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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
Documents Indexed: 912 Publications (since 1984)
References Indexed: 882 Publications with 29,200 References.
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...and 69 more Volumes
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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 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
6 Teräsvirta, Timo
5 Asai, Manabu
5 Dagum, Estelle Bee
5 Davidson, Russell
5 Kilian, Lutz
5 Lee, Lung-Fei
5 Linton, Oliver Bruce
5 Perron, Pierre
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 Palm, Franz C.
4 Proietti, Tommaso
4 Renault, Eric
4 Sickles, Robin C.
4 Simar, Léopold
4 Spanos, Aris
4 Tran, Kien C.
4 Tu, Yundong
4 Tzavalis, Elias
4 Urbain, Jean-Pierre
4 Wan, Alan T. K.
4 Wansbeek, Tom J.
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 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.
3 Moon, Hyungsik Roger
3 Osborn, Denise R.
...and 1,083 more Authors

Publications by Year

Citations contained in zbMATH Open

411 Publications have been cited 3,980 times in 3,211 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.
184
1992
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
144
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.
122
1996
Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076
Politis, Dimitris N.; White, Halbert
113
2004
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
85
1993
Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105
Geweke, John
81
1999
Bayesian analysis of DSGE models. Zbl 1112.62015
An, Sungbae; Schorfheide, Frank
77
2007
Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142
Doan, Thomas; Litterman, Robert; Sims, Christopher
75
1984
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans
68
2002
Multivariate stochastic volatility: a review. Zbl 1107.62108
Asai, Manabu; McAleer, Michael; Yu, Jun
67
2006
On the asymptotics of ADF tests for unit roots. Zbl 1049.62096
Chang, Yoosoon; Park, Joon Y.
65
2002
Bootstrap tests: How many bootstraps? Zbl 0949.62030
Davidson, Russell; MacKinnon, James G.
56
2000
On Bartlett and Bartlett-type corrections. Zbl 0885.62021
Cribari-Neto, Francisco; Cordeiro, Gauss M.
52
1996
Unit root tests under time-varying variances. Zbl 1133.62350
Cavaliere, Giuseppe
52
2004
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
49
2009
Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038
Li, Qi
49
1996
Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069
Lee, Lung-fei
48
2003
Continuous time Wishart process for stochastic risk. Zbl 1105.62104
Gourieroux, C.
45
2006
Recent developments in bootstrapping time series (with comment). Zbl 0949.62022
Berkowitz, Jeremy; Kilian, Lutz
45
2000
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
45
2008
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
40
2007
Bootstrapping time series models. (With discussion). Zbl 0855.62074
Li, Hongyi; Maddala, G. S.
40
1996
A compendium to information theory in economics and econometrics. Zbl 0769.62003
Maasoumi, Esfandiar
38
1993
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
37
2008
Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101
Kuan, Chung-Ming; White, Halbert
36
1994
Empirical characteristic function estimation and its applications. Zbl 1123.62030
Yu, Jun
35
2004
The generalized fluctuation test: A unifying view. Zbl 0832.62085
Kuan, Chung-Ming; Hornik, Kurt
32
1995
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
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.
30
1991
Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
29
2007
In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213
Inoue, Atsushi; Kilian, Lutz
27
2004
Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085
Dolado, Juan J.; Lütkepohl, Helmut
26
1996
Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131
Philipov, Alexander; Glickman, Mark E.
25
2006
Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133
Yu, Jun; Meyer, Renate
25
2006
Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049
Cribari-Neto, Francisco; Zarkos, Spyros G.
25
1999
The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086
Johansen, Søren
24
1994
Generalized integer-valued autoregression. Zbl 1077.62530
Brännäs, Kurt; Hellström, Jörgen
24
2001
Tests of specification in econometrics (with discussion). Zbl 0604.62115
Ruud, Paul A.
23
1984
GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123
Blundell, Richard; Bond, Stephen
23
2000
A consistent method for the selection of relevant instruments. Zbl 1181.62192
Hall, Alastair R.; Peixe, Fernanda P. M.
22
2003
On testing equality of distributions of technical efficiency scores. Zbl 1106.62126
Simar, Léopold; Zelenyuk, Valentin
21
2006
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
20
2006
Testing the martingale difference hypothesis. Zbl 1030.62066
Domínguez, Manuel A.; Lobato, Ignacio N.
20
2003
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
19
2005
Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192
Bera, Anil K.; Park, Sung Y.
