Econometric Reviews Short Title: Econom. Rev. Publisher: Taylor & Francis, Philadelphia, PA ISSN: 0747-4938; 1532-4168/e Online: http://www.tandfonline.com/loi/lecr20 Predecessor: Communications in Statistics. Econometric Reviews Comments: Journal Documents Indexed: 963 Publications (since 1984) References Indexed: 933 Publications with 31,426 References. all top 5 Latest Issues 42, No. 8 (2023) 42, No. 7 (2023) 42, No. 6 (2023) 42, No. 5 (2023) 42, No. 4 (2023) 42, No. 3 (2023) 42, No. 2 (2023) 42, No. 1 (2023) 41, No. 10 (2022) 41, No. 9 (2022) 41, No. 8 (2022) 41, No. 7 (2022) 41, No. 6 (2022) 41, No. 5 (2022) 41, No. 4 (2022) 41, No. 3 (2022) 41, No. 2 (2022) 41, No. 1 (2022) 40, No. 10 (2021) 40, No. 9 (2021) 40, No. 8 (2021) 40, No. 7 (2021) 40, No. 6 (2021) 40, No. 5 (2021) 40, No. 4 (2021) 40, No. 3 (2021) 40, No. 2 (2021) 40, No. 1 (2021) 39, No. 10 (2020) 39, No. 9 (2020) 39, No. 8 (2020) 39, No. 7 (2020) 39, No. 6 (2020) 39, No. 5 (2020) 39, No. 4 (2020) 39, No. 3 (2020) 39, No. 2 (2020) 39, No. 1 (2020) 38, No. 10 (2019) 38, No. 9 (2019) 38, No. 8 (2019) 38, No. 7 (2019) 38, No. 6 (2019) 38, No. 5 (2019) 38, No. 4 (2019) 38, No. 3 (2019) 38, No. 2 (2019) 38, No. 1 (2019) 37, No. 10 (2018) 37, No. 9 (2018) 37, No. 8 (2018) 37, No. 7 (2018) 37, No. 6 (2018) 37, No. 5 (2018) 37, No. 4 (2018) 37, No. 3 (2018) 37, No. 2 (2018) 37, No. 1 (2018) 36, No. 10 (2017) 36, No. 6-9 (2017) 36, No. 5 (2017) 36, No. 4 (2017) 36, No. 1-3 (2017) 35, No. 8-10 (2016) 35, No. 7 (2016) 35, No. 6 (2016) 35, No. 5 (2016) 35, No. 4 (2016) 35, No. 3 (2016) 35, No. 2 (2016) 35, No. 1 (2016) 34, No. 6-10 (2015) 34, No. 5 (2015) 34, No. 4 (2015) 34, No. 3 (2015) 34, No. 1-2 (2015) 33, No. 8 (2014) 33, No. 7 (2014) 33, No. 5-6 (2014) 33, No. 1-4 (2014) 32, No. 8 (2013) 32, No. 7 (2013) 32, No. 5-6 (2013) 32, No. 4 (2013) 32, No. 3 (2013) 32, No. 2 (2013) 32, No. 1 (2013) 31, No. 6 (2012) 31, No. 5 (2012) 31, No. 4 (2012) 31, No. 3 (2012) 31, No. 2 (2012) 31, No. 1 (2012) 30, No. 6 (2011) 30, No. 5 (2011) 30, No. 4 (2011) 30, No. 3 (2011) 30, No. 2 (2011) 30, No. 1 (2011) 29, No. 5-6 (2010) ...and 81 more Volumes all top 5 Authors 23 Maasoumi, Esfandiar 18 McAleer, Michael 15 Baltagi, Badi H. 13 Ullah, Aman 12 Li, Qi 11 Phillips, Peter Charles Bonest 10 Pesaran, M. Hashem 10 Taylor, A. M. Robert 8 Cavaliere, Giuseppe 8 Gao, Jiti 8 Hall, Alastair R. 8 Hsiao, Cheng 7 Franses, Philip Hans 7 Kumbhakar, Subal Chandra 7 Teräsvirta, Timo 7 Westerlund, Joakim 6 Caner, Mehmet 6 Dagum, Estelle Bee 6 Kao, Chihwa 6 Lee, Lung-Fei 6 Medeiros, Marcelo C. 6 Orme, Chris D. 6 Perron, Pierre 6 Psaradakis, Zacharias 6 Racine, Jeffrey Scott 6 Soofi, Ehsan S. 6 Su, Liangjun 6 Tu, Yundong 5 Asai, Manabu 5 Davidson, Russell 5 Kilian, Lutz 5 Linton, Oliver Bruce 5 Palm, Franz C. 5 Wansbeek, Tom J. 5 White, Halbert Lynn jun. 5 Xiao, Zhijie 4 Ando, Tomohiro 4 Bao, Yong 4 Bera, Anil K. 4 Bierens, Herman J. 4 Breitung, Jorg 4 Cai, Zongwu 4 Dufour, Jean-Marie 4 Fan, Yanqin 4 Geweke, John F. 4 Godfrey, Leslie George 4 Golan, Amos 4 Gospodinov, Nikolay 4 Hsu, Yu-Chin 4 Hu, Yingyao 4 Kapetanios, George 4 King, Maxwell Leslie 4 Kurozumi, Eiji 4 Lieberman, Offer 4 Liu, Long 4 Liu, Xiaodong 4 Lopes, Hedibert Freitas 4 Martins-Filho, Carlos 4 McElroy, Tucker S. 4 Otsu, Taisuke 4 Proietti, Tommaso 4 Renault, Eric 4 Schmidt, Peter 4 Sickles, Robin C. 4 Simar, Léopold 4 Smeekes, Stephan 4 Spanos, Aris 4 Sun, Yiguo 4 Tran, Kien C. 4 Tzavalis, Elias 4 Urbain, Jean-Pierre 4 Wan, Alan T. K. 4 Yu, Jun 4 Zhang, Xinyu 3 Ai, Chunrong 3 Anatolyev, Stanislav 3 Bianconcini, Silvia 3 Blundell, Richard W. 3 Bun, Maurice J. G. 3 Caporin, Massimiliano 3 Chan, Joshua C. C. 3 Chang, Yoosoon 3 Chen, Yiting 3 Cribari-Neto, Francisco 3 Domínguez, Manuel A. 3 Fang, Ying 3 Fiebig, Denzil G. 3 Gourieroux, Christian 3 Guay, Alain 3 Hafner, Christian Matthias 3 Harvey, David I. 3 Heckman, James Joseph 3 Hendry, David F. 3 Heshmati, Almas 3 Inoue, Atsushi 3 Jin, Fei 3 Johansen, Søren Glud 3 Kiefer, Nicholas M. 3 Kock, Anders Bredahl 3 Koop, Gary ...and 1,171 more Authors all top 5 Fields 944 Statistics (62-XX) 188 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 119 Numerical analysis (65-XX) 28 Probability theory and stochastic processes (60-XX) 17 General and overarching topics; collections (00-XX) 9 Operations research, mathematical programming (90-XX) 6 Information and communication theory, circuits (94-XX) 5 Computer science (68-XX) 4 History and biography (01-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Special functions (33-XX) 2 Systems theory; control (93-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 662 Publications have been cited 5,043 times in 3,905 Documents Cited by ▼ Year ▼ Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 189 1992 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 151 1986 A test for independence based on the correlation dimension. Zbl 0893.62034Brock, W. A.; Dechert, W. D.; Scheinkman, J. A.; Le Baron, B. 137 1996 Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076Politis, Dimitris N.; White, Halbert 126 2004 Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096Mittnik, Stefan; Rachev, Svetlozar T. 96 1993 Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142Doan, Thomas; Litterman, Robert; Sims, Christopher 90 1984 Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105Geweke, John 90 1999 Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans 78 2002 Bayesian analysis of DSGE models. Zbl 1112.62015An, Sungbae; Schorfheide, Frank 77 2007 Multivariate stochastic volatility: a review. Zbl 1107.62108Asai, Manabu; McAleer, Michael; Yu, Jun 71 2006 On the asymptotics of ADF tests for unit roots. Zbl 1049.62096Chang, Yoosoon; Park, Joon Y. 68 2002 Bootstrap tests: How many bootstraps? Zbl 0949.62030Davidson, Russell; MacKinnon, James G. 60 2000 Unit root tests under time-varying variances. Zbl 1133.62350Cavaliere, Giuseppe 58 2004 Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069Lee, Lung-fei 55 2003 Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193Patton, Andrew; Politis, Dimitris N.; White, Halbert 55 2009 On Bartlett and Bartlett-type corrections. Zbl 0885.62021Cribari-Neto, Francisco; Cordeiro, Gauss M. 54 1996 Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038Li, Qi 51 1996 Realized volatility: a review. Zbl 1148.62089McAleer, Michael; Medeiros, Marcelo C. 48 2008 Continuous time Wishart process for stochastic risk. Zbl 1105.62104Gourieroux, C. 48 2006 Recent developments in bootstrapping time series (with comment). Zbl 0949.62022Berkowitz, Jeremy; Kilian, Lutz 46 2000 MIDAS regressions: further results and new directions. Zbl 1108.62092Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen 45 2007 A compendium to information theory in economics and econometrics. Zbl 0769.62003Maasoumi, Esfandiar 40 1993 Bootstrapping time series models. (With discussion). Zbl 0855.62074Li, Hongyi; Maddala, G. S. 40 1996 Empirical characteristic function estimation and its applications. Zbl 1123.62030Yu, Jun 39 2004 The volatility of realized volatility. Zbl 1359.91032Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta 38 2008 Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131Philipov, Alexander; Glickman, Mark E. 36 2006 Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101Kuan, Chung-Ming; White, Halbert 36 1994 The generalized fluctuation test: A unifying view. Zbl 0832.62085Kuan, Chung-Ming; Hornik, Kurt 33 1995 Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. Zbl 0737.62096Pötscher, Benedikt M.; Prucha, Ingmar R. 32 1991 Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346Ling, Shiqing; Li, W. K.; McAleer, Michael 31 2003 Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133Yu, Jun; Meyer, Renate 30 2006 Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085Dolado, Juan J.; Lütkepohl, Helmut 30 1996 Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079Gonçalves, Sílvia; Kilian, Lutz 30 2007 A survey of sequential Monte Carlo methods for economics and finance. Zbl 1491.62008Creal, Drew 30 2012 Generalized integer-valued autoregression. Zbl 1077.62530Brännäs, Kurt; Hellström, Jörgen 28 2001 In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213Inoue, Atsushi; Kilian, Lutz 28 2004 Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049Cribari-Neto, Francisco; Zarkos, Spyros G. 26 1999 GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123Blundell, Richard; Bond, Stephen 26 2000 Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192Bera, Anil K.; Park, Sung Y. 26 2008 The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086Johansen, Søren 24 1994 A consistent method for the selection of relevant instruments. Zbl 1181.62192Hall, Alastair R.; Peixe, Fernanda P. M. 24 2003 Tests of specification in econometrics (with discussion). Zbl 0604.62115Ruud, Paul A. 23 1984 On testing equality of distributions of technical efficiency scores. Zbl 1106.62126Simar, Léopold; Zelenyuk, Valentin 23 2006 Testing the martingale difference hypothesis. Zbl 1030.62066Domínguez, Manuel A.; Lobato, Ignacio N. 22 2003 Asymmetric multivariate stochastic volatility. Zbl 1112.62116Asai, Manabu; McAleer, Michael 20 2006 An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006Ormoneit, Dirk; White, Halbert 20 1999 Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083McAleer, Michael; Hoti, Suhejla; Chan, Felix 20 2009 Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514Griffin, Jim E.; Oomen, Roel C. A. 19 2008 State space modeling of multiple time series. Zbl 0733.62098Aoki, Masanao; Havenner, Arthur 19 1991 Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194Simar, Léopold; Wilson, Paul W. 19 2010 How can we define the concept of long memory? An econometric survey. Zbl 1115.62346Guégan, Dominique 19 2005 Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025Guggenberger, Patrik 19 2008 A review of systems cointegration tests. Zbl 1044.62120Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti 18 2001 Bootstrap \(M\) unit root tests. Zbl 1168.62080Cavaliere, Giuseppe; Taylor, A. M. Robert 18 2009 Estimating partially linear panel data models with one-way error components. Zbl 0915.62095Li, Qi; Ullah, Aman 18 1998 An introduction to hypergeometric functions for economists. Zbl 1073.91526Abadir, Karim M. 18 1999 Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126Phillips, Peter C. B.; Moon, Hyungsik R. 18 2000 Moving average-based estimators of integrated variance. Zbl 1148.62088Hansen, Peter R.; Large, Jeremy; Lunde, Asger 17 2008 Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130Liesenfeld, Roman; Richard, Jean-François 17 2006 Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087Toda, Hiro Y.; Philips, Peter C. B. 17 1994 A residual-based test of the null of cointegration in panel data. Zbl 0896.62131McCoskey, Suzanne; Kao, Chihwa 17 1998 Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua 16 2008 Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? Some Monte Carlo evidence.. Zbl 1034.62059Roy, Nilanjana 16 2002 Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038Fan, Yanqin 16 1995 Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040Kilian, Lutz 16 1998 Detecting