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## Econometric Reviews

 Short Title: Econ. 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
 Documents Indexed: 419 Publications (since 1982) References Indexed: 406 Publications with 12,531 References.
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#### Authors

 13 McAleer, Michael 10 Maasoumi, Esfandiar 7 Franses, Philip Hans 6 Baltagi, Badi H. 6 Li, Qi 5 Kilian, Lutz 5 Pesaran, M. Hashem 5 Ullah, Aman 4 Godfrey, Leslie G. 4 Phillips, Peter Charles Bonest 4 Psaradakis, Zacharias 4 White, Halbert Lynn jun. 3 Asai, Manabu 3 Blundell, Richard W. 3 Cavaliere, Giuseppe 3 Cribari-Neto, Francisco 3 Dagum, Estelle Bee 3 Fiebig, Denzil G. 3 Hall, Alastair R. 3 Heshmati, Almas 3 Inoue, Atsushi 3 Johansen, Søren Glud 3 King, Maxwell Leslie 3 Koop, Gary 3 Kumbhakar, Subal C. 3 Kurozumi, Eiji 3 Lee, Lung-Fei 3 Lütkepohl, Helmut 3 Orme, Chris D. 3 Palm, Franz C. 3 Park, Joon Y. 3 Poirier, Dale J. 3 Spanos, Aris 3 Taylor, A. M. Robert 3 Tzavalis, Elias 3 Urbain, Jean-Pierre 2 Adolfson, Malin 2 An, Sungbae 2 Ashley, Richard A. 2 Bauwens, Luc C. A. A. 2 Bera, Anil K. 2 Bollerslev, Tim 2 Bond, Stephen D. 2 Bordignon, Silvano 2 Caporin, Massimiliano 2 Chang, Yoosoon 2 Chu, Chia-Shang James 2 Davidson, Russell 2 Domínguez, Manuel A. 2 Fan, Yanqin 2 Gallo, Giampiero M. 2 Geweke, John F. 2 Golan, Amos 2 Gonçalves, Sílvia 2 Gospodinov, Nikolay 2 Gourieroux, Christian 2 Guggenberger, Patrik 2 Hahn, Jinyong 2 Hamori, Shigeyuki 2 Hlouskova, Jaroslava 2 Hodgson, Douglas J. 2 Horowitz, Joel L. 2 Hoti, Suhejla 2 Jensen, Mark J. 2 Kao, Chihwa 2 Kapetanios, George 2 Kočenda, Evžen 2 Kohn, Robert J. 2 Kuan, Chung-Ming 2 Lechner, Michael 2 Lee, Myoungjae 2 Lee, Tae-Hwy 2 Li, Wai Keung 2 Lieberman, Offer 2 Lindé, Jesper 2 Linton, Oliver Bruce 2 MacKinnon, James G. 2 Maddala, G. S. 2 Martin, Gael M. 2 Martins-Filho, Carlos 2 Mckenzie, C. R. 2 Medeiros, Marcelo C. 2 Mittnik, Stefan 2 Moon, Hyungsik Roger 2 Nawata, Kazumitsu 2 Neumann, George R. 2 Nielsen, Bent 2 Ohtani, Kazuhiro 2 Peixe, Fernanda P. M. 2 Perron, Pierre 2 Pittis, Nikitas 2 Politis, Dimitris Nicolas 2 Potscher, Benedikt M. 2 Proietti, Tommaso 2 Prucha, Ingmar R. 2 Roy, Nilanjana 2 Saikkonen, Pentti 2 Schorfheide, Frank 2 Shin, Yongcheol 2 Silvapulle, Paramsothy ...and 442 more Authors
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#### Fields

 402 Statistics (62-XX) 113 Numerical analysis (65-XX) 88 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Probability theory and stochastic processes (60-XX) 5 Operations research, mathematical programming (90-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 General and overarching topics; collections (00-XX) 2 Special functions (33-XX) 2 Computer science (68-XX) 2 Systems theory; control (93-XX) 1 History and biography (01-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Information and communication theory, circuits (94-XX)

#### Citations contained in zbMATH Open

348 Publications have been cited 3,416 times in 2,761 Documents Cited by Year
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Modelling the persistence of conditional variances. Zbl 0619.62105
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A test for independence based on the correlation dimension. Zbl 0893.62034
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Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076
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2004
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
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Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105
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1999
Bayesian analysis of DSGE models. Zbl 1112.62015
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2007
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
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2002
On the asymptotics of ADF tests for unit roots. Zbl 1049.62096
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2002
Multivariate stochastic volatility: a review. Zbl 1107.62108
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2006
On Bartlett and Bartlett-type corrections. Zbl 0885.62021
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Bootstrap tests: How many bootstraps? Zbl 0949.62030
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2000
Unit root tests under time-varying variances. Zbl 1133.62350
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Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038
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Recent developments in bootstrapping time series (with comment). Zbl 0949.62022
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2000
Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193
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2009
Bootstrapping time series models. (With discussion). Zbl 0855.62074
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Continuous time Wishart process for stochastic risk. Zbl 1105.62104
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2006
Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069
Lee, Lung-fei
2003
Realized volatility: a review. Zbl 1148.62089
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2008
Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101
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1994
MIDAS regressions: further results and new directions. Zbl 1108.62092
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2007
Empirical characteristic function estimation and its applications. Zbl 1123.62030
Yu, Jun
2004
A compendium to information theory in economics and econometrics. Zbl 0769.62003
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1993
The generalized fluctuation test: A unifying view. Zbl 0832.62085
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1995
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
2003
Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. Zbl 0737.62096
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1991
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
2008
Asymptotic and bootstrap inference for AR($$\infty$$) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
2007
Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049
Cribari-Neto, Francisco; Zarkos, Spyros G.
1999
In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213
Inoue, Atsushi; Kilian, Lutz
2004
Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085
1996
The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086
Johansen, Søren
1994
Generalized integer-valued autoregression. Zbl 1077.62530
Brännäs, Kurt; Hellström, Jörgen
2001
Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131
Philipov, Alexander; Glickman, Mark E.
2006
Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133
Yu, Jun; Meyer, Renate
2006
A consistent method for the selection of relevant instruments. Zbl 1181.62192
Hall, Alastair R.; Peixe, Fernanda P. M.
2003
GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123
Blundell, Richard; Bond, Stephen
2000
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
2008
On testing equality of distributions of technical efficiency scores. Zbl 1106.62126
Simar, Léopold; Zelenyuk, Valentin
2006
State space modeling of multiple time series. Zbl 0733.62098
Aoki, Masanao; Havenner, Arthur
1991
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
2006
A review of systems cointegration tests. Zbl 1044.62120
Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti
2001
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
2008
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
2009
An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006
Ormoneit, Dirk; White, Halbert
1999
An introduction to hypergeometric functions for economists. Zbl 1073.91526
1999
Testing the martingale difference hypothesis. Zbl 1030.62066
Domínguez, Manuel A.; Lobato, Ignacio N.
2003
A residual-based test of the null of cointegration in panel data. Zbl 0896.62131
McCoskey, Suzanne; Kao, Chihwa
1998
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
2005
Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? Some Monte Carlo evidence.. Zbl 1034.62059
Roy, Nilanjana
2002
Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011
King, Maxwell L.; Wu, Ping X.
1997
Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040
Kilian, Lutz
1998
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
Phillips, Peter C. B.; Moon, Hyungsik R.
2000
Optimal portfolio diversification using the maximum entropy principle. Zbl 05309109
Bera, Anil K.; Park, Sung Y.
2008
Estimating partially linear panel data models with one-way error components. Zbl 0915.62095
Li, Qi; Ullah, Aman
1998
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
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1994
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
2008
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130
Liesenfeld, Roman; Richard, Jean-François
2006
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua
2008
Bootstrap $$M$$ unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
2009
Detecting parameter shift in GARCH models. Zbl 0832.62099
Chu, Chia-Shang James
1995
Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038
Fan, Yanqin
1995
A unified approach to structural change tests based on ML scores, $$F$$ statistics, and OLS residuals. Zbl 1080.62012
Zeileis, Achim
2005
The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118
Hlouskova, Jaroslava; Wagner, Martin
2006
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
2008
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
2002
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
2005
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.
1997
Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160
Ahn, Seung C.; Good, David H.; Sickles, Robin C.
2000
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
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1993
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
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
2010
Double length artificial regressions for testing spatial dependence. Zbl 1018.62049
2001
Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.
2000
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
2008
Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046
Racine, Jeffery S.; Hart, Jeffrey; Li, Qi
2006
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
2010
Evaluating direct multistep forecasts. Zbl 1080.62049
Clark, Todd E.; McCracken, Michael W.
2005
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059
Nielsen, Morten Ørregaard; Frederiksen, Per Houmann
2005
A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators. Zbl 1034.62007
Hahn, Jinyong; Inoue, Atsushi
2002
Unit root tests with infinite variance errors. Zbl 1044.62090
Ahn, Sung K.; Fotopoulos, Stergios B.; He, Lijian
2001
Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118
de Lima, Pedro J. F.
1996
Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127
Chan, David; Kohn, Robert; Kirby, Chris
2006
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
2009
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
2007
Estimating mixtures of normal distributions via empirical characteristic function. Zbl 0903.62025
Tran, Kien C.
1998
Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Zbl 0908.62089
Lucas, André
1998
Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074
Davidson, Russell; MacKinnon, James G.
2002
A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. Zbl 0832.62046
Ahn, Seung C.; Schmidt, Peter
1995
A non-nested test of level-differenced versus log-differenced stationary models. Zbl 0875.62605
Pesaran, Bahram; Pesaran, M. Hashem
1995
A test for the presence of conditional heteroskedasticity within ARCH-M framework. Zbl 0836.62068
Bera, Anil K.; Ra, Sungsup
1995
Simple LM tests for the unbalanced nested error component regression model. Zbl 1033.62054
Baltagi, Badi H.; Song, Seuck Heun; Jung, Byoung Cheol
2002
Asymptotic distributions of seasonal unit root tests: a unifying approach. Zbl 1064.62562
Osborn, Denise R.; Rodrigues, Paulo M. M.
2002
Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023
Bond, Stephen; Windmeijer, Frank
2005
A hierarchy of Lorenz curves based on the generalized Tukey’s lambda distribution. Zbl 0891.62090
Sarabia, José-María
1997
Testing autocorrelation in a system perspective. Zbl 1072.62631
Edgerton, David; Shukur, Ghazi
1999
The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors. Zbl 1087.62099
Omtzigt, Pieter; Fachin, Stefano
2006
Econometric tests of rationality and market efficiency (with comments by D. K. Backus and A. W. Gregory, F. S. Mishkin, R. J. Shiller, M. R. Wickens and reply). Zbl 0718.62284
Baillie, Richard T.
1989
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
2010
Endogeneity in nonlinear regressions with integrated time series. Zbl 1209.62149
Chang, Yoosoon; Park, Joon Y.
2011
Estimation and asymptotic inference in the AR-ARCH model. Zbl 1209.62201
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver
2011
Testing for a unit root in a stationary ESTAR process. Zbl 1210.62122
Kılıç, Rehim
2011
A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series. Zbl 1209.62202
Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis D.
2011
Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation. Zbl 1210.62120
Iglesias, Emma M.; Phillips, Garry D. A.
2011
Minimum divergence, generalized empirical likelihoods, and higher order expansions. Zbl 1217.62042
Ragusa, Giuseppe
2011
Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap. Zbl 1217.62035
Poirier, Dale J.
2011
Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model. Zbl 1218.62092
Kapetanios, George; Shin, Yongcheol
2011
Empirical likelihood for efficient semiparametric average treatment effects. Zbl 1209.62045
Bravo, Francesco; Jacho-Chávez, David T.
2011
Continuous empirical characteristic function estimation of mixtures of normal parameters. Zbl 1209.62052
Xu, Dinghai; Knight, John
2011
The relation of different concepts of causality used in time series and microeconometrics. Zbl 1208.91116
Lechner, Michael
2011
Robust misspecification tests for the Heckman’s two-step estimator. Zbl 1209.62016
Montes-Rojas, Gabriel V.
2011
On the discretization of continuous-time filters for nonstationary stock and flow time series. Zbl 1218.62098
McElroy, Tucker; Trimbur, Thomas M.
2011
Two-step estimation of endogenous and exogenous group effects. Zbl 1208.91122
Shang, Qingyan; Lee, Lung-Fei
2011
Estimation of allocative inefficiency and productivity growth with dynamic adjustment costs. Zbl 1210.91099
Atkinson, Scott E.; Cornwell, Christopher
2011
Estimation under inequality constraints: semiparametric estimation of conditional duration models. Zbl 1217.62043
Ranasinghe, Kulan; Silvapulle, Mervyn J.
2011
Bootstrap unit root tests in models with GARCH(1,1) errors. Zbl 1217.62132
Gospodinov, Nikolay; Tao, Ye
2011
Fuzzy autoregressive rules: towards linguistic time series modeling. Zbl 1218.62102
Aznarte, José Luis; Alcalá-Fdez, Jesús; Arauzo, Antonio; Benítez, José Manuel
2011
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices. Zbl 1218.62091
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
2011
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
2010
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
2010
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
2010
Implementing Box-Cox quantile regression. Zbl 1270.62083
Fitzenberger, Bernd; Wilke, Ralf A.; Zhang, Xuan
2010
Efficient posterior simulation for cointegrated models with priors on the cointegration space. Zbl 1185.62157
Koop, Gary; León-González, Roberto; Strachan, Rodney W.
2010
Nonparametric entropy-based tests of independence between stochastic processes. Zbl 1187.62083
Fernandes, Marcelo; Néri, Breno
2010
To combine forecasts or to combine information? Zbl 1201.91154
Huang, Huiyu; Lee, Tae-Hwy
2010
Cointegrating regressions with time heterogeneity. Zbl 1192.62198
Kim, Chang Sik; Park, Joon Y.
2010
Local GMM estimation of semiparametric panel data with smooth coefficient models. Zbl 1180.62064
Tran, Kien C.; Tsionas, Efthymios G.
2010
The benefits of bagging for forecast models of realized volatility. Zbl 1201.91228
Hillebrand, Eric; Medeiros, Marcelo C.
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
2010
The performance of panel cointegration methods: results from a large scale simulation study. Zbl 1270.62123
Wagner, Martin; Hlouskova, Jaroslava
2010
Distributional overlap: simple, multivariate, parametric, and nonparametric tests for alienation, convergence, and general distributional difference issues. Zbl 1187.91148
Anderson, Gordon; Ge, Ying; Leo, Teng Wah
2010
Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments. Zbl 1205.91135
Armah, Nii Ayi; Swanson, Norman R.
2010
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
2010
On deconvolution as a first stage nonparametric estimator. Zbl 1192.62117
Hu, Yingyao; Ridder, Geert
2010
Information-theoretic distribution test with application to normality. Zbl 1187.62086
Stengos, Thanasis; Wu, Ximing
2010
Estimating interest rate curves by support vector regression. Zbl 1202.91352
Monteiro, André d&rsquo;Almeida
2010
A semiparametric analysis of gasoline demand in the United States reexamining the impact of price. Zbl 1192.62256
Manzan, Sebastiano; Zerom, Dawit
2010
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
2009
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
2009
Bootstrap $$M$$ unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
2009
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
2009
Representation of cointegrated autoregressive processes with application to fractional processes. Zbl 1161.62059
Johansen, Søren
2009
Pairwise likelihood inference for general state space models. Zbl 1161.62061
Varin, Cristiano; Vidoni, Paolo
2009
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling. Zbl 1172.62020
Camba-Mendez, Gonzalo; Kapetanios, George
2009
A robust entropy-based test of asymmetry for discrete and continuous processes. Zbl 1156.62054
Maasoumi, Esfandiar; Racine, Jeffrey S.
2009
Econometric applications of the forward search in regression: robustness, diagnostics, and graphics. Zbl 1161.62446
Atkinson, Anthony C.
2009
Regular variation and extremal dependence of GARCH residuals with application to market risk measures. Zbl 1161.62072
Laurini, Fabrizio; Tawn, Jonathan A.
2009
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments. Zbl 1168.62055
West, Kenneth D.; Wong, Ka-Fu; Anatolyev, Stanislav
2009
A note on unit root tests with infinite variance noise. Zbl 1172.62027
Samarakoon, D. M. Mahinda; Knight, Keith
2009
A cascade linear filter to reduce revisions and false turning points for real time trend-cycle estimation. Zbl 1161.62062
Dagum, Estela Bee; Luati, Alessandra
2009
Periodic long-memory GARCH models. Zbl 1161.62054
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
2009
Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056
He, Changli; Teräsvirta, Timo; González, Andrés
2009
A new bispectral test for nonlinear serial dependence. Zbl 1156.62060
Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; Patterson, Douglas M.
2009
Parametric nonlinear regression with endogenous switching. Zbl 1172.62022
Terza, Joseph V.
2009
Robust transformations in univariate and multivariate time series. Zbl 1156.62057
Riani, Marco
2009
Asymptotically distribution-free goodness-of-fit testing: a unifying view. Zbl 1172.62014
Li, Bo
2009
Editorial: Special issue on statistical inference on time series stochastic and deterministic dynamics. Zbl 1453.00028
Dagum, Estela Bee; Bordignon, Silvano
2009
Performance of model selection criteria in Bayesian threshold VAR (TVAR) models. Zbl 05529881
Kwon, Yongjae; Bozdogan, Hamparsum; Bensmail, Halima
2009
Time-varying mixing weights in mixture autoregressive conditional duration models. Zbl 1161.62073
de Luca, Giovanni; Gallo, Giampiero M.
2009
On the model-based interpretation of filters and the reliability of trend-cycle estimates. Zbl 1161.62060
Proietti, Tommaso
2009
Assessing and improving the performance of nearly efficient unit root tests in small samples. Zbl 1168.62079
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
2009
Pairwise tests of purchasing power parity. Zbl 1172.62038
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla
2009
Length-bias correction in transformation models with supplementary data. Zbl 1172.62075
Shin, Youngki
2009
Tests for a unit root using three-regime TAR models: power comparison and some applications. Zbl 05618781
Maki, Daiki
2009
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
2008
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
2008
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
2008
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
2008
Optimal portfolio diversification using the maximum entropy principle. Zbl 05309109
Bera, Anil K.; Park, Sung Y.
2008
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
2008
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua
2008
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
2008
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
2008
Refined inference on long memory in realized volatility. Zbl 1359.91033
Lieberman, Offer; Phillips, Peter C. B.
2008
Generalized safety first and a new twist on portfolio performance. Zbl 05309108
Haley, M. Ryan; Whiteman, Charles H.
2008
Nonparametric estimation methods of integrated multivariate volatilities. Zbl 1359.62448
Hoshikawa, Toshiya; Nagai, Keiji; Kanatani, Taro; Nishiyama, Yoshihiko
2008
Edgeworth corrections for realized volatility. Zbl 1359.62445
Gonçalves, Sílvia; Meddahi, Nour
2008
Bayes estimate and inference for entropy and information index of fit. Zbl 05309107
Mazzuchi, Thomas A.; Soofi, Ehsan S.; Soyer, Refik
2008
Realized volatility and long memory: an overview. Zbl 1359.62460
Maasoumi, Esfandiar; McAleer, Michael
2008
Why aggregate long memory time series? Zbl 1359.62386
Souza, Leonardo Rocha
2008
Information theoretic and entropy methods: an overview. Zbl 05309102
Golan, Amos; Maasoumi, Esfandiar
2008
Approximate entropy as an irregularity measure for financial data. Zbl 05309103
Pincus, Steve
2008
Testing for nonstationarity using maximum entropy resampling: A misspecification testing perspective. Zbl 05309104
Koutris, Andreas; Heracleous, Maria S.; Spanos, Aris
2008
Determining the number of factors and lag order in dynamic factor models: A minimum entropy approach. Zbl 05309105
Jacobs, Jan P. A. M.; Otter, Pieter W.
2008
Large-deviations theory and empirical estimator choice. Zbl 1152.62018
Grendár, Marian; Judge, George
2008
A generalized cross-entropy approach for modeling spatially correlated counts. Zbl 1140.62004
Bhati, Avinash Singh
2008
A composite generalized cross-entropy formulation in small samples estimation. Zbl 1140.62005
Papalia, R. Bernardini
2008
Finite sample performance in cointegration analysis of nonlinear time series with long memory. Zbl 1359.91027
Gonçalves da Silva, Afonso; Robinson, Peter M.
2008
Entropy-based moment selection in the presence of weak identification. Zbl 05309106
Hall, Alastair R.; Inoue, Atsushi; Shin, Changmock
2008
Bayesian analysis of DSGE models. Zbl 1112.62015
An, Sungbae; Schorfheide, Frank
2007
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
2007
Asymptotic and bootstrap inference for AR($$\infty$$) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
2007
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
2007
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
2007
Forecast combination and model averaging using predictive measures. Zbl 1112.62020
Eklund, Jana; Karlsson, Sune
2007
Forecasting performance of an open economy DSGE model. Zbl 1112.62133
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
2007
Bayesian analysis of DSGE models: some comments. Zbl 1193.62181
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
2007
Bayesian analysis of DSGE models – rejoinder. Zbl 1193.62182
An, Sungbae; Schorfheide, Frank
2007
Flexible threshold models for modelling interest rate volatility. Zbl 1112.62117
Dellaportas, Petros; Denison, David G. T.; Holmes, Chris
2007
...and 248 more Documents
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#### Cited by 3,399 Authors

 40 McAleer, Michael 29 Taylor, A. M. Robert 27 Cavaliere, Giuseppe 26 Cribari-Neto, Francisco 19 Politis, Dimitris Nicolas 19 Rachev, Svetlozar T. 16 White, Halbert Lynn jun. 15 Cordeiro, Gauss Moutinho 15 Lee, Lung-Fei 15 Phillips, Peter Charles Bonest 15 Westerlund, Joakim 14 Ferrari, Silvia Lopes de Paula 14 Gourieroux, Christian 14 Pesaran, M. Hashem 14 Shin, Dongwan 14 Tsionas, Efthymios G. 13 Asai, Manabu 13 Bollerslev, Tim 13 Ghysels, Eric 13 Mittnik, Stefan 12 Maasoumi, Esfandiar 12 Sentana, Enrique 11 Baltagi, Badi H. 11 Franses, Philip Hans 11 Linton, Oliver Bruce 11 Lütkepohl, Helmut 11 Saikkonen, Pentti 10 Demetrescu, Matei 10 Hall, Alastair R. 10 Horváth, Lajos 10 Kozubowski, Tomasz J. 10 Kumbhakar, Subal C. 10 Park, Joon Y. 10 Rahbek, Anders 9 Barnett, William A. 9 del Barrio Castro, Tomas 9 Dufour, Jean-Marie 9 Godfrey, Leslie G. 9 Hafner, Christian Matthias 9 Harvey, David I. 9 Kapetanios, George 9 Lahiri, Soumendra Nath 9 Leybourne, Stephen J. 9 Martin, Gael M. 9 Medeiros, Marcelo C. 9 Meintanis, Simos G. 9 Panorska, Anna K. 9 Renault, Eric 9 Ullah, Aman 8 Abadir, Karim M. 8 Escanciano, Juan Carlos 8 Fiorentini, Gabriele 8 Hassler, Uwe 8 Inoue, Atsushi 8 Kerstens, Kristiaan 8 King, Maxwell Leslie 8 Li, Qi 8 Nordman, Daniel J. 8 Rodrigues, Paulo M. M. 8 Shukur, Ghazi 8 So, Mike K. P. 8 Tzavalis, Elias 8 Zeileis, Achim 7 Bekiros, Stelios D. 7 Bera, Anil K. 7 Boswijk, H. Peter 7 Breitung, Jorg 7 Chang, Yoosoon 7 Clark, Todd E. 7 Corradi, Valentina 7 Georgiev, Iliyan 7 Gonçalves, Sílvia 7 Gospodinov, Nikolay 7 Heun Song, Seuck 7 Hong, Yongmiao 7 Kilian, Lutz 7 Kokoszka, Piotr S. 7 Lee, Sangyeol 7 Lemonte, Artur José 7 Palm, Franz C. 7 Patton, Andrew J. 7 Perron, Pierre 7 Prucha, Ingmar R. 7 Rombouts, Jeroen V. K. 7 Serletis, Apostolos 7 Shephard, Neil 7 Swanson, Norman Rasmus 7 Wang, Lihong 7 Xiao, Zhijie 7 Xu, Keli 7 Yamagata, Takashi 7 Zumbach, Gilles O. 6 Bravo, Francesco 6 Chan, Felix T. S. 6 Chen, Cathy W. S. 6 Davidson, Russell 6 de Jong, Robert M. 6 Escobar, Marcos 6 Fernandes, Marcelo 6 Forsyth, Peter A. ...and 3,299 more Authors
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#### Cited in 227 Journals

 594 Journal of Econometrics 145 Computational Statistics and Data Analysis 144 Econometric Theory 143 Economics Letters 138 Econometric Reviews 94 Journal of Economic Dynamics & Control 81 Communications in Statistics. Theory and Methods 69 Journal of Time Series Analysis 68 Journal of Statistical Computation and Simulation 67 Quantitative Finance 60 European Journal of Operational Research 47 Journal of Statistical Planning and Inference 47 Journal of Applied Statistics 45 Communications in Statistics. Simulation and Computation 43 Mathematics and Computers in Simulation 41 Statistics & Probability Letters 40 Statistical Papers 39 Journal of Multivariate Analysis 35 The Econometrics Journal 28 Mathematical and Computer Modelling 28 Computational Statistics 26 The Annals of Statistics 18 Annals of the Institute of Statistical Mathematics 17 Journal of the Korean Statistical Society 17 Journal of Time Series Econometrics 16 Journal of Nonparametric Statistics 14 Computational Economics 14 Statistical Methods and Applications 13 Annals of Operations Research 12 Open Economies Review 12 Bernoulli 12 International Journal of Theoretical and Applied Finance 12 Journal of Forecasting 11 Statistics 11 Test 10 Metrika 10 Chaos, Solitons and Fractals 10 Journal of Computational and Applied Mathematics 10 Insurance Mathematics & Economics 10 Applied Stochastic Models in Business and Industry 10 Asia-Pacific Financial Markets 10 Electronic Journal of Statistics 10 Statistics and Computing 9 Journal of the American Statistical Association 8 International Journal of Systems Science 8 Scandinavian Journal of Statistics 8 Physica D 8 Macroeconomic Dynamics 8 Journal of Systems Science and Complexity 8 AStA. Advances in Statistical Analysis 8 The Annals of Applied Statistics 8 Annals of Finance 7 Physica A 7 Applied Mathematics Letters 7 Chaos 7 Methodology and Computing in Applied Probability 7 Journal of Statistical Theory and Practice 7 Journal of Econometric Methods 6 Metron 6 Stochastic Processes and their Applications 6 Applied Mathematical Finance 6 Science China. Mathematics 5 The Canadian Journal of Statistics 5 Studies in Nonlinear Dynamics and Econometrics 5 AStA. Allgemeines Statistisches Archiv 5 Statistical Modelling 5 Entropy 4 Journal of Computational Physics 4 Psychometrika 4 Applied Mathematics and Computation 4 Acta Mathematicae Applicatae Sinica. English Series 4 Statistical Science 4 Neural Computation 4 The Annals of Applied Probability 4 Linear Algebra and its Applications 4 Mathematical Finance 4 Australian & New Zealand Journal of Statistics 4 Statistical Inference for Stochastic Processes 4 Journal of Economic Growth 4 Brazilian Journal of Probability and Statistics 4 Review of Derivatives Research 4 Statistical Methodology 4 SIAM Journal on Financial Mathematics 4 Sankhyā. Series B 4 Journal of the Japan Statistical Society. Japanese Issue 3 Computers & Mathematics with Applications 3 Journal of Mathematical Analysis and Applications 3 Lithuanian Mathematical Journal 3 Biometrics 3 Fuzzy Sets and Systems 3 Information Sciences 3 International Economic Review 3 Kybernetika 3 Statistica Sinica 3 Complexity 3 Mathematical Problems in Engineering 3 Finance and Stochastics 3 Discrete Dynamics in Nature and Society 3 Communications in Nonlinear Science and Numerical Simulation 3 CEJOR. Central European Journal of Operations Research ...and 127 more Journals
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#### Cited in 37 Fields

 2,320 Statistics (62-XX) 885 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 395 Numerical analysis (65-XX) 238 Probability theory and stochastic processes (60-XX) 76 Operations research, mathematical programming (90-XX) 29 Computer science (68-XX) 28 Dynamical systems and ergodic theory (37-XX) 24 Systems theory; control (93-XX) 18 Biology and other natural sciences (92-XX) 17 Information and communication theory, circuits (94-XX) 11 Geophysics (86-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Special functions (33-XX) 4 Partial differential equations (35-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Mechanics of deformable solids (74-XX) 2 Number theory (11-XX) 2 Measure and integration (28-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Differential geometry (53-XX) 2 Fluid mechanics (76-XX) 1 Mathematical logic and foundations (03-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX)