## 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
 Documents Indexed: 924 Publications (since 1984) References Indexed: 894 Publications with 29,731 References.
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### Authors

 23 Maasoumi, Esfandiar 18 McAleer, Michael 14 Baltagi, Badi H. 13 Ullah, Aman 11 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 Teräsvirta, Timo 7 Westerlund, Joakim 6 Caner, Mehmet 6 Kao, Chihwa 6 Kumbhakar, Subal Chandra 6 Medeiros, Marcelo C. 6 Orme, Chris D. 6 Psaradakis, Zacharias 6 Racine, Jeffrey Scott 6 Soofi, Ehsan S. 6 Su, Liangjun 5 Asai, Manabu 5 Dagum, Estelle Bee 5 Davidson, Russell 5 Kilian, Lutz 5 Lee, Lung-Fei 5 Linton, Oliver Bruce 5 Palm, Franz C. 5 Perron, Pierre 5 Tu, Yundong 5 Wansbeek, Tom J. 5 White, Halbert Lynn jun. 5 Xiao, Zhijie 4 Ando, Tomohiro 4 Bierens, Herman J. 4 Breitung, Jorg 4 Cai, Zongwu 4 Dufour, Jean-Marie 4 Fan, Yanqin 4 Geweke, John F. 4 Godfrey, Leslie G. 4 Golan, Amos 4 Gospodinov, Nikolay 4 Kapetanios, George 4 King, Maxwell Leslie 4 Kurozumi, Eiji 4 Liu, Long 4 Lopes, Hedibert Freitas 4 Martins-Filho, Carlos 4 McElroy, Tucker S. 4 Proietti, Tommaso 4 Renault, Eric 4 Sickles, Robin C. 4 Simar, Léopold 4 Spanos, Aris 4 Tran, Kien C. 4 Tzavalis, Elias 4 Urbain, Jean-Pierre 4 Wan, Alan T. K. 4 Zhang, Xinyu 3 Ai, Chunrong 3 Anatolyev, Stanislav 3 Bao, Yong 3 Bera, Anil K. 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 Hsu, Yu-Chin 3 Hu, Yingyao 3 Inoue, Atsushi 3 Johansen, Søren Glud 3 Kiefer, Nicholas M. 3 Kock, Anders Bredahl 3 Koop, Gary 3 Koopman, Siem Jan 3 Lechner, Michael 3 Lee, Myoungjae 3 Lee, Tae-Hwy 3 Leybourne, Stephen J. 3 Lieberman, Offer 3 Lucas, André 3 Lütkepohl, Helmut 3 MacKinnon, James G. ...and 1,102 more Authors
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### Fields

 905 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)

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Modelling the persistence of conditional variances. Zbl 0619.62105
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Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076
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Bayesian analysis of DSGE models. Zbl 1112.62015
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Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142
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Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
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Multivariate stochastic volatility: a review. Zbl 1107.62108
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On the asymptotics of ADF tests for unit roots. Zbl 1049.62096
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Bootstrap tests: How many bootstraps? Zbl 0949.62030
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On Bartlett and Bartlett-type corrections. Zbl 0885.62021
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Unit root tests under time-varying variances. Zbl 1133.62350
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Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038
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Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069
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Realized volatility: a review. Zbl 1148.62089
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Recent developments in bootstrapping time series (with comment). Zbl 0949.62022
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Continuous time Wishart process for stochastic risk. Zbl 1105.62104
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MIDAS regressions: further results and new directions. Zbl 1108.62092
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Bootstrapping time series models. (With discussion). Zbl 0855.62074
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A compendium to information theory in economics and econometrics. Zbl 0769.62003
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The volatility of realized volatility. Zbl 1359.91032
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Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101
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Empirical characteristic function estimation and its applications. Zbl 1123.62030
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The generalized fluctuation test: A unifying view. Zbl 0832.62085
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Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
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Asymptotic and bootstrap inference for AR($$\infty$$) processes with conditional heteroskedasticity. Zbl 1126.62079
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In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213
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Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085
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Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049
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Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131
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2006
Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133
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2006
The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086
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1994
Generalized integer-valued autoregression. Zbl 1077.62530
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GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123
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2000
Tests of specification in econometrics (with discussion). Zbl 0604.62115
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A consistent method for the selection of relevant instruments. Zbl 1181.62192
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2003
Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192
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2008
On testing equality of distributions of technical efficiency scores. Zbl 1106.62126
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2006
Testing the martingale difference hypothesis. Zbl 1030.62066
Domínguez, Manuel A.; Lobato, Ignacio N.
2003
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
2006
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
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2008
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
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2005
State space modeling of multiple time series. Zbl 0733.62098
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1991
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
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2000
A review of systems cointegration tests. Zbl 1044.62120
Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti
2001
Estimating partially linear panel data models with one-way error components. Zbl 0915.62095
Li, Qi; Ullah, Aman
1998
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
2008
Moving average-based estimators of integrated variance. Zbl 1148.62088
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2008
An introduction to hypergeometric functions for economists. Zbl 1073.91526
1999
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
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1994
Bootstrap $$M$$ unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
2009
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
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2009
An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006
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1999
Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040
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1998
A residual-based test of the null of cointegration in panel data. Zbl 0896.62131
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1998
Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? Some Monte Carlo evidence.. Zbl 1034.62059
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2002
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130
Liesenfeld, Roman; Richard, Jean-François
2006
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
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2008
Detecting parameter shift in GARCH models. Zbl 0832.62099
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1995
Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011
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1997
Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023
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2005
Double length artificial regressions for testing spatial dependence. Zbl 1018.62049
2001
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
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2010
A unified approach to structural change tests based on ML scores, $$F$$ statistics, and OLS residuals. Zbl 1080.62012
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2005
Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138
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2010
Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522
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2008
Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038
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1995
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
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2005
Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160
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2000
The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118
Hlouskova, Jaroslava; Wagner, Martin
2006
Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080
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2000
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
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1993
The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function. Zbl 0891.62045
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1997
Long-run structural modelling. Zbl 1104.91061
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2002
Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034
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1984
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
2010
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
2007
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
2008
Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118
de Lima, Pedro J. F.
1996
A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators. Zbl 1034.62007
Hahn, Jinyong; Inoue, Atsushi
2002
Unit root tests with infinite variance errors. Zbl 1044.62090
Ahn, Sung K.; Fotopoulos, Stergios B.; He, Lijian
2001
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059
Nielsen, Morten Ørregaard; Frederiksen, Per Houmann
2005
Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046
Racine, Jeffery S.; Hart, Jeffrey; Li, Qi
2006
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
2007
Forecasting performance of an open economy DSGE model. Zbl 1112.62133
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
2007
Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127
Chan, David; Kohn, Robert; Kirby, Chris
2006
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
2009
A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. Zbl 0832.62046
Ahn, Seung C.; Schmidt, Peter
1995
A test for the presence of conditional heteroskedasticity within ARCH-M framework. Zbl 0836.62068
Bera, Anil K.; Ra, Sungsup
1995
A consistent model specification test based on the kernel sum of squares of residuals. Zbl 1033.62038
Fan, Yanqin; Li, Qi
2002
Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074
Davidson, Russell; MacKinnon, James G.
2002
Regularity of the generalized quadratic production model: a counterexample. Zbl 1106.91341
Barnett, William A.; Pasupathy, Meenakshi
2003
Evaluating direct multistep forecasts. Zbl 1080.62049
Clark, Todd E.; McCracken, Michael W.
2005
Bayes estimate and inference for entropy and information index of fit. Zbl 1482.62026
Mazzuchi, Thomas A.; Soofi, Ehsan S.; Soyer, Refik
2008
Refined inference on long memory in realized volatility. Zbl 1359.91033
Lieberman, Offer; Phillips, Peter C. B.
2008
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling. Zbl 1172.62020
Camba-Mendez, Gonzalo; Kapetanios, George
2009
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
2021
In-fill asymptotic theory for structural break point in autoregressions. Zbl 1490.62253
Jiang, Liang; Wang, Xiaohu; Yu, Jun
2021
The continuous limit of weak GARCH. Zbl 1490.62222
Alexander, Carol; Lazar, Emese
2021
Common factors and spatial dependence: an application to US house prices. Zbl 1490.62493
Yang, Cynthia Fan
2021
Testing for distributional features in varying coefficient panel data models. Zbl 1490.62481
Soberon, Alexandra; Stute, Winfried; Rodriguez-Poo, Juan M.
2020
Smooth coefficient models with endogenous environmental variables. Zbl 1490.62097
Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C.
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
2020
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models. Zbl 1490.62320
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël
2020
Specification testing with estimated variables. Zbl 1490.62436
Domínguez, Manuel A.; Lobato, Ignacio N.
2020
Nonlinear autoregressive models with optimality properties. Zbl 1490.62421
Blasques, Francisco; Koopman, Siem Jan; Lucas, André
2020
Multistep forecast selection for panel data. Zbl 1490.62246
Greenaway-McGrevy, Ryan
2020
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data. Zbl 1490.62229
Bennedsen, Mikkel
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
2020
Nonparametric estimation of marginal effects in regression-spline random effects models. Zbl 1490.62101
Ma, Shujie; Racine, Jeffrey S.; Ullah, Aman
2020
Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430
Chen, Yi-Ting; Tsay, Ruey S.
2020
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Zbl 1490.62449
Hsiao, Cheng
2020
Some notes on nonlinear cointegration: a partial review with some novel perspectives. Zbl 1490.62277
Tjøstheim, Dag
2020
Standard errors for nonparametric regression. Zbl 1480.62066
Chu, Ba M.; Jacho-Chávez, David T.; Linton, Oliver B.
2020
Quantile aggregation and combination for stock return prediction. Zbl 1490.62321
Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie
2020
On the estimation of integrated volatility in the presence of jumps and microstructure noise. Zbl 1490.62311
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng
2020
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression. Zbl 1490.62237
Dong, Chaohua; Gao, Jiti
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
2019
Nonstationary nonlinear quantile regression. Zbl 1490.62282
Uematsu, Yoshimasa
2019
A nonparametric specification test for the volatility functions of diffusion processes. Zbl 1491.62079
Chen, Qiang; Hu, Meidi; Song, Xiaojun
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
2019
Model selection for factor analysis: some new criteria and performance comparisons. Zbl 1490.62146
Choi, In; Jeong, Hanbat
2019
Size distributions reconsidered. Zbl 1490.62119
Schluter, Christian; Trede, Mark
2019
Generalized information matrix tests for copulas. Zbl 1490.62125
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing
2019
A joint test for parametric specification and independence in nonlinear regression models. Zbl 1491.62031
Li, Shuo; Tu, Yundong
2019
Testing for Granger-causality in quantiles. Zbl 1490.62487
Troster, Victor
2018
GMM inference in spatial autoregressive models. Zbl 1491.62130
Taşpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M.
2018
Modeling and forecasting realized covariance matrices with accounting for leverage. Zbl 1490.62413
Anatolyev, Stanislav; Kobotaev, Nikita
2018
A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087
Blasques, Francisco; Lucas, André; Silde, Erkki
2018
The estimation of multidimensional fixed effects panel data models. Zbl 1490.62415
Balazsi, Laszlo; Matyas, Laszlo; Wansbeek, Tom
2018
Estimation of factor-augmented panel regressions with weakly influential factors. Zbl 1490.62479
Reese, Simon; Westerlund, Joakim
2018
Fixed $$T$$ dynamic panel data estimators with multifactor errors. Zbl 1490.62454
Juodis, Artūras; Sarafidis, Vasilis
2018
Fourier-type tests involving martingale difference processes. Zbl 07537902
Hlávka, Zdeněk; Hušková, Marie; Kirch, Claudia; Meintanis, Simos G.
2017
Stein-like 2SLS estimator. Zbl 07538219
Hansen, Bruce E.
2017
Exponential class of dynamic binary choice panel data models with fixed effects. Zbl 07538222
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem
2017
Stochastic metafrontiers. Zbl 07538227
Amsler, Christine; O&rsquo;Donnell, Christopher J.; Schmidt, Peter
2017
Modified profile likelihood for fixed-effects panel data models. Zbl 1491.62181
Bartolucci, F.; Bellio, R.; Salvan, A.; Sartori, N.
2016
Evidence of convergence clubs using mixture models. Zbl 1491.62252
Pittau, Maria Grazia; Zelli, Roberto; Massari, Riccardo
2016
Conditional VAR and expected shortfall: a new functional approach. Zbl 1491.62156
Ferraty, Frédéric; Quintela-Del-Río, Alejandro
2016
Random effects, fixed effects and Hausman’s test for the generalized mixed regressive spatial autoregressive panel data model. Zbl 1491.62179
2016
The risk of James-Stein and Lasso shrinkage. Zbl 1491.62067
Hansen, Bruce E.
2016
Estimation of sparse structural parameters with many endogenous variables. Zbl 1491.62260
Shi, Zhentao
2016
Stochastic model specification search for time-varying parameter VARs. Zbl 1491.62206
Eisenstat, Eric; Chan, Joshua C. C.; Strachan, Rodney W.
2016
Testing weak cross-sectional dependence in large panels. Zbl 1491.62251
Pesaran, M. Hashem
2015
Semiparametric estimation of partially varying-coefficient dynamic panel data models. Zbl 1491.62187
Cai, Zongwu; Chen, Linna; Fang, Ying
2015
Marginal likelihood estimation with the cross-entropy method. Zbl 1491.62193
Chan, Joshua C. C.; Eisenstat, Eric
2015
Using copulas to model time dependence in stochastic frontier models. Zbl 1491.62172
Amsler, Christine; Prokhorov, Artem; Schmidt, Peter
2014
I got more data, my model is more refined, but my estimator is getting worse! Am I just dumb? Zbl 1491.62116
Meng, Xiao-Li; Xie, Xianchao
2014
A goodness-of-fit test for copulas. Zbl 1491.62224
Huang, Wanling; Prokhorov, Artem
2014
On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors. Zbl 1491.62205
Drukker, David M.; Egger, Peter; Prucha, Ingmar R.
2013
Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments. Zbl 1491.62243
Liu, Xiaodong; Lee, Lung-Fei
2013
An intersection test for panel unit roots. Zbl 1491.62099
Hanck, Christoph
2013
Long memory regressors and predictive testing: a two-stage rebalancing approach. Zbl 1491.62114
Maynard, Alex; Smallwood, Aaron; Wohar, Mark E.
2013
Empirical likelihood-based inference for poverty measures with relative poverty lines. Zbl 1491.62264
Thompson, Brennan S.
2013
State space models and MIDAS regressions. Zbl 1491.62176
Bai, Jennie; Ghysels, Eric; Wright, Jonathan H.
2013
Estimation in single-index panel data models with heterogeneous link functions. Zbl 1491.62092
Chen, Jia; Gao, Jiti; Li, Degui
2013
Econometric analysis of high dimensional VARs featuring a dominant unit. Zbl 1491.62198
Chudik, Alexander; Pesaran, M. Hashem
2013
A generalized spatial panel data model with random effects. Zbl 1491.62178
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael
2013
A survey of sequential Monte Carlo methods for economics and finance. Zbl 1491.62008
Creal, Drew
2012
Cross-sectional dependence in panel data analysis. Zbl 1491.62258
Sarafidis, Vasilis; Wansbeek, Tom
2012
Asymptotics for panel models with common shocks. Zbl 1491.62103
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni
2012
Endogeneity in nonlinear regressions with integrated time series. Zbl 1209.62149
Chang, Yoosoon; Park, Joon Y.
2011
Estimation and asymptotic inference in the AR-ARCH model. Zbl 1209.62201
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver
2011
A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series. Zbl 1209.62202
Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis D.