parameter shift in GARCH models. Zbl 0832.62099Chu, Chia-Shang James 15 1995 Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011King, Maxwell L.; Wu, Ping X. 15 1997 Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre 15 2010 Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023Bond, Stephen; Windmeijer, Frank 15 2005 Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522de Pooter, Michiel; Martens, Martin; van Dijk, Dick 14 2008 The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118Hlouskova, Jaroslava; Wagner, Martin 14 2006 A unified approach to structural change tests based on ML scores, \(F\) statistics, and OLS residuals. Zbl 1080.62012Zeileis, Achim 14 2005 Double length artificial regressions for testing spatial dependence. Zbl 1018.62049Baltagi, Badi H.; Li, Dong 14 2001 Forecasting performance of an open economy DSGE model. Zbl 1112.62133Adolfson, Malin; Lindé, Jesper; Villani, Mattias 14 2007 Lessons from a decade of IPS and LLC. Zbl 1491.62132Westerlund, Joakim; Breitung, Jörg 14 2013 Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092Asai, Manabu; McAleer, Michael 14 2005 Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160Ahn, Seung C.; Good, David H.; Sickles, Robin C. 14 2000 Cross-sectional dependence in panel data analysis. Zbl 1491.62258Sarafidis, Vasilis; Wansbeek, Tom 13 2012 Testing for restricted stochastic dominance. Zbl 1491.62199Davidson, Russell; Duclos, Jean-Yves 13 2013 Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. 13 2000 A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman 13 2008 Long-run structural modelling. Zbl 1104.91061Pesaran, M. Hashem; Shin, Yongcheol 12 2002 An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099Andrews, Donald W. K. 12 1993 Refined inference on long memory in realized volatility. Zbl 1359.91033Lieberman, Offer; Phillips, Peter C. B. 12 2008 Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034Manski, Charles F. 12 1984 U-statistics and their asymptotic results for some inequality and poverty measures. Zbl 1122.62106Xu, Kuan 12 2007 Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118de Lima, Pedro J. F. 12 1996 The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function. Zbl 0891.62045Ohtani, Kazuhiro; Giles, David E. A.; Giles, Judith A. 12 1997 Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040Caner, Mehmet 12 2010 Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046Racine, Jeffery S.; Hart, Jeffrey; Li, Qi 12 2006 Bayesian clustering of many GARCH models. Zbl 1112.62016Bauwens, L.; Rombouts, J. V. K. 12 2007 The effective sample size. Zbl 1491.62183Berger, James; Bayarri, M. J.; Pericchi, L. R. 12 2014 Weights in multidimensional indices of wellbeing: an overview. Zbl 1491.91091Decancq, Koen; Lugo, María Ana 12 2013 A generalized spatial panel data model with random effects. Zbl 1491.62178Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael 12 2013 Testing weak cross-sectional dependence in large panels. Zbl 1491.62251Pesaran, M. Hashem 12 2015 Estimation of partially specified spatial panel data models with fixed-effects. Zbl 07537908Ai, Chunrong; Zhang, Yuanqing 12 2017 Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074Davidson, Russell; MacKinnon, James G. 11 2002 Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127Chan, David; Kohn, Robert; Kirby, Chris 11 2006 Evaluating direct multistep forecasts. Zbl 1080.62049Clark, Todd E.; McCracken, Michael W. 11 2005 Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059Nielsen, Morten Ørregaard; Frederiksen, Per Houmann 11 2005 The two-way Mundlak estimator. Zbl 07716497Baltagi, Badi H. 1 2023 A robust score-driven filter for multivariate time series. Zbl 07716562D’Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario 1 2023 An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. Zbl 07538754Chudik, Alexander; Pesaran, M. Hashem 1 2022 Optimal model averaging for divergent-dimensional Poisson regressions. Zbl 07584729Zou, Jiahui; Wang, Wendun; Zhang, Xinyu; Zou, Guohua 1 2022 Reconciling negative return skewness with positive time-varying risk premia. Zbl 07584733Kyriakopoulou, Dimitra; Hafner, Christian M. 1 2022 Estimation and inference for distribution and quantile functions in endogenous treatment effect models. Zbl 1491.62223Hsu, Yu-Chin; Lai, Tsung-Chih; Lieli, Robert P. 1 2022 Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models. Zbl 1490.62318He, Yanan; Han, Ai; Hong, Yongmiao; Sun, Yuying; Wang, Shouyang 3 2021 Testing for strict stationarity in a random coefficient autoregressive model. Zbl 1480.62182Trapani, Lorenzo 2 2021 In-fill asymptotic theory for structural break point in autoregressions. Zbl 1490.62253Jiang, Liang; Wang, Xiaohu; Yu, Jun 2 2021 Smoothed maximum score estimation with nonparametrically generated covariates. Zbl 1490.62426Cao, Xiaoyong; Chen, Xirong; Gao, Wenzheng; Hsiao, Cheng 2 2021 Monotonicity-constrained nonparametric estimation and inference for first-price auctions. Zbl 1490.91108Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Xu, Pai 2 2021 Multiple subordinated modeling of asset returns: implications for option pricing. 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Zbl 1490.62455Kang, Byunguk; Dufour, Jean-Marie 1 2021 A panel data model of length of stay in hospitals for hip replacements. Zbl 1490.62467Meng, Yan; Gao, Jiti; Zhang, Xibin; Zhao, Xueyan 1 2021 An IV estimator for a functional coefficient model with endogenous discrete treatments. Zbl 1490.62458Klein, Roger; Shen, Chan 1 2021 Quantile regression with interval data. Zbl 1490.62418Beresteanu, Arie; Sasaki, Yuya 1 2021 Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination. Zbl 1490.62128Lee, Tae-Hwy; Mao, Millie Yi; Ullah, Aman 1 2021 Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation. Zbl 1490.62491Xu, Qiuhua; Cai, Zongwu; Fang, Ying 1 2021 Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing. Zbl 1490.62495Zhang, Yonghui; Zhou, Qiankun 1 2021 Sequential and efficient GMM estimation of dynamic short panel data models. Zbl 1490.62453Jin, Fei; Lee, Lung-fei; Yu, Jihai 1 2021 Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series. Zbl 1490.62316Dimitrakopoulos, Stefanos; Kolossiatis, Michalis 3 2020 Maximum likelihood estimation of dynamic panel threshold models. Zbl 1490.62478Ramírez-Rondán, N. R. 2 2020 Testing for distributional features in varying coefficient panel data models. Zbl 1490.62481Soberon, Alexandra; Stute, Winfried; Rodriguez-Poo, Juan M. 2 2020 Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets. Zbl 1490.62281Tu, Yundong; Wang, Ying 2 2020 Identification of the linear factor model. Zbl 1490.62149Williams, Benjamin 2 2020 Smooth coefficient models with endogenous environmental variables. Zbl 1490.62097Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C. 2 2020 Asymptotic properties of bubble monitoring tests. Zbl 1490.62460Kurozumi, Eiji 2 2020 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421Blasques, Francisco; Koopman, Siem Jan; Lucas, André 2 2020 Some notes on nonlinear cointegration: a partial review with some novel perspectives. Zbl 1490.62277Tjøstheim, Dag 2 2020 On the estimation of integrated volatility in the presence of jumps and microstructure noise. Zbl 1490.62311Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng 2 2020 Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function. Zbl 1490.62103Xie, Qichang; Sun, Qiankun; Liu, Junxian 1 2020 Robust inference in conditionally heteroskedastic autoregressions. Zbl 1491.62121Pedersen, Rasmus Søndergaard 1 2020 Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models. Zbl 1490.62320Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël 1 2020 Specification testing with estimated variables. Zbl 1490.62436Domínguez, Manuel A.; Lobato, Ignacio N. 1 2020 Multistep forecast selection for panel data. Zbl 1490.62246Greenaway-McGrevy, Ryan 1 2020 On endogeneity and shape invariance in extended partially linear single index models. Zbl 1490.62099Gao, Jiti; Kim, Namhyun; Saart, Patrick W. 1 2020 Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data. Zbl 1490.62229Bennedsen, Mikkel 1 2020 Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. Zbl 1490.62433Coudin, Elise; Dufour, Jean-Marie 1 2020 Nonparametric estimation of marginal effects in regression-spline random effects models. Zbl 1490.62101Ma, Shujie; Racine, Jeffrey S.; Ullah, Aman 1 2020 Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430Chen, Yi-Ting; Tsay, Ruey S. 1 2020 Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Zbl 1490.62449Hsiao, Cheng 1 2020 Standard errors for nonparametric regression. Zbl 1480.62066Chu, Ba M.; Jacho-Chávez, David T.; Linton, Oliver B. 1 2020 Quantile aggregation and combination for stock return prediction. Zbl 1490.62321Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie 1 2020 Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata. Zbl 1490.62439Gardner, John 1 2020 Model averaging in a multiplicative heteroscedastic model. Zbl 1490.62187Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. 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Robert 32 Cavaliere, Giuseppe 26 Cribari-Neto, Francisco 26 Phillips, Peter Charles Bonest 23 Politis, Dimitris Nicolas 22 Pesaran, M. Hashem 22 Shin, Dongwan 21 Baltagi, Badi H. 20 Rachev, Svetlozar T. 20 Westerlund, Joakim 19 Maasoumi, Esfandiar 19 White, Halbert Lynn jun. 16 Asai, Manabu 16 Su, Liangjun 15 Cordeiro, Gauss Moutinho 15 Lee, Lung-Fei 14 Bollerslev, Tim 14 Demetrescu, Matei 14 Ferrari, Silvia Lopes de Paula 14 Gourieroux, Christian 14 Kumbhakar, Subal Chandra 14 Linton, Oliver Bruce 14 Mittnik, Stefan 14 Tsionas, Efthymios G. 14 Ullah, Aman 13 del Barrio Castro, Tomas 13 Ghysels, Eric 13 Hall, Alastair R. 13 Hong, Yongmiao 13 Horváth, Lajos 13 Kapetanios, George 13 Lütkepohl, Helmut 13 Perron, Pierre 13 Rahbek, Anders 13 Tsionas, Mike G. 12 Gupta, Rangan 12 Medeiros, Marcelo C. 12 Saikkonen, Pentti 12 Sentana, Enrique 12 Serletis, Apostolos 11 Dufour, Jean-Marie 11 Forsyth, Peter A. 11 Franses, Philip Hans 11 Hafner, Christian Matthias 11 Hušková, Marie 11 Kerstens, Kristiaan 11 Koop, Gary 11 Kozubowski, Tomasz J. 11 Li, Qi 11 Rodrigues, Paulo M. M. 11 Tu, Yundong 11 Yu, Jun 10 Barnett, William Arnold 10 Bera, Anil K. 10 Chan, Joshua C. C. 10 Lahiri, Soumendra Nath 10 Meintanis, Simos G. 10 Park, Joon Y. 10 Tzavalis, Elias 10 Wang, Shouyang 10 Xiao, Zhijie 9 Abadir, Karim M. 9 Breitung, Jorg 9 Chang, Yoosoon 9 Escanciano, Juan Carlos 9 Gao, Jiti 9 Godfrey, Leslie George 9 Harvey, David I. 9 Inoue, Atsushi 9 Kokoszka, Piotr S. 9 Koopman, Siem Jan 9 Leybourne, Stephen J. 9 Martin, Gael M. 9 Nordman, Daniel J. 9 Osborn, Denise R. 9 Panorska, Anna K. 9 Prucha, Ingmar R. 9 Renault, Eric 9 Schmidt, Peter 9 Shin, Yongcheol 9 Smeekes, Stephan 9 So, Mike K. P. 9 Soofi, Ehsan S. 9 van de Woestyne, Ignace 9 Wan, Alan T. K. 8 Bravo, Francesco 8 Caporin, Massimiliano 8 Choi, Jieun 8 Fiorentini, Gabriele 8 Georgiev, Iliyan 8 Hassler, Uwe 8 King, Maxwell Leslie 8 Kurozumi, Eiji 8 Lee, Sangyeol 8 Lemonte, Artur José 8 McElroy, Tucker S. 8 Palm, Franz C. 8 Parmeter, Christopher F. 8 Rombouts, Jeroen V. 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