Content
October 2018, Volume 21, Issue 3
- 247-263 Estimation of graphical models using the L1,2 norm
by Khai Xiang Chiong & Hyungsik Roger Moon - 264-276 CCE in panels with general unknown factors
by Joakim Westerlund - 277-297 Robust tests for deterministic seasonality and seasonal mean shifts
by S. Astill & A. M. R. Taylor - 298-315 Non‐parametric Bayesian inference of strategies in repeated games
by Max Kleiman‐Weiner & Joshua B. Tenenbaum & Penghui Zhou - 316-331 Beyond plausibly exogenous
by Hans van Kippersluis & Cornelius A. Rietveld - 332-353 Identification of treatment effects with selective participation in a randomized trial
by Brendan Kline & Elie Tamer
June 2018, Volume 21, Issue 2
- 87-113 Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
by H. Peter Boswijk & Yang Zu - 114-135 The wild bootstrap for few (treated) clusters
by James G. MacKinnon & Matthew D. Webb - 136-169 Non‐parametric inference on (conditional) quantile differences and interquantile ranges, using L‐statistics
by Matt Goldman & David M. Kaplan - 170-191 Central limit theorems for conditional efficiency measures and tests of the ‘separability’ condition in non‐parametric, two‐stage models of production
by Cinzia Daraio & Léopold Simar & Paul W. Wilson - 192-217 Testing for changing volatility
by Jilin Wu & Zhijie Xiao - 218-246 Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors
by Beili Mu & Zhengyu Zhang
February 2018, Volume 21, Issue 1
- 1-1 Royal Economic Society Annual Conference 2016 Special Issue on Model Selection and Inference
by Richard J. Smith - 1-10 Simpler bootstrap estimation of the asymptotic variance of U‐statistic‐based estimators
by Bo E. Honoré & Luojia Hu - 1-68 Double/debiased machine learning for treatment and structural parameters
by Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins - 11-35 Oracle and adaptive false discovery rate controlling methods for one‐sided testing: theory and application in treatment effect evaluation
by Jiaying Gu & Shu Shen - 36-54 A simple and robust estimator for linear regression models with strictly exogenous instruments
by Juan Carlos Escanciano - 55-85 Identification and estimation of semi‐parametric censored dynamic panel data models of short time periods
by Yingyao Hu & Ji‐Liang Shiu
October 2017, Volume 20, Issue 3
- 1-1 Special Issue on Econometrics of Networks: Editorial
by Jaap H. Abbring & Áureo Paula - 1-13 Multiple fixed effects in binary response panel data models
by Karyne B. Charbonneau - 14-46 My friend far, far away: a random field approach to exponential random graph models
by Vincent Boucher & Ismael Mourifié - 47-60 Identification of peer effects through social networks using variance restrictions
by Christiern D. Rose - 61-85 Sparse estimation of huge networks with a block‐wise structure
by Francesco Moscone & Elisa Tosetti & Veronica Vinciotti - 86-102 Estimation of social‐influence‐dependent peer pressure in a large network game
by Zhongjian Lin & Haiqing Xu - 103-125 Peer effects in bedtime decisions among adolescents: a social network model with sampled data
by Xiaodong Liu & Eleonora Patacchini & Edoardo Rainone - 126-149 Trading networks
by Lada Adamic & Celso Brunetti & Jeffrey H. Harris & Andrei Kirilenko
June 2017, Volume 20, Issue 2
- 1-1 Royal Economic Society Annual Conference 2015 Special Issue on Econometrics of Matching
by Richard J. Smith - 1-11 A survey of some recent applications of optimal transport methods to econometrics
by Alfred Galichon - 149-167 Semi‐linear mode regression
by Jerome M. Krief - 168-189 Indirect inference in spatial autoregression
by Maria Kyriacou & Peter C. B. Phillips & Francesca Rossi - 190-220 A sequential test for the specification of predictive densities
by Juan Lin & Ximing Wu - 221-258 Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
by Arie Preminger & Giuseppe Storti - 259-269 A note on sufficiency in binary panel models
by Koen Jochmans & Thierry Magnac
February 2017, Volume 20, Issue 1
- 1-22 Consistent tests for conditional treatment effects
by Yu‐Chin Hsu - 23-51 Testing for changes in (extreme) VaR
by Yannick Hoga - 52-85 Model‐selection tests for conditional moment restriction models
by Yu‐Chin Hsu & Xiaoxia Shi - 86-117 Change point tests in functional factor models with application to yield curves
by Patrick Bardsley & Lajos Horváth & Piotr Kokoszka & Gabriel Young - 118-138 Nonparametric regression with nearly integrated regressors under long‐run dependence
by Zongwu Cai & Bingyi Jing & Xinbing Kong & Zhi Liu - 139-148 Second‐order refinement of empirical likelihood ratio tests of nonlinear restrictions
by Jun Ma
October 2016, Volume 19, Issue 3
- 1-1 Royal Economic Society Annual Conference 2013Special Issue on Econometrics of Heterogeneity
by Richard J. Smith - 1-3 A Review of Economic Forecasting
by Barbara Rossi - 61-94 Nonlinear panel data estimation via quantile regressions
by Manuel Arellano & Stéphane Bonhomme - 95-127 Using mixtures in econometric models: a brief review and some new results
by Giovanni Compiani & Yuichi Kitamura - 237-260 Testing for error cross‐sectional independence using pairwise augmented regressions
by Guangyu Mao - 261-290 Instrumental variable estimation of a spatial dynamic panel model with endogenous spatial weights when T is small
by Xi Qu & Xiaoliang Wang & Lung‐fei Lee
June 2016, Volume 19, Issue 2
- 113-149 Estimating a nonparametric triangular model with binary endogenous regressors
by Sung Jae Jun & Joris Pinkse & Haiqing Xu - 150-165 Finite mixture models with one exclusion restriction
by Christopher P. Adams - 166-202 Lagrange multiplier type tests for slope homogeneity in panel data models
by Jörg Breitung & Christoph Roling & Nazarii Salish - 203-231 Model averaging in predictive regressions
by Chu‐An Liu & Biing‐Shen Kuo - 232-236 On ill‐posedness of nonparametric instrumental variable regression with convexity constraints
by Olivier Scaillet
February 2016, Volume 19, Issue 1
- 1-1 Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models
by Andrew J. Patton & Richard J. Smith - 1-32 Validity of Edgeworth expansions for realized volatility estimators
by Ulrich Hounyo & Bezirgen Veliyev - 1-32 An overview of the estimation of large covariance and precision matrices
by Jianqing Fan & Yuan Liao & Han Liu - 33-54 Asymptotic refinements of nonparametric bootstrap for quasi‐likelihood ratio tests for classes of extremum estimators
by Lorenzo Camponovo - 33-60 Generalized dynamic factor models and volatilities: recovering the market volatility shocks
by Matteo Barigozzi & Marc Hallin - 55-83 Nonparametric bootstrap tests for independence of generalized errors
by Zaichao Du - 84-111 Residuals‐based tests for cointegration with generalized least‐squares detrended data
by Pierre Perron & Gabriel Rodríguez
October 2015, Volume 18, Issue 3
- 307-346 Nonparametric tests of conditional treatment effects with an application to single‐sex schooling on academic achievements
by Minsu Chang & Sokbae Lee & Yoon‐Jae Whang - 347-362 Identification and estimation of single‐index models with measurement error and endogeneity
by Yingyao Hu & Ji‐Liang Shiu & Tiemen Woutersen - 363-411 Novel panel cointegration tests emending for cross‐section dependence with N fixed
by Kaddour Hadri & Eiji Kurozumi & Yao Rao - 412-435 Confidence sets for the break date based on optimal tests
by Eiji Kurozumi & Yohei Yamamoto
June 2015, Volume 18, Issue 2
- 1-1 Royal Economic Society Annual Conference 2012 Special Issue on Econometrics of Forecasting
by Richard J. Smith - 1-13 Edmond Malinvaud: a tribute to his contributions in econometrics
by Peter C. B. Phillips - 1-21 Likelihood‐based dynamic factor analysis for measurement and forecasting
by Borus Jungbacker & Siem Jan Koopman - 22-41 Economic theory and forecasting: lessons from the literature
by Raffaella Giacomini - 147-171 Maximization by parts in extremum estimation
by Yanqin Fan & Sergio Pastorello & Eric Renault - 172-199 Non‐standard rates of convergence of criterion‐function‐based set estimators for binary response models
by Jason R. Blevins - 200-241 A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction
by Stelios Arvanitis & Antonis Demos - 242-273 Identification and estimation of partially linear censored regression models with unknown heteroscedasticity
by Zhengyu Zhang & Bing Liu - 274-305 Testing for structural change under non‐stationary variances
by Ke‐Li Xu
February 2015, Volume 18, Issue 1
- 1-39 Non‐parametric inference on the number of equilibria
by Maximilian Kasy - 40-66 More reliable inference for the dissimilarity index of segregation
by Rebecca Allen & Simon Burgess & Russell Davidson & Frank Windmeijer - 67-94 Specification tests for nonlinear dynamic models
by Igor L. Kheifets - 95-116 Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions
by Wei‐Ming Lee & Yu‐Chin Hsu & Chung‐Ming Kuan - 117-136 Specification testing in nonstationary time series models
by Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin - 137-146 On bootstrap validity for specification tests with weak instruments
by Firmin Doko Tchatoka
October 2014, Volume 17, Issue 3
- 197-240 A social interaction model with an extreme order statistic
by Ji Tao & Lung‐fei Lee - 241-270 Estimation of discrete games with correlated types
by Haiqing Xu - 271-300 Maximum score estimation with nonparametrically generated regressors
by Le‐Yu Chen & Sokbae Lee & Myung Jae Sung - 301-337 Common breaks in time trends for large panel data with a factor structure
by Dukpa Kim - 338-372 Point‐optimal panel unit root tests with serially correlated errors
by Hyungsik Roger Moon & Benoit Perron & Peter C. B. Phillips - 373-382 First‐differencing in panel data models with incidental functions
by Koen Jochmans - 383-393 Indirect inference based on the score
by Peter Fuleky & Eric Zivot
June 2014, Volume 17, Issue 2
- 1-1 Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
by Xiaohong Chen & Sokbae Lee & Oliver Linton & Elie Tamer - 1-19 An instrumental variable random‐coefficients model for binary outcomes
by Andrew Chesher & Adam M. Rosen - 20-38 Backfitting and smooth backfitting in varying coefficient quantile regression
by Young K. Lee & Enno Mammen & Byeong U. Park - 39-58 Confidence sets based on inverting Anderson–Rubin tests
by Russell Davidson & James G. MacKinnon - 59-74 Testing for the stochastic dominance efficiency of a given portfolio
by Oliver Linton & Thierry Post & Yoon‐Jae Whang - 75-100 Posterior inference in curved exponential families under increasing dimensions
by Alexandre Belloni & Victor Chernozhukov - 101-131 Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
by Song Song & Wolfgang K. Härdle & Ya'acov Ritov
February 2014, Volume 17, Issue 1
- 1-23 Weighted composite quantile regression estimation of DTARCH models
by Jiancheng Jiang & Xuejun Jiang & Xinyuan Song - 24-55 Multivariate variance targeting in the BEKK–GARCH model
by Rasmus S. Pedersen & Anders Rahbek - 56-82 Estimation of state‐space models with endogenous Markov regime‐switching parameters
by Kyu H. Kang - 83-106 Estimation of fixed effects panel data partially linear additive regression models
by Chunrong Ai & Jinhong You & Yong Zhou - 107-138 Direct semi‐parametric estimation of fixed effects panel data varying coefficient models
by Juan M. Rodriguez‐Poo & Alexandra Soberon - 139-164 Improved Lagrange multiplier tests in spatial autoregressions
by Peter M. Robinson & Francesca Rossi - 165-187 Identification‐robust inference for endogeneity parameters in linear structural models
by Firmin Doko Tchatoka & Jean‐Marie Dufour - 188-196 Stochastic equicontinuity in nonlinear time series models
by Andreas Hagemann
October 2013, Volume 16, Issue 3
- 5-8 A Review of Unit Root Tests in Time Series: Volumes 1 and 2
by Robert Taylor - 285-308 Predictability of shapes of intraday price curves
by Piotr Kokoszka & Matthew Reimherr - 309-339 A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
by Zhongjun Qu & Pierre Perron - 340-372 Pairwise‐comparison estimation with non‐parametric controls
by Koen Jochmans - 373-399 Estimation and inference for impulse response functions from univariate strongly persistent processes
by Richard T. Baillie & George Kapetanios - 400-429 Estimating and testing multiple structural changes in linear models using band spectral regressions
by Yohei Yamamoto & Pierre Perron - 430-462 Asymptotics for threshold regression under general conditions
by Ping Yu & Yongqiang Zhao - 463-472 Heteroscedasticity‐robust C(p) model averaging
by Qingfeng Liu & Ryo Okui - 473-484 Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present
by Zheng‐Feng Guo & Mototsugu Shintani
June 2013, Volume 16, Issue 2
- 1-3 A Review of Non‐Parametric Econometrics
by Patrick Marsh - 135-160 Local NLLS estimation of semi‐parametric binary choice models
by Jason R. Blevins & Shakeeb Khan - 161-178 The projection approach for unbalanced panel data
by Jason Abrevaya - 179-221 Orthogonal to backward mean transformation for dynamic panel data models
by Gerdie Everaert - 222-249 Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
by Jushan Bai & Josep Lluís Carrion‐i‐Silvestre - 250-277 Semi‐parametric estimation of a generalized threshold regression model under conditional quantile restriction
by Zhengyu Zhang - 278-283 New inference methods for quantile regression based on resampling
by Víctor M. Aguirre & Manuel A. Domínguez
February 2013, Volume 16, Issue 1
- 1-1 Identification in Econometrics, Theory and Applications
by Christian Bontemps & Elie Tamer - 1-23 Identification of treatment response with social interactions
by Charles F. Manski - 1-26 A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
by Yixiao Sun - 24-59 Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
by Jan F. Kiviet - 27-72 Instrumental variables estimation and inference in the presence of many exogenous regressors
by Stanislav Anatolyev - 60-92 Partial identification in asymmetric auctions in the absence of independence
by Tatiana Komarova - 73-102 Estimation of spatial autoregressive models with randomly missing data in the dependent variable
by Wei Wang & Lung‐Fei Lee - 93-105 Set inference in latent variables models
by Marc Henry & Ismael Mourifié - 103-134 Standardized LM tests for spatial error dependence in linear or panel regressions
by Badi H. Baltagi & Zhenlin Yang
October 2012, Volume 15, Issue 3
- 5-10 A Review of Structural Macroeconometrics by DeJong (David N.) and Dave (Chetan)
by Christoph Görtz - 11-15 A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman)
by Gael Martin - 395-419 Weak instrument inference in the presence of parameter instability
by Hong Li & Zhijie Xiao - 420-461 Non‐parametric detection and estimation of structural change
by Dennis Kristensen - 462-489 Testing a parametric function against a non‐parametric alternative in IV and GMM settings
by Tue Gørgens & Allan Würtz - 490-515 Estimation of dynamic latent variable models using simulated non‐parametric moments
by Michael Creel & Dennis Kristensen - 516-534 Testing for uncorrelated errors in ARMA models: non‐standard Andrews‐Ploberger tests
by John C. Nankervis & Nathan E. Savin
June 2012, Volume 15, Issue 2
- 1-3 A Review of Modelling Nonlinear Economic Time Series by TERÄSVIRTA (TIMO), TJØSTHEIM (DAG) and GRANGER (CLIVE W.J.)
by Denise R. Osborn - 171-203 Estimating and testing non‐affine option pricing models with a large unbalanced panel of options
by Fabrizio Ferriani & Sergio Pastorello - 204-225 Non‐stationary non‐parametric volatility model
by Heejoon Han & Shen Zhang - 226-254 Testing for rational bubbles in a coexplosive vector autoregression
by Tom Engsted & Bent Nielsen - 255-287 Non‐stationary regression with logistic transition
by Yoosoon Chang & Bibo Jiang & Joon Park - 288-303 Discrete endogenous variables in weakly separable models
by Sung Jae Jun & Joris Pinkse & Haiqing Xu - 304-324 Instrumental regression in partially linear models
by Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem - 325-357 Estimating the effect of a variable in a high‐dimensional linear model
by Peter S. Jensen & Allan H. Würtz - 358-393 Misspecification tests based on quantile residuals
by Leena Kalliovirta
February 2012, Volume 15, Issue 1
- 1-1 Editorial
by Oliver Linton & Richard J. Smith - 1-30 Incorporating covariates in the measurement of welfare and inequality: methods and applications
by Stephen G. Donald & Yu‐Chin Hsu & Garry F. Barrett - 1-31 Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
by Francesco Bravo - 31-53 Statistical inference in the presence of heavy tails
by Russell Davidson - 32-55 Breakdown point theory for implied probability bootstrap
by Lorenzo Camponovo & Taisuke Otsu - 54-57 Discussion of S.G. Donald et al. and R. Davidson
by Christian Schluter - 56-100 Testing for common trends in semi‐parametric panel data models with fixed effects
by Yonghui Zhang & Liangjun Su & Peter C. B. Phillips - 101-124 Unit root tests for panel data with AR(1) errors and small T
by Rembert De Blander & Geert Dhaene - 125-153 On the problem of inference for inequality measures for heavy‐tailed distributions
by Christian Schluter - 154-169 Break point estimators for a slope shift: levels versus first differences
by Jingjing Yang
February 2011, Volume 14
- 1-1 Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives
by Pierre Perron & Richard J. Smith - 1-24 A hierarchical factor analysis of U.S. housing market dynamics
by Emanuel Moench & Serena Ng - 1-24 Quantile regression models with factor‐augmented predictors and information criterion
by Tomohiro Ando & Ruey S. Tsay - 25-44 Short‐term forecasts of euro area GDP growth
by Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler - 25-47 Testing for sphericity in a fixed effects panel data model
by Badi H. Baltagi & Qu Feng & Chihwa Kao - 45-90 Weak and strong cross‐section dependence and estimation of large panels
by Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti - 48-76 The Hausman test in a Cliff and Ord panel model
by Jan Mutl & Michael Pfaffermayr - 77-120 Fully modified narrow‐band least squares estimation of weak fractional cointegration
by Morten Ørregaard Nielsen & Per Frederiksen - 121-125 Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren, Econometrics Journal, 4, 2001, 109–142)
by Deniz Dilan Karaman Örsal & Bernd Droge - 126-129 Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
by Peter C. B. Phillips & Jun Yu