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

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

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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)
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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)
  • 278 Views
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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
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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)
  • 315 Views
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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)
  • 498 Views
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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)
  • 282 Views
  • 11 CrossRef citations
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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)
  • 487 Views
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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)
  • 1733 Views
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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)
  • 141 Views
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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)
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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)
  • 278 Views
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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)
  • 356 Views
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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)
  • 283 Views
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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)
  • 220 Views
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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)
  • 479 Views
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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)
  • 178 Views
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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
  • 376 Views
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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
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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)
  • 286 Views
  • 3 CrossRef citations
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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
  • 165 Views
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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
  • 233 Views
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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)
  • 536 Views
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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
  • 654 Views
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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)
  • 288 Views
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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)
  • 328 Views
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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)
  • 412 Views
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