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 Comments: Journal Documents Indexed: 970 Publications (since 1984) References Indexed: 939 Publications with 31,641 References. all top 5 Latest Issues 42, No. 9-10 (2023) 42, No. 8 (2023) 42, No. 7 (2023) 42, No. 6 (2023) 42, No. 5 (2023) 42, No. 4 (2023) 42, No. 3 (2023) 42, No. 2 (2023) 42, No. 1 (2023) 41, No. 10 (2022) 41, No. 9 (2022) 41, No. 8 (2022) 41, No. 7 (2022) 41, No. 6 (2022) 41, No. 5 (2022) 41, No. 4 (2022) 41, No. 3 (2022) 41, No. 2 (2022) 41, No. 1 (2022) 40, No. 10 (2021) 40, No. 9 (2021) 40, No. 8 (2021) 40, No. 7 (2021) 40, No. 6 (2021) 40, No. 5 (2021) 40, No. 4 (2021) 40, No. 3 (2021) 40, No. 2 (2021) 40, No. 1 (2021) 39, No. 10 (2020) 39, No. 9 (2020) 39, No. 8 (2020) 39, No. 7 (2020) 39, No. 6 (2020) 39, No. 5 (2020) 39, No. 4 (2020) 39, No. 3 (2020) 39, No. 2 (2020) 39, No. 1 (2020) 38, No. 10 (2019) 38, No. 9 (2019) 38, No. 8 (2019) 38, No. 7 (2019) 38, No. 6 (2019) 38, No. 5 (2019) 38, No. 4 (2019) 38, No. 3 (2019) 38, No. 2 (2019) 38, No. 1 (2019) 37, No. 10 (2018) 37, No. 9 (2018) 37, No. 8 (2018) 37, No. 7 (2018) 37, No. 6 (2018) 37, No. 5 (2018) 37, No. 4 (2018) 37, No. 3 (2018) 37, No. 2 (2018) 37, No. 1 (2018) 36, No. 10 (2017) 36, No. 6-9 (2017) 36, No. 5 (2017) 36, No. 4 (2017) 36, No. 1-3 (2017) 35, No. 8-10 (2016) 35, No. 7 (2016) 35, No. 6 (2016) 35, No. 5 (2016) 35, No. 4 (2016) 35, No. 3 (2016) 35, No. 2 (2016) 35, No. 1 (2016) 34, No. 6-10 (2015) 34, No. 5 (2015) 34, No. 4 (2015) 34, No. 3 (2015) 34, No. 1-2 (2015) 33, No. 8 (2014) 33, No. 7 (2014) 33, No. 5-6 (2014) 33, No. 1-4 (2014) 32, No. 8 (2013) 32, No. 7 (2013) 32, No. 5-6 (2013) 32, No. 4 (2013) 32, No. 3 (2013) 32, No. 2 (2013) 32, No. 1 (2013) 31, No. 6 (2012) 31, No. 5 (2012) 31, No. 4 (2012) 31, No. 3 (2012) 31, No. 2 (2012) 31, No. 1 (2012) 30, No. 6 (2011) 30, No. 5 (2011) 30, No. 4 (2011) 30, No. 3 (2011) 30, No. 2 (2011) 30, No. 1 (2011) ...and 82 more Volumes all top 5 Authors 25 Maasoumi, Esfandiar 18 McAleer, Michael 15 Baltagi, Badi H. 13 Ullah, Aman 12 Li, Qi 12 Taylor, A. M. Robert 11 Phillips, Peter Charles Bonest 10 Pesaran, M. Hashem 9 Cavaliere, Giuseppe 8 Gao, Jiti 8 Hall, Alastair R. 8 Hsiao, Cheng 7 Franses, Philip Hans 7 Kumbhakar, Subal Chandra 7 Teräsvirta, Timo 7 Westerlund, Joakim 6 Caner, Mehmet 6 Dagum, Estelle Bee 6 Kao, Chihwa 6 Lee, Lung-Fei 6 Medeiros, Marcelo C. 6 Orme, Chris D. 6 Perron, Pierre 6 Psaradakis, Zacharias 6 Racine, Jeffrey Scott 6 Soofi, Ehsan S. 6 Su, Liangjun 6 Tu, Yundong 5 Asai, Manabu 5 Davidson, Russell 5 Kilian, Lutz 5 Linton, Oliver Bruce 5 Palm, Franz C. 5 Schmidt, Peter 5 Sun, Yiguo 5 Wansbeek, Tom J. 5 White, Halbert Lynn jun. 5 Xiao, Zhijie 4 Ando, Tomohiro 4 Bao, Yong 4 Bera, Anil K. 4 Bierens, Herman J. 4 Breitung, Jorg 4 Cai, Zongwu 4 Dufour, Jean-Marie 4 Fan, Yanqin 4 Geweke, John F. 4 Godfrey, Leslie George 4 Golan, Amos 4 Gospodinov, Nikolay 4 Harvey, David I. 4 Hsu, Yu-Chin 4 Hu, Yingyao 4 Kapetanios, George 4 King, Maxwell Leslie 4 Kurozumi, Eiji 4 Leybourne, Stephen J. 4 Lieberman, Offer 4 Liu, Long 4 Liu, Xiaodong 4 Lopes, Hedibert Freitas 4 Martins-Filho, Carlos 4 Otsu, Taisuke 4 Proietti, Tommaso 4 Renault, Eric 4 Sickles, Robin C. 4 Simar, Léopold 4 Smeekes, Stephan 4 Spanos, Aris 4 Tran, Kien C. 4 Tzavalis, Elias 4 Urbain, Jean-Pierre 4 Wan, Alan T. K. 4 Yu, Jun 4 Zhang, Xinyu 3 Ai, Chunrong 3 Anatolyev, Stanislav 3 Bianconcini, Silvia 3 Blundell, Richard W. 3 Bun, Maurice J. G. 3 Caporin, Massimiliano 3 Chan, Joshua C. C. 3 Chang, Yoosoon 3 Chen, Yiting 3 Domínguez, Manuel A. 3 Egger, Peter H. 3 Fang, Ying 3 Fiebig, Denzil G. 3 Gourieroux, Christian 3 Guay, Alain 3 Hafner, Christian Matthias 3 Heckman, James Joseph 3 Hendry, David F. 3 Heshmati, Almas 3 Inoue, Atsushi 3 Jin, Fei 3 Johansen, Søren Glud 3 Kiefer, Nicholas M. 3 Kock, Anders Bredahl 3 Koop, Gary ...and 1,174 more Authors all top 5 Fields 951 Statistics (62-XX) 197 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 119 Numerical analysis (65-XX) 29 Probability theory and stochastic processes (60-XX) 20 General and overarching topics; collections (00-XX) 9 Operations research, mathematical programming (90-XX) 6 History and biography (01-XX) 6 Information and communication theory, circuits (94-XX) 5 Computer science (68-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Special functions (33-XX) 2 Systems theory; control (93-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 707 Publications have been cited 5,425 times in 4,192 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. 199 1992 Modelling the persistence of conditional variances. Zbl 0619.62105 Engle, Robert F.; Bollerslev, Tim 156 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. 140 1996 Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076 Politis, Dimitris N.; White, Halbert 133 2004 Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096 Mittnik, Stefan; Rachev, Svetlozar T. 97 1993 Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105 Geweke, John 94 1999 Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142 Doan, Thomas; Litterman, Robert; Sims, Christopher 93 1984 Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047 van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans 85 2002 Bayesian analysis of DSGE models. Zbl 1112.62015 An, Sungbae; Schorfheide, Frank 84 2007 Multivariate stochastic volatility: a review. Zbl 1107.62108 Asai, Manabu; McAleer, Michael; Yu, Jun 78 2006 On the asymptotics of ADF tests for unit roots. Zbl 1049.62096 Chang, Yoosoon; Park, Joon Y. 72 2002 Unit root tests under time-varying variances. Zbl 1133.62350 Cavaliere, Giuseppe 61 2004 Bootstrap tests: How many bootstraps? Zbl 0949.62030 Davidson, Russell; MacKinnon, James G. 60 2000 Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069 Lee, Lung-fei 59 2003 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 58 2009 Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038 Li, Qi 54 1996 On Bartlett and Bartlett-type corrections. Zbl 0885.62021 Cribari-Neto, Francisco; Cordeiro, Gauss M. 54 1996 MIDAS regressions: further results and new directions. Zbl 1108.62092 Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen 50 2007 Realized volatility: a review. Zbl 1148.62089 McAleer, Michael; Medeiros, Marcelo C. 50 2008 Continuous time Wishart process for stochastic risk. Zbl 1105.62104 Gourieroux, C. 49 2006 Recent developments in bootstrapping time series (with comment). Zbl 0949.62022 Berkowitz, Jeremy; Kilian, Lutz 46 2000 Empirical characteristic function estimation and its applications. Zbl 1123.62030 Yu, Jun 44 2004 The volatility of realized volatility. Zbl 1359.91032 Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta 41 2008 A compendium to information theory in economics and econometrics. Zbl 0769.62003 Maasoumi, Esfandiar 40 1993 Bootstrapping time series models. (With discussion). Zbl 0855.62074 Li, Hongyi; Maddala, G. S. 40 1996 Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131 Philipov, Alexander; Glickman, Mark E. 38 2006 Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101 Kuan, Chung-Ming; White, Halbert 37 1994 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 35 2003 The generalized fluctuation test: A unifying view. Zbl 0832.62085 Kuan, Chung-Ming; Hornik, Kurt 33 1995 Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133 Yu, Jun; Meyer, Renate 33 2006 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. 32 1991 Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085 Dolado, Juan J.; Lütkepohl, Helmut 32 1996 Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079 Gonçalves, Sílvia; Kilian, Lutz 32 2007 A survey of sequential Monte Carlo methods for economics and finance. Zbl 1491.62008 Creal, Drew 32 2012 Generalized integer-valued autoregression. Zbl 1077.62530 Brännäs, Kurt; Hellström, Jörgen 29 2001 In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213 Inoue, Atsushi; Kilian, Lutz 29 2004 GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123 Blundell, Richard; Bond, Stephen 27 2000 Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192 Bera, Anil K.; Park, Sung Y. 27 2008 Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049 Cribari-Neto, Francisco; Zarkos, Spyros G. 26 1999 On testing equality of distributions of technical efficiency scores. Zbl 1106.62126 Simar, Léopold; Zelenyuk, Valentin 25 2006 The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086 Johansen, Søren 25 1994 A consistent method for the selection of relevant instruments. Zbl 1181.62192 Hall, Alastair R.; Peixe, Fernanda P. M. 25 2003 Tests of specification in econometrics (with discussion). Zbl 0604.62115 Ruud, Paul A. 23 1984 Testing the martingale difference hypothesis. Zbl 1030.62066 Domínguez, Manuel A.; Lobato, Ignacio N. 22 2003 Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194 Simar, Léopold; Wilson, Paul W. 22 2010 Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083 McAleer, Michael; Hoti, Suhejla; Chan, Felix 21 2009 Asymmetric multivariate stochastic volatility. Zbl 1112.62116 Asai, Manabu; McAleer, Michael 21 2006 An introduction to hypergeometric functions for economists. Zbl 1073.91526 Abadir, Karim M. 20 1999 An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006 Ormoneit, Dirk; White, Halbert 20 1999 How can we define the concept of long memory? An econometric survey. Zbl 1115.62346 Guégan, Dominique 20 2005 Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514 Griffin, Jim E.; Oomen, Roel C. A. 20 2008 Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130 Liesenfeld, Roman; Richard, Jean-François 19 2006 State space modeling of multiple time series. Zbl 0733.62098 Aoki, Masanao; Havenner, Arthur 19 1991 Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025 Guggenberger, Patrik 19 2008 A residual-based test of the null of cointegration in panel data. Zbl 0896.62131 McCoskey, Suzanne; Kao, Chihwa 18 1998 Estimating partially linear panel data models with one-way error components. Zbl 0915.62095 Li, Qi; Ullah, Aman 18 1998 Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087 Toda, Hiro Y.; Philips, Peter C. B. 18 1994 Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126 Phillips, Peter C. B.; Moon, Hyungsik R. 18 2000 Bootstrap \(M\) unit root tests. Zbl 1168.62080 Cavaliere, Giuseppe; Taylor, A. M. Robert 18 2009 A review of systems cointegration tests. Zbl 1044.62120 Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti 18 2001 Moving average-based estimators of integrated variance. Zbl 1148.62088 Hansen, Peter R.; Large, Jeremy; Lunde, Asger 18 2008 Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040 Kilian, Lutz 16 1998 Detecting parameter shift in GARCH models. Zbl 0832.62099 Chu, Chia-Shang James 16 1995 Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038 Fan, Yanqin 16 1995 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 Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059 Nielsen, Morten Ørregaard; Frederiksen, Per Houmann 16 2005 Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030 Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua 16 2008 Weights in multidimensional indices of wellbeing: an overview. Zbl 1491.91091 Decancq, Koen; Lugo, María Ana 16 2013 Forecasting performance of an open economy DSGE model. Zbl 1112.62133 Adolfson, Malin; Lindé, Jesper; Villani, Mattias 15 2007 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 15 2010 Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023 Bond, Stephen; Windmeijer, Frank 15 2005 Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011 King, Maxwell L.; Wu, Ping X. 15 1997 Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046 Racine, Jeffery S.; Hart, Jeffrey; Li, Qi 14 2006 Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092 Asai, Manabu; McAleer, Michael 14 2005 Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160 Ahn, Seung C.; Good, David H.; Sickles, Robin C. 14 2000 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 14 2006 Double length artificial regressions for testing spatial dependence. Zbl 1018.62049 Baltagi, Badi H.; Li, Dong 14 2001 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 14 2008 Cross-sectional dependence in panel data analysis. Zbl 1491.62258 Sarafidis, Vasilis; Wansbeek, Tom 14 2012 Testing for restricted stochastic dominance. Zbl 1491.62199 Davidson, Russell; Duclos, Jean-Yves 14 2013 Lessons from a decade of IPS and LLC. Zbl 1491.62132 Westerlund, Joakim; Breitung, Jörg 14 2013 Testing weak cross-sectional dependence in large panels. Zbl 1491.62251 Pesaran, M. Hashem 14 2015 Improving the power of tests of stochastic dominance. Zbl 1491.62202 Donald, Stephen G.; Hsu, Yu-Chin 14 2016 An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099 Andrews, Donald W. K. 13 1993 Bayesian clustering of many GARCH models. Zbl 1112.62016 Bauwens, L.; Rombouts, J. V. K. 13 2007 Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040 Caner, Mehmet 13 2010 Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080 Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. 13 2000 Efficient posterior simulation for cointegrated models with priors on the cointegration space. Zbl 1185.62157 Koop, Gary; León-González, Roberto; Strachan, Rodney W. 13 2010 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. 13 1997 A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034 Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman 13 2008 Refined inference on long memory in realized volatility. Zbl 1359.91033 Lieberman, Offer; Phillips, Peter C. B. 13 2008 The effective sample size. Zbl 1491.62183 Berger, James; Bayarri, M. J.; Pericchi, L. R. 13 2014 A generalized spatial panel data model with random effects. Zbl 1491.62178 Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael 13 2013 Normalization in econometrics. Zbl 1112.62135 Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao 12 2007 U-statistics and their asymptotic results for some inequality and poverty measures. Zbl 1122.62106 Xu, Kuan 12 2007 Long-run structural modelling. Zbl 1104.91061 Pesaran, M. Hashem; Shin, Yongcheol 12 2002 Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034 Manski, Charles F. 12 1984 Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118 de Lima, Pedro J. F. 12 1996 Estimation of partially specified spatial panel data models with fixed-effects. Zbl 1524.62561 Ai, Chunrong; Zhang, Yuanqing 12 2017 The two-way Mundlak estimator. Zbl 07716497 Baltagi, Badi H. 1 2023 Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings. Zbl 07716499 Belotti, Federico; Casini, Alessandro; Catania, Leopoldo; Grassi, Stefano; Perron, Pierre 1 2023 A robust score-driven filter for multivariate time series. Zbl 07716562 D’Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario 1 2023 Random autoregressive