Qiwei
- 313-320 Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
by Chen, Min & Zhu, Ke
- 321-334 Toward optimal model averaging in regression models with time series errors
by Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui
- 335-345 High dimensional dynamic stochastic copula models
by Creal, Drew D. & Tsay, Ruey S.
- 346-359 A misspecification test for multiplicative error models of non-negative time series processes
by Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W.
- 360-370 Sample quantile analysis for long-memory stochastic volatility models
by Ho, Hwai-Chung
- 371-382 Testing for independence between functional time series
by Horváth, Lajos & Rice, Gregory
- 383-396 Statistical inference for panel dynamic simultaneous equations models
by Hsiao, Cheng & Zhou, Qiankun
- 397-414 Specification tests of calibrated option pricing models
by Jarrow, Robert & Kwok, Simon Sai Man
- 415-427 Asymptotic inference in multiple-threshold double autoregressive models
by Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel
- 428-436 A new hyperbolic GARCH model
by Li, Muyi & Li, Wai Keung & Li, Guodong
- 437-446 Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach
by Liu, Shouwei & Tse, Yiu-Kuen
- 447-456 Refinements in maximum likelihood inference on spatial autocorrelation in panel data
by Robinson, Peter M. & Rossi, Francesca
- 457-472 Statistical inference for conditional quantiles in nonlinear time series models
by So, Mike K.P. & Chung, Ray S.W.
- 473-484 Quasi-likelihood estimation of a threshold diffusion process
by Su, Fei & Chan, Kung-Sik
- 485-491 Threshold models in time series analysis—Some reflections
by Tong, Howell
- 492-506 Generalized ARMA models with martingale difference errors
by Zheng, Tingguo & Xiao, Han & Chen, Rong
2015, Volume 189, Issue 1
- 1-23 Robust inference on average treatment effects with possibly more covariates than observations
by Farrell, Max H.
- 24-40 Binary quantile regression with local polynomial smoothing
by Chen, Songnian & Zhang, Hanghui
- 41-53 Identification and shape restrictions in nonparametric instrumental variables estimation
by Freyberger, Joachim & Horowitz, Joel L.
- 54-69 A Bayesian chi-squared test for hypothesis testing
by Li, Yong & Liu, Xiao-Bin & Yu, Jun
- 70-82 Identification of mixture models using support variations
by D’Haultfœuille, Xavier & Février, Philippe
- 83-100 Adaptive estimation of the threshold point in threshold regression
by Yu, Ping
- 101-116 Unexplained factors and their effects on second pass R-squared’s
by Kleibergen, Frank & Zhan, Zhaoguo
- 117-131 Identification of complete information games
by Kline, Brendan
- 132-147 Regression discontinuity designs with unknown discontinuity points: Testing and estimation
by Porter, Jack & Yu, Ping
- 148-162 Smooth coefficient estimation of a seemingly unrelated regression
by Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F.
- 163-186 Sieve semiparametric two-step GMM under weak dependence
by Chen, Xiaohong & Liao, Zhipeng
- 187-206 Testing for factor loading structural change under common breaks
by Yamamoto, Yohei & Tanaka, Shinya
- 207-228 Robust inference in nonlinear models with mixed identification strength
by Cheng, Xu
- 229-244 Identification and estimation of games with incomplete information using excluded regressors
by Lewbel, Arthur & Tang, Xun
2015, Volume 188, Issue 2
- 316-326 Estimation of panel data partly specified Tobit regression with fixed effects
by Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia
- 327-345 A semiparametric model for heterogeneous panel data with fixed effects
by Boneva, Lena & Linton, Oliver & Vogt, Michael
- 346-362 Panel nonparametric regression with fixed effects
by Lee, Jungyoon & Robinson, Peter M.
- 363-377 Set identification of the censored quantile regression model for short panels with fixed effects
by Li, Tong & Oka, Tatsushi
- 378-392 Nonparametric identification in panels using quantiles
by Chernozhukov, Victor & Fernández-Val, Iván & Hoderlein, Stefan & Holzmann, Hajo & Newey, Whitney
- 393-420 Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
by Chudik, Alexander & Pesaran, M. Hashem
- 421-434 Binary response correlated random coefficient panel data models
by Gao, Yichen & Li, Cong & Liang, Zhongwen
- 435-446 Estimation of dynamic discrete models from time aggregated data
by Hong, Han & Li, Weiming & Wang, Boyu
- 447-465 Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
by Chen, Xiaohong & Christensen, Timothy M.
