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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

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...and 81 more Volumes
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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

Publications by Year

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 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
189
1992
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
151
1986
A test for independence based on the correlation dimension. Zbl 0893.62034
Brock, W. A.; Dechert, W. D.; Scheinkman, J. A.; Le Baron, B.
137
1996
Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076
Politis, Dimitris N.; White, Halbert
126
2004
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
96
1993
Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142
Doan, Thomas; Litterman, Robert; Sims, Christopher
90
1984
Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105
Geweke, John
90
1999
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans
78
2002
Bayesian analysis of DSGE models. Zbl 1112.62015
An, Sungbae; Schorfheide, Frank
77
2007
Multivariate stochastic volatility: a review. Zbl 1107.62108
Asai, Manabu; McAleer, Michael; Yu, Jun
71
2006
On the asymptotics of ADF tests for unit roots. Zbl 1049.62096
Chang, Yoosoon; Park, Joon Y.
68
2002
Bootstrap tests: How many bootstraps? Zbl 0949.62030
Davidson, Russell; MacKinnon, James G.
60
2000
Unit root tests under time-varying variances. Zbl 1133.62350
Cavaliere, Giuseppe
58
2004
Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069
Lee, Lung-fei
55
2003
Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193
Patton, Andrew; Politis, Dimitris N.; White, Halbert
55
2009
On Bartlett and Bartlett-type corrections. Zbl 0885.62021
Cribari-Neto, Francisco; Cordeiro, Gauss M.
54
1996
Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038
Li, Qi
51
1996
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
48
2008
Continuous time Wishart process for stochastic risk. Zbl 1105.62104
Gourieroux, C.
48
2006
Recent developments in bootstrapping time series (with comment). Zbl 0949.62022
Berkowitz, Jeremy; Kilian, Lutz
46
2000
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
45
2007
A compendium to information theory in economics and econometrics. Zbl 0769.62003
Maasoumi, Esfandiar
40
1993
Bootstrapping time series models. (With discussion). Zbl 0855.62074
Li, Hongyi; Maddala, G. S.
40
1996
Empirical characteristic function estimation and its applications. Zbl 1123.62030
Yu, Jun
39
2004
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
38
2008
Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131
Philipov, Alexander; Glickman, Mark E.
36
2006
Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101
Kuan, Chung-Ming; White, Halbert
36
1994
The generalized fluctuation test: A unifying view. Zbl 0832.62085
Kuan, Chung-Ming; Hornik, Kurt
33
1995
Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. Zbl 0737.62096
Pötscher, 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 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
31
2003
Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133
Yu, Jun; Meyer, Renate
30
2006
Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085
Dolado, Juan J.; Lütkepohl, Helmut
30
1996
Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
30
2007
A survey of sequential Monte Carlo methods for economics and finance. Zbl 1491.62008
Creal, Drew
30
2012
Generalized integer-valued autoregression. Zbl 1077.62530
Brännäs, Kurt; Hellström, Jörgen
28
2001
In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213
Inoue, Atsushi; Kilian, Lutz
28
2004
Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049
Cribari-Neto, Francisco; Zarkos, Spyros G.
26
1999
GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123
Blundell, Richard; Bond, Stephen
26
2000
Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192
Bera, Anil K.; Park, Sung Y.
26
2008
The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086
Johansen, Søren
24
1994
A consistent method for the selection of relevant instruments. Zbl 1181.62192
Hall, Alastair R.; Peixe, Fernanda P. M.
24
2003
Tests of specification in econometrics (with discussion). Zbl 0604.62115
Ruud, Paul A.
23
1984
On testing equality of distributions of technical efficiency scores. Zbl 1106.62126
Simar, Léopold; Zelenyuk, Valentin
23
2006
Testing the martingale difference hypothesis. Zbl 1030.62066
Domínguez, Manuel A.; Lobato, Ignacio N.