models: a structured overview. Zbl 1490.62269 Regis, Marta; Serra, Paulo; van den Heuvel, Edwin R. 3 2022 Optimal model averaging for divergent-dimensional Poisson regressions. Zbl 07584729 Zou, Jiahui; Wang, Wendun; Zhang, Xinyu; Zou, Guohua 2 2022 Estimation and inference for distribution and quantile functions in endogenous treatment effect models. Zbl 1491.62223 Hsu, Yu-Chin; Lai, Tsung-Chih; Lieli, Robert P. 2 2022 Modeling heterogeneous treatment effects in the presence of endogeneity. Zbl 1524.62567 Benini, Giacomo; Sperlich, Stefan 1 2022 An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. Zbl 1524.62570 Chudik, Alexander; Pesaran, M. Hashem 1 2022 Reconciling negative return skewness with positive time-varying risk premia. Zbl 07584733 Kyriakopoulou, Dimitra; Hafner, Christian M. 1 2022 Testing for time-varying factor loadings in high-dimensional factor models. Zbl 07584735 Xu, Wen 1 2022 Two-step series estimation and specification testing of (partially) linear models with generated regressors. Zbl 07602442 Hsu, Yu-Chin; Liao, Jen-Che; Lin, Eric S. 1 2022 Testing for strict stationarity in a random coefficient autoregressive model. Zbl 1480.62182 Trapani, Lorenzo 5 2021 In-fill asymptotic theory for structural break point in autoregressions. Zbl 1490.62253 Jiang, Liang; Wang, Xiaohu; Yu, Jun 5 2021 Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models. Zbl 1490.62318 He, Yanan; Han, Ai; Hong, Yongmiao; Sun, Yuying; Wang, Shouyang 3 2021 A specification test for dynamic conditional distribution models with function-valued parameters. Zbl 1490.62112 Troster, Victor; Wied, Dominik 2 2021 Common factors and spatial dependence: an application to US house prices. Zbl 1490.62493 Yang, Cynthia Fan 2 2021 Moment estimation for censored quantile regression. Zbl 1491.62266 Wang, Qian; Chen, Songnian 2 2021 Determination of different types of fixed effects in three-dimensional panels. Zbl 1490.62177 Lu, Xun; Miao, Ke; Su, Liangjun 2 2021 Smoothed maximum score estimation with nonparametrically generated covariates. Zbl 1490.62426 Cao, Xiaoyong; Chen, Xirong; Gao, Wenzheng; Hsiao, Cheng 2 2021 Model selection in factor-augmented regressions with estimated factors. Zbl 1490.62288 Djogbenou, Antoine A. 2 2021 Monotonicity-constrained nonparametric estimation and inference for first-price auctions. Zbl 1490.91108 Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Xu, Pai 2 2021 Multiple subordinated modeling of asset returns: implications for option pricing. Zbl 1490.62325 Shirvani, Abootaleb; Rachev, Svetlozar T.; Fabozzi, Frank J. 1 2021 Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach. Zbl 1491.62227 Isaksson, Anders; Shang, Chenjun; Sickles, Robin C. 1 2021 The continuous limit of weak GARCH. Zbl 1490.62222 Alexander, Carol; Lazar, Emese 1 2021 Heteroscedasticity testing after outlier removal. Zbl 1490.62172 Berenguer-Rico, Vanessa; Wilms, Ines 1 2021 High-dimensional penalized ARCH processes. Zbl 1490.62264 Poignard, Benjamin; Fermanian, Jean-David 1 2021 Estimation of high-dimensional seemingly unrelated regression models. Zbl 1491.62041 Tan, Lidan; Chiong, Khai Xiang; Moon, Hyungsik Roger 1 2021 Estimation of average treatment effect based on a semiparametric propensity score. Zbl 1490.62485 Sun, Yu; Yan, Karen X.; Li, Qi 1 2021 The lower regression function and testing expectation dependence dominance hypotheses. Zbl 1490.62109 Linton, Oliver; Whang, Yoon Jae; Yen, Yu-Min 1 2021 Right tail information and asset pricing. Zbl 1490.91225 Hua, Qiuling; Xiao, Zhijie; Zhou, Hongtao 1 2021 Market integration, systemic risk and diagnostic tests in large mixed panels. Zbl 1490.62329 Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang 1 2021 Revisiting regression adjustment in experiments with heterogeneous treatment effects. Zbl 1490.62472 Negi, Akanksha; Wooldridge, Jeffrey M. 1 2021 Bayesian estimation of dynamic panel data gravity model. Zbl 1490.62431 Cho, Moonhee; Zheng, Xiaoyong 1 2021 Detecting multiple equilibria for continuous dependent variables. Zbl 1490.62494 Yu, Zhengfei 1 2021 Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips curves. Zbl 1490.62455 Kang, Byunguk; Dufour, Jean-Marie 1 2021 A panel data model of length of stay in hospitals for hip replacements. Zbl 1490.62467 Meng, Yan; Gao, Jiti; Zhang, Xibin; Zhao, Xueyan 1 2021 An IV estimator for a functional coefficient model with endogenous discrete treatments. Zbl 1490.62458 Klein, Roger; Shen, Chan 1 2021 Quantile regression with interval data. Zbl 1490.62418 Beresteanu, Arie; Sasaki, Yuya 1 2021 Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination. Zbl 1490.62128 Lee, Tae-Hwy; Mao, Millie Yi; Ullah, Aman 1 2021 Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation. Zbl 1490.62491 Xu, Qiuhua; Cai, Zongwu; Fang, Ying 1 2021 Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing. Zbl 1490.62495 Zhang, Yonghui; Zhou, Qiankun 1 2021 Sequential and efficient GMM estimation of dynamic short panel data models. Zbl 1490.62453 Jin, Fei; Lee, Lung-fei; Yu, Jihai 1 2021 Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets. Zbl 1490.62281 Tu, Yundong; Wang, Ying 3 2020 Identification of the linear factor model. Zbl 1490.62149 Williams, Benjamin 3 2020 Smooth coefficient models with endogenous environmental variables. Zbl 1490.62097 Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C. 3 2020 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 3 2020 Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series. Zbl 1490.62316 Dimitrakopoulos, Stefanos; Kolossiatis, Michalis 3 2020 Maximum likelihood estimation of dynamic panel threshold models. Zbl 1490.62478 Ramírez-Rondán, N. R. 2 2020 Testing for distributional features in varying coefficient panel data models. Zbl 1490.62481 Soberon, Alexandra; Stute, Winfried; Rodriguez-Poo, Juan M. 2 2020 Asymptotic properties of bubble monitoring tests. Zbl 1490.62460 Kurozumi, Eiji 2 2020 Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data. Zbl 1490.62229 Bennedsen, Mikkel 2 2020 Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. Zbl 1490.62433 Coudin, Elise; Dufour, Jean-Marie 2 2020 Some notes on nonlinear cointegration: a partial review with some novel perspectives. Zbl 1490.62277 Tjøstheim, Dag 2 2020 Standard errors for nonparametric regression. Zbl 1480.62066 Chu, Ba M.; Jacho-Chávez, David T.; Linton, Oliver B. 2 2020 On the estimation of integrated volatility in the presence of jumps and microstructure noise. Zbl 1490.62311 Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng 2 2020 Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function. Zbl 1490.62103 Xie, Qichang; Sun, Qiankun; Liu, Junxian 1 2020 Robust inference in conditionally heteroskedastic autoregressions. Zbl 1491.62121 Pedersen, Rasmus Søndergaard 1 2020 Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models. Zbl 1490.62320 Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël 1 2020 Modeling temporal treatment effects with zero inflated semi-parametric regression models: the case of local development policies in France. Zbl 1490.62427 Cardot, Hervé; Musolesi, Antonio 1 2020 Specification testing with estimated variables. Zbl 1490.62436 Domínguez, Manuel A.; Lobato, Ignacio N. 1 2020 Minimum distance estimation of parametric Lorenz curves based on grouped data. Zbl 1490.62443 Hajargasht, Gholamreza; Griffiths, William E. 1 2020 Multistep forecast selection for panel data. Zbl 1490.62246 Greenaway-McGrevy, Ryan 1 2020 On endogeneity and shape invariance in extended partially linear single index models. Zbl 1490.62099 Gao, Jiti; Kim, Namhyun; Saart, Patrick W. 1 2020 A diagnostic test for specification of copulas under censorship. Zbl 1490.62108 Lin, Juan; Wu, Ximing 1 2020 Nonparametric estimation of marginal effects in regression-spline random effects models. Zbl 1490.62101 Ma, Shujie; Racine, Jeffrey S.; Ullah, Aman 1 2020 Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430 Chen, Yi-Ting; Tsay, Ruey S. 1 2020 Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Zbl 1490.62449 Hsiao, Cheng 1 2020 Quantile aggregation and combination for stock return prediction. Zbl 1490.62321 Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie 1 2020 Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata. Zbl 1490.62439 Gardner, John 1 2020 Model averaging in a multiplicative heteroscedastic model. Zbl 1490.62187 Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu; Wang, Shouyang 1 2020 Model selection for factor analysis: some new criteria and performance comparisons. Zbl 1490.62146 Choi, In; Jeong, Hanbat 6 2019 Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 1490.62286 Zhang, Rongmao; Li, Chenxue; Peng, Liang 5 2019 A practical guide to compact infinite dimensional parameter spaces. Zbl 1490.62438 Freyberger, Joachim; Masten, Matthew A. 5 2019 A goodness-of-fit test for regular vine copula models. Zbl 1490.62132 Schepsmeier, Ulf 4 2019 Structural breaks in panel data: large number of panels and short length time series. Zbl 1490.62224 Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; Hušková, Marie; Wang, Shixuan 4 2019 Testing explosive bubbles with time-varying volatility. Zbl 1490.62446 Harvey, David I.; Leybourne, Stephen J.; Zu, Yang 4 2019 The Gibbs sampler with particle efficient importance sampling for state-space models. Zbl 1490.62080 Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman 4 2019 GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity. Zbl 1490.62463 Liu, Xiaodong; Saraiva, Paulo 3 2019 Common threshold in quantile regressions with an application to pricing for reputation. Zbl 1490.62483 Su, Liangjun; Xu, Pai 3 2019 Symbolic correlation integral. Zbl 1491.62088 Caballero-Pintado, M. Victoria; Matilla-García, Mariano; Marín, Manuel Ruiz 3 2019 A nonparametric specification test for the volatility functions of diffusion processes. Zbl 1491.62079 Chen, Qiang; Hu, Meidi; Song, Xiaojun 3 2019 Inference on local average treatment effects for misclassified treatment. Zbl 1490.62492 Yanagi, Takahide 3 2019 Particle learning for Bayesian semi-parametric stochastic volatility model. Zbl 1490.62328 Virbickaitė, Audronė; Lopes, Hedibert F.; Concepción Ausín, M.; Galeano, Pedro 3 2019 A general inversion theorem for cointegration. Zbl 1490.62243 Franchi, Massimo; Paruolo, Paolo 3 2019 Practical procedures to deal with common support problems in matching estimation. Zbl 1490.62461 Lechner, Michael; Strittmatter, Anthony 2 2019 Two-sample least squares projection. Zbl 1490.62473 Pacini, David 2 2019 Similarity-based model for ordered categorical data. Zbl 1490.62440 Gayer, Gabi; Lieberman, Offer; Yaffe, Omer 2 2019 Nonstationary nonlinear quantile regression. Zbl 1490.62282 Uematsu, Yoshimasa 2 2019 Simultaneous equations with binary outcomes and social interactions. Zbl 1490.62462 Liu, Xiaodong 2 2019 OLS and IV estimation of regression models including endogenous interaction terms. Zbl 1490.62424 Bun, Maurice J. G.; Harrison, Teresa D. 2 2019 Generalized information matrix tests for copulas. Zbl 1490.62125 Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing 2 2019 A joint test for parametric specification and independence in nonlinear regression models. Zbl 1491.62031 Li, Shuo; Tu, Yundong 2 2019 Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression. Zbl 1490.62237 Dong, Chaohua; Gao, Jiti 1 2019 The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model. Zbl 1490.62437 Forchini, Giovanni; Jiang, Bin 1 2019 Information measures of kernel estimation. Zbl 1490.62091 Beheshti, Neshat; Racine, Jeffrey S.; Soofi, Ehsan S. 1 2019 Wavelet energy ratio unit root tests. Zbl 1490.62279 Trokić, Mirza 1 2019 Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity. Zbl 1490.62257 Li, Dong; Guo, Shaojun; Zhu, Ke 1 2019 Estimation bias and bias correction in reduced rank autoregressions. Zbl 1490.62263 Nielsen, Heino Bohn 1 2019 Alternative diff-in-diffs estimators with several pretreatment periods. Zbl 1490.62470 Mora, Ricardo; Reggio, Iliana 1 2019 Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Zbl 1490.62233 Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, A. M. Robert 1 2019 ...and 607 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,280 Authors 44 McAleer, Michael 43 Taylor, A. M. Robert 35 Cavaliere, Giuseppe 29 Phillips, Peter Charles Bonest 24 Westerlund, Joakim 23 Politis, Dimitris Nicolas 23 Shin, Dongwan 22 Pesaran, M. Hashem 21 Baltagi, Badi H. 21 Cribari-Neto, Francisco 20 Maasoumi, Esfandiar 20 Rachev, Svetlozar T. 19 White, Halbert Lynn jun. 18 Asai, Manabu 17 Su, Liangjun 16 Lee, Lung-Fei 15 Cordeiro, Gauss Moutinho 15 Demetrescu, Matei 15 Gourieroux, Christian 15 Kapetanios, George 15 Linton, Oliver Bruce 15 Perron, Pierre 15 Rahbek, Anders 15 Ullah, Aman 14 Bollerslev, Tim 14 del Barrio Castro, Tomas 14 Ferrari, Silvia Lopes de Paula 14 Ghysels, Eric 14 Hong, Yongmiao 14 Horváth, Lajos 14 Kumbhakar, Subal Chandra 14 Mittnik, Stefan 14 Tsionas, Efthymios G. 13 Hall, Alastair R. 13 Lütkepohl, Helmut 13 Medeiros, Marcelo C. 13 Rodrigues, Paulo M. M. 13 Tsionas, Mike G. 13 Yu, Jun 12 Chan, Joshua C. C. 12 Gupta, Rangan 12 Kerstens, Kristiaan 12 Koop, Gary 12 Koopman, Siem Jan 12 Li, Qi 12 Saikkonen, Pentti 12 Sentana, Enrique 12 Serletis, Apostolos 11 Dufour, Jean-Marie 11 Forsyth, Peter A. 11 Franses, Philip Hans 11 Hafner, Christian Matthias 11 Harvey, David I. 11 Hušková, Marie 11 Kozubowski, Tomasz J. 11 Leybourne, Stephen J. 11 Parmeter, Christopher F. 11 Tu, Yundong 11 Wang, Shouyang 11 Xiao, Zhijie 11 Zhang, Rongmao 11 Zhang, Xinyu 10 Barnett, William Arnold 10 Bera, Anil K. 10 Gao, Jiti 10 Lahiri, Soumendra Nath 10 Meintanis, Simos G. 10 Park, Joon Y. 10 Prucha, Ingmar R. 10 Schmidt, Peter 10 Simar, Léopold 10 Smeekes, Stephan 10 So, Mike K. P. 10 Soofi, Ehsan S. 10 Teräsvirta, Timo 10 Tzavalis, Elias 10 van de Woestyne, Ignace 9 Abadir, Karim M. 9 Baillie, Richard T. 9 Breitung, Jorg 9 Chang, Yoosoon 9 Choi, Jieun 9 Escanciano, Juan Carlos 9 Georgiev, Iliyan 9 Godfrey, Leslie George 9 Jentsch, Carsten 9 Kokoszka, Piotr S. 9 Kurozumi, Eiji 9 Martin, Gael M. 9 Osborn, Denise R. 9 Panorska, Anna K. 9 Renault, Eric 9 Shin, Yongcheol 9 Sibbertsen, Philipp 9 Wan, Alan T. K. 9 Yamagata, Takashi 8 Bekiros, Stelios D. 8 Boswijk, H. Peter 8 Bravo, Francesco 8 Caporin, Massimiliano ...and 5,180 more Authors all top 5 Cited in 282 Journals 833 Journal of Econometrics 366 Econometric Reviews 180 Econometric Theory 177 Economics Letters 163 Computational Statistics and Data Analysis 131 Communications in Statistics. Theory and Methods 119 Journal of Economic Dynamics & Control 118 Journal of Time Series Analysis 96 European Journal of Operational Research 92 Communications in Statistics. 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