- 466-473 Testing error serial correlation in fixed effects nonparametric panel data models
by Green, Carl & Long, Wei & Hsiao, Cheng
- 474-489 Model selection in the presence of incidental parameters
by Lee, Yoonseok & Phillips, Peter C.B.
- 490-501 A data-driven smooth test of symmetry
by Fang, Ying & Li, Qi & Wu, Ximing & Zhang, Daiqiang
- 502-513 Optimal smoothing in nonparametric conditional quantile derivative function estimation
by Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li
- 514-525 Subjective mortality risk and bequests
by Gan, Li & Gong, Guan & Hurd, Michael & McFadden, Daniel
- 526-544 Nonparametric estimation of structural labor supply and exact welfare change under nonconvex piecewise-linear budget sets
by Gan, Li & Ju, Gaosheng & Zhu, Xi
- 545-557 The treatment-effect estimation: A case study of the 2008 economic stimulus package of China
by Ouyang, Min & Peng, Yulei
- 558-568 Home-purchase restriction, property tax and housing price in China: A counterfactual analysis
by Du, Zaichao & Zhang, Lin
2015, Volume 188, Issue 1
- 1-21 Large sample properties of the matrix exponential spatial specification with an application to FDI
by Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei
- 22-39 Nonparametric identification and estimation of transformation models
by Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis
- 40-58 Jackknife model averaging for quantile regressions
by Lu, Xun & Su, Liangjun
- 59-93 New tools for understanding the local asymptotic power of panel unit root tests
by Westerlund, Joakim & Larsson, Rolf
- 94-110 Higher-order improvements of the sieve bootstrap for fractionally integrated processes
by Poskitt, D.S. & Grose, Simone D. & Martin, Gael M.
- 111-134 Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
by Hayakawa, Kazuhiko & Pesaran, M. Hashem
- 135-149 Identification and estimation in a correlated random coefficients binary response model
by Hoderlein, Stefan & Sherman, Robert
- 150-165 Generalised density forecast combinations
by Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N.
- 166-181 Structural-break models under mis-specification: Implications for forecasting
by Koo, Bonsoo & Seo, Myung Hwan
- 182-195 Two-step estimation of network-formation models with incomplete information
by Leung, Michael P.
- 196-218 Specification and structural break tests for additive models with applications to realized variance data
by Fengler, M.R. & Mammen, E. & Vogt, M.
- 219-235 Estimation of heterogeneous autoregressive parameters with short panel data
by Mavroeidis, Sophocles & Sasaki, Yuya & Welch, Ivo
- 236-249 Heterogeneity and selection in dynamic panel data
by Sasaki, Yuya
- 250-263 Extremum estimation and numerical derivatives
by Hong, Han & Mahajan, Aprajit & Nekipelov, Denis
- 264-280 Maximum likelihood estimation of a spatial autoregressive Tobit model
by Xu, Xingbai & Lee, Lung-fei
- 281-300 Quantile cointegration in the autoregressive distributed-lag modeling framework
by Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol
- 301-312 Semiparametric single-index panel data models with cross-sectional dependence
by Dong, Chaohua & Gao, Jiti & Peng, Bin
2015, Volume 187, Issue 2
- 403-407 Econometric analysis of financial derivatives: An overview
by Chang, Chia-Lin & McAleer, Michael
- 408-417 Pricing with finite dimensional dependence
by Gourieroux, C. & Monfort, A.
- 418-435 Market-based estimation of stochastic volatility models
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena
- 436-446 Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
by Asai, Manabu & McAleer, Michael
- 447-457 Model-based pricing for financial derivatives
by Zhu, Ke & Ling, Shiqing
- 458-471 Stock return and cash flow predictability: The role of volatility risk
by Bollerslev, Tim & Xu, Lai & Zhou, Hao
- 472-485 A stochastic dominance approach to financial risk management strategies
by Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio
- 486-497 Option pricing with non-Gaussian scaling and infinite-state switching volatility
by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco
- 498-511 What is beneath the surface? Option pricing with multifrequency latent states
by Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus
- 512-520 Quanto option pricing in the presence of fat tails and asymmetric dependence
by Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho
- 521-531 Smile from the past: A general option pricing framework with multiple volatility and leverage components
by Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio
- 532-546 The fine structure of equity-index option dynamics
by Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George
- 547-556 A non-linear dynamic model of the variance risk premium
by Eraker, Bjørn & Wang, Jiakou
- 557-579 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert
- 580-592 The long and the short of the risk-return trade-off
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo
- 593-605 COMFORT: A common market factor non-Gaussian returns model
by Paolella, Marc S. & Polak, Paweł
- 606-621 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
by Duong, Diep & Swanson, Norman R.
- 622-633 Divided governments and futures prices
by Sojli, Elvira & Tham, Wing Wah
2015, Volume 187, Issue 1
- 1-17 Model selection tests for moment inequality models
by Shi, Xiaoxia
- 18-42 Learning, confidence, and option prices
by Shaliastovich, Ivan
- 43-56 A Quadratic Kalman Filter
by Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume
- 57-73 Explicit form of approximate transition probability density functions of diffusion processes
by Choi, Seungmoon
- 74-81 Sharp bounds on treatment effects in a binary triangular system
by Mourifié, Ismael
- 82-94 K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?
by Kaufmann, Sylvia
- 95-112 Cross-validation for selecting a model selection procedure
by Zhang, Yongli & Yang, Yuhong
- 113-130 A bootstrapped spectral test for adequacy in weak ARMA models
by Zhu, Ke & Li, Wai Keung
- 131-153 Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
by Lee, Donghoon & Song, Kyungchul
- 154-168 Nonparametric tests for constant tail dependence with an application to energy and finance
by Bücher, Axel & Jäschke, Stefan & Wied, Dominik
- 169-188 VAR for VaR: Measuring tail dependence using multivariate regression quantiles
by White, Halbert & Kim, Tae-Hwan & Manganelli, Simone
- 189-200 Semiparametric model building for regression models with time-varying parameters
by Zhang, Ting
- 201-216 Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference
by Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan
- 217-237 A test of the null of integer integration against the alternative of fractional integration
by Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter
- 238-255 Estimation in generalised varying-coefficient models with unspecified link functions
by Zhang, Wenyang & Li, Degui & Xia, Yingcun
- 256-274 Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
by Caner, Mehmet & Fan, Qingliang
- 275-292 Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study
by Li, Xianghong & Smith, Barry
- 293-311 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
by Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin
- 312-322 IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large
by Hsiao, Cheng & Zhang, Junwei
- 323-344 Nonparametric specification tests for stochastic volatility models based on volatility density
by Zu, Yang
- 345-357 A flexible semiparametric forecasting model for time series
by Li, Degui & Linton, Oliver & Lu, Zudi
- 358-375 Instrumental variable and variable addition based inference in predictive regressions
by Breitung, Jörg & Demetrescu, Matei
- 376-384 Testing linearity using power transforms of regressors
by Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B.
- 385-401 Non-nested testing of spatial correlation
by Delgado, Miguel A. & Robinson, Peter M.
2015, Volume 186, Issue 2
- 280-293 Forecasting with factor-augmented regression: A frequentist model averaging approach
by Cheng, Xu & Hansen, Bruce E.
- 294-316 The three-pass regression filter: A new approach to forecasting using many predictors
by Kelly, Bryan & Pruitt, Seth
- 317-324 On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
by Chatterjee, A. & Gupta, S. & Lahiri, S.N.
- 325-344 Oracle inequalities for high dimensional vector autoregressions
by Kock, Anders Bredahl & Callot, Laurent
- 345-366 Some new asymptotic theory for least squares series: Pointwise and uniform results
by Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo
- 367-387 Risks of large portfolios
by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng
- 388-406 Asymptotic analysis of the squared estimation error in misspecified factor models
by Onatski, Alexei
- 407-426 Bootstrap inference for linear dynamic panel data models with individual fixed effects
by Gonçalves, Sílvia & Kaffo, Maximilien
- 427-442 Regularized LIML for many instruments
by Carrasco, Marine & Tchuente, Guy
- 443-464 Select the valid and relevant moments: An information-based LASSO for GMM with many moments
by Cheng, Xu & Liao, Zhipeng
- 465-476 Instrumental variable estimation in functional linear models
by Florens, Jean-Pierre & Van Bellegem, Sébastien
2015, Volume 186, Issue 1
- 1-18 A spatial autoregressive model with a nonlinear transformation of the dependent variable
by Xu, Xingbai & Lee, Lung-fei
- 19-31 Inference on higher-order spatial autoregressive models with increasingly many parameters
by Gupta, Abhimanyu & Robinson, Peter M.
- 32-50 Regression-based analysis of cointegration systems
by Gomez-Biscarri, Javier & Hualde, Javier
- 51-65 Asymptotically exact inference in conditional moment inequality models
by Armstrong, Timothy B.
- 66-73 Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake
by Fujiki, Hiroshi & Hsiao, Cheng
- 74-93 What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
by Wachter, Jessica A. & Warusawitharana, Missaka
- 94-112 Empirical likelihood for regression discontinuity design
by Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi
- 113-128 Asset-pricing anomalies at the firm level
by Cederburg, Scott & O’Doherty, Michael S.
- 129-141 Revealed preference tests for weak separability: An integer programming approach
by Cherchye, Laurens & Demuynck, Thomas & De Rock, Bram & Hjertstrand, Per
- 142-159 Distribution theory of the least squares averaging estimator
by Liu, Chu-An
- 160-177 Nested forecast model comparisons: A new approach to testing equal accuracy
by Clark, Todd E. & McCracken, Michael W.
- 178-200 A general method for third-order bias and variance corrections on a nonlinear estimator
by Yang, Zhenlin
- 201-221 Quantile regression with censoring and endogeneity
by Chernozhukov, Victor & Fernández-Val, Iván & Kowalski, Amanda E.
- 222-244 Specification test for panel data models with interactive fixed effects
by Su, Liangjun & Jin, Sainan & Zhang, Yonghui
- 245-257 The generalised autocovariance function
by Proietti, Tommaso & Luati, Alessandra
- 258-275 Bad environments, good environments: A non-Gaussian asymmetric volatility model
by Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey
2015, Volume 185, Issue 2
- 305-331 Residual-based rank specification tests for AR–GARCH type models
by Andreou, Elena & Werker, Bas J.M.
- 332-342 Jackknife instrumental variable estimation with heteroskedasticity
by Bekker, Paul A. & Crudu, Federico
- 343-358 Through the looking glass: Indirect inference via simple equilibria
by Calvet, Laurent E. & Czellar, Veronika
- 359-371 Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
by Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo
- 372-377 Cross-sectional averages versus principal components
by Westerlund, Joakim & Urbain, Jean-Pierre
- 378-391 Nonparametric rank tests for non-stationary panels
by Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim
- 392-408 Closed-form estimation of nonparametric models with non-classical measurement errors
by Hu, Yingyao & Sasaki, Yuya
- 409-419 Bayesian regression with nonparametric heteroskedasticity
by Norets, Andriy
- 420-434 Asymptotics for nonparametric and semiparametric fixed effects panel models
by Li, Cong & Liang, Zhongwen
- 435-452 Efficient inference on fractionally integrated panel data models with fixed effects
by Robinson, Peter M. & Velasco, Carlos
- 453-467 The effect of recursive detrending on panel unit root tests
by Westerlund, Joakim
- 468-494 Nonparametric predictive regression
by Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B.
- 495-509 The power of PANIC
by Westerlund, Joakim
- 510-525 Infinite order cross-validated local polynomial regression
by Hall, Peter G. & Racine, Jeffrey S.
- 526-541 IV estimation of panels with factor residuals
by Robertson, Donald & Sarafidis, Vasilis
2015, Volume 185, Issue 1
- 1-19 Nonparametric estimation and inference on conditional quantile processes
by Qu, Zhongjun & Yoon, Jungmo
- 20-32 Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion
by Kaplan, David M.
- 33-59 LM tests of spatial dependence based on bootstrap critical values
by Yang, Zhenlin
- 60-81 Estimation of affine term structure models with spanned or unspanned stochastic volatility
by Creal, Drew D. & Wu, Jing Cynthia
- 82-94 Estimation of marginal effects in semiparametric selection models with binary outcomes
by Klein, Roger & Shen, Chan & Vella, Francis
- 95-109 Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors
by Song, Suyong
- 110-123 Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes
by Chabé-Ferret, Sylvain
- 124-161 A test for second order stationarity of a multivariate time series
by Jentsch, Carsten & Subba Rao, Suhasini
- 162-181 Asymptotic theory for differentiated products demand models with many markets
by Freyberger, Joachim
- 182-195 Nonlinear regressions with nonstationary time series
by Chan, Nigel & Wang, Qiying
- 196-215 Modeling and testing smooth structural changes with endogenous regressors
by Chen, Bin
- 216-229 Estimating dynamic equilibrium models with stochastic volatility
by Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F.
- 230-258 QML estimation of dynamic panel data models with spatial errors
by Su, Liangjun & Yang, Zhenlin
- 259-282 Specification tests for partially identified models defined by moment inequalities
by Bugni, Federico A. & Canay, Ivan A. & Shi, Xiaoxia
- 283-304 High dimensional generalized empirical likelihood for moment restrictions with dependent data
by Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong
2015, Volume 184, Issue 2
- 209-232 Estimating a spatial autoregressive model with an endogenous spatial weight matrix
by Qu, Xi & Lee, Lung-fei
- 233-241 Gradient-based smoothing parameter selection for nonparametric regression estimation
by Henderson, Daniel J. & Li, Qi & Parmeter, Christopher F. & Yao, Shuang
- 242-261 Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee
- 262-279 Confidence sets for the date of a break in level and trend when the order of integration is unknown
by Harvey, David I. & Leybourne, Stephen J.
- 280-294 A residual-based ADF test for stationary cointegration in I(2) settings
by Gomez-Biscarri, Javier & Hualde, Javier
- 295-314 On the bootstrap for Moran’s I test for spatial dependence
by Jin, Fei & Lee, Lung-fei
- 315-327 Multiplicative-error models with sample selection
by Jochmans, Koen
- 328-346 Goodness-of-fit tests based on series estimators in nonparametric instrumental regression
by Breunig, Christoph
- 347-360 Inference in semiparametric binary response models with interval data
by Wan, Yuanyuan & Xu, Haiqing
- 361-378 Econometrics of co-jumps in high-frequency data with noise
by Bibinger, Markus & Winkelmann, Lars
- 379-393 Frontier estimation in the presence of measurement error with unknown variance
by Kneip, Alois & Simar, Léopold & Van Keilegom, Ingrid
- 394-419 Tests for overidentifying restrictions in Factor-Augmented VAR models
by Han, Xu
- 420-451 The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
by Andreasen, Martin M. & Christensen, Bent Jesper
- 452-463 Model averaging estimation of generalized linear models with imputed covariates
by Dardanoni, Valentino & De Luca, Giuseppe & Modica, Salvatore & Peracchi, Franco
2015, Volume 184, Issue 1
- 1-12 Reinforced urn processes for credit risk models
by Peluso, Stefano & Mira, Antonietta & Muliere, Pietro
- 13-36 A semiparametric single index model with heterogeneous impacts on an unobserved variable
by Lee, Jiyon
- 37-61 Robust score and portmanteau tests of volatility spillover
by Aguilar, Mike & Hill, Jonathan B.
- 62-80 Multi-scale tests for serial correlation
by Gençay, Ramazan & Signori, Daniele
- 81-96 Specification testing for transformation models with an application to generalized accelerated failure-time models
by Lewbel, Arthur & Lu, Xun & Su, Liangjun
- 97-110 Improved likelihood ratio tests for cointegration rank in the VAR model
by Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard
- 111-123 Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data
by Bartolucci, Francesco & Belotti, Federico & Peracchi, Franco
- 124-144 Asymptotically distribution-free tests for the volatility function of a diffusion
by Chen, Qiang & Zheng, Xu & Pan, Zhiyuan
- 145-157 Inference on factor structures in heterogeneous panels
by Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo
- 158-173 Risk-parameter estimation in volatility models
by Francq, Christian & Zakoïan, Jean-Michel
- 174-192 Estimation of fixed effects panel regression models with separable and nonseparable space–time filters
by Lee, Lung-fei & Yu, Jihai
- 193-207 Is there a stepping stone effect in drug use? Separating state dependence from unobserved heterogeneity within and between illicit drugs
by Deza, Monica
2014, Volume 183, Issue 2
- 151-167 Mutual excitation in Eurozone sovereign CDS
by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana
- 168-180 Time-varying jump tails
by Bollerslev, Tim & Todorov, Viktor
- 181-192 The VIX, the variance premium and stock market volatility
by Bekaert, Geert & Hoerova, Marie
- 193-201 The nonlinear price dynamics of U.S. equity ETFs
by Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin
- 202-210 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
by Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian
- 211-221 Minimum distance estimation of the errors-in-variables model using linear cumulant equations
by Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M.
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