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October 2011, Volume 14, Issue 3
- 5-9 A Review of Econometric Analysis of Cross Section and Panel Data (2nd ed.) by Wooldridge (Jeffrey M.)
by Ralf A. Wilke - 351-367 Non‐parametric models in binary choice fixed effects panel data
by Stefan Hoderlein & Enno Mammen & Kyusang Yu - 368-386 A simple approach to quantile regression for panel data
by Ivan A. Canay - 387-408 Non‐parametric time‐varying coefficient panel data models with fixed effects
by Degui Li & Jia Chen & Jiti Gao - 409-437 Rank estimation of partially linear index models
by Jason Abrevaya & Youngki Shin - 438-456 Fixed‐b analysis of LM‐type tests for a shift in mean
by Jingjing Yang & Timothy J. Vogelsang - 457-486 Non‐parametric regression under location shifts
by Peter C. B. Phillips & Liangjun Su - 487-497 Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
by Yunmi Kim & Chang‐Jin Kim
July 2011, Volume 14, Issue 2
- 1-4 A Review of Micro‐Econometrics: Methods of Moments and Limited Dependent Variables (2nd Ed.) by L ee (M young‐jae )
by João M. C. Santos Silva - 131-155 An I(2) cointegration model with piecewise linear trends
by Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek - 156-185 Cointegration and sampling frequency
by Marcus J. Chambers - 186-203 Misspecification in moment inequality models: back to moment equalities?
by Maria Ponomareva & Elie Tamer - 204-240 Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
by Almut E. D. Veraart - 241-256 Quasi‐maximum likelihood estimation of discretely observed diffusions
by Xiao Huang - 257-277 On the efficiency of a semi‐parametric GARCH model
by Jianing Di & Ashis Gangopadhyay - 278-303 Test statistics for prospect and Markowitz stochastic dominances with applications
by Zhidong Bai & Hua Li & Huixia Liu & Wing‐Keung Wong - 304-320 Regressions with asymptotically collinear regressors
by Kairat T. Mynbaev - 321-329 Large deviations of generalized method of moments and empirical likelihood estimators
by Taisuke Otsu - 330-342 Simple regression‐based tests for spatial dependence
by Benjamin Born & Jörg Breitung - 343-350 Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations
by Christian N. Brinch
February 2011, Volume 14, Issue 1
- 1-24 A hierarchical factor analysis of U.S. housing market dynamics
by Emanuel Moench & Serena Ng - 1-24 Quantile regression models with factor‐augmented predictors and information criterion
by Tomohiro Ando & Ruey S. Tsay - 25-44 Short‐term forecasts of euro area GDP growth
by Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler - 25-47 Testing for sphericity in a fixed effects panel data model
by Badi H. Baltagi & Qu Feng & Chihwa Kao - 45-90 Weak and strong cross‐section dependence and estimation of large panels
by Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti - 48-76 The Hausman test in a Cliff and Ord panel model
by Jan Mutl & Michael Pfaffermayr - 77-120 Fully modified narrow‐band least squares estimation of weak fractional cointegration
by Morten Ørregaard Nielsen & Per Frederiksen
October 2010, Volume 13, Issue 3
- 1-27 The practice of non-parametric estimation by solving inverse problems: the example of transformation models
by Frédérique Fève & Jean-Pierre Florens - 28-55 Semi-parametric estimation of non-separable models: a minimum distance from independence approach
by Ivana Komunjer & Andres Santos - 56-79 Inference in limited dependent variable models robust to weak identification
by Leandro M. Magnusson - 80-98 Non-parametric estimation of exact consumer surplus with endogeneity in price
by Anne Vanhems - 99-125 A structural approach to estimating the effect of taxation on the labour market dynamics of older workers
by Peter Haan & Victoria Prowse - 126-161 Structural dynamic model of retirement with latent health indicator
by Fedor Iskhakov
July 2010, Volume 13, Issue 2
- 145-176 Specification and estimation of social interaction models with network structures
by Lung-fei Lee & Xiaodong Liu & Xu Lin - 177-204 Improving robust model selection tests for dynamic models
by Hwan-sik Choi & Nicholas M. Kiefer - 205-217 Testing the adequacy of conventional asymptotics in GMM
by Jonathan H. Wright - 218-244 Theory and inference for a Markov switching GARCH model
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts - 245-270 ECF estimation of Markov models where the transition density is unknown
by George J. Jiang & John L. Knight - 271-289 Bimodal t-ratios: the impact of thick tails on inference
by Carlo V. Fiorio & Vassilis A. Hajivassiliou & Peter C. B. Phillips
February 2010, Volume 13, Issue 1
- 1-39 Heterogeneity in dynamic discrete choice models
by Martin Browning & Jesus M. Carro - 40-62 Smoothness adaptive average derivative estimation
by Marcia M. A. Schafgans & Victoria Zinde-Walsh - 63-94 Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
by Edith Madsen - 95-126 The weak instrument problem of the system GMM estimator in dynamic panel data models
by Maurice J. G. Bun & Frank Windmeijer - 127-144 Estimation of a transformation model with truncation, interval observation and time-varying covariates
by Bo E. HonorÈ & Luojia Hu
January 2009, Volume 12, Issue s1
- 1-18 Goodness-of-fit tests for functional data
by Federico A. Bugni & Peter Hall & Joel L. Horowitz & George R. Neumann - 19-49 Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
by Elise Coudin & Jean-Marie Dufour - 50-67 Copula-based nonlinear quantile autoregression
by Xiaohong Chen & Roger Koenker & Zhijie Xiao - 68-82 Large-sample inference on spatial dependence
by P. M. Robinson - 83-104 Semiparametric cointegrating rank selection
by Xu Cheng & P eter C. B. Phillips - 105-134 Distribution-free specification tests for dynamic linear models
by Miguel A. Delgado & Javier Hidalgo & Carlos Velasco - 135-171 Efficient GMM with nearly-weak instruments
by Bertille Antoine & Eric Renault - 172-199 Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities
by Donald W. K. Andrews & Sukjin Han - 200-216 More on monotone instrumental variables
by Charles F. Manski & John V. Pepper - 217-229 Two-step series estimation of sample selection models
by Whitney K. Newey - 230-234 A note on adapting propensity score matching and selection models to choice based samples
by James J. Heckman & Petra E. Todd
November 2009, Volume 12, Issue 3
- 1-32 Realized kernels in practice: trades and quotes
by O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard - 33-64 An arbitrage-free generalized Nelson--Siegel term structure model
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - 65-101 The econometrics of mean-variance efficiency tests: a survey
by Enrique Sentana - 397-413 Identification of peer effects using group size variation
by Laurent Davezies & Xavier D'Haultfoeuille & Denis Fougère - 414-435 Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
by Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen - 436-446 Stationarity of a family of GARCH processes
by Ji-Chun Liu
July 2009, Volume 12, Issue 2
- 187-207 Non-parametric regression with a latent time series
by Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen - 208-231 Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
by Francesco Bravo - 232-247 On skewness and kurtosis of econometric estimators
by Yong Bao & Aman Ullah - 248-271 Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
by P. Čížek & W. Härdle & V. Spokoiny - 272-291 Multi-tail generalized elliptical distributions for asset returns
by Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi - 292-309 Multivariate stochastic volatility, leverage and news impact surfaces
by Manabu Asai & Michael McAleer - 310-323 Looking for skewness in financial time series
by Matteo Grigoletto & Francesco Lisi - 324-339 Bayesian estimation of a random effects heteroscedastic probit model
by Yuanyuan Gu & Denzil G. Fiebig & Edward Cripps & Robert Kohn - 340-366 Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
by S. de Silva & K. Hadri & A. R. Tremayne - 367-381 The empirical process of autoregressive residuals
by E ric E ngler & B ent N ielsen - 382-395 A note on non-parametric estimation with predicted variables
by Stefan Sperlich
March 2009, Volume 12, Issue 1
- 1-25 Identification and estimation of local average derivatives in non-separable models without monotonicity
by Stefan Hoderlein & Enno Mammen - 26-44 Assessing the magnitude of the concentration parameter in a simultaneous equations model
by D. S. Poskitt & C. L. Skeels - 45-61 Determining the number of factors in a multivariate error correction--volatility factor model
by Qiaoling Li & Jiazhu Pan - 62-81 On the impact of error cross-sectional dependence in short dynamic panel estimation
by Vasilis Sarafidis & Donald Robertson - 82-104 Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model
by Anders Wilhelmsson - 105-126 Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
by David Ardia - 127-146 Causality and forecasting in temporally aggregated multivariate GARCH processes
