Econometric Reviews, Volume 36, Issue 6-9 (2017)

Browse this journal
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Econometric Reviews, Volume 36, Issue 6-9 (2017)

See all volumes and issues
Vol 43, 2024 Vol 42, 2023 Vol 41, 2022 Vol 40, 2021 Vol 39, 2020 Vol 38, 2019 Vol 37, 2018 Volume 36, 2017 Vol 35, 2016 Vol 34, 2015 Vol 33, 2014 Vol 32, 2013 Vol 31, 2012 Vol 30, 2010-2011 Vol 29, 2009-2010 Vol 28, 2008-2009 Vol 27, 2008 Vol 26, 2007 Vol 25, 2006 Vol 24, 2005 Vol 23, 2004-2005 Vol 22, 2003 Vol 21, 2002 Vol 20, 2001 Vol 19, 2000 Vol 18, 1999 Vol 17, 1998 Vol 16, 1997 Vol 15, 1996 Vol 14, 1995 Vol 13, 1994 Vol 12, 1993 Vol 11, 1992 Vol 10, 1991 Vol 9, 1990-1991 Vol 8, 1989 Vol 7, 1988 Vol 6, 1987 Vol 5, 1986 Vol 4, 1985 Vol 3, 1984 Vol 2, 1983 Vol 1, 1982
Download citations Download PDFs Download issue

Special Issue: In Honor of Esfandiar Maasoumi

INTRODUCTION

Article
Econometric Reviews honors Esfandiar Maasoumi
Peter C. B. Phillips & Aman Ullah
Pages: 563-567
Published online: 22 May 2017
First Page PreviewforEconometric Reviews honors Esfandiar Maasoumi | Full Text | References | PDF (106.7 KB)
  • 204 Views
  • 0 CrossRef citations
  • 0Altmetric

TIME SERIES ECONOMETRICS

Article
The impact of integrated measurement errors on modeling long-run macroeconomic time series
James A. Duffy & David F. Hendry
Pages: 568-587
Published online: 16 Jun 2017
AbstractforThe impact of integrated measurement errors on modeling long-run macroeconomic time series | Full Text | References | PDF (714.4 KB)
  • 280 Views
  • 9 CrossRef citations
  • 0Altmetric
Article
Assessing point forecast accuracy by stochastic error distance
Francis X. Diebold & Minchul Shin
Pages: 588-598
Published online: 01 May 2017
AbstractforAssessing point forecast accuracy by stochastic error distance | Full Text | References | PDF (384.9 KB)
  • 212 Views
  • 10 CrossRef citations
  • 0Altmetric
Article
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Paul Catani, Timo Teräsvirta & Meiqun Yin
Pages: 599-621
Published online: 01 May 2017
AbstractforA Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model | Full Text | References | PDF (285.2 KB)
  • 321 Views
  • 5 CrossRef citations
  • 0Altmetric
Article
Adaptive LASSO estimation for ARDL models with GARCH innovations
Marcelo C. Medeiros & Eduardo F. Mendes
Pages: 622-637
Published online: 01 May 2017
AbstractforAdaptive LASSO estimation for ARDL models with GARCH innovations | Full Text | References | PDF (749.2 KB)
  • 516 Views
  • 6 CrossRef citations
  • 0Altmetric
Article
The impact of jumps and leverage in forecasting covolatility
Manabu Asai & Michael McAleer
Pages: 638-650
Published online: 21 Apr 2017
AbstractforThe impact of jumps and leverage in forecasting covolatility | Full Text | References | PDF (272.3 KB)
  • 285 Views
  • 11 CrossRef citations
  • 0Altmetric
Article
Tests for an end-of-sample bubble in financial time series
Sam Astill, David I. Harvey, Stephen J. Leybourne & A. M. Robert Taylor
Pages: 651-666
Published online: 16 Jun 2017
AbstractforTests for an end-of-sample bubble in financial time series | Full Text | References | PDF (889.6 KB)
  • 492 Views
  • 18 CrossRef citations
  • 0Altmetric
Article
The asymptotic behaviour of the residual sum of squares in models with multiple break points
Alastair R. Hall, Denise R. Osborn & Nikolaos Sakkas
Pages: 667-698
Published online: 01 May 2017
AbstractforThe asymptotic behaviour of the residual sum of squares in models with multiple break points | Full Text | References | PDF (672.1 KB)
  • 1746 Views
  • 2 CrossRef citations
  • 0Altmetric
Open Access
Article
Correlated defaults, temporal correlation, expert information and predictability of default rates
Nicholas M. Kiefer
Pages: 699-712
Published online: 21 Apr 2017
AbstractforCorrelated defaults, temporal correlation, expert information and predictability of default rates | Full Text | References | PDF (574 KB)
  • 143 Views
  • 1 CrossRef citations
  • 0Altmetric
Article
Identification-robust moment-based tests for Markov switching in autoregressive models
Jean-Marie Dufour & Richard Luger
Pages: 713-727
Published online: 25 May 2017
AbstractforIdentification-robust moment-based tests for Markov switching in autoregressive models | Full Text | References | PDF (286 KB)
  • 720 Views
  • 2 CrossRef citations
  • 0Altmetric
Open Access

INFORMATION THEORY

Article
An efficient integrated nonparametric entropy estimator of serial dependence
Yongmiao Hong, Xia Wang, Wenjie Zhang & Shouyang Wang
Pages: 728-780
Published online: 01 May 2017
AbstractforAn efficient integrated nonparametric entropy estimator of serial dependence | Full Text | References | PDF (599.5 KB)
  • 287 Views
  • 0 CrossRef citations
  • 0Altmetric
Article
Interval estimation: An information theoretic approach
Amos Golan & Aman Ullah
Pages: 781-795
Published online: 10 May 2017
AbstractforInterval estimation: An information theoretic approach | Full Text | References | PDF (722 KB)
  • 361 Views
  • 7 CrossRef citations
  • 0Altmetric
Article
Uncertainty, information, and disagreement of economic forecasters
Mehdi Shoja & Ehsan S. Soofi
Pages: 796-817
Published online: 16 May 2017
AbstractforUncertainty, information, and disagreement of economic forecasters | Full Text | References | PDF (1.2 MB)
  • 286 Views
  • 7 CrossRef citations
  • 0Altmetric

ECONOMETRIC THEORY AND TREATMENT EFFECTS

Article
Reduced forms and weak instrumentation
Peter C. B. Phillips
Pages: 818-839
Published online: 16 May 2017
AbstractforReduced forms and weak instrumentation | Full Text | References | PDF (484.7 KB)
  • 224 Views
  • 3 CrossRef citations
  • 0Altmetric
Article
Stein-like 2SLS estimator
Bruce E. Hansen
Pages: 840-852
Published online: 10 May 2017
AbstractforStein-like 2SLS estimator | Full Text | References | PDF (367.2 KB)
  • 492 Views
  • 22 CrossRef citations
  • 0Altmetric
Article
Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
Badi H. Baltagi, Chihwa Kao & Fa Wang
Pages: 853-882
Published online: 10 May 2017
AbstractforAsymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model | Full Text | References | PDF (309.4 KB)
  • 183 Views
  • 2 CrossRef citations
  • 0Altmetric
Article
First difference or forward demeaning: Implications for the method of moments estimators
Cheng Hsiao & Qiankun Zhou
Pages: 883-897
Published online: 10 May 2017
AbstractforFirst difference or forward demeaning: Implications for the method of moments estimators | Full Text | References | PDF (483.9 KB) | Supplemental
  • 377 Views
  • 13 CrossRef citations
  • 0Altmetric
Article
Exponential class of dynamic binary choice panel data models with fixed effects
Majid M. Al-Sadoon, Tong Li & M. Hashem Pesaran
Pages: 898-927
Published online: 16 May 2017
AbstractforExponential class of dynamic binary choice panel data models with fixed effects | Full Text | References | PDF (361.9 KB) | Supplemental
  • 450 Views
  • 4 CrossRef citations
  • 0Altmetric
Article
On the relevance of weaker instruments
Bertille Antoine & Eric Renault
Pages: 928-945
Published online: 10 May 2017
AbstractforOn the relevance of weaker instruments | Full Text | References | PDF (253.6 KB)
  • 288 Views
  • 3 CrossRef citations
  • 0Altmetric
Article
Determining the number of factors with potentially strong within-block correlations in error terms
Xu Han & Mehmet Caner
Pages: 946-969
Published online: 10 May 2017
AbstractforDetermining the number of factors with potentially strong within-block correlations in error terms | Full Text | References | PDF (381.6 KB) | Supplemental
  • 168 Views
  • 1 CrossRef citations
  • 0Altmetric
Article
Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions
Cong Li, Hongjun Li & Jeffrey S. Racine
Pages: 970-987
Published online: 10 May 2017
AbstractforCross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions | Full Text | References | PDF (1.8 MB) | Supplemental
  • 238 Views
  • 4 CrossRef citations
  • 0Altmetric
Article
Nonparametric Knn estimation with monotone constraints
Zheng Li, Guannan Liu & Qi Li
Pages: 988-1006
Published online: 16 May 2017
AbstractforNonparametric Knn estimation with monotone constraints | Full Text | References | PDF (907 KB)
  • 539 Views
  • 9 CrossRef citations
  • 0Altmetric
Article
Stochastic metafrontiers
Christine Amsler, Christopher J. O’Donnell & Peter Schmidt
Pages: 1007-1020
Published online: 22 May 2017
AbstractforStochastic metafrontiers | Full Text | References | PDF (209.6 KB) | Supplemental
  • 665 Views
  • 25 CrossRef citations
  • 0Altmetric
Article
Diagnostics for the bootstrap and fast double bootstrap
Russell Davidson
Pages: 1021-1038
Published online: 16 May 2017
AbstractforDiagnostics for the bootstrap and fast double bootstrap | Full Text | References | PDF (929.6 KB)
  • 289 Views
  • 1 CrossRef citations
  • 0Altmetric
Article
Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
Yong Bao, Aman Ullah & Yun Wang
Pages: 1039-1056
Published online: 16 May 2017
AbstractforDistribution of the mean reversion estimator in the Ornstein–Uhlenbeck process | Full Text | References | PDF (449.6 KB)
  • 340 Views
  • 7 CrossRef citations
  • 0Altmetric
Article
Partial identification of average treatment effects on the treated through difference-in-differences
Yanqin Fan & Carlos A. Manzanares
Pages: 1057-1080
Published online: 16 May 2017
AbstractforPartial identification of average treatment effects on the treated through difference-in-differences | Full Text | References | PDF (396.3 KB)
  • 418 Views
  • 3 CrossRef citations
  • 0Altmetric

Explore articles

Explore the most recently published articles

Using machine learning for efficient flexible regression adjustment in economic experiments
John A. List et al.
Method | Published online: 1 Aug 2024
Lag order selection for long-run variance estimation in econometrics
Marco Morales
Article | Published online: 12 Jul 2024
On the estimation of quantile treatment effects using a semiparametric propensity score
Mingfeng Zhan et al.
Article | Published online: 9 Jul 2024
Selecting the number of factors in approximate factor models using group variable regularization
Maurizio Daniele
Article | Published online: 9 Jul 2024
Open Access
View all latest articles