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The Econometrics Journal

Short Title: Econom. J.
Publisher: Wiley (Wiley-Blackwell), Oxford; Royal Economic Society, London
ISSN: 1368-4221; 1368-423X/e
Online: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1368-423X
Documents Indexed: 325 Publications (since 1998)
References Indexed: 266 Publications with 7,992 References.
all top 5

Authors

10 Phillips, Peter Charles Bonest
7 Leybourne, Stephen J.
5 Larsson, Rolf
5 Newbold, Paul
4 Hadri, Kaddour
4 Harvey, David I.
4 Hendry, David F.
4 Kapetanios, George
4 Magnus, Jan R.
4 Saikkonen, Pentti
3 Abrevaya, Jason
3 Baltagi, Badi H.
3 Bravo, Francesco
3 Chong, Terence Tai-Leung
3 Clements, Michael P.
3 Davidson, Russell
3 Johansen, Søren Glud
3 Koop, Gary
3 MacKinnon, James G.
3 Marcellino, Massimiliano
3 Nielsen, Heino Bohn
3 Orme, Chris D.
3 Perron, Pierre
3 Rahbek, Anders
3 Smith, Richard J.
3 Taylor, A. M. Robert
3 Teräsvirta, Timo
3 Trivedi, Pravin K.
2 Asai, Manabu
2 Bai, Jushan
2 Bårdsen, Gunnar
2 Bauwens, Luc C. A. A.
2 Carrion-i-Silvestre, Josep Lluís
2 Cavaliere, Giuseppe
2 del Barrio Castro, Tomas
2 Dellaportas, Petros
2 Ericsson, Neil R.
2 Frölich, Markus
2 Gao, Jiti
2 Godfrey, Leslie G.
2 Hafner, Christian Matthias
2 Hansen, Peter Reinhard
2 Hausman, Jerry Allen
2 Hoderlein, Stefan G. N.
2 Hsiao, Cheng
2 Huang, Xiao
2 Jansen, Eilev S.
2 Kao, Chihwa
2 Kawakatsu, Hiroyuki
2 Kim, Taehwan
2 Kiviet, Jan F.
2 Klüppelberg, Claudia
2 Koopman, Siem Jan
2 Lee, Lung-Fei
2 Lee, Myoungjae
2 Linton, Oliver Bruce
2 Lunde, Asger
2 Lütkepohl, Helmut
2 Lyhagen, Johan
2 Madsen, Edith
2 Mammen, Enno
2 McAleer, Michael
2 Meyer, Renate
2 Mosconi, Rocco
2 Nielsen, Bent
2 Nielsen, Morten Ørregaard
2 Nymoen, Ragnar
2 Otsu, Taisuke
2 Pesaran, M. Hashem
2 Pétursson, Thórarinn G.
2 Phillips, Garry D. A.
2 Politis, Dimitris Nicolas
2 Poskitt, Donald Stephen
2 Potter, Simon M.
2 Preminger, Arie
2 Robinson, Peter Michael
2 Rombouts, Jeroen V. K.
2 Sakata, Shinichi
2 Schluter, Christian
2 Sentana, Enrique
2 Shephard, Neil
2 Shin, Yongcheol
2 Shin, Youngki
2 Smith, Murray D.
2 Strikholm, Birgit
2 Su, Liangjun
2 Tremayne, Andrew R.
2 Ullah, Aman
2 Velasco, Carlos I. Hoyos
2 Vogelsang, Timothy J.
2 Vrontos, Ioannis D.
2 Wan, Alan T. K.
2 Windmeijer, Frank A. G.
2 Xiao, Zhijie
2 Yamagata, Takashi
2 Yang, Jingjing
2 Yu, Jun
2 Zou, Guohua
1 Aasness, Jørgen
1 Abadir, Karim M.
...and 357 more Authors

Publications by Year

Citations contained in zbMATH Open

274 Publications have been cited 2,206 times in 1,881 Documents Cited by Year
Dynamic panel estimation and homogeneity testing under cross section dependence. Zbl 1032.62111
Phillips, Peter C. B.; Sul, Donggyu
74
2003
Realized kernels in practise : trades and quotes. Zbl 1179.91259
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
50
2009
Model selection tests for nonlinear dynamic models. Zbl 1010.62110
Rivers, Douglas; Vuong, Quang
45
2002
Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques. Zbl 1053.62087
Frühwirth-Schnatter, Sylvia
45
2004
BUGS for a Bayesian analysis of stochastic volatility models. Zbl 0970.91060
Meyer, Renate; Yu, Jun
41
2000
Weak and strong cross-section dependence and estimation of large panels. Zbl 1218.62097
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa
41
2011
Non-monotonic hazard functions and the autoregressive conditional duration model. Zbl 1038.91523
Grammig, Joachim; Maurer, Kai-Oliver
37
2000
Change-point monitoring in linear models. Zbl 1106.62067
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
36
2006
Pooling of forecasts. Zbl 1053.62104
Hendry, David F.; Clements, Michael P.
36
2004
Testing for stationarity in heterogeneous panel data. Zbl 0965.62102
Hadri, Kaddour
32
2000
Statistical algorithms for models in state space using SsfPack 2. 2. Zbl 0935.91034
Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A.
31
1999
Representation theorem for convex nonparametric least squares. Zbl 1141.91640
Kuosmanen, Timo
31
2008
Modelling sample selection using Archimedean copulas. Zbl 1037.62047
Smith, Murray D.
29
2003
Some tests for parameter constancy in cointegrated VAR-models. Zbl 0982.62072
Hansen, Henrik; Johansen, Søren
29
1999
Prediction-based estimating functions. Zbl 0998.62071
Sørensen, Michael
25
2000
Nonlinear econometric models with cointegrated and deterministically trending regressors. Zbl 1007.62100
Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B.
25
2001
Measurement of aggregate risk with copulas. Zbl 1125.91351
Junker, Markus; May, Angelika
24
2005
Critical values for multiple structural change tests. Zbl 1032.62064
Bai, Jushan; Perron, Pierre
24
2003
Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis. Zbl 0965.62074
Leybourne, Stephen J.; Newbold, Paul
24
2000
Cointegration analysis in the presence of structural breaks in the deterministic trend. Zbl 0979.91070
Johansen, Søren; Mosconi, Rocco; Nielsen, Bent
24
2000
A full-factor multivariate GARCH model. Zbl 1065.91553
Vrontos, I. D.; Dellaportas, P.; Politis, D. N.
23
2003
Theory and inference for a Markov switching GARCH model. Zbl 1230.62115
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K.
23
2010
Estimation with weak instruments: accuracy of higher-order bias and MSE approximations. Zbl 1053.62128
Hahn, Jinyong; Hausman, Jerry; Kuersteiner, Guido
22
2004
Residual-based diagnostics for conditional heteroscedasticity models. Zbl 1018.62053
Tse, Y. K.
20
2002
Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application. Zbl 0935.91036
Munkin, Murat K.; Trivedi, Pravin K.
19
1999
A simple approach to quantile regression for panel data. Zbl 1284.62258
Canay, Ivan A.
19
2011
Inference for Lorenz curve orderings. Zbl 0935.91033
Dardanoni, Valentino; Forcina, Antonio
18
1999
Modelling the differences in counted outcomes using bivariate copula models with applications to mismeasured counts. Zbl 1115.62329
Cameron, Colin A.; Li, Tong; Trivedi, Pravin K.; Zimmer, David M.
17
2004
Unit root tests in three-regime SETAR models. Zbl 1096.62083
Kapetanios, George; Shin, Yongcheol
17
2006
Estimation of the mean of a univariate normal distribution with known variance. Zbl 0992.62025
Magnus, Jan R.
17
2002
The weak instrument problem of the system GMM estimator in dynamic panel data models. Zbl 1187.62139
Bun, Maurice J. G.; Windmeijer, Frank
17
2010
A Gaussian approach for continuous time models of the short-term interest rate. Zbl 1051.91516
Yu, Jun; Phillips, Peter C. B.
16
2001
Tests for a change in persistence against the null of difference-stationarity. Zbl 1065.91552
Leybourne, Stephen; Kim, Tae-Hwan; Smith, Vanessa; Newbold, Paul
16
2003
Specification and estimation of social interaction models with network structures. Zbl 1217.91162
Lee, Lung-Fei; Liu, Xiaodong; Lin, Xu
16
2010
Two-step series estimation of sample selection models. Zbl 1181.62036
Newey, Whitney K.
16
2009
Non-parametric time-varying coefficient panel data models with fixed effects. Zbl 1284.62222
Li, Degui; Chen, Jia; Gao, Jiti
16
2011
Vector equilibrium correction models with non-linear discontinuous adjustments. Zbl 1114.91338
Bec, Frédérique; Rahbek, Anders
15
2004
The tapered block bootstrap for general statistics from stationary sequences. Zbl 1009.62034
Paparoditis, Efstathios; Politis, Dimitris N.
15
2002
The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects. Zbl 1053.62068
Greene, William
15
2004
Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
15
2007
A bootstrap procedure for panel data sets with many cross-sectional units. Zbl 1141.91639
Kapetanios, G.
15
2008
Semiparametric estimation and testing of the trend of temperature series. Zbl 1145.91381
Gao, Jiti; Hawthorne, Kim
14
2006
Notation in econometrics: A proposal for a standard. Zbl 1037.62502
Abadir, Karim M.; Magnus, Jan R.
14
2002
Likelihood-based cointegration tests in heterogeneous panels. Zbl 0983.62086
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael
14
2001
ARMA representation of integrated and realized variances. Zbl 1036.62085
Meddahi, Nour
14
2003
Copula-based nonlinear quantile autoregression. Zbl 1182.62175
Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie
14
2009
Efficient GMM with nearly-weak instruments. Zbl 1182.62032
Antoine, Bertille; Renault, Eric
14
2009
Testing linearity in cointegration smooth transition regressions. Zbl 1064.62096
Choi, In; Saikkonen, Pentti
13
2004
Forecasting in dynamic factor models using Bayesian model averaging. Zbl 1063.62032
Koop, Gary; Potter, Simon
13
2004
Asymptotic local power of pooled \(t\)-ratio tests for unit roots in panels with fixed effects. Zbl 1135.91413
Moon, Hyungsik Roger; Perron, Benoit
13
2008
A bias-adjusted LM test of error cross-section independence. Zbl 1135.91414
Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi
13
2008
Non-linear GARCH models for highly persistent volatility. Zbl 1095.91046
Lanne, Markku; Saikkonen, Pentti
12
2005
On testing for unit roots and the initial observation. Zbl 1076.62088
Harvey, David I.; Leybourne, Stephen J.
12
2005
Local sensitivity and diagnostic tests. Zbl 1116.62078
Magnus, Jan R.; Vasnev, Andrey L.
12
2007
Identification and estimation of local average derivatives in non-separable models without monotonicity. Zbl 1190.62199
Hoderlein, Stefan; Mammen, Enno
12
2009
Cointegration rank inference with stationary regressors in VAR models. Zbl 0935.91038
Rahbek, Anders; Mosconi, Rocco
11
1999
Linearity tests and stationarity. Zbl 1053.62020
Kiliç, Rehim
11
2004
Asymptotic inference results for multivariate long-memory processes. Zbl 1053.62096
Dolado, Juan J.; Marmol, Francesc
11
2004
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy. Zbl 1104.62334
Xiao, Zhijie; Phillips, Peter C. B.
11
1998
Distributions of error correction tests for cointegration. Zbl 1018.62107
Ericsson, Neil R.; MacKinnon, James G.
11
2002
Testing for linear autoregressive dynamics under heteroskedasticity. Zbl 0970.91058
Hafner, Christian M.; Herwartz, Helmut
11
2000
A note on non-parametric estimation with predicted variables. Zbl 1206.62064
Sperlich, Stefan
11
2009
Functional-coefficient models under unit root behaviour. Zbl 1073.62075
Juhl, Ted
10
2005
Testing for stationary in heterogeneous panel data where the time dimension is finite. Zbl 1076.62117
Hadri, Kaddour; Larsson, Rolf
10
2005
Signal extraction and the formulation of unobserved components models. Zbl 1018.62076
Harvey, Andrew; Koopman, Siem Jan
10
2000
Are apparent findings of nonlinearity due to structural instability in economic time series? Zbl 0989.91086
Koop, Gary; Potter, Simon M.
10
2001
Fully modified narrow-band least squares estimation of weak fractional cointegration. Zbl 1218.62095
Nielsen, Morten Ørregaard; Frederiksen, Per
10
2011
Semiparametric cointegrating rank selection. Zbl 1182.62080
Cheng, Xu; Phillips, Peter C. B.
10
2009
The empirical process of autoregressive residuals. Zbl 1206.62147
Engler, Eric; Nielsen, Bent
10
2009
Some cautions on the use of panel methods for integrated series of macroeconomic data. Zbl 1114.91344
Banerjee, Anindya; Marcellino, Massimiliano; Osbat, Chiara
9
2004
Breaking the panels: an application to the GDP per capita. Zbl 1073.62114
Carrion-i-Silvestre, Josep Lluís; del Barrio-Castro, Tomás; López-Bazo, Enrique
9
2005
The NIG-S& ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. Zbl 1048.91065
Jensen, Morten B.; Lunde, Asger
9
2001
Rank estimation of a transformation model with observed truncation. Zbl 0965.91043
Abrevaya, Jason
9
1999
Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter. Zbl 1065.91533
Meyer, Renate; Fournier, David A.; Berg, Andreas
9
2003
Robust estimators for the fixed effects panel data model. Zbl 1126.62014
Bramati, Maria Caterina; Croux, Christophe
9
2007
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models. Zbl 1206.62045
Bravo, Francesco
9
2009
Granger’s representation theorem: a closed-form expression for \(I(1)\) process. Zbl 1089.91065
Hansen, Peter Reinhard
8
2005
A new technique for simulating the likelihood of stochastic differential equations. Zbl 1006.60049
Nicolau, João
8
2002
An \(I(2)\) cointegration analysis of small-country import price determination. Zbl 1069.91088
Kongsted, Hans Christian
8
2003
Semiparametric estimation of value at risk. Zbl 1065.91535
Fan, Jianqing; Gu, Juan
8
2003
How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes? Zbl 1116.62089
Choi, Chi-Young; Moh, Young-Kyu
8
2007
Misspecification in moment inequality models: back to moment equalities? Zbl 1218.62070
Ponomareva, Maria; Tamer, Elie
8
2011
More on monotone instrumental variables. Zbl 1182.91136
Manski, Charles F.; Pepper, John V.
8
2009
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-\(t\) innovations. Zbl 1190.62155
Ardia, David
8
2009
Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160
Nakatani, Tomoaki; Teräsvirta, Timo
8
2009
Stochastic frontier models with dependent error components. Zbl 1135.91407
Smith, Murray D.
8
2008
Indirect estimation of \(\alpha \)-stable distributions and processes. Zbl 1135.91406
Lombardi, Marco J.; Calzolari, Giorgio
8
2008
Semiparametric mixture models for multivariate count data, with application. Zbl 1064.62031
Alfò, Marco; Trovato, Giovanni
7
2004
Partially adaptive estimation via the maximum entropy densities. Zbl 1078.62018
Wu, Ximing; Stengos, Thanasis
7
2005
Temporal disaggregation by state space methods: dynamic regression methods revisited. Zbl 1147.62367
Proietti, Tommaso
7
2006
Non-parametric regression for binary dependent variables. Zbl 1106.62038
Frölich, Markus
7
2006
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. Zbl 0995.62077
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
7
2001
Cointegration analysis in the presence of outliers. Zbl 1053.62102
Nielsen, Heino Bohn
7
2004
Bounds for inference with nuisance parameters present only under the alternative. Zbl 1018.62104
Altissimo, Filippo; Corradi, Valentina
7
2002
Conditions for convergence of Monte Carlo \(EM\) sequences with an application to product diffusion modeling. Zbl 0955.91050
Sherman, Robert P.; Ho, Yu-Yun K.; Dalal, Siddhartha R.
7
1999
Minimum distance estimation of stationary and non-stationary ARFIMA processes. Zbl 1116.62096
Mayoral, Laura
7
2007
Testing for time series linearity. Zbl 1116.62093
Harvey, David I.; Leybourne, Stephen J.
7
2007
Testing for common trends in semi-parametric panel data models with fixed effects. Zbl 1242.91167
Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B.
7
2012
An arbitrage-free generalized Nelson-Siegel term structure model. Zbl 1179.91246
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
7
2009
Goodness-of-fit tests for functional data. Zbl 1182.62096
Bugni, Federico A.; Hall, Peter; Horowitz, Joel L.; Neumann, George R.
7
2009
Testing for common trends in semi-parametric panel data models with fixed effects. Zbl 1242.91167
Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B.
7
2012
Incorporating covariates in the measurement of welfare and inequality: methods and applications. Zbl 1242.91058
Donald, Stephen G.; Hsu, Yu-Chin; Barrett, Garry F.
6
2012
Unit root tests for panel data with AR(1) errors and small T. Zbl 1241.62123
De Blander, Rembert; Dhaene, Geert
5
2012
Statistical inference in the presence of heavy tails. Zbl 1241.62176
Davidson, Russell
4
2012
Generalized empirical likelihood testing in semiparametric conditional moment restrictions models. Zbl 1241.62064
Bravo, Francesco
2
2012
Breakdown point theory for implied probability bootstrap. Zbl 1241.62060
Camponovo, Lorenzo; Otsu, Taisuke
2
2012
On the problem of inference for inequality measures for heavy-tailed distributions. Zbl 1241.62179
Schluter, Christian
2
2012
Discussion of S.G. Donald et al. and R. Davidson. Zbl 1242.91218
Schluter, Christian
1
2012
Weak and strong cross-section dependence and estimation of large panels. Zbl 1218.62097
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa
41
2011
A simple approach to quantile regression for panel data. Zbl 1284.62258
Canay, Ivan A.
19
2011
Non-parametric time-varying coefficient panel data models with fixed effects. Zbl 1284.62222
Li, Degui; Chen, Jia; Gao, Jiti
16
2011
Fully modified narrow-band least squares estimation of weak fractional cointegration. Zbl 1218.62095
Nielsen, Morten Ørregaard; Frederiksen, Per
10
2011
Misspecification in moment inequality models: back to moment equalities? Zbl 1218.62070
Ponomareva, Maria; Tamer, Elie
8
2011
Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures. Zbl 1284.62537
Kim, Yunmi; Kim, Chang-Jin
7
2011
Testing for sphericity in a fixed effects panel data model. Zbl 1218.62055
Baltagi, Badi H.; Feng, Qu; Kao, Chihwa
6
2011
Quantile regression models with factor-augmented predictors and information criterion. Zbl 1218.62061
Ando, Tomohiro; Tsay, Ruey S.
5
2011
Cointegration and sampling frequency. Zbl 1218.62089
Chambers, Marcus J.
5
2011
Simple regression-based tests for spatial dependence. Zbl 1218.62099
Born, Benjamin; Breitung, Jörg
5
2011
Non-parametric models in binary choice fixed effects panel data. Zbl 1284.62216
Hoderlein, Stefan; Mammen, Enno; Yu, Kyusang
5
2011
Rank estimation of partially linear index models. Zbl 1284.62410
Abrevaya, Jason; Shin, Youngki
5
2011
Fixed-\(b\) analysis of LM-type tests for a shift in mean. Zbl 1284.62531
Yang, Jingjing; Vogelsang, Timothy J.
5
2011
The Hausman test in a Cliff and Ord panel model. Zbl 1218.62101
Mutl, Jan; Pfaffermayr, Michael
4
2011
On the efficiency of a semi-parametric GARCH model. Zbl 1217.91206
Di, Jianing; Gangopadhyay, Ashis
4
2011
Non-parametric regression under location shifts. Zbl 1284.62265
Phillips, Peter C. B.; Su, Liangjun
4
2011
Corrigendum to ‘A Gaussian approach for continuous time models of short-term interest rates’. Zbl 1217.91192
Phillips, Peter C. B.; Yu, Jun
2
2011
Non-parametric identification of the mixed proportional hazards model with interval-censored durations. Zbl 1218.62131
Brinch, Christian N.
2
2011
Corrigendum to “Likelihood-based cointegration tests in heterogeneous panels” by R. Larsson, J. Lyhagen and M. Löthgren. Zbl 1270.62156
Karaman Örsal, Deniz Dilan; Droge, Bernd
1
2011
An I(2) cointegration model with piecewise linear trends. Zbl 1218.62094
Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders
1
2011
Quasi-maximum likelihood estimation of discretely observed diffusions. Zbl 1218.62082
Huang, Xiao
1
2011
Test statistics for prospect and Markowitz stochastic dominances with applications. Zbl 1219.91149
Bai, Zhidong; Li, Hua; Liu, Huixia; Wong, Wing-Keung
1
2011
Theory and inference for a Markov switching GARCH model. Zbl 1230.62115
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K.
23
2010
The weak instrument problem of the system GMM estimator in dynamic panel data models. Zbl 1187.62139
Bun, Maurice J. G.; Windmeijer, Frank
17
2010
Specification and estimation of social interaction models with network structures. Zbl 1217.91162
Lee, Lung-Fei; Liu, Xiaodong; Lin, Xu
16
2010
Heterogeneity in dynamic discrete choice models. Zbl 1231.91374
Browning, Martin; Carro, Jesus M.
6
2010
Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests. Zbl 1187.62144
Madsen, Edith
6
2010
Improving robust model selection tests for dynamic models. Zbl 1230.62149
Choi, Hwan-Sik; Kiefer, Nicholas M.
5
2010
Smoothness adaptive average derivative estimation. Zbl 1187.62072
Schafgans, Marcia M. A.; Zinde-Walsh, Victoria
4
2010
ECF estimation of Markov models where the transition density is unknown. Zbl 1230.62107
Jiang, George J.; Knight, John L.
3
2010
Bimodal \(t\)-ratios: the impact of thick tails on inference. Zbl 1230.62039
Fiorio, Carlo V.; Hajivassiliou, Vassilis A.; Phillips, Peter C. B.
3
2010
Estimation of a transformation model with truncation, interval observation and time-varying covariates. Zbl 1231.91378
Honoré, Bo E.; Hu, Luojia
3
2010
Realized kernels in practise : trades and quotes. Zbl 1179.91259
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
50
2009
Two-step series estimation of sample selection models. Zbl 1181.62036
Newey, Whitney K.
16
2009
Copula-based nonlinear quantile autoregression. Zbl 1182.62175
Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie
14
2009
Efficient GMM with nearly-weak instruments. Zbl 1182.62032
Antoine, Bertille; Renault, Eric
14
2009
Identification and estimation of local average derivatives in non-separable models without monotonicity. Zbl 1190.62199
Hoderlein, Stefan; Mammen, Enno
12
2009
A note on non-parametric estimation with predicted variables. Zbl 1206.62064
Sperlich, Stefan
11
2009
Semiparametric cointegrating rank selection. Zbl 1182.62080
Cheng, Xu; Phillips, Peter C. B.
10
2009
The empirical process of autoregressive residuals. Zbl 1206.62147
Engler, Eric; Nielsen, Bent
10
2009
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models. Zbl 1206.62045
Bravo, Francesco
9
2009
More on monotone instrumental variables. Zbl 1182.91136
Manski, Charles F.; Pepper, John V.
8
2009
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-\(t\) innovations. Zbl 1190.62155
Ardia, David
8
2009
Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160
Nakatani, Tomoaki; Teräsvirta, Timo
8
2009
An arbitrage-free generalized Nelson-Siegel term structure model. Zbl 1179.91246
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
7
2009
Goodness-of-fit tests for functional data. Zbl 1182.62096
Bugni, Federico A.; Hall, Peter; Horowitz, Joel L.; Neumann, George R.
7
2009
Multivariate stochastic volatility, leverage and news impact surfaces. Zbl 1231.91483
Asai, Manabu; McAleer, Michael
7
2009
The econometrics of mean-variance efficiency tests: a survey. Zbl 1178.91232
Sentana, Enrique
6
2009
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form. Zbl 1182.62097
Coudin, Elise; Dufour, Jean-Marie
6
2009
On the impact of error cross-sectional dependence in short dynamic panel estimation. Zbl 1190.62205
Sarafidis, Vasilis; Robertson, Donald
6
2009
Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model. Zbl 1189.91229
Wilhelmsson, Anders
5
2009
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models. Zbl 1231.91484
Čížek, P.; Härdle, W.; Spokoiny, V.
5
2009
Multi-tail generalized elliptical distributions for asset returns. Zbl 1231.91488
Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Bianchi, Michele Leonardo
5
2009
Identification of peer effects using group size variation. Zbl 1181.62198
Davezies, Laurent; D’Haultfoeuille, Xavier; Fougère, Denis
4
2009
EM algorithms for ordered probit models with endogenous regressors. Zbl 1190.62200
Kawakatsu, Hiroyuki; Largey, Ann G.
3
2009
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term. Zbl 1178.62095
Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti
2
2009
Large sample inference on spatial dependence. Zbl 1182.62199
Robinson, P. M.
2
2009
Causality and forecasting in temporally aggregated multivariate GARCH processes. Zbl 1190.62170
Hafner, Christian M.
2
2009
Non-parametric regression with a latent time series. Zbl 1206.62074
Linton, Oliver; Nielsen, Jens Perch; Nielsen, Søren Feodor
2
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A note on adapting propensity score matching and selection models to choice based samples. Zbl 1182.62039
Heckman, James J.; Todd, Petra E.
1
2009
Assessing the magnitude of the concentration parameter in a simultaneous equations model. Zbl 1190.62204
Poskitt, D. S.; Skeels, C. L.
1
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On skewness and kurtosis of econometric estimators. Zbl 1206.62027
Bao, Yong; Ullah, Aman
1
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Representation theorem for convex nonparametric least squares. Zbl 1141.91640
Kuosmanen, Timo
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A bootstrap procedure for panel data sets with many cross-sectional units. Zbl 1141.91639
Kapetanios, G.
15
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Asymptotic local power of pooled \(t\)-ratio tests for unit roots in panels with fixed effects. Zbl 1135.91413
Moon, Hyungsik Roger; Perron, Benoit
13
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A bias-adjusted LM test of error cross-section independence. Zbl 1135.91414
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13
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Stochastic frontier models with dependent error components. Zbl 1135.91407
Smith, Murray D.
8
2008
Indirect estimation of \(\alpha \)-stable distributions and processes. Zbl 1135.91406
Lombardi, Marco J.; Calzolari, Giorgio
8
2008
Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: The case of stationary and non-stationary regressors and residuals. Zbl 1154.62020
Baltagi, Badi H.; Kao, Chihwa; Liu, Long
6
2008
Bootstrapping autoregression under non-stationary volatility. Zbl 1135.91408
Xu, Ke-Li
6
2008
Estimating GARCH models: When to use what? Zbl 1135.91405
Huang, Da; Wang, Hansheng; Yao, Qiwei
6
2008
Modelling portfolio defaults using hidden Markov models with covariates. Zbl 1135.91358
Banachewicz, Konrad; Lucas, André; van der Vaart, Aad
6
2008
Generic consistency of the break-point estimators under specification errors in a multiple-break model. Zbl 1141.91633
Bai, Jushan; Chen, Haiqiang; Chong, Terence Tai-Leung; Wang, Seraph Xin
6
2008
Exact formulas for the Hodrick-Prescott filter. Zbl 1135.91412
McElroy, Tucker
5
2008
A semiparametric derivative estimator in log transformation models. Zbl 1154.62030
Ai, Chunrong; Norton, Edward C.
4
2008
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models. Zbl 1141.91627
Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn
4
2008
Bootstrap inference in a linear equation estimated by instrumental variables. Zbl 1154.62018
Davidson, Russell; MacKinnon, James G.
3
2008
Semiparametric estimation of the Box-Cox transformation model. Zbl 1154.62035
Shin, Youngki
3
2008
Estimation of the stochastic conditional duration model via alternative methods. Zbl 1154.62026
Knight, John; Ning, Cathy Q.
3
2008
Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent. Zbl 1154.62369
Sandberg, Rickard
3
2008
\(k\)-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables. Zbl 1141.91641
Li, Rui; Gong, Guan
3
2008
Heterogeneity, state dependence and health. Zbl 1154.62392
Halliday, Timothy J.
2
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Asymptotic and qualitative performance of non-parametric density estimators: a comparative study. Zbl 1274.62273
Takada, Teruko
2
2008
Factor analysis in a model with rational expectations. Zbl 1141.91617
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; Marcellino, Massimiliano
2
2008
Distinguishing short and long memory volatility specifications. Zbl 1153.91556
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen J.
1
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Inflation, exchange rates and PPP in a multivariate panel cointegration model. Zbl 1135.91388
Jacobson, Tor; Lyhagen, Johan; Larsson, Rolf; Nessén, Marianne
1
2008
The impact of homework on student achievement. Zbl 1141.91636
Eren, Ozkan; Henderson, Daniel J.
1
2008
Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
15
2007
Local sensitivity and diagnostic tests. Zbl 1116.62078
Magnus, Jan R.; Vasnev, Andrey L.
12
2007
Robust estimators for the fixed effects panel data model. Zbl 1126.62014
Bramati, Maria Caterina; Croux, Christophe
9
2007
How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes? Zbl 1116.62089
Choi, Chi-Young; Moh, Young-Kyu
8
2007
Minimum distance estimation of stationary and non-stationary ARFIMA processes. Zbl 1116.62096
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18 Pesaran, M. Hashem
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14 Westerlund, Joakim
12 Linton, Oliver Bruce
11 Aue, Alexander
11 Frühwirth-Schnatter, Sylvia
11 Gao, Jiti
11 Horváth, Lajos
10 Baltagi, Badi H.
10 Leybourne, Stephen J.
10 Rahbek, Anders
9 Harvey, David I.
9 Kao, Chihwa
9 Park, Joon Y.
9 Perron, Pierre
9 Proietti, Tommaso
9 Saikkonen, Pentti
9 Shin, Yongcheol
9 Su, Liangjun
8 Cai, Zongwu
8 Hafner, Christian Matthias
8 Hušková, Marie
8 Karlis, Dimitris
8 Koopman, Siem Jan
8 Magnus, Jan R.
8 McAleer, Michael
8 Sriboonchitta, Songsak
8 Urbain, Jean-Pierre
8 Wang, Qiying
7 Cook, Steven C.
7 Georgiev, Iliyan
7 Hendry, David F.
7 Hsiao, Cheng
7 Johansen, Søren Glud
7 Lee, Lung-Fei
7 Li, Qi
7 Nielsen, Morten Ørregaard
7 Ooms, Marius
7 Tzavalis, Elias
7 Wan, Alan T. K.
7 Xiao, Zhijie
7 Yamagata, Takashi
6 Andrews, Donald Wilfrid Kao
6 Bai, Jushan
6 Battaglia, Francesco Paolo
6 Caporale, Guglielmo Maria
6 Chang, Yoosoon
6 Chen, Xiaohong
6 Čížek, Pavel
6 Demetrescu, Matei
6 Fernández-Val, Iván
6 Johnson, Andrew L.
6 Lahiri, Soumendra Nath
6 Li, Degui
6 Marra, Giampiero
6 Nordman, Daniel J.
6 Patton, Andrew J.
6 Politis, Dimitris Nicolas
6 Rodrigues, Paulo M. M.
6 Shephard, Neil
6 Sorensen, Michael
6 Swanson, Norman Rasmus
6 Veredas, David
6 Vrontos, Ioannis D.
6 Zhang, Xibin
6 Zou, Guohua
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5 Asai, Manabu
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Cited in 168 Journals

418 Journal of Econometrics
146 Computational Statistics and Data Analysis
143 Econometric Theory
69 Economics Letters
69 The Econometrics Journal
54 Journal of Time Series Analysis
43 Econometric Reviews
35 Journal of Statistical Planning and Inference
34 Communications in Statistics. Simulation and Computation
34 Journal of Statistical Computation and Simulation
34 Journal of Applied Statistics
33 Quantitative Finance
30 European Journal of Operational Research
28 Journal of Multivariate Analysis
27 Journal of Economic Dynamics & Control
21 Computational Statistics
21 Communications in Statistics. Theory and Methods
21 Statistical Papers
18 Journal of Time Series Econometrics
17 Journal of the American Statistical Association
17 Mathematics and Computers in Simulation
16 Statistics & Probability Letters
16 Statistical Methods and Applications
15 Scandinavian Journal of Statistics
15 The Annals of Statistics
15 Open Economies Review
13 Journal of Forecasting
12 Insurance Mathematics & Economics
12 AStA. Advances in Statistical Analysis
12 Electronic Journal of Statistics
12 Statistics and Computing
12 Journal of Econometric Methods
11 Statistics
10 Journal of the Korean Statistical Society
9 Bernoulli
8 Metrika
8 Annals of the Institute of Statistical Mathematics
8 Statistica Neerlandica
8 Computational Economics
8 Test
8 Methodology and Computing in Applied Probability
7 Studies in Nonlinear Dynamics and Econometrics
7 Brazilian Journal of Probability and Statistics
7 The Annals of Applied Statistics
6 The Canadian Journal of Statistics
6 Psychometrika
6 International Economic Review
6 Applied Stochastic Models in Business and Industry
6 Science China. Mathematics
6 Bayesian Analysis
5 Journal of Computational and Applied Mathematics
5 Metron
5 International Journal of Approximate Reasoning
5 Stochastic Processes and their Applications
5 Journal of Nonparametric Statistics
5 Journal of the Royal Statistical Society. Series B. Statistical Methodology
5 International Journal of Theoretical and Applied Finance
5 Macroeconomic Dynamics
5 Statistical Inference for Stochastic Processes
5 Journal of Economic Growth
5 Statistical Modelling
5 ASTIN Bulletin
5 Journal of Statistical Theory and Practice
5 Bulletin of Economic Research
5 Journal of Probability and Statistics
4 Applied Mathematics and Computation
4 Journal of Applied Probability
4 Operations Research Letters
4 Statistical Science
4 Annals of Operations Research
4 Neural Computation
4 Statistica Sinica
4 Discrete Dynamics in Nature and Society
4 Scandinavian Actuarial Journal
4 Journal of Systems Science and Complexity
4 Asia-Pacific Financial Markets
4 Thai Journal of Mathematics
4 Statistical Methodology
4 Advances in Data Analysis and Classification. ADAC
4 Quantitative Economics
3 Advances in Applied Probability
3 Journal of Mathematical Biology
3 Biometrics
3 Acta Mathematicae Applicatae Sinica. English Series
3 Automation and Remote Control
3 Finance and Stochastics
3 Computational Management Science
3 European Journal of Pure and Applied Mathematics
3 Sankhyā. Series B
2 Journal of the Franklin Institute
2 Mathematical Biosciences
2 Physica A
2 Biometrical Journal
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2 International Statistical Review
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