by Christian M. Hafner - 147-163 Testing for volatility interactions in the Constant Conditional Correlation GARCH model
by Tomoaki Nakatani & Timo Terasvirta - 164-186 EM algorithms for ordered probit models with endogenous regressors
by Hiroyuki Kawakatsu & Ann G. Largey
November 2008, Volume 11, Issue 3
- 409-442 Seasonal unit root tests and the role of initial conditions
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 443-477 Bootstrap inference in a linear equation estimated by instrumental variables
by Russell Davidson & James G. MacKinnon - 478-498 Using semi-parametric methods in an analysis of earnings mobility
by Shawn W. Ulrick - 499-516 Heterogeneity, state dependence and health
by Timothy J. Halliday - 517-537 Semiparametric estimation of the Box--Cox transformation model
by Youngki Shin - 538-553 A semiparametric derivative estimator in log transformation models
by Chunrong Ai & Edward C. Norton - 554-572 Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
by Badi H. Baltagi & Chihwa Kao & Long Liu - 573-592 Asymptotic and qualitative performance of non-parametric density estimators: a comparative study
by Teruko Takada - 593-616 Estimation of the stochastic conditional duration model via alternative methods
by John Knight & Cathy Q. Ning - 617-637 Distinguishing short and long memory volatility specifications
by Shiuyan Pong & Mark B. Shackleton & Stephen J. Taylor - 638-647 Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
by Rickard Sandberg
July 2008, Volume 11, Issue 2
- 219-243 Panel vector autoregression under cross-sectional dependence
by Xiao Huang - 244-270 Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
by Robert J. Elliott & Vikram Krishnamurthy & Jörn Sass - 271-286 Factor analysis in a model with rational expectations
by Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino - 287-307 Generic consistency of the break-point estimators under specification errors in a multiple-break model
by Jushan Bai & Haiqiang Chen & Terence Tai-Leung Chong & Seraph Xin Wang - 308-325 Representation theorem for convex nonparametric least squares
by Timo Kuosmanen - 326-348 The impact of homework on student achievement
by Ozkan Eren & Daniel J. Henderson - 349-376 Generalized LM tests for functional form and heteroscedasticity
by Zhenlin Yang & Yiu-Kuen Tse - 377-395 A bootstrap procedure for panel data sets with many cross-sectional units
by G. Kapetanios - 396-408 K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables
by Rui Li & Guan Gong
March 2008, Volume 11, Issue 1
- 1-1 The Econometrics Journal of the Royal Economic Society
by Richard J. Smith - 1-26 Bootstrapping Autoregression under Non-stationary Volatility
by Ke-Li Xu - 27-38 Estimating GARCH models: when to use what?
by Da Huang & Hansheng Wang & Qiwei Yao - 39-57 Influential observations in cointegrated VAR models: Danish money demand 1973--2003
by Heino Bohn Nielsen - 58-79 Inflation, exchange rates and PPP in a multivariate panel cointegration model
by Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén - 80-104 Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
by Hyungsik Roger Moon & Benoit Perron - 105-127 A bias-adjusted LM test of error cross-section independence
by M. Hashem Pesaran & Aman Ullah & Takashi Yamagata - 128-154 Economic Reform, Growth and Convergence in China
by Esfandiar Maasoumi & Le Wang - 155-171 Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
by Konrad Banachewicz & André Lucas & Aad van der Vaart - 172-192 Stochastic frontier models with dependent error components
by Murray D. Smith - 193-208 Indirect Estimation of α-Stable Distributions and Processes
by Marco J. Lombardi & Giorgio Calzolari - 209-217 Exact formulas for the Hodrick-Prescott filter
by Tucker McElroy
November 2007, Volume 10, Issue 3
- 471-487 On the sensitivity of the restricted least squares estimators to covariance misspecification
by Alan T.K. Wan & Guohua Zou & Huaizhen Qin - 488-502 The Tobit model with a non-zero threshold
by Richard T. Carson & Yixiao Sun - 503-520 Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
by P. Dellaportas & I. D. Vrontos - 521-540 Robust estimators for the fixed effects panel data model
by Maria Caterina Bramati & Christophe Croux - 541-553 Moments of IV and JIVE estimators
by Russell Davidson & James G. MacKinnon - 554-579 Expectations hypotheses tests at Long Horizons
by Barbara Rossi - 580-604 Searching for cointegration in a dynamic system
by Zhongjun Qu - 605-636 A mixture-distribution factor model for multivariate outliers
by Iliyan Georgiev - 637-644 Size matters: covariance matrix estimation under the alternative
by Jason Allen
July 2007, Volume 10, Issue 2
- 193-215 Semiparametric competing risks analysis
by José Canals-Cerdá & Shiferaw Gurmu - 216-244 Estimating option implied risk-neutral densities using spline and hypergeometric functions
by Ruijun Bu & Kaddour Hadri - 245-262 On the inconsistency of the unrestricted estimator of the information matrix near a unit root
by Tassos Magdalinos - 263-293 Selection correction in panel data models: An application to the estimation of females' wage equations
by Christian Dustmann & María Engracia Rochina-Barrachina - 294-319 A model selection method for S-estimation
by Arie Preminger & Shinichi Sakata - 320-341 Method of moment estimation in the COGARCH(1,1) model
by S. Haug & C. Klüppelberg & A. Lindner & M. Zapp - 342-358 Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
by Hiroyuki Kawakatsu - 359-407 Propensity score matching without conditional independence assumption--with an application to the gender wage gap in the United Kingdom
by Markus Frölich - 408-425 Bayesian inference for the mixed conditional heteroskedasticity model
by L. Bauwens & J.V.K. Rombouts - 426-438 Two-stage estimation of limited dependent variable models with errors-in-variables
by Liqun Wang & Cheng Hsiao - 439-452 Controlling for overdispersion in grouped conditional logit models: A computationally simple application of Dirichlet-multinomial regression
by Paulo Guimarães & Richard C. Lindrooth - 453-469 Estimation of impulse response functions using long autoregression
by Pao-Li Chang & Shinichi Sakata
March 2007, Volume 10, Issue 1
- 1-34 Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities
by Kyoo il Kim - 35-48 Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
by Bryan W. Brown & Douglas J. Hodgson - 49-81 Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models
by Cheng Hsiao & Siyan Wang - 82-112 How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes?
by Chi-Young Choi & Young-Kyu Moh - 113-123 Non-trading day effects in asymmetric conditional and stochastic volatility models
by Manabu Asai & Michael McAleer - 124-148 Minimum distance estimation of stationary and non-stationary ARFIMA processes
by Laura Mayoral - 149-165 Testing for time series linearity
by David I. Harvey & Stephen J. Leybourne - 166-192 Local sensitivity and diagnostic tests
by Jan R. Magnus & Andrey L. Vasnev
November 2006, Volume 9, Issue 3
- 357-372 Temporal disaggregation by state space methods: Dynamic regression methods revisited
by Tommaso Proietti - 373-403 Change-point monitoring in linear models
by Alexander Aue & Lajos Horváth & Marie Hušková & Piotr Kokoszka - 404-422 The asymptotic distribution of the F-test statistic for individual effects
by Chris D. Orme & Takashi Yamagata - 423-447 A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
by Ai Deng & Pierre Perron - 448-471 Cross-validation and non-parametric k nearest-neighbour estimation
by Desheng Ouyang & Dong Li & Qi Li - 472-491 A sequential procedure for determining the number of regimes in a threshold autoregressive model
by Birgit Strikholm & Timo Teräsvirta - 492-510 Optimal Fractional Dickey-Fuller tests
by Ignacio N. Lobato & Carlos Velasco - 511-540 Non-parametric regression for binary dependent variables
by Markus Frölich
July 2006, Volume 9, Issue 2
- 177-195 Consistent estimation of binary-choice panel data models with heterogeneous linear trends
by Alban Thomas - 196-224 Joint hypothesis specification for unit root tests with a structural break *
by Josep Lluís Carrion-i-Silvestre & Andreu Sansó - 225-251 Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
by Hui Liu & Gabriel Rodríguez - 252-278 Unit root tests in three-regime SETAR models
by George Kapetanios & Yongcheol Shin - 279-290 On robust model selection within the Cox model
by Tadeusz Bednarski & Edyta Mocarska - 291-306 Instrumental variables estimation of stationary and non-stationary cointegrating regressions
by P. M. Robinson & M. Gerolimetto - 307-331 Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization
by Partha Deb & Pravin K. Trivedi - 332-355 Semiparametric estimation and testing of the trend of temperature series
by Jiti Gao & Kim Hawthorne
March 2006, Volume 9, Issue 1
- 1-22 Semiparametric estimation of single-index hazard functions without proportional hazards
by Tue Gørgens - 23-47 Dynamic adjustment cost models with forward-looking behaviour
by Luca Fanelli - 48-75 A bootstrap approach to moment selection
by Atsushi Inoue - 76-97 Simulation-based tests for heteroskedasticity in linear regression models: Some further results
by L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva - 98-122 The polynomial aggregated AR(1) model
by Terence Tai-Leung Chong - 123-158 Mean group tests for stationarity in heterogeneous panels
by Yongcheol Shin & Andy Snell - 159-176 Further results on optimal critical values of pre-test when estimating the regression error variance
by Alan T.K. Wan & Guohua Zou & Kazuhiro Ohtani
December 2005, Volume 8, Issue 3
- 277-291 Estimation of the mean of a univariate normal distribution when the variance is not known
by Dmitry Danilov - 292-305 On the arbitrariness of some asymptotic test statistics based on generalized inverses
by Naorayex K. Dastoor - 306-322 Artificial regression testing in the GARCH-in-mean model
by Riccardo Lucchetti & Eduardo Rossi - 323-351 Residual-based block bootstrap unit root testing in the presence of trend breaks
by Evangelos E. Ioannidis - 352-366 Partially adaptive estimation via the maximum entropy densities
by Ximing Wu & Thanasis Stengos - 367-379 Expansions for approximate maximum likelihood estimators of the fractional difference parameter
by Offer Lieberman & Peter C. B. Phillips - 380-405 Estimating cointegrating relations from a cross section
by Edith Madsen - 406-417 Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances
by Christian Kleiber & Walter Krämer - 418-427 Repeated surveys and the Kalman filter
by Jo Thori Lind - 428-454 Measurement of aggregate risk with copulas
by Markus Junker & Angelika May
July 2005, Volume 8, Issue 2
- 115-142 Moment approximation for least-squares estimators in dynamic regression models with a unit root *
by Jan F. Kiviet & Garry D. A. Phillips - 143-158 Robust modelling of DTARCH models
by Yer Van Hui & Jiancheng Jiang - 159-175 Breaking the panels: An application to the GDP per capita
by Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo - 176-196 Simultaneous equations in ordered discrete responses with regressor-dependent thresholds
by Myoung-Jae Lee & Ayal Kimhi - 197-213 Functional-coefficient models under unit root behaviour
by Ted Juhl - 214-234 Temporal disaggregation using multivariate structural time series models
by Filippo Moauro & Giovanni Savio - 235-250 Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
by Davide Raggi - 251-276 Non-linear GARCH models for highly persistent volatility
by Markku Lanne & Pentti Saikkonen
March 2005, Volume 8, Issue 1
- 1-22 Counts with an endogenous binary regressor: A series expansion approach
by Andrés Romeu & Marcos Vera-Hernández - 23-38 Granger's representation theorem: A closed-form expression for I(1) processes
by Peter Reinhard Hansen - 39-54 On Theil's errors
by Jan R. Magnus & Ashoke K. Sinha - 55-69 Testing for stationarity in heterogeneous panel data where the time dimension is finite
by Kaddour Hadri & Rolf Larsson - 70-78 Bootstrap estimation of covariance matrices via the percentile method
by José A. F. Machado & Paulo Parente - 79-96 Estimating the effect of price limits on limit-hitting days
by Jeff Chung & Li Gan - 97-111 On testing for unit roots and the initial observation
by David I. Harvey & Stephen J. Leybourne
December 2004, Volume 7, Issue 2
- 307-321 The consequences of seasonal adjustment for periodic autoregressive processes
by Tomas del Barrio Castro & Denise R. Osborn - 322-340 Some cautions on the use of panel methods for integrated series of macroeconomic data
by Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat - 341-365 Testing linearity in cointegrating smooth transition regressions
by In Choi & Pentti Saikkonen - 366-388 Response error in a transformation model with an application to earnings-equation estimation *
by Jason Abrevaya & Jerry A. Hausman - 389-397 More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
by Søren Johansen & Anders Rygh Swensen - 398-425 Markov switching stochastic frontier model
by Efthymios G. Tsionas & Subal C. Kumbhakar - 426-454 Semiparametric mixture models for multivariate count data, with application
by Marco Alfò & Giovanni Trovato - 455-475 On the forecasting ability of ARFIMA models when infrequent breaks occur
by Vasco J. Gabriel & Luis F. Martins - 476-504 Oil prices and exchange rates: Norwegian evidence
by Q. Farooq Akram