19
2008
State space modeling of multiple time series. Zbl 0733.62098
Aoki, Masanao; Havenner, Arthur
19
1991
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
19
2008
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
18
2008
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
Phillips, Peter C. B.; Moon, Hyungsik R.
18
2000
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
17
2009
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
17
2009
Estimating partially linear panel data models with one-way error components. Zbl 0915.62095
Li, Qi; Ullah, Aman
17
1998
An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006
Ormoneit, Dirk; White, Halbert
17
1999
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
17
2008
Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040
Kilian, Lutz
16
1998
A residual-based test of the null of cointegration in panel data. Zbl 0896.62131
McCoskey, Suzanne; Kao, Chihwa
16
1998
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130
Liesenfeld, Roman; Richard, Jean-François
16
2006
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
Toda, Hiro Y.; Philips, Peter C. B.
16
1994
An introduction to hypergeometric functions for economists. Zbl 1073.91526
Abadir, Karim M.
16
1999
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
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
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua
15
2008
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
14
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
14
2010
A unified approach to structural change tests based on ML scores, \(F\) statistics, and OLS residuals. Zbl 1080.62012
Zeileis, Achim
14
2005
The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118
Hlouskova, Jaroslava; Wagner, Martin
13
2006
Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038
Fan, Yanqin
13
1995
Double length artificial regressions for testing spatial dependence. Zbl 1018.62049
Baltagi, Badi H.; Li, Dong
13
2001
Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160
Ahn, Seung C.; Good, David H.; Sickles, Robin C.
13
2000
Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023
Bond, Stephen; Windmeijer, Frank
13
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
13
2008
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
13
2005
Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034
Manski, Charles F.
12
1984
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
12
2008
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
12
2007
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
Andrews, Donald W. K.
12
1993
Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.
12
2000
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
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
12
2002
Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127
Chan, David; Kohn, Robert; Kirby, Chris
11
2006
Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046
Racine, Jeffery S.; Hart, Jeffrey; Li, Qi
11
2006
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
11
2007
Forecasting performance of an open economy DSGE model. Zbl 1112.62133
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
11
2007
Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118
de Lima, Pedro J. F.
11
1996
A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators. Zbl 1034.62007
Hahn, Jinyong; Inoue, Atsushi
11
2002
Unit root tests with infinite variance errors. Zbl 1044.62090
Ahn, Sung K.; Fotopoulos, Stergios B.; He, Lijian
11
2001
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059
Nielsen, Morten Ørregaard; Frederiksen, Per Houmann
11
2005
Bayes estimate and inference for entropy and information index of fit. Zbl 1482.62026
Mazzuchi, Thomas A.; Soofi, Ehsan S.; Soyer, Refik
10
2008
A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. Zbl 0832.62046
Ahn, Seung C.; Schmidt, Peter
10
1995
A test for the presence of conditional heteroskedasticity within ARCH-M framework. Zbl 0836.62068
Bera, Anil K.; Ra, Sungsup
10
1995
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
10
2009
Regularity of the generalized quadratic production model: a counterexample. Zbl 1106.91341
Barnett, William A.; Pasupathy, Meenakshi
10
2003
A consistent model specification test based on the kernel sum of squares of residuals. Zbl 1033.62038
Fan, Yanqin; Li, Qi
10
2002
Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074
Davidson, Russell; MacKinnon, James G.
10
2002
Evaluating direct multistep forecasts. Zbl 1080.62049
Clark, Todd E.; McCracken, Michael W.
10
2005
The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors. Zbl 1087.62099
Omtzigt, Pieter; Fachin, Stefano
9
2006
Benefits and limitations of panel data (with discussion). Zbl 0616.62148
Hsiao, Cheng
9
1985
The continuous limit of weak GARCH. Zbl 07484565
Alexander, Carol; Lazar, Emese
1
2021
Common factors and spatial dependence: an application to US house prices. Zbl 07484567
Yang, Cynthia Fan
1
2021
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models. Zbl 07486137
He, Yanan; Han, Ai; Hong, Yongmiao; Sun, Yuying; Wang, Shouyang
1
2021
Testing for distributional features in varying coefficient panel data models. Zbl 07484502
Soberon, Alexandra; Stute, Winfried; Rodriguez-Poo, Juan M.
2
2020
Smooth coefficient models with endogenous environmental variables. Zbl 07484512
Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C.
2
2020
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models. Zbl 07484506
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël
1
2020
Specification testing with estimated variables. Zbl 07484516
Domínguez, Manuel A.; Lobato, Ignacio N.
1
2020
Nonlinear autoregressive models with optimality properties. Zbl 07484521
Blasques, Francisco; Koopman, Siem Jan; Lucas, André
1
2020
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. Zbl 07484536
Coudin, Elise; Dufour, Jean-Marie
1
2020
Nonparametric estimation of marginal effects in regression-spline random effects models. Zbl 07484537
Ma, Shujie; Racine, Jeffrey S.; Ullah, Aman
1
2020
Time evolution of income distributions with subgroup decompositions. Zbl 07484538
Chen, Yi-Ting; Tsay, Ruey S.
1
2020
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Zbl 07484539
Hsiao, Cheng
1
2020
Some notes on nonlinear cointegration: a partial review with some novel perspectives. Zbl 07484541
Tjøstheim, Dag
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 07484544
Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie
1
2020
On the estimation of integrated volatility in the presence of jumps and microstructure noise. Zbl 07484546
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng
1
2020
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 07484443
Zhang, Rongmao; Li, Chenxue; Peng, Liang
1
2019
A nonparametric specification test for the volatility functions of diffusion processes. Zbl 07484468
Chen, Qiang; Hu, Meidi; Song, Xiaojun
1
2019
Model selection for factor analysis: some new criteria and performance comparisons. Zbl 07484481
Choi, In; Jeong, Hanbat
1
2019
Generalized information matrix tests for copulas. Zbl 07484489
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing
1
2019
Testing for Granger-causality in quantiles. Zbl 07486316
Troster, Victor
2
2018
Modeling and forecasting realized covariance matrices with accounting for leverage. Zbl 07481017
Anatolyev, Stanislav; Kobotaev, Nikita
1
2018
A stochastic recurrence equations approach for score driven correlation models. Zbl 07481019
Blasques, Francisco; Lucas, André; Silde, Erkki
1
2018
The estimation of multidimensional fixed effects panel data models. Zbl 07481021
Balazsi, Laszlo; Matyas, Laszlo; Wansbeek, Tom
1
2018
GMM inference in spatial autoregressive models. Zbl 07484395
Taşpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M.
1
2018
Estimation of factor-augmented panel regressions with weakly influential factors. Zbl 07486298
Reese, Simon; Westerlund, Joakim
1
2018
Fixed \(T\) dynamic panel data estimators with multifactor errors. Zbl 07486318
Juodis, Artūras; Sarafidis, Vasilis
1
2018
Stein-like 2SLS estimator. Zbl 07538219
Hansen, Bruce E.
1
2017
Exponential class of dynamic binary choice panel data models with fixed effects. Zbl 07538222
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem
1
2017
Modified profile likelihood for fixed-effects panel data models. Zbl 07536156
Bartolucci, F.; Bellio, R.; Salvan, A.; Sartori, N.
2
2016
Evidence of convergence clubs using mixture models. Zbl 07536158
Pittau, Maria Grazia; Zelli, Roberto; Massari, Riccardo
1
2016
Conditional VAR and expected shortfall: a new functional approach. Zbl 07537817
Ferraty, Frédéric; Quintela-Del-Río, Alejandro
1
2016
The risk of James-Stein and Lasso shrinkage. Zbl 07537958
Hansen, Bruce E.
1
2016
Estimation of sparse structural parameters with many endogenous variables. Zbl 07537963
Shi, Zhentao
1
2016
Stochastic model specification search for time-varying parameter VARs. Zbl 07537965
Eisenstat, Eric; Chan, Joshua C. C.; Strachan, Rodney W.
1
2016
Semiparametric estimation of partially varying-coefficient dynamic panel data models. Zbl 07536046
Cai, Zongwu; Chen, Linna; Fang, Ying
2
2015
Testing weak cross-sectional dependence in large panels. Zbl 07536060
Pesaran, M. Hashem
2
2015
Using copulas to model time dependence in stochastic frontier models. Zbl 07534625
Amsler, Christine; Prokhorov, Artem; Schmidt, Peter
2
2014
A goodness-of-fit test for copulas. Zbl 07534634
Huang, Wanling; Prokhorov, Artem
1
2014
On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors. Zbl 07534771
Drukker, David M.; Egger, Peter; Prucha, Ingmar R.
2
2013
Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments. Zbl 07534772
Liu, Xiaodong; Lee, Lung-Fei
2
2013
An intersection test for panel unit roots. Zbl 07534734
Hanck, Christoph
1
2013
Long memory regressors and predictive testing: a two-stage rebalancing approach. Zbl 07534739
Maynard, Alex; Smallwood, Aaron; Wohar, Mark E.
1
2013
State space models and MIDAS regressions. Zbl 07534761
Bai, Jennie; Ghysels, Eric; Wright, Jonathan H.
1
2013
Estimation in single-index panel data models with heterogeneous link functions. Zbl 07534766
Chen, Jia; Gao, Jiti; Li, Degui
1
2013
Econometric analysis of high dimensional VARs featuring a dominant unit. Zbl 07534769
Chudik, Alexander; Pesaran, M. Hashem
1
2013
A generalized spatial panel data model with random effects. Zbl 07534770
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael
1
2013
A survey of sequential Monte Carlo methods for economics and finance. Zbl 07534046
Creal, Drew
2
2012
Cross-sectional dependence in panel data analysis. Zbl 07534053
Sarafidis, Vasilis; Wansbeek, Tom
2
2012
Endogeneity in nonlinear regressions with integrated time series. Zbl 1209.62149
Chang, Yoosoon; Park, Joon Y.
8
2011
Estimation and asymptotic inference in the AR-ARCH model. Zbl 1209.62201
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver
7
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.
6
2011
Testing for a unit root in a stationary ESTAR process. Zbl 1210.62122
Kılıç, Rehim
6
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.
5
2011
Minimum divergence, generalized empirical likelihoods, and higher order expansions. Zbl 1217.62042
Ragusa, Giuseppe
5
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
5
2011
Empirical likelihood for efficient semiparametric average treatment effects. Zbl 1209.62045
Bravo, Francesco; Jacho-Chávez, David T.
4
2011
Continuous empirical characteristic function estimation of mixtures of normal parameters. Zbl 1209.62052
Xu, Dinghai; Knight, John
4
2011
The relation of different concepts of causality used in time series and microeconometrics. Zbl 1208.91116
Lechner, Michael
3
2011
Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap. Zbl 1217.62035
Poirier, Dale J.
3
2011
Robust misspecification tests for the Heckman’s two-step estimator. Zbl 1209.62016
Montes-Rojas, Gabriel V.
2
2011
On the discretization of continuous-time filters for nonstationary stock and flow time series. Zbl 1218.62098
McElroy, Tucker; Trimbur, Thomas M.
2
2011
Two-step estimation of endogenous and exogenous group effects. Zbl 1208.91122
Shang, Qingyan; Lee, Lung-Fei
1
2011
A consistent test for multivariate conditional distributions. Zbl 1210.62065
Li, Fuchun; Tkacz, Greg
1
2011
Estimation of allocative inefficiency and productivity growth with dynamic adjustment costs. Zbl 1210.91099
Atkinson, Scott E.; Cornwell, Christopher
1
2011
Estimation under inequality constraints: semiparametric estimation of conditional duration models. Zbl 1217.62043
Ranasinghe, Kulan; Silvapulle, Mervyn J.
1
2011
Bootstrap unit root tests in models with GARCH(1,1) errors. Zbl 1217.62132
Gospodinov, Nikolay; Tao, Ye
1
2011
Fuzzy autoregressive rules: towards linguistic time series modeling. Zbl 1218.62102
Aznarte, José Luis; Alcalá-Fdez, Jesús; Arauzo, Antonio; Benítez, José Manuel
1
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
1
2011
Marginal changes in random parameters ordered response models with interaction terms. Zbl 1218.62132
Drichoutis, Andreas C.; Nayga, Rodolfo M. jun.
1
2011
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
14
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
14
2010
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
12
2010
Nonparametric entropy-based tests of independence between stochastic processes. Zbl 1187.62083
Fernandes, Marcelo; Néri, Breno
9
2010
Implementing Box-Cox quantile regression. Zbl 1270.62083
Fitzenberger, Bernd; Wilke, Ralf A.; Zhang, Xuan
8
2010
Efficient posterior simulation for cointegrated models with priors on the cointegration space. Zbl 1185.62157
Koop, Gary; León-González, Roberto; Strachan, Rodney W.
8
2010
To combine forecasts or to combine information? Zbl 1201.91154
Huang, Huiyu; Lee, Tae-Hwy
6
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
6
2010
Cointegrating regressions with time heterogeneity. Zbl 1192.62198
Kim, Chang Sik; Park, Joon Y.
6
2010
Local GMM estimation of semiparametric panel data with smooth coefficient models. Zbl 1180.62064
Tran, Kien C.; Tsionas, Efthymios G.
5
2010
The performance of panel cointegration methods: results from a large scale simulation study. Zbl 1270.62123
Wagner, Martin; Hlouskova, Jaroslava
5
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
4
2010
The benefits of bagging for forecast models of realized volatility. Zbl 1201.91228
Hillebrand, Eric; Medeiros, Marcelo C.
4
2010
On deconvolution as a first stage nonparametric estimator. Zbl 1192.62117
Hu, Yingyao; Ridder, Geert
4
2010
Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments. Zbl 1205.91135
Armah, Nii Ayi; Swanson, Norman R.
3
2010
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
A semiparametric analysis of gasoline demand in the United States reexamining the impact of price. Zbl 1192.62256
Manzan, Sebastiano; Zerom, Dawit
2
2010
Information-theoretic distribution test with application to normality. Zbl 1187.62086
Stengos, Thanasis; Wu, Ximing
1
2010
Estimating interest rate curves by support vector regression. Zbl 1202.91352
Monteiro, André d’Almeida
1
2010
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
49
2009
Bootstrap \(M\) unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
17
2009
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
17
2009
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
10
2009
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling. Zbl 1172.62020
Camba-Mendez, Gonzalo; Kapetanios, George
9
2009
Representation of cointegrated autoregressive processes with application to fractional processes. Zbl 1161.62059
Johansen, Søren
9
2009
Pairwise likelihood inference for general state space models. Zbl 1161.62061
Varin, Cristiano; Vidoni, Paolo
8
2009
A note on unit root tests with infinite variance noise. Zbl 1172.62027
Samarakoon, D. M. Mahinda; Knight, Keith
7
2009
Econometric applications of the forward search in regression: robustness, diagnostics, and graphics. Zbl 1161.62446
Atkinson, Anthony C.
6
2009
A robust entropy-based test of asymmetry for discrete and continuous processes. Zbl 1156.62054
Maasoumi, Esfandiar; Racine, Jeffrey S.
6
2009
Regular variation and extremal dependence of GARCH residuals with application to market risk measures. Zbl 1161.62072
Laurini, Fabrizio; Tawn, Jonathan A.
5
2009
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Cited by 3,934 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 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 Koop, Gary
9 Lahiri, Soumendra Nath
9 Leybourne, Stephen J.
9 Li, Qi
9 Martin, Gael M.
9 Meintanis, Simos G.
9 Panorska, Anna K.
9 Renault, Eric
9 So, Mike K. P.
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 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 Hušková, Marie
7 Kilian, Lutz
7 Koopman, Siem Jan
7 Lemonte, Artur José
7 Osborn, Denise R.
7 Paparoditis, Efstathios
7 Patton, Andrew J.
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Cited in 243 Journals

651 Journal of Econometrics
280 Econometric Reviews
154 Computational Statistics and Data Analysis
153 Economics Letters
150 Econometric Theory
111 Journal of Economic Dynamics & Control
100 Communications in Statistics. Theory and Methods
76 Communications in Statistics. Simulation and Computation
71 Journal of Statistical Computation and Simulation
70 Journal of Time Series Analysis
70 Quantitative Finance
67 European Journal of Operational Research
59 Journal of Applied Statistics
56 Journal of Statistical Planning and Inference
45 Mathematics and Computers in Simulation
43 Journal of Multivariate Analysis
43 Statistics & Probability Letters
41 Statistical Papers
35 The Econometrics Journal
30 Computational Statistics
29 The Annals of Statistics
28 Mathematical and Computer Modelling
23 Annals of Operations Research
23 Journal of the Korean Statistical Society
21 Physica A
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
12 Journal of the American Statistical Association
12 International Journal of Theoretical and Applied Finance
12 Electronic Journal of Statistics
11 Chaos, Solitons and Fractals
11 Statistics
10 Metrika
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 Statistics and Computing
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
4 Computers & Mathematics with Applications
4 Journal of Computational Physics
4 Applied Mathematics and Computation
4 International Economic Review
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 Review of Derivatives Research
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
3 Journal of Economics
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Cited in 38 Fields

2,712 Statistics (62-XX)
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408 Numerical analysis (65-XX)
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18 Biology and other natural sciences (92-XX)
17 Statistical mechanics, structure of matter (82-XX)
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8 General and overarching topics; collections (00-XX)
6 History and biography (01-XX)
5 Partial differential equations (35-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Special functions (33-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)
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