22
2003
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
20
2006
An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006
Ormoneit, Dirk; White, Halbert
20
1999
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
20
2009
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
19
2008
State space modeling of multiple time series. Zbl 0733.62098
Aoki, Masanao; Havenner, Arthur
19
1991
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
19
2010
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
19
2005
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
19
2008
A review of systems cointegration tests. Zbl 1044.62120
Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti
18
2001
Bootstrap \(M\) unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
18
2009
Estimating partially linear panel data models with one-way error components. Zbl 0915.62095
Li, Qi; Ullah, Aman
18
1998
An introduction to hypergeometric functions for economists. Zbl 1073.91526
Abadir, Karim M.
18
1999
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
Phillips, Peter C. B.; Moon, Hyungsik R.
18
2000
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
17
2008
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130
Liesenfeld, Roman; Richard, Jean-François
17
2006
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
Toda, Hiro Y.; Philips, Peter C. B.
17
1994
A residual-based test of the null of cointegration in panel data. Zbl 0896.62131
McCoskey, Suzanne; Kao, Chihwa
17
1998
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, 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 1034.62059
Roy, Nilanjana
16
2002
Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038
Fan, Yanqin
16
1995
Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040
Kilian, Lutz
16
1998
Detecting parameter shift in GARCH models. Zbl 0832.62099
Chu, Chia-Shang James
15
1995
Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011
King, Maxwell L.; Wu, Ping X.
15
1997
Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138
Gengenbach, 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 1061.62023
Bond, Stephen; Windmeijer, Frank
15
2005
Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522
de 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 1225.62118
Hlouskova, Jaroslava; Wagner, Martin
14
2006
A unified approach to structural change tests based on ML scores, \(F\) statistics, and OLS residuals. Zbl 1080.62012
Zeileis, Achim
14
2005
Double length artificial regressions for testing spatial dependence. Zbl 1018.62049
Baltagi, Badi H.; Li, Dong
14
2001
Forecasting performance of an open economy DSGE model. Zbl 1112.62133
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
14
2007
Lessons from a decade of IPS and LLC. Zbl 1491.62132
Westerlund, Joakim; Breitung, Jörg
14
2013
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
14
2005
Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160
Ahn, Seung C.; Good, David H.; Sickles, Robin C.
14
2000
Cross-sectional dependence in panel data analysis. Zbl 1491.62258
Sarafidis, Vasilis; Wansbeek, Tom
13
2012
Testing for restricted stochastic dominance. Zbl 1491.62199
Davidson, Russell; Duclos, Jean-Yves
13
2013
Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.
13
2000
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
13
2008
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
12
2002
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
Andrews, Donald W. K.
12
1993
Refined inference on long memory in realized volatility. Zbl 1359.91033
Lieberman, Offer; Phillips, Peter C. B.
12
2008
Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034
Manski, Charles F.
12
1984
U-statistics and their asymptotic results for some inequality and poverty measures. Zbl 1122.62106
Xu, Kuan
12
2007
Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118
de 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 0891.62045
Ohtani, Kazuhiro; Giles, David E. A.; Giles, Judith A.
12
1997
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
12
2010
Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046
Racine, Jeffery S.; Hart, Jeffrey; Li, Qi
12
2006
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
12
2007
The effective sample size. Zbl 1491.62183
Berger, James; Bayarri, M. J.; Pericchi, L. R.
12
2014
Weights in multidimensional indices of wellbeing: an overview. Zbl 1491.91091
Decancq, Koen; Lugo, María Ana
12
2013
A generalized spatial panel data model with random effects. Zbl 1491.62178
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael
12
2013
Testing weak cross-sectional dependence in large panels. Zbl 1491.62251
Pesaran, M. Hashem
12
2015
Estimation of partially specified spatial panel data models with fixed-effects. Zbl 07537908
Ai, Chunrong; Zhang, Yuanqing
12
2017
Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074
Davidson, Russell; MacKinnon, James G.
11
2002
Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127
Chan, David; Kohn, Robert; Kirby, Chris
11
2006
Evaluating direct multistep forecasts. Zbl 1080.62049
Clark, Todd E.; McCracken, Michael W.
11
2005
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059
Nielsen, Morten Ørregaard; Frederiksen, Per Houmann
11
2005
The two-way Mundlak estimator. Zbl 07716497
Baltagi, Badi H.
1
2023
A robust score-driven filter for multivariate time series. Zbl 07716562
D’Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario
1
2023
An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. Zbl 07538754
Chudik, Alexander; Pesaran, M. Hashem
1
2022
Optimal model averaging for divergent-dimensional Poisson regressions. Zbl 07584729
Zou, Jiahui; Wang, Wendun; Zhang, Xinyu; Zou, Guohua
1
2022
Reconciling negative return skewness with positive time-varying risk premia. Zbl 07584733
Kyriakopoulou, Dimitra; Hafner, Christian M.
1
2022
Estimation and inference for distribution and quantile functions in endogenous treatment effect models. Zbl 1491.62223
Hsu, Yu-Chin; Lai, Tsung-Chih; Lieli, Robert P.
1
2022
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models. Zbl 1490.62318
He, Yanan; Han, Ai; Hong, Yongmiao; Sun, Yuying; Wang, Shouyang
3
2021
Testing for strict stationarity in a random coefficient autoregressive model. Zbl 1480.62182
Trapani, Lorenzo
2
2021
In-fill asymptotic theory for structural break point in autoregressions. Zbl 1490.62253
Jiang, Liang; Wang, Xiaohu; Yu, Jun
2
2021
Smoothed maximum score estimation with nonparametrically generated covariates. Zbl 1490.62426
Cao, Xiaoyong; Chen, Xirong; Gao, Wenzheng; Hsiao, Cheng
2
2021
Monotonicity-constrained nonparametric estimation and inference for first-price auctions. Zbl 1490.91108
Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Xu, Pai
2
2021
Multiple subordinated modeling of asset returns: implications for option pricing. Zbl 1490.62325
Shirvani, Abootaleb; Rachev, Svetlozar T.; Fabozzi, Frank J.
1
2021
A specification test for dynamic conditional distribution models with function-valued parameters. Zbl 1490.62112
Troster, Victor; Wied, Dominik
1
2021
The continuous limit of weak GARCH. Zbl 1490.62222
Alexander, Carol; Lazar, Emese
1
2021
Common factors and spatial dependence: an application to US house prices. Zbl 1490.62493
Yang, Cynthia Fan
1
2021
Moment estimation for censored quantile regression. Zbl 1491.62266
Wang, Qian; Chen, Songnian
1
2021
Estimation of high-dimensional seemingly unrelated regression models. Zbl 1491.62041
Tan, Lidan; Chiong, Khai Xiang; Moon, Hyungsik Roger
1
2021
Estimation of average treatment effect based on a semiparametric propensity score. Zbl 1490.62485
Sun, Yu; Yan, Karen X.; Li, Qi
1
2021
Determination of different types of fixed effects in three-dimensional panels. Zbl 1490.62177
Lu, Xun; Miao, Ke; Su, Liangjun
1
2021
The lower regression function and testing expectation dependence dominance hypotheses. Zbl 1490.62109
Linton, Oliver; Whang, Yoon Jae; Yen, Yu-Min
1
2021
Right tail information and asset pricing. Zbl 1490.91225
Hua, Qiuling; Xiao, Zhijie; Zhou, Hongtao
1
2021
Market integration, systemic risk and diagnostic tests in large mixed panels. Zbl 1490.62329
Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang
1
2021
Revisiting regression adjustment in experiments with heterogeneous treatment effects. Zbl 1490.62472
Negi, Akanksha; Wooldridge, Jeffrey M.
1
2021
Bayesian estimation of dynamic panel data gravity model. Zbl 1490.62431
Cho, Moonhee; Zheng, Xiaoyong
1
2021
Detecting multiple equilibria for continuous dependent variables. Zbl 1490.62494
Yu, Zhengfei
1
2021
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips curves. Zbl 1490.62455
Kang, Byunguk; Dufour, Jean-Marie
1
2021
A panel data model of length of stay in hospitals for hip replacements. Zbl 1490.62467
Meng, Yan; Gao, Jiti; Zhang, Xibin; Zhao, Xueyan
1
2021
An IV estimator for a functional coefficient model with endogenous discrete treatments. Zbl 1490.62458
Klein, Roger; Shen, Chan
1
2021
Quantile regression with interval data. Zbl 1490.62418
Beresteanu, Arie; Sasaki, Yuya
1
2021
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination. Zbl 1490.62128
Lee, Tae-Hwy; Mao, Millie Yi; Ullah, Aman
1
2021
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation. Zbl 1490.62491
Xu, Qiuhua; Cai, Zongwu; Fang, Ying
1
2021
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing. Zbl 1490.62495
Zhang, Yonghui; Zhou, Qiankun
1
2021
Sequential and efficient GMM estimation of dynamic short panel data models. Zbl 1490.62453
Jin, 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 1490.62316
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis
3
2020
Maximum likelihood estimation of dynamic panel threshold models. Zbl 1490.62478
Ramírez-Rondán, N. R.
2
2020
Testing for distributional features in varying coefficient panel data models. Zbl 1490.62481
Soberon, 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 1490.62281
Tu, Yundong; Wang, Ying
2
2020
Identification of the linear factor model. Zbl 1490.62149
Williams, Benjamin
2
2020
Smooth coefficient models with endogenous environmental variables. Zbl 1490.62097
Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C.
2
2020
Asymptotic properties of bubble monitoring tests. Zbl 1490.62460
Kurozumi, Eiji
2
2020
Nonlinear autoregressive models with optimality properties. Zbl 1490.62421
Blasques, Francisco; Koopman, Siem Jan; Lucas, André
2
2020
Some notes on nonlinear cointegration: a partial review with some novel perspectives. Zbl 1490.62277
Tjøstheim, Dag
2
2020
On the estimation of integrated volatility in the presence of jumps and microstructure noise. Zbl 1490.62311
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng
2
2020
Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function. Zbl 1490.62103
Xie, Qichang; Sun, Qiankun; Liu, Junxian
1
2020
Robust inference in conditionally heteroskedastic autoregressions. Zbl 1491.62121
Pedersen, Rasmus Søndergaard
1
2020
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models. Zbl 1490.62320
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël
1
2020
Specification testing with estimated variables. Zbl 1490.62436
Domínguez, Manuel A.; Lobato, Ignacio N.
1
2020
Multistep forecast selection for panel data. Zbl 1490.62246
Greenaway-McGrevy, Ryan
1
2020
On endogeneity and shape invariance in extended partially linear single index models. Zbl 1490.62099
Gao, 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 1490.62229
Bennedsen, Mikkel
1
2020
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. Zbl 1490.62433
Coudin, Elise; Dufour, Jean-Marie
1
2020
Nonparametric estimation of marginal effects in regression-spline random effects models. Zbl 1490.62101
Ma, Shujie; Racine, Jeffrey S.; Ullah, Aman
1
2020
Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430
Chen, Yi-Ting; Tsay, Ruey S.
1
2020
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Zbl 1490.62449
Hsiao, Cheng
1
2020
Standard errors for nonparametric regression. Zbl 1480.62066
Chu, Ba M.; Jacho-Chávez, David T.; Linton, Oliver B.
1
2020
Quantile aggregation and combination for stock return prediction. Zbl 1490.62321
Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie
1
2020
Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata. Zbl 1490.62439
Gardner, John
1
2020
Model averaging in a multiplicative heteroscedastic model. Zbl 1490.62187
Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu; Wang, Shouyang
1
2020
A goodness-of-fit test for regular vine copula models. Zbl 1490.62132
Schepsmeier, Ulf
4
2019
Model selection for factor analysis: some new criteria and performance comparisons. Zbl 1490.62146
Choi, In; Jeong, Hanbat
4
2019
A practical guide to compact infinite dimensional parameter spaces. Zbl 1490.62438
Freyberger, Joachim; Masten, Matthew A.
4
2019
The Gibbs sampler with particle efficient importance sampling for state-space models. Zbl 1490.62080
Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman
4
2019
Inference on local average treatment effects for misclassified treatment. Zbl 1490.62492
Yanagi, Takahide
3
2019
Testing explosive bubbles with time-varying volatility. Zbl 1490.62446
Harvey, David I.; Leybourne, Stephen J.; Zu, Yang
3
2019
Practical procedures to deal with common support problems in matching estimation. Zbl 1490.62461
Lechner, Michael; Strittmatter, Anthony
2
2019
Similarity-based model for ordered categorical data. Zbl 1490.62440
Gayer, Gabi; Lieberman, Offer; Yaffe, Omer
2
2019
Nonstationary nonlinear quantile regression. Zbl 1490.62282
Uematsu, Yoshimasa
2
2019
Common threshold in quantile regressions with an application to pricing for reputation. Zbl 1490.62483
Su, Liangjun; Xu, Pai
2
2019
Symbolic correlation integral. Zbl 1491.62088
Caballero-Pintado, M. Victoria; Matilla-García, Mariano; Marín, Manuel Ruiz
2
2019
A general inversion theorem for cointegration. Zbl 1490.62243
Franchi, Massimo; Paruolo, Paolo
2
2019
A joint test for parametric specification and independence in nonlinear regression models. Zbl 1491.62031
Li, Shuo; Tu, Yundong
2
2019
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression. Zbl 1490.62237
Dong, Chaohua; Gao, Jiti
1
2019
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 1490.62286
Zhang, Rongmao; Li, Chenxue; Peng, Liang
1
2019
The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model. Zbl 1490.62437
Forchini, Giovanni; Jiang, Bin
1
2019
Information measures of kernel estimation. Zbl 1490.62091
Beheshti, Neshat; Racine, Jeffrey S.; Soofi, Ehsan S.
1
2019
Wavelet energy ratio unit root tests. Zbl 1490.62279
Trokić, Mirza
1
2019
Two-sample least squares projection. Zbl 1490.62473
Pacini, David
1
2019
Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity. Zbl 1490.62257
Li, Dong; Guo, Shaojun; Zhu, Ke
1
2019
Alternative diff-in-diffs estimators with several pretreatment periods. Zbl 1490.62470
Mora, Ricardo; Reggio, Iliana
1
2019
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Zbl 1490.62233
Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, A. M. Robert
1
2019
A nonparametric specification test for the volatility functions of diffusion processes. Zbl 1491.62079
Chen, Qiang; Hu, Meidi; Song, Xiaojun
1
2019
Sparse change-point HAR models for realized variance. Zbl 1490.62239
Dufays, Arnaud; Rombouts, Jeroen V. K.
1
2019
Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. Zbl 1490.62232
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa
1
2019
OLS and IV estimation of regression models including endogenous interaction terms. Zbl 1490.62424
Bun, Maurice J. G.; Harrison, Teresa D.
1
2019
Structural breaks in panel data: large number of panels and short length time series. Zbl 1490.62224
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; Hušková, Marie; Wang, Shixuan
1
2019
Functional coefficient time series models with trending regressors. Zbl 1490.62234
Cheng, Tingting
1
2019
Binary quantile regression and variable selection: a new approach. Zbl 1490.62414
Aristodemou, Katerina; He, Jian; Yu, Keming
1
2019
Size distributions reconsidered. Zbl 1490.62119
Schluter, Christian; Trede, Mark
1
2019
Generalized information matrix tests for copulas. Zbl 1490.62125
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing
1
2019
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models. Zbl 1491.62057
Chang, Seong Yeon; Perron, Pierre
6
2018
Modeling and forecasting realized covariance matrices with accounting for leverage. Zbl 1490.62413
Anatolyev, Stanislav; Kobotaev, Nikita
4
2018
The estimation of multidimensional fixed effects panel data models. Zbl 1490.62415
Balazsi, Laszlo; Matyas, Laszlo; Wansbeek, Tom
4
2018
A Laplace stochastic frontier model. Zbl 1490.62448
Horrace, William C.; Parmeter, Christopher F.
4
2018
GMM inference in spatial autoregressive models. Zbl 1491.62130
Taşpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M.
4
2018
GMM estimation of a realized stochastic volatility model: a Monte Carlo study. Zbl 1490.62313
Chaussé, Pierre; Xu, Dinghai
4
2018
Testing for Granger-causality in quantiles. Zbl 1490.62487
Troster, Victor
4
2018
A modified confidence set for the structural break date in linear regression models. Zbl 1491.62066
Yamamoto, Yohei
3
2018
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form. Zbl 1490.62168
Lin, Eric S.; Chou, Ta-Sheng
2
2018
A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087
Blasques, Francisco; Lucas, André; Silde, Erkki
2
2018
Sample path properties of an explosive double autoregressive model. Zbl 1490.62258
Liu, Feng; Li, Dong; Kang, Xinmei
2
2018
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Cited by 4,915 Authors

44 McAleer, Michael
37 Taylor, A. M. 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. K.
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797 Journal of Econometrics
354 Econometric Reviews
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172 Econometric Theory
162 Computational Statistics and Data Analysis
125 Communications in Statistics. Theory and Methods
119 Journal of Economic Dynamics & Control
94 European Journal of Operational Research
92 Journal of Statistical Computation and Simulation
87 Communications in Statistics. Simulation and Computation
82 Journal of Time Series Analysis
76 Quantitative Finance
72 Journal of Applied Statistics
62 Journal of Statistical Planning and Inference
53 Journal of Multivariate Analysis
53 Studies in Nonlinear Dynamics and Econometrics
50 Statistical Papers
48 Statistics & Probability Letters
46 Mathematics and Computers in Simulation
35 The Econometrics Journal
33 Computational Statistics
32 The Annals of Statistics
30 Journal of the Korean Statistical Society
28 Mathematical and Computer Modelling
27 Physica A
26 Annals of Operations Research
22 Annals of the Institute of Statistical Mathematics
20 Test
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20 Journal of Time Series Econometrics
19 Open Economies Review
19 Journal of Nonparametric Statistics
17 Journal of the American Statistical Association
17 Electronic Journal of Statistics
17 Statistics and Computing
15 Metrika
15 Bernoulli
14 Insurance Mathematics & Economics
14 Computational Economics
14 International Journal of Theoretical and Applied Finance
14 Journal of Forecasting
14 Journal of Econometric Methods
13 Chaos, Solitons and Fractals
13 Statistics
12 The Annals of Applied Statistics
11 Journal of Systems Science and Complexity
11 Asia-Pacific Financial Markets
10 Journal of Computational and Applied Mathematics
10 Statistica Sinica
10 Methodology and Computing in Applied Probability
10 Applied Stochastic Models in Business and Industry
10 Journal of Statistical Theory and Practice
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9 Psychometrika
9 AStA. Advances in Statistical Analysis
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8 International Journal of Systems Science
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8 Sankhyā. Series B
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6 The Canadian Journal of Statistics
6 The Annals of Applied Probability
6 Stochastic Processes and their Applications
6 Statistical Inference for Stochastic Processes
6 Science China. Mathematics
5 Journal of Computational Physics
5 Journal of Mathematical Psychology
5 Australian & New Zealand Journal of Statistics
5 Communications in Nonlinear Science and Numerical Simulation
5 AStA. Allgemeines Statistisches Archiv
5 Statistical Modelling
5 Entropy
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5 Dependence Modeling
5 Journal of the Japan Statistical Society. Japanese Issue
5 Statistical Theory and Related Fields
4 Computers & Mathematics with Applications
4 Applied Mathematics and Computation
4 Automatica
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4 International Economic Review
4 Statistica
4 Revista Colombiana de Estadística
4 Acta Mathematicae Applicatae Sinica. English Series
4 International Journal of Approximate Reasoning
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4 Applied Mathematics. Series B (English Edition)
4 Mathematical Finance
4 Discrete Dynamics in Nature and Society
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Cited in 40 Fields

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