Econometric Reviews, Volume 28, Issue 1-3 (2008)

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Econometric Reviews, Volume 28, Issue 1-3 (2008)

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Editorials

Editorial
Editorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics
Estela Bee Dagum & Silvano Bordignon
Pages: 1-3
Published online: 23 Dec 2008
First Page PreviewforEditorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics | Full Text | PDF (56.7 KB)
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Original Articles

Article
Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
Richard Ashley & Randal J. Verbrugge
Pages: 4-20
Published online: 23 Dec 2008
AbstractforFrequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series | Full Text | References | PDF (230.5 KB)
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Article
Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics
Anthony C. Atkinson
Pages: 21-39
Published online: 23 Dec 2008
AbstractforEconometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics | Full Text | References | PDF (1 MB)
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Article
A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
Estela Bee Dagum & Alessandra Luati
Pages: 40-59
Published online: 23 Dec 2008
AbstractforA Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation | Full Text | References | PDF (800.7 KB)
  • 162 Views
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Article
Periodic Long-Memory GARCH Models
Silvano Bordignon, Massimiliano Caporin & Francesco Lisi
Pages: 60-82
Published online: 23 Dec 2008
AbstractforPeriodic Long-Memory GARCH Models | Full Text | References | PDF (651.1 KB)
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Article
Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
Yongjae Kwon, Hamparsum Bozdogan & Halima Bensmail
Pages: 83-101
Published online: 23 Dec 2008
AbstractforPerformance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models | Full Text | References | PDF (385.7 KB)
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Article
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
Giovanni De Luca & Giampiero M. Gallo
Pages: 102-120
Published online: 23 Dec 2008
AbstractforTime-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models | Full Text | References | PDF (660.9 KB)
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Article
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Søren Johansen
Pages: 121-145
Published online: 23 Dec 2008
AbstractforRepresentation of Cointegrated Autoregressive Processes with Application to Fractional Processes | Full Text | References | PDF (202.3 KB)
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Article
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
Fabrizio Laurini & Jonathan A. Tawn
Pages: 146-169
Published online: 23 Dec 2008
AbstractforRegular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures | Full Text | References | PDF (598.2 KB)
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Article
Pairwise Likelihood Inference for General State Space Models
Cristiano Varin & Paolo Vidoni
Pages: 170-185
Published online: 23 Dec 2008
AbstractforPairwise Likelihood Inference for General State Space Models | Full Text | References | PDF (288.5 KB)
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Article
On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
Tommaso Proietti
Pages: 186-208
Published online: 23 Dec 2008
AbstractforOn the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates | Full Text | References | PDF (1.1 MB)
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Article
Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
Matteo Grigoletto & Corrado Provasi
Pages: 209-224
Published online: 23 Dec 2008
AbstractforMisspecification Testing for the Conditional Distribution Model in GARCH-Type Processes | Full Text | References | PDF (106.5 KB)
  • 133 Views
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Article
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
Changli He, Timo Teräsvirta & Andrés González
Pages: 225-245
Published online: 23 Dec 2008
AbstractforTesting Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change | Full Text | References | PDF (555.7 KB)
  • 294 Views
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Article
A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
Esfandiar Maasoumi & Jeffrey S. Racine
Pages: 246-261
Published online: 23 Dec 2008
AbstractforA Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes | Full Text | References | PDF (212.4 KB)
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Article
Robust Transformations in Univariate and Multivariate Time Series
Marco Riani
Pages: 262-278
Published online: 23 Dec 2008
AbstractforRobust Transformations in Univariate and Multivariate Time Series | Full Text | References | PDF (518.3 KB)
  • 122 Views
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Article
A New Bispectral Test for NonLinear Serial Dependence
Elena Rusticelli, Richard A. Ashley, Estela Bee Dagum & Douglas M. Patterson
Pages: 279-293
Published online: 23 Dec 2008
AbstractforA New Bispectral Test for NonLinear Serial Dependence | Full Text | References | PDF (104.9 KB)
  • 139 Views
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