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Results: 1-25 | 26-49

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Results : 1-25/49

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form

Authors: Lin, Eric S Chou, Ta-Sheng

Journal: Econometric reviews

Citation: S. Lin, Eric et Chou, Ta-sheng, Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form, Econometric reviews , 37(1), 2018, pp. 1-28

Stock return predictability: A factor-augmented predictive regression system with shrinkage method

Authors: Ohno, Saburo Ando, Tomohiro

Journal: Econometric reviews

Citation: Ohno, Saburo et Ando, Tomohiro, Stock return predictability: A factor-augmented predictive regression system with shrinkage method, Econometric reviews , 37(1), 2018, pp. 29-60

Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model

Authors: Bartolucci, Francesco Nigro, Valentina Pigini, Claudia

Journal: Econometric reviews

Citation: Bartolucci, Francesco et al., Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model, Econometric reviews , 37(1), 2018, pp. 61-88

A discrete/continuous choice model on a nonconvex budget set

Authors: Miyawaki, Koji Omori, Yasuhiro Hibiki, Akira

Journal: Econometric reviews

Citation: Miyawaki, Koji et al., A discrete/continuous choice model on a nonconvex budget set, Econometric reviews , 37(2), 2018, pp. 89-113

Modeling and forecasting realized covariance matrices with accounting for leverage

Authors: Anatolyev, Stanislav Kobotaev, Nikita

Journal: Econometric reviews

Citation: Anatolyev, Stanislav et Kobotaev, Nikita, Modeling and forecasting realized covariance matrices with accounting for leverage, Econometric reviews , 37(2), 2018, pp. 114-139

A general approach to conditional moment specification testing with projections

Authors: Wang, Xuexin

Journal: Econometric reviews

Citation: Wang, Xuexin, A general approach to conditional moment specification testing with projections, Econometric reviews , 37(2), 2018, pp. 140-165

A stochastic recurrence equations approach for score driven correlation models

Authors: Blasques, Francisco Lucas, André Silde, Erkki

Journal: Econometric reviews

Citation: Blasques, Francisco et al., A stochastic recurrence equations approach for score driven correlation models, Econometric reviews , 37(2), 2018, pp. 166-181

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency

Authors: Ando, Tomohiro Bai, Jushan

Journal: Econometric reviews

Citation: Ando, Tomohiro et Bai, Jushan, Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency, Econometric reviews , 37(3), 2018, pp. 183-211

The estimation of multidimensional fixed effects panel data models

Authors: Balazsi, Laszlo Matyas, Laszlo Wansbeek, Tom

Journal: Econometric reviews

Citation: Balazsi, Laszlo et al., The estimation of multidimensional fixed effects panel data models, Econometric reviews , 37(3), 2018, pp. 212-227

Trends cycles and seasons: Econometric methods of signal extraction

Authors: Pollock, D S G

Journal: Econometric reviews

Citation: G. Pollock, D S, Trends cycles and seasons: Econometric methods of signal extraction, Econometric reviews , 37(3), 2018, pp. 228-246

A slack analysis framework for improving composite indicators with applications to human development and sustainable energy indices

Authors: Hatefi, S M Torabi, S A

Journal: Econometric reviews

Citation: M. Hatefi, S et A. Torabi, S, A slack analysis framework for improving composite indicators with applications to human development and sustainable energy indices, Econometric reviews , 37(3), 2018, pp. 247-259

A Laplace stochastic frontier model

Authors: Horrace, William C Parmeter, Christopher F

Journal: Econometric reviews

Citation: C. Horrace, William et F. Parmeter, Christopher, A Laplace stochastic frontier model, Econometric reviews , 37(3), 2018, pp. 260-280

A multivariate volatility vine copula model

Authors: Brechmann, E C Heiden, M Okhrin, Y

Journal: Econometric reviews

Citation: C. Brechmann, E et al., A multivariate volatility vine copula model, Econometric reviews , 37(4), 2018, pp. 281-308

The asymptotic covariance matrix of the QMLE in ARMA models

Authors: Bao, Yong

Journal: Econometric reviews

Citation: Bao, Yong, The asymptotic covariance matrix of the QMLE in ARMA models, Econometric reviews , 37(4), 2018, pp. 309-324

Granger-causal analysis of GARCH models: A Bayesian approach

Authors: Wo.niak, Tomasz

Journal: Econometric reviews

Citation: Wo.niak, Tomasz, Granger-causal analysis of GARCH models: A Bayesian approach, Econometric reviews , 37(4), 2018, pp. 325-346

Information theoretic methods in small domain estimation

Authors: Papalia, Rosa Bernardini Fernandez-Vazquez, Esteban

Journal: Econometric reviews

Citation: Papalia, Rosa Bernardini et Fernandez-vazquez, Esteban, Information theoretic methods in small domain estimation, Econometric reviews , 37(4), 2018, pp. 347-359

Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach

Authors: Shintani, Mototsugu Guo, Zi-Yi

Journal: Econometric reviews

Citation: Shintani, Mototsugu et Guo, Zi-yi, Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach, Econometric reviews , 37(4), 2018, pp. 360-379

The .wrong skewness. problem in stochastic frontier models: A new approach

Authors: Hafner, Christian M Manner, Hans Simar, Léopold

Journal: Econometric reviews

Citation: M. Hafner, Christian et al., The .wrong skewness. problem in stochastic frontier models: A new approach, Econometric reviews , 37(4), 2018, pp. 380-400

Estimation of factor-augmented panel regressions with weakly influential factors

Authors: Reese, Simon Westerlund, Joakim

Journal: Econometric reviews

Citation: Reese, Simon et Westerlund, Joakim, Estimation of factor-augmented panel regressions with weakly influential factors, Econometric reviews , 37(5), 2018, pp. 401-465

Bootstrap tests for time varying cointegration

Authors: Martins, Luis F

Journal: Econometric reviews

Citation: F. Martins, Luis, Bootstrap tests for time varying cointegration, Econometric reviews , 37(5), 2018, pp. 466-483

Sample path properties of an explosive double autoregressive model

Authors: Liu, Feng Li, Dong Kang, Xinmei

Journal: Econometric reviews

Citation: Liu, Feng et al., Sample path properties of an explosive double autoregressive model, Econometric reviews , 37(5), 2018, pp. 484-490

Testing for sphericity in a two-way error components panel data model

Authors: Mao, Guangyu

Journal: Econometric reviews

Citation: Mao, Guangyu, Testing for sphericity in a two-way error components panel data model, Econometric reviews , 37(5), 2018, pp. 491-506

Functional-coefficient cointegration models in the presence of deterministic trends

Authors: Hirukawa, Masayuki Sakudo, Mari

Journal: Econometric reviews

Citation: Hirukawa, Masayuki et Sakudo, Mari, Functional-coefficient cointegration models in the presence of deterministic trends, Econometric reviews , 37(5), 2018, pp. 507-533

Parameter estimation in multivariate logit models with many binary choices

Authors: Bel, Koen Fok, Dennis Paap, Richard

Journal: Econometric reviews

Citation: Bel, Koen et al., Parameter estimation in multivariate logit models with many binary choices, Econometric reviews , 37(5), 2018, pp. 534-550

Robust parametric tests of constant conditional correlation in a MGARCH model

Authors: Shadat, Wasel Orme, Chris

Journal: Econometric reviews

Citation: Shadat, Wasel et Orme, Chris, Robust parametric tests of constant conditional correlation in a MGARCH model, Econometric reviews , 37(6), 2018, pp. 551-576

Results: 1-25 | 26-49