2011
Testing for a unit root in a stationary ESTAR process. Zbl 1210.62122
Kılıç, Rehim
2011
Minimum divergence, generalized empirical likelihoods, and higher order expansions. Zbl 1217.62042
Ragusa, Giuseppe
2011
Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model. Zbl 1218.62092
Kapetanios, George; Shin, Yongcheol
2011
Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation. Zbl 1210.62120
Iglesias, Emma M.; Phillips, Garry D. A.
2011
Empirical likelihood for efficient semiparametric average treatment effects. Zbl 1209.62045
Bravo, Francesco; Jacho-Chávez, David T.
2011
Continuous empirical characteristic function estimation of mixtures of normal parameters. Zbl 1209.62052
Xu, Dinghai; Knight, John
2011
Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap. Zbl 1217.62035
Poirier, Dale J.
2011
The relation of different concepts of causality used in time series and microeconometrics. Zbl 1208.91116
Lechner, Michael
2011
On the discretization of continuous-time filters for nonstationary stock and flow time series. Zbl 1218.62098
McElroy, Tucker; Trimbur, Thomas M.
2011
Robust misspecification tests for the Heckman’s two-step estimator. Zbl 1209.62016
Montes-Rojas, Gabriel V.
2011
Estimation under inequality constraints: semiparametric estimation of conditional duration models. Zbl 1217.62043
Ranasinghe, Kulan; Silvapulle, Mervyn J.
2011
Bootstrap unit root tests in models with GARCH(1,1) errors. Zbl 1217.62132
Gospodinov, Nikolay; Tao, Ye
2011
Fuzzy autoregressive rules: towards linguistic time series modeling. Zbl 1218.62102
Aznarte, José Luis; Alcalá-Fdez, Jesús; Arauzo, Antonio; Benítez, José Manuel
2011
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices. Zbl 1218.62091
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
2011
Marginal changes in random parameters ordered response models with interaction terms. Zbl 1218.62132
Drichoutis, Andreas C.; Nayga, Rodolfo M. jun.
2011
Two-step estimation of endogenous and exogenous group effects. Zbl 1208.91122
Shang, Qingyan; Lee, Lung-Fei
2011
A consistent test for multivariate conditional distributions. Zbl 1210.62065
Li, Fuchun; Tkacz, Greg
2011
Estimation of allocative inefficiency and productivity growth with dynamic adjustment costs. Zbl 1210.91099
Atkinson, Scott E.; Cornwell, Christopher
2011
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
2010
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
2010
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
2010
Nonparametric entropy-based tests of independence between stochastic processes. Zbl 1187.62083
Fernandes, Marcelo; Néri, Breno
2010
Implementing Box-Cox quantile regression. Zbl 1270.62083
Fitzenberger, Bernd; Wilke, Ralf A.; Zhang, Xuan
2010
Efficient posterior simulation for cointegrated models with priors on the cointegration space. Zbl 1185.62157
Koop, Gary; León-González, Roberto; Strachan, Rodney W.
2010
Local GMM estimation of semiparametric panel data with smooth coefficient models. Zbl 1180.62064
Tran, Kien C.; Tsionas, Efthymios G.
2010
To combine forecasts or to combine information? Zbl 1201.91154
Huang, Huiyu; Lee, Tae-Hwy
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
2010
Cointegrating regressions with time heterogeneity. Zbl 1192.62198
Kim, Chang Sik; Park, Joon Y.
2010
The performance of panel cointegration methods: results from a large scale simulation study. Zbl 1270.62123
Wagner, Martin; Hlouskova, Jaroslava
2010
The benefits of bagging for forecast models of realized volatility. Zbl 1201.91228
Hillebrand, Eric; Medeiros, Marcelo C.
2010
Distributional overlap: simple, multivariate, parametric, and nonparametric tests for alienation, convergence, and general distributional difference issues. Zbl 1187.91148
Anderson, Gordon; Ge, Ying; Leo, Teng Wah
2010
On deconvolution as a first stage nonparametric estimator. Zbl 1192.62117
Hu, Yingyao; Ridder, Geert
2010
...and 327 more Documents
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### Cited by 3,995 Authors

 42 McAleer, Michael 35 Taylor, A. M. Robert 30 Cavaliere, Giuseppe 26 Cribari-Neto, Francisco 22 Politis, Dimitris Nicolas 20 Rachev, Svetlozar T. 18 Pesaran, M. Hashem 18 Phillips, Peter Charles Bonest 18 Shin, Dongwan 17 Westerlund, Joakim 17 White, Halbert Lynn jun. 15 Asai, Manabu 15 Cordeiro, Gauss Moutinho 14 Baltagi, Badi H. 14 Demetrescu, Matei 14 Ferrari, Silvia Lopes de Paula 14 Gourieroux, Christian 14 Lee, Lung-Fei 14 Mittnik, Stefan 14 Tsionas, Efthymios G. 13 Bollerslev, Tim 13 Ghysels, Eric 13 Lütkepohl, Helmut 13 Maasoumi, Esfandiar 12 Kumbhakar, Subal Chandra 12 Sentana, Enrique 12 Ullah, Aman 11 Dufour, Jean-Marie 11 Franses, Philip Hans 11 Hall, Alastair R. 11 Horváth, Lajos 11 Kapetanios, George 11 Kerstens, Kristiaan 11 Kozubowski, Tomasz J. 11 Linton, Oliver Bruce 11 Rahbek, Anders 11 Saikkonen, Pentti 10 Barnett, William A. 10 del Barrio Castro, Tomas 10 Hafner, Christian Matthias 10 Medeiros, Marcelo C. 10 Meintanis, Simos G. 10 Park, Joon Y. 10 Rodrigues, Paulo M. M. 10 Serletis, Apostolos 9 Chang, Yoosoon 9 Escanciano, Juan Carlos 9 Forsyth, Peter A. 9 Godfrey, Leslie G. 9 Gupta, Rangan 9 Harvey, David I. 9 Hušková, Marie 9 Koop, Gary 9 Lahiri, Soumendra Nath 9 Leybourne, Stephen J. 9 Li, Qi 9 Martin, Gael M. 9 Panorska, Anna K. 9 Renault, Eric 9 So, Mike K. P. 9 Tu, Yundong 9 Tzavalis, Elias 9 van de Woestyne, Ignace 8 Abadir, Karim M. 8 Bera, Anil K. 8 Breitung, Jorg 8 Fiorentini, Gabriele 8 Georgiev, Iliyan 8 Hassler, Uwe 8 Hong, Yongmiao 8 Inoue, Atsushi 8 King, Maxwell Leslie 8 Kokoszka, Piotr S. 8 Lee, Sangyeol 8 Nordman, Daniel J. 8 Palm, Franz C. 8 Prucha, Ingmar R. 8 Rombouts, Jeroen V. K. 8 Shukur, Ghazi 8 Smeekes, Stephan 8 Su, Liangjun 8 Tsionas, Mike G. 8 Wang, Lihong 8 Xiao, Zhijie 8 Zeileis, Achim 7 Baillie, Richard T. 7 Bekiros, Stelios D. 7 Boswijk, H. Peter 7 Bravo, Francesco 7 Clark, Todd E. 7 Corradi, Valentina 7 Escobar, Marcos 7 Gonçalves, Sílvia 7 Gospodinov, Nikolay 7 Guay, Alain 7 Heun Song, Seuck 7 Kilian, Lutz 7 Koopman, Siem Jan 7 Lemonte, Artur José 7 Osborn, Denise R. ...and 3,895 more Authors
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### Cited in 248 Journals

 653 Journal of Econometrics 285 Econometric Reviews 154 Computational Statistics and Data Analysis 153 Economics Letters 152 Econometric Theory 111 Journal of Economic Dynamics & Control 102 Communications in Statistics. Theory and Methods 77 Communications in Statistics. Simulation and Computation 71 Journal of Statistical Computation and Simulation 70 Journal of Time Series Analysis 70 European Journal of Operational Research 70 Quantitative Finance 59 Journal of Applied Statistics 56 Journal of Statistical Planning and Inference 46 Mathematics and Computers in Simulation 43 Journal of Multivariate Analysis 43 Statistics & Probability Letters 42 Statistical Papers 35 The Econometrics Journal 30 Computational Statistics 29 The Annals of Statistics 28 Mathematical and Computer Modelling 26 Physica A 23 Annals of Operations Research 23 Journal of the Korean Statistical Society 19 Annals of the Institute of Statistical Mathematics 17 Journal of Nonparametric Statistics 17 Journal of Time Series Econometrics 16 Statistical Methods and Applications 15 Open Economies Review 14 Computational Economics 14 Journal of Forecasting 13 Insurance Mathematics & Economics 13 Test 13 Bernoulli 13 International Journal of Theoretical and Applied Finance 12 Chaos, Solitons and Fractals 12 Journal of the American Statistical Association 12 Electronic Journal of Statistics 11 Metrika 11 Statistics 11 Statistics and Computing 10 Journal of Computational and Applied Mathematics 10 Applied Stochastic Models in Business and Industry 10 Journal of Systems Science and Complexity 10 Asia-Pacific Financial Markets 10 Annals of Finance 9 AStA. Advances in Statistical Analysis 9 The Annals of Applied Statistics 8 International Journal of Systems Science 8 Scandinavian Journal of Statistics 8 Physica D 8 Macroeconomic Dynamics 8 Journal of Statistical Theory and Practice 7 Applied Mathematics Letters 7 Chaos 7 Methodology and Computing in Applied Probability 7 Journal of Econometric Methods 6 The Canadian Journal of Statistics 6 Metron 6 Statistical Science 6 Stochastic Processes and their Applications 6 Applied Mathematical Finance 6 Statistical Inference for Stochastic Processes 6 Science China. Mathematics 5 Psychometrika 5 The Annals of Applied Probability 5 Studies in Nonlinear Dynamics and Econometrics 5 Communications in Nonlinear Science and Numerical Simulation 5 Brazilian Journal of Probability and Statistics 5 AStA. Allgemeines Statistisches Archiv 5 Statistical Modelling 5 Entropy 5 Review of Derivatives Research 4 Computers & Mathematics with Applications 4 Journal of Computational Physics 4 Applied Mathematics and Computation 4 International Economic Review 4 Revista Colombiana de Estadística 4 Acta Mathematicae Applicatae Sinica. English Series 4 Neural Computation 4 Linear Algebra and its Applications 4 Applied Mathematics. Series B (English Edition) 4 Statistica Sinica 4 Mathematical Finance 4 Australian & New Zealand Journal of Statistics 4 Journal of Economic Growth 4 ASTIN Bulletin 4 Thai Journal of Mathematics 4 Statistical Methodology 4 SIAM Journal on Financial Mathematics 4 Sankhyā. Series B 4 Journal of the Japan Statistical Society. Japanese Issue 3 Journal of Mathematical Analysis and Applications 3 Lithuanian Mathematical Journal 3 Automatica 3 Biometrics 3 Fuzzy Sets and Systems 3 Information Sciences 3 Kybernetika ...and 148 more Journals
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### Cited in 40 Fields

 2,734 Statistics (62-XX) 1,020 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 408 Numerical analysis (65-XX) 261 Probability theory and stochastic processes (60-XX) 93 Operations research, mathematical programming (90-XX) 35 Computer science (68-XX) 34 Systems theory; control (93-XX) 30 Dynamical systems and ergodic theory (37-XX) 25 Information and communication theory, circuits (94-XX) 22 Statistical mechanics, structure of matter (82-XX) 18 Biology and other natural sciences (92-XX) 12 Linear and multilinear algebra; matrix theory (15-XX) 11 Geophysics (86-XX) 8 General and overarching topics; collections (00-XX) 6 History and biography (01-XX) 5 Special functions (33-XX) 5 Partial differential equations (35-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 3 Mechanics of deformable solids (74-XX) 2 Number theory (11-XX) 2 Measure and integration (28-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Differential geometry (53-XX) 2 Fluid mechanics (76-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX)