Table of contents for issues of Econometrics and Statistics

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Volume 1, Number ??, January, 2017
Volume 2, Number ??, April, 2017
Volume 3, Number ??, July, 2017
Volume 4, Number ??, October, 2017
Volume 5, Number ??, January, 2018
Volume 7, Number ??, July, 2018
Volume 6, Number ??, April, 2018
Volume 7, Number ??, July, 2018
Volume 8, Number ??, October, 2018
Volume 9, Number ??, January, 2019
Volume 10, Number ??, April, 2019
Volume 11, Number ??, July, 2019
Volume 12, Number ??, October, 2019
Volume 13, Number ??, January, 2020
Volume 14, Number ??, April, 2020
Volume 15, Number ??, July, 2020
Volume 16, Number ??, October, 2020
Volume 17, Number ??, January, 2021
Volume 18, Number ??, April, 2021
Volume 19, Number ??, July, 2021
Volume 20, Number ??, October, 2021
Volume 21, Number ??, January, 2022
Volume 22, Number ??, April, 2022
Volume 23, Number ??, July, 2022
Volume 24, Number ??, October, 2022
Volume 25, Number ??, January, 2023
Volume 26, Number ??, April, 2023
Volume 27, Number ??, July, 2023
Volume 28, Number ??, October, 2023
Volume 29, Number ??, January, 2024
Volume 30, Number ??, April, 2024
Volume 31, Number ??, July, 2024
Volume 32, Number ??, October, 2024


Econometrics and Statistics
Volume 1, Number ??, January, 2017

     Erricos Kontoghiorghes and   
         Herman K. Van Dijk and   
                     Ana Colubi   \booktitleEconometrics and Statistics    1--1
                      Anonymous   Pages 1-200 (January 2017) . . . . . . . 1--200
      Helmut Lütkepohl and   
             Aleksei Netsunajev   Structural vector autoregressions with
                                  heteroskedasticity: A review of
                                  different volatility models  . . . . . . 2--18
               Marc S. Paolella   Asymmetric stable Paretian distribution
                                  testing  . . . . . . . . . . . . . . . . 19--39
                Luc Bauwens and   
            Manuela Braione and   
                Giuseppe Storti   A dynamic component model for
                                  forecasting high-dimensional realized
                                  covariance matrices  . . . . . . . . . . 40--61
               P. S. Catani and   
               N. J. C. Ahlgren   Combined Lagrange multiplier test for
                                  ARCH in vector autoregressive models . . 62--84
               Josu Arteche and   
Javier García-Enríquez   Singular Spectrum Analysis for signal
                                  extraction in Stochastic Volatility
                                  models . . . . . . . . . . . . . . . . . 85--98
             Piotr Kokoszka and   
                  Hanny Oja and   
                Byeong Park and   
                 Laura Sangalli   Special issue on functional data
                                  analysis . . . . . . . . . . . . . . . . 99--100
               P. Burdejova and   
             W. Härdle and   
                P. Kokoszka and   
                       Q. Xiong   Change point and trend analyses of
                                  annual expectile curves of tropical
                                  storms . . . . . . . . . . . . . . . . . 101--117
Gil González-Rodríguez and   
                     Ana Colubi   On the consistency of bootstrap methods
                                  in separable Hilbert spaces  . . . . . . 118--127
                 J. Klepsch and   
        C. Klüppelberg and   
                         T. Wei   Prediction of functional ARMA processes
                                  with an application to traffic data  . . 128--149
    Seyed Nourollah Mousavi and   
          Helle Sòrensen   Multinomial functional regression with
                                  wavelets and LASSO penalization  . . . . 150--166
                 Zhaohu Fan and   
               Matthew Reimherr   High-dimensional adaptive
                                  function-on-scalar regression  . . . . . 167--183
                  Han Lin Shang   Functional time series forecasting with
                                  dynamic updating: An application to
                                  intraday particulate matter
                                  concentration  . . . . . . . . . . . . . 184--200


Econometrics and Statistics
Volume 2, Number ??, April, 2017

              Jan F. Kiviet and   
                    Milan Pleus   The performance of tests on endogeneity
                                  of subsets of explanatory variables
                                  scanned by simulation  . . . . . . . . . 1--21
                      Anonymous   Pages 1-148 (April 2017) . . . . . . . . 1--148
           Dawlah Al-Sulami and   
               Zhenyu Jiang and   
                    Zudi Lu and   
                        Jun Zhu   Estimation for semiparametric nonlinear
                                  regression of irregularly located
                                  spatial time-series data . . . . . . . . 22--35
                  Michael Creel   Neural nets for indirect inference . . . 36--49
       Zacharias Psaradakis and   
     Marián Vávra   A distance test of normality for a wide
                                  class of stationary processes  . . . . . 50--60
Deniz Dilan Karaman Örsal and   
                 Antonia Arsova   Meta-analytic cointegrating rank tests
                                  for dependent panels . . . . . . . . . . 61--72
                   J. S. Marron   Big Data in context and robustness
                                  against heterogeneity  . . . . . . . . . 73--80
                     Shu Li and   
                 Jan Ernest and   
            Peter Bühlmann   Nonparametric causal inference from
                                  observational time series through
                                  marginal integration . . . . . . . . . . 81--105
           Davy Paindaveine and   
Rondrotiana Joséa Rasoafaraniaina and   
               Thomas Verdebout   Preliminary test estimation for
                                  multi-sample principal components  . . . 106--116
      Konstantinos Fokianos and   
            Theodoros Moysiadis   Binary time series models driven by a
                                  latent process . . . . . . . . . . . . . 117--130
                    G. Tutz and   
                      M. Berger   Separating location and dispersion in
                                  ordinal regression models  . . . . . . . 131--148


Econometrics and Statistics
Volume 3, Number ??, July, 2017

               Taeryon Choi and   
             Yasuhiro Omori and   
              Michael Smith and   
              Stephen G. Walker   Special issue on Bayesian methods in
                                  statistics and econometrics  . . . . . . 1--2
                      Anonymous   Pages 1-168 (July 2017)  . . . . . . . . 1--168
             Lutz F. Gruber and   
                      Mike West   Bayesian online variable selection and
                                  scalable multivariate volatility
                                  forecasting in simultaneous graphical
                                  dynamic linear models  . . . . . . . . . 3--22
              D. K. Sakaria and   
                  J. E. Griffin   On efficient Bayesian inference for
                                  models with stochastic volatility  . . . 23--33
         Shinichiro Shirota and   
             Yasuhiro Omori and   
         Hedibert. F. Lopes and   
                  Haixiang Piao   Cholesky realized stochastic volatility
                                  model  . . . . . . . . . . . . . . . . . 34--59
                   Wenxin Jiang   On limiting distribution of
                                  quasi-posteriors under partial
                                  identification . . . . . . . . . . . . . 60--72
       Catalina A. Vallejos and   
               Mark F. J. Steel   Incorporating unobserved heterogeneity
                                  in Weibull survival models: A Bayesian
                                  approach . . . . . . . . . . . . . . . . 73--88
                 John Hinde and   
        Salvatore Ingrassia and   
                Tsung-I Lin and   
             Paul D. McNicholas   Special issue on mixture models  . . . . 89--90
          Marco Gambacciani and   
               Marc S. Paolella   Robust normal mixtures for financial
                                  portfolio allocation . . . . . . . . . . 91--111
       Francesco Bartolucci and   
               Silvia Bacci and   
                 Claudia Pigini   Misspecification test for random effects
                                  in generalized linear finite-mixture
                                  models for clustered binary and ordered
                                  data . . . . . . . . . . . . . . . . . . 112--131
                Antonio Forcina   A Fisher-scoring algorithm for fitting
                                  latent class models with individual
                                  covariates . . . . . . . . . . . . . . . 132--140
            Md. Abul Hasnat and   
              Julien Velcin and   
          Stephane Bonnevay and   
                 Julien Jacques   Evolutionary clustering for categorical
                                  data using parametric links among
                                  multinomial mixture models . . . . . . . 141--159
            Paula M. Murray and   
             Ryan P. Browne and   
             Paul D. McNicholas   A mixture of SDB skew-$t$ factor
                                  analyzers  . . . . . . . . . . . . . . . 160--168


Econometrics and Statistics
Volume 4, Number ??, October, 2017

              Peter Boswijk and   
                Marc Hallin and   
                   Degui Li and   
        Dimitris N. Politis and   
                  Robert Taylor   Special issue on time series
                                  econometrics . . . . . . . . . . . . . . 1--2
                      Anonymous   Pages 1-130 (October 2017) . . . . . . . 1--130
               Josu Arteche and   
                     Jesus Orbe   A strategy for optimal bandwidth
                                  selection in Local Whittle estimation    3--17
            Francesco Bravo and   
                  Ba M. Chu and   
   David T. Jacho-Chávez   Generalized empirical likelihood M
                                  testing for semiparametric models with
                                  time series data . . . . . . . . . . . . 18--30
           Manfred Deistler and   
               Lukas Koelbl and   
           Brian D. O. Anderson   Non-identifiability of VMA and VARMA
                                  systems in the mixed frequency case  . . 31--38
        Tore Selland Kleppe and   
                    Atle Oglend   Estimating the competitive storage
                                  model: A simulated likelihood approach   39--56
              M. Matilainen and   
                   C. Croux and   
              K. Nordhausen and   
                         H. Oja   Supervised dimension reduction for
                                  multivariate time series . . . . . . . . 57--69
       Loukia Meligkotsidou and   
             Elias Tzavalis and   
                Ioannis Vrontos   On Bayesian analysis and unit root
                                  testing for autoregressive models in the
                                  presence of multiple structural breaks   70--90
              Toshihiro Abe and   
                 Christophe Ley   A tractable, parsimonious and flexible
                                  model for cylindrical data, with
                                  applications . . . . . . . . . . . . . . 91--104
                   Hao Chai and   
             Qingzhao Zhang and   
                   Yu Jiang and   
                Guohua Wang and   
               Sanguo Zhang and   
            Syed Ejaz Ahmed and   
                    Shuangge Ma   Identifying gene-environment
                                  interactions for prognosis using a
                                  robust approach  . . . . . . . . . . . . 105--120
                Rene Segers and   
        Philip Hans Franses and   
                 Bert de Bruijn   A novel approach to measuring consumer
                                  confidence . . . . . . . . . . . . . . . 121--129


Econometrics and Statistics
Volume 5, Number ??, January, 2018

              Martin Becker and   
      Stefan Klößner   Fast and reliable computation of
                                  generalized synthetic controls . . . . . 1--19
                      Anonymous   Pages 1-188 (January 2018) . . . . . . . 1--188
          Efstathios Panayi and   
           Gareth W. Peters and   
             Jon Danielsson and   
            Jean-Pierre Zigrand   Designating market maker behaviour in
                                  limit order book markets . . . . . . . . 20--44
                J. Isaac Miller   Simple robust tests for the
                                  specification of high-frequency
                                  predictors of a low-frequency series . . 45--66
        Lyudmila Grigoryeva and   
          Juan-Pablo Ortega and   
             Anatoly Peresetsky   Volatility forecasting using global
                                  stochastic financial trends extracted
                                  from non-synchronous data  . . . . . . . 67--82
             Francesco Lamperti   An information theoretic criterion for
                                  empirical validation of simulation
                                  models . . . . . . . . . . . . . . . . . 83--106
            Martyna Marczak and   
           Tommaso Proietti and   
                 Stefano Grassi   A data-cleaning augmented Kalman filter
                                  for robust estimation of state space
                                  models . . . . . . . . . . . . . . . . . 107--123
                 Takuma Yoshida   Semiparametric method for model
                                  structure discovery in additive
                                  regression models  . . . . . . . . . . . 124--136
          Sebastian Döhler   A discrete modification of the
                                  Benjamini--Yekutieli procedure . . . . . 137--147
            Aboubacar Amiri and   
              Sophie Dabo-Niang   Density estimation over spatio-temporal
                                  data streams . . . . . . . . . . . . . . 148--170
                 Shoichi Eguchi   Model comparison for generalized linear
                                  models with dependent observations . . . 171--188


Econometrics and Statistics
Volume 7, Number ??, July, 2018

          George Kapetanios and   
                Simon Price and   
                    Garry Young   A UK financial conditions index using
                                  targeted data reduction: Forecasting and
                                  structural identification  . . . . . . . 1--17


Econometrics and Statistics
Volume 6, Number ??, April, 2018

       Vikram Krishnamurthy and   
            Elisabeth Leoff and   
                 Jörn Sass   Filterbased stochastic volatility in
                                  continuous-time hidden Markov models . . 1--21
      Imma Valentina Curato and   
       Maria Elvira Mancino and   
       Maria Cristina Recchioni   Spot volatility estimation using the
                                  Laplace transform  . . . . . . . . . . . 22--43
                Willi Mutschler   Higher-order statistics for DSGE models  44--56
         Jörg Breitung and   
                 Sven Schreiber   Assessing causality and delay within a
                                  frequency band . . . . . . . . . . . . . 57--73
                  Ximing Wu and   
                  Robin Sickles   Semiparametric estimation under shape
                                  constraints  . . . . . . . . . . . . . . 74--89
           Gareth Liu-Evans and   
           Garry D. A. Phillips   On the use of higher order bias
                                  approximations for 2SLS and $k$-class
                                  estimators with non-normal disturbances
                                  and many instruments . . . . . . . . . . 90--105
                Armelle Guillou   Special issue on statistics of extremes
                                  and applications . . . . . . . . . . . . 106--106
               Cees de Valk and   
                  Juan-Juan Cai   A high quantile estimator based on the
                                  log-generalized Weibull tail limit . . . 107--128
         Jonathan El Methni and   
                Gilles Stupfler   Improved estimators of extreme Wang
                                  distortion risk measures for very
                                  heavy-tailed distributions . . . . . . . 129--148
             Nadine Gissibl and   
   Claudia Klüppelberg and   
                    Moritz Otto   Tail dependence of recursive max-linear
                                  models with regularly varying noise
                                  variables  . . . . . . . . . . . . . . . 149--167


Econometrics and Statistics
Volume 7, Number ??, July, 2018

                      Anonymous   Pages 1-164 (July 2018)  . . . . . . . . 1--164
               D. S. G. Pollock   Stochastic processes of limited
                                  frequency and the effects of
                                  oversampling . . . . . . . . . . . . . . 18--29
              C. Gourieroux and   
                     A. Monfort   Composite indirect inference with
                                  application to corporate risks . . . . . 30--45
              Nelson Muriel and   
Graciela González-Farías   Testing the null of difference
                                  stationarity against the alternative of
                                  a stochastic unit root: A new test based
                                  on multivariate STUR . . . . . . . . . . 46--62
      Tomasz Górecki and   
       Lajos Horváth and   
                 Piotr Kokoszka   Change point detection in
                                  heteroscedastic time series  . . . . . . 63--88
          Aleksandar Sujica and   
            Ingrid Van Keilegom   The copula-graphic estimator in censored
                                  nonparametric location-scale regression
                                  models . . . . . . . . . . . . . . . . . 89--114
                  Meng Wang and   
                  Zhao Chen and   
             Christina Dan Wang   Composite quantile regression for GARCH
                                  models using high-frequency data . . . . 115--133
                M. S. Ahmed and   
              M. K. Attouch and   
                  S. Dabo-Niang   Binary functional linear models under
                                  choice-based sampling  . . . . . . . . . 134--152
            Matthias Schmid and   
               Gerhard Tutz and   
              Thomas Welchowski   Discrimination measures for discrete
                                  time-to-event predictions  . . . . . . . 153--164


Econometrics and Statistics
Volume 8, Number ??, October, 2018

                  Xuming He and   
               Thomas Kneib and   
            Carlos Lamarche and   
                       Lan Wang   Special issue on quantile regression and
                                  semiparametric methods . . . . . . . . . 1--2
                      Anonymous   Pages 1-250 (October 2018) . . . . . . . 1--250
              Christophe Muller   Heterogeneity and nonconstant effect in
                                  two-stage quantile regression  . . . . . 3--12
               Javier Alejo and   
          Antonio F. Galvao and   
           Gabriel Montes-Rojas   Quantile continuous treatment effects    13--36
                 Kostas Florios   A hyperplanes intersection simulated
                                  annealing algorithm for maximum score
                                  estimation . . . . . . . . . . . . . . . 37--55
                Sebastian Bayer   Combining Value-at-Risk forecasts using
                                  penalized quantile regressions . . . . . 56--77
          Huybrechts F. Bindele   Covariates missing at random under
                                  signed-rank inference  . . . . . . . . . 78--93
               Xiaojun Tong and   
         Zhuoqiong Chong He and   
                    Dongchu Sun   Estimating Chinese Treasury yield curves
                                  with Bayesian smoothing splines  . . . . 94--124
               Philipp Bach and   
          Helmut Farbmacher and   
                Martin Spindler   Semiparametric count data modeling with
                                  an application to health service demand  125--140
                Harry Haupt and   
          Joachim Schnurbus and   
                  Willi Semmler   Estimation of grouped, time-varying
                                  convergence in economic growth . . . . . 141--158
              John M. Maheu and   
              Marc Paolella and   
               Tak Kuen Siu and   
                  Mike K. P. So   Special issue on risk management . . . . 159--160
              Marius Hofert and   
                  Wayne Oldford   Visualizing dependence in
                                  high-dimensional data: An application to
                                  S&P 500 constituent data  . . . . . . . . 161--183
             Simon A. Broda and   
              Jochen Krause and   
               Marc S. Paolella   Approximating expected shortfall for
                                  heavy-tailed distributions . . . . . . . 184--203
Frédéric Karamé   A new particle filtering approach to
                                  estimate stochastic volatility models
                                  with Markov-switching  . . . . . . . . . 204--230
                Yixing Zhao and   
              Rogemar Mamon and   
                       Huan Gao   A two-decrement model for the valuation
                                  and risk measurement of a guaranteed
                                  annuity option . . . . . . . . . . . . . 231--249


Econometrics and Statistics
Volume 9, Number ??, January, 2019

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
               Eric Ghysels and   
                      Hang Qian   Estimating MIDAS regressions via OLS
                                  with polynomial parameter profiling  . . 1--16
                      Anonymous   Pages 1-170 (January 2019) . . . . . . . 1--170
       Christian Gourieroux and   
                   Joann Jasiak   Robust analysis of the martingale
                                  hypothesis . . . . . . . . . . . . . . . 17--41
             Majid M. Al-Sadoon   Testing subspace Granger causality . . . 42--61
              Yonghui Zhang and   
                   Qiankun Zhou   Estimation for time-invariant effects in
                                  dynamic panel data models with
                                  application to income dynamics . . . . . 62--77
       Christian Leschinski and   
             Philipp Sibbertsen   Model order selection in periodic long
                                  memory models  . . . . . . . . . . . . . 78--94
Frédéric Ferraty and   
              Anthony Zullo and   
                 Mathieu Fauvel   Nonparametric regression on contaminated
                                  functional predictor with application to
                                  hyperspectral data . . . . . . . . . . . 95--107
            Peter Rousseeuw and   
          Domenico Perrotta and   
                Marco Riani and   
                     Mia Hubert   Robust Monitoring of Time Series with
                                  Application to Fraud Detection . . . . . 108--121
                Zhaoyuan Li and   
                   Jianfeng Yao   Testing for heteroscedasticity in
                                  high-dimensional regressions . . . . . . 122--139
                Yanqing Sun and   
             Yuanqing Zhang and   
               Jianhua Z. Huang   Estimation of a semiparametric
                                  varying-coefficient mixed regressive
                                  spatial autoregressive model . . . . . . 140--155
             Benedikt Funke and   
              Masayuki Hirukawa   Nonparametric estimation and testing on
                                  discontinuity of positive supported
                                  densities: a kernel truncation approach  156--170


Econometrics and Statistics
Volume 10, Number ??, April, 2019

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
               Donald Brown and   
               Rustam Ibragimov   Sign tests for dependent observations    1--8
                      Anonymous   Pages 1-170 (April 2019) . . . . . . . . 1--170
           Brendan K. Beare and   
                    Xiaoxia Shi   An improved bootstrap test of density
                                  ratio ordering . . . . . . . . . . . . . 9--26
            Federico Poloni and   
                 Giacomo Sbrana   Closed-form results for vector moving
                                  average models with a univariate
                                  estimation approach  . . . . . . . . . . 27--52
    Chrysoula Dimitriou-Fakalou   On accepting the edge-effect (for the
                                  inference of ARMA-type processes in $
                                  \mathbb {Z}^2 $) . . . . . . . . . . . . 53--70
              Kazuhiko Hayakawa   Alternative over-identifying restriction
                                  test in the GMM estimation of panel data
                                  models . . . . . . . . . . . . . . . . . 71--95
          Cyrus J. DiCiccio and   
           Joseph P. Romano and   
                   Michael Wolf   Improving weighted least squares
                                  inference  . . . . . . . . . . . . . . . 96--119
              A. Skripnikov and   
                 G. Michailidis   Joint estimation of multiple network
                                  Granger causal models  . . . . . . . . . 120--133
          Carlo Grillenzoni and   
             Michele Fornaciari   On-line peak detection in medical time
                                  series with adaptive regression methods  134--150
           Michelle Anzarut and   
          Ramsés H. Mena   A Harris process to model stochastic
                                  volatility . . . . . . . . . . . . . . . 151--169


Econometrics and Statistics
Volume 11, Number ??, July, 2019

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          M. Hashem Pesaran and   
                   Ron P. Smith   A Bayesian analysis of linear regression
                                  models with highly collinear regressors  1--21
                      Anonymous   Pages 1-158 (July 2019)  . . . . . . . . 1--158
         Fabrizio Cipollini and   
             Giampiero M. Gallo   Modeling Euro STOXX 50 volatility with
                                  common and market-specific components    22--42
             Maxwell Sutton and   
           Andrey L. Vasnev and   
                Richard Gerlach   Mixed interval realized variance: a
                                  robust estimator of stock price
                                  volatility . . . . . . . . . . . . . . . 43--62
       Carolina Castagnetti and   
              Eduardo Rossi and   
                Lorenzo Trapani   A two-stage estimator for heterogeneous
                                  panel models with common factors . . . . 63--82
              Milda Norkute and   
              Joakim Westerlund   The factor analytical method for
                                  interactive effects dynamic panel models
                                  with moving average errors . . . . . . . 83--104
              Dominik Liebl and   
                 Fabian Walders   Parameter regimes in partial functional
                                  panel regression . . . . . . . . . . . . 105--115
        Fabian Otto-Sobotka and   
             Nicola Salvati and   
     Maria Giovanna Ranalli and   
                   Thomas Kneib   Adaptive semiparametric $M$-quantile
                                  regression . . . . . . . . . . . . . . . 116--129
             Lendie Follett and   
                       Cindy Yu   Achieving parsimony in Bayesian vector
                                  autoregressions with the horseshoe prior 130--144
                 Yuta Koike and   
                    Yuta Tanoue   Oracle inequalities for sign constrained
                                  generalized linear models  . . . . . . . 145--157


Econometrics and Statistics
Volume 12, Number ??, October, 2019

                      Anonymous   Pages 1-216 (October 2019) . . . . . . . 1--216
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                 Changli He and   
                  Jian Kang and   
       Timo Teräsvirta and   
                   Shuhua Zhang   The shifting seasonal mean
                                  autoregressive model and seasonality in
                                  the Central England monthly temperature
                                  series, 1772--2016 . . . . . . . . . . . 1--24
            Markus Leippold and   
                    Hanlin Yang   Particle filtering, learning, and
                                  smoothing for mixed-frequency
                                  state-space models . . . . . . . . . . . 25--41
                 Claudio Morana   Regularized semiparametric estimation of
                                  high dimensional dynamic conditional
                                  covariance matrices  . . . . . . . . . . 42--65
Javier García-Enríquez and   
                  Javier Hualde   Local Whittle estimation of long memory:
                                  Standard versus bias-reducing techniques 66--77
               Robert L. Czudaj   Dynamics between trading volume,
                                  volatility and open interest in
                                  agricultural futures markets: a Bayesian
                                  time-varying coefficient approach  . . . 78--145
           Christian Genest and   
           Ivan Kojadinovic and   
               Fabrizio Durante   Introduction to the special topic on
                                  copula modeling  . . . . . . . . . . . . 146--147
Jean-François Quessy and   
                Martin Durocher   The class of copulas arising from
                                  squared distributions: Properties and
                                  inference  . . . . . . . . . . . . . . . 148--166
                  Vinnie Ko and   
                 Nils Lid Hjort   Copula information criterion for model
                                  selection with two-stage maximum
                                  likelihood estimation  . . . . . . . . . 167--180
               Elif F. Acar and   
              Claudia Czado and   
                    Martin Lysy   Flexible dynamic vine copula models for
                                  multivariate time series data  . . . . . 181--197
              Claudia Czado and   
               Eugen Ivanov and   
                  Yarema Okhrin   Modelling temporal dependence of
                                  realized variances with vines  . . . . . 198--216


Econometrics and Statistics
Volume 13, Number ??, January, 2020

                      Anonymous   Pages 1-196 (January 2020) . . . . . . . 1--196
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              Tomohiro Ando and   
     Erricos Kontoghiorghes and   
                   Peter Winker   CFEnetwork: the annals of computational
                                  and financial econometrics, $ 5^{\rm th}
                                  $ issue  . . . . . . . . . . . . . . . . 1--1
        Jaroslava Hlouskova and   
            Leopold Sögner   GMM estimation of affine term structure
                                  models . . . . . . . . . . . . . . . . . 2--15
                  Jan F. Kiviet   Microeconometric dynamic panel data
                                  methods: Model specification and
                                  selection issues . . . . . . . . . . . . 16--45
                Yuta Kurose and   
                 Yasuhiro Omori   Multiple-block dynamic equicorrelations
                                  with realized measures, leverage and
                                  endogeneity  . . . . . . . . . . . . . . 46--68
      Helmut Lütkepohl and   
   Anna Staszewska-Bystrova and   
                   Peter Winker   Constructing joint confidence bands for
                                  impulse response functions of VAR models
                                  --- a review . . . . . . . . . . . . . . 69--83
                Xiuping Mao and   
           Veronika Czellar and   
                Esther Ruiz and   
                   Helena Veiga   Asymmetric stochastic volatility models:
                                  Properties and particle filter-based
                                  simulated maximum likelihood estimation  84--105
      Jeroen V. K. Rombouts and   
              Lars Stentoft and   
             Francesco Violante   Variance swap payoffs, risk premia and
                                  extreme market conditions  . . . . . . . 106--124
               Hidetoshi Matsui   Quadratic regression for functional
                                  response models  . . . . . . . . . . . . 125--136
      Clément Albert and   
                Anne Dutfoy and   
             Laurent Gardes and   
         Stéphane Girard   An extreme quantile estimator for the
                                  log-generalized Weibull-tail model . . . 137--174
       Vaidotas Characiejus and   
                   Gregory Rice   A general white noise test based on
                                  kernel lag-window estimates of the
                                  spectral density operator  . . . . . . . 175--196


Econometrics and Statistics
Volume 14, Number ??, April, 2020

                      Anonymous   Pages 1-158 (April 2020) . . . . . . . . 1--158
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
           Abdelaati Daouia and   
        Jean-Pierre Florens and   
           Léopold Simar   Robust frontier estimation from noisy
                                  data: a Tikhonov regularization approach 1--23
                     Jeppe Rich   A spline function class suitable for
                                  demand models  . . . . . . . . . . . . . 24--37
              Giovanni Angelini   Bootstrap lag selection in DSGE models
                                  with expectations correction . . . . . . 38--48
             Vasyl Golosnoy and   
            Wolfgang Schmid and   
      Miriam Isabel Seifert and   
                  Taras Lazariv   Statistical inferences for realized
                                  portfolio weights  . . . . . . . . . . . 49--62
              Silvia Figini and   
                Mario Maggi and   
               Pierpaolo Uberti   The market rank indicator to detect
                                  financial distress . . . . . . . . . . . 63--73
              Elvezio Ronchetti   Accurate and robust inference  . . . . . 74--88
              Wicher P. Bergsma   Regression with $I$-priors . . . . . . . 89--111
          Tucker S. McElroy and   
                     Marc Wildi   The Multivariate Linear Prediction
                                  Problem: Model-Based and Direct
                                  Filtering Solutions  . . . . . . . . . . 112--130
                Liang Zhang and   
               Tianming Zhu and   
                 Jin-Ting Zhang   A Simple Scale-Invariant Two-Sample Test
                                  for High-dimensional Data  . . . . . . . 131--144
             Rosaria Simone and   
               Gerhard Tutz and   
                 Maria Iannario   Subjective heterogeneity in response
                                  attitude for multivariate ordinal
                                  outcomes . . . . . . . . . . . . . . . . 145--158


Econometrics and Statistics
Volume 15, Number ??, July, 2020

                      Anonymous   Pages 1-136 (July 2020)  . . . . . . . . 1--136
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          Jean-Marie Dufour and   
                 Alain Hecq and   
                       Alan Wan   EcoSta special issue on theoretical
                                  econometrics . . . . . . . . . . . . . . 1--2
             Rembert De Blander   Iterative estimation correcting for
                                  error auto-correlation in short panels,
                                  applied to lagged dependent variable
                                  models . . . . . . . . . . . . . . . . . 3--29
                  Bai Huang and   
                Tae-Hwy Lee and   
                     Aman Ullah   Combined estimation of semiparametric
                                  panel data models  . . . . . . . . . . . 30--45
             Silvia Platoni and   
             Laura Barbieri and   
               Daniele Moro and   
                  Paolo Sckokai   Heteroscedastic stratified two-way EC
                                  models of single equations and SUR
                                  systems  . . . . . . . . . . . . . . . . 46--66
          Jhames M. Sampaio and   
              Pedro A. Morettin   Stable Randomized Generalized
                                  Autoregressive Conditional
                                  Heteroskedastic Models . . . . . . . . . 67--83
         Timothy D. Johnson and   
              Armin Schwartzman   Special Issue on Neuroimaging  . . . . . 84--84
           Charles Fontaine and   
             Ron D. Frostig and   
                 Hernando Ombao   Modeling non-linear spectral domain
                                  dependence using copulas with
                                  applications to rat local field
                                  potentials . . . . . . . . . . . . . . . 85--103
                   Ning Dai and   
             Galin L. Jones and   
                    Mark Fiecas   Bayesian longitudinal spectral
                                  estimation with application to
                                  resting-state fMRI data analysis . . . . 104--116
                 Lechuan Hu and   
           Michele Guindani and   
          Norbert J. Fortin and   
                 Hernando Ombao   A hierarchical Bayesian model for
                                  differential connectivity in multi-trial
                                  brain signals  . . . . . . . . . . . . . 117--135


Econometrics and Statistics
Volume 16, Number ??, October, 2020

                      Anonymous   Pages 1-168 (October 2020) . . . . . . . 1--168
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
           Thomai Filippeli and   
           Richard Harrison and   
       Konstantinos Theodoridis   DSGE-based priors for BVARs and
                                  quasi-Bayesian DSGE estimation . . . . . 1--27
               Gerhard Tutz and   
                  Moritz Berger   The effect of explanatory variables on
                                  income: a tool that allows a closer look
                                  at the differences in income . . . . . . 28--41
                Manabu Asai and   
            Michael McAleer and   
                 Shelton Peiris   Realized stochastic volatility models
                                  with generalized Gegenbauer long memory  42--54
                  Simone Maxand   Identification of independent structural
                                  shocks in the presence of multiple
                                  Gaussian components  . . . . . . . . . . 55--68
             Andrew Phillip and   
              Jennifer Chan and   
                 Shelton Peiris   On generalized bivariate Student-$t$
                                  Gegenbauer long memory stochastic
                                  volatility models with leverage:
                                  Bayesian forecasting of cryptocurrencies
                                  with a focus on Bitcoin  . . . . . . . . 69--90
              Ananya Lahiri and   
                  Rituparna Sen   Fractional Brownian markets with
                                  time-varying volatility and
                                  high-frequency data  . . . . . . . . . . 91--107
                Eva Cantoni and   
                 Xavier de Luna   Semiparametric inference with missing
                                  data: Robustness to outliers and model
                                  misspecification . . . . . . . . . . . . 108--120
                 Anna Kiriliouk   Hypothesis testing for tail dependence
                                  parameters on the boundary of the
                                  parameter space  . . . . . . . . . . . . 121--135
                Roberto Colombi   Selection tests for possibly
                                  misspecified hierarchical multinomial
                                  marginal models  . . . . . . . . . . . . 136--147
             Pavel Krupskii and   
                      Harry Joe   Flexible copula models with dynamic
                                  dependence and application to financial
                                  data . . . . . . . . . . . . . . . . . . 148--167


Econometrics and Statistics
Volume 17, Number ??, January, 2021

                      Anonymous   Pages 1-172 (January 2021) . . . . . . . 1--172
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              C. Gourieroux and   
                     A. Monfort   Model risk management: Valuation and
                                  governance of pseudo-models  . . . . . . 1--22
                      Guanyu Hu   Spatially varying sparsity in dynamic
                                  regression models  . . . . . . . . . . . 23--34
         Samuele Centorrino and   
            Jean-Pierre Florens   Nonparametric Instrumental Variable
                                  Estimation of Binary Response Models
                                  with Continuous Endogenous Regressors    35--63
         Francesca Di Iorio and   
                 Stefano Fachin   Evaluating restricted common factor
                                  models for non-stationary data . . . . . 64--75
         William McCausland and   
             Shirley Miller and   
                Denis Pelletier   Multivariate stochastic volatility using
                                  the HESSIAN method . . . . . . . . . . . 76--94
Tomás del Barrio Castro and   
                Heiko Rachinger   Aggregation of Seasonal Long-Memory
                                  Processes  . . . . . . . . . . . . . . . 95--106
             Antonia Arsova and   
 Deniz Dilan Karaman Örsal   A panel cointegrating rank test with
                                  structural breaks and cross-sectional
                                  dependence . . . . . . . . . . . . . . . 107--129
                I. C. Demetriou   A $ O(n) $ algorithm for the discrete
                                  best $ L_4 $ monotonic approximation
                                  problem  . . . . . . . . . . . . . . . . 130--144
                    Xin Liu and   
                Grace Y. Yi and   
               Glenn Bauman and   
                     Wenqing He   Ensembling Imbalanced-Spatial-Structured
                                  Support Vector Machine . . . . . . . . . 145--155
             Simon Behrendt and   
             Karsten Schweikert   A Note on Adaptive Group Lasso for
                                  Structural Break Time Series . . . . . . 156--172


Econometrics and Statistics
Volume 18, Number ??, April, 2021

                      Anonymous   Pages 1--142 (April 2021)  . . . . . . . 1--142
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          George Kapetanios and   
                Simon Price and   
            Menelaos Tasiou and   
                Alexia Ventouri   State-level wage Phillips curves . . . . 1--11
           Marcin Jaskowski and   
                Michael McAleer   Spurious cross-sectional dependence in
                                  credit spread changes  . . . . . . . . . 12--27
                 Ana Colubi and   
         Erricos Kontoghiorghes   \booktitleAdvances of Econometrics and
                                  Statistics (EcoSta), 1st issue . . . . . 28--28
                  Hefei Liu and   
                   Xinyuan Song   Bayesian analysis of hidden Markov
                                  structural equation models with an
                                  unknown number of hidden states  . . . . 29--43
           Christina Stoehr and   
           John A. D. Aston and   
                  Claudia Kirch   Detecting changes in the covariance
                                  structure of functional time series with
                                  application to fMRI data . . . . . . . . 44--62
      Maria Brigida Ferraro and   
             Paolo Giordani and   
                 Maurizio Vichi   A class of two-mode clustering
                                  algorithms in a fuzzy setting  . . . . . 63--78
                   Lin Cong and   
                     Weixin Yao   A Likelihood Ratio Test of a
                                  Homoscedastic Multivariate Normal
                                  Mixture Against a Heteroscedastic
                                  Multivariate Normal Mixture  . . . . . . 79--88
       Natalya Pya Arnqvist and   
       Blaise Ngendangenzwa and   
               Eric Lindahl and   
               Leif Nilsson and   
                         Jun Yu   Efficient surface finish defect
                                  detection using reduced rank spline
                                  smoothers and probabilistic classifiers  89--105
            Matús Maciak   Quantile LASSO in arbitrage-free option
                                  markets  . . . . . . . . . . . . . . . . 106--116
       C. Y. (Chor-yiu) Sin and   
                  Cheng-Few Lee   Using heteroscedasticity-non-consistent
                                  or heteroscedasticity-consistent
                                  variances in linear regression . . . . . 117--142


Econometrics and Statistics
Volume 19, Number ??, July, 2021

                      Anonymous   Pages 1--188 (July 2021) . . . . . . . . 1--188
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                    Nan Zou and   
            Dimitris N. Politis   Bootstrap seasonal unit root test under
                                  periodic variation . . . . . . . . . . . 1--21
                     Dan Li and   
              Adam Clements and   
           Christopher Drovandi   Efficient Bayesian estimation for
                                  GARCH-type models via Sequential Monte
                                  Carlo  . . . . . . . . . . . . . . . . . 22--46
         Francisco Blasques and   
         André Lucas and   
         Andries C. van Vlodrop   Finite Sample Optimality of Score-Driven
                                  Volatility Models: Some Monte Carlo
                                  Evidence . . . . . . . . . . . . . . . . 47--57
         Pavel Cízek and   
                   Chao Hui Koo   Jump-preserving varying-coefficient
                                  models for nonlinear time series . . . . 58--96
        Sebastian Ankargren and   
          Paulina Jonéus   Simulation smoothing for nowcasting with
                                  large mixed-frequency VARs . . . . . . . 97--113
             Michelle Voges and   
             Philipp Sibbertsen   Cyclical fractional cointegration  . . . 114--129
          Alexander Kreuzer and   
                  Claudia Czado   Bayesian inference for a single factor
                                  copula stochastic volatility model using
                                  Hamiltonian Monte Carlo  . . . . . . . . 130--150
              Toshihiro Abe and   
          Hironori Fujisawa and   
         Takayuki Kawashima and   
                 Christophe Ley   EM algorithm using overparameterization
                                  for the multivariate skew-normal
                                  distribution . . . . . . . . . . . . . . 151--168
                 Linyuan Li and   
            Pierre Duchesne and   
                Chu Pheuil Liou   On diagnostic checking in ARMA models
                                  with conditionally heteroscedastic
                                  martingale difference using wavelet
                                  methods  . . . . . . . . . . . . . . . . 169--187


Econometrics and Statistics
Volume 20, Number ??, October, 2021

                      Anonymous   Pages 1--202 (October 2021)  . . . . . . 1--202
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                 Ana Colubi and   
         Erricos Kontoghiorghes   \booktitleAdvances of Econometrics and
                                  Statistics (EcoSta), 2nd issue . . . . . 1--1
         Ilias Chronopoulos and   
          George Kapetanios and   
               Katerina Petrova   Kernel-based Volatility Generalised
                                  Least Squares  . . . . . . . . . . . . . 2--11
        Alessandra Amendola and   
           Vincenzo Candila and   
             Giampiero M. Gallo   Choosing the frequency of volatility
                                  components within the Double Asymmetric
                                  GARCH--MIDAS--X model  . . . . . . . . . 12--28
                 Alain Hecq and   
                   Elisa Voisin   Forecasting bubbles with mixed
                                  causal-noncausal autoregressive models   29--45
                 Kai Wenger and   
           Christian Leschinski   Fixed-bandwidth CUSUM tests under long
                                  memory . . . . . . . . . . . . . . . . . 46--61
             Raffaello Seri and   
            Mario Martinoli and   
              Davide Secchi and   
             Samuele Centorrino   Model calibration and validation via
                                  confidence sets  . . . . . . . . . . . . 62--86
              Niko Hauzenberger   Flexible Mixture Priors for Large
                                  Time-varying Parameter Models  . . . . . 87--108
             Benedikt Funke and   
              Masayuki Hirukawa   Bias correction for local linear
                                  regression estimation using asymmetric
                                  kernels via the skewing method . . . . . 109--130
 Máté Baranyi and   
                 Marianna Bolla   Iterated conditional expectation
                                  algorithm on DAGs and regression graphs  131--152
           Marian Hristache and   
               Valentin Patilea   Equivalent models for observables under
                                  the assumption of missing at random  . . 153--165
            Matús Maciak   Quantile LASSO with changepoints in
                                  panel data models applied to option
                                  pricing  . . . . . . . . . . . . . . . . 166--175
Víctor Morales-Oñate and   
             Federico Crudu and   
              Moreno Bevilacqua   Blockwise Euclidean likelihood for
                                  spatio-temporal covariance models  . . . 176--201


Econometrics and Statistics
Volume 21, Number ??, January, 2022

                      Anonymous   Pages 1--178 (January 2022)  . . . . . . 1--178
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
         Stella Hadjiantoni and   
    Erricos John Kontoghiorghes   An alternative numerical method for
                                  estimating large-scale time-varying
                                  parameter seemingly unrelated
                                  regressions models . . . . . . . . . . . 1--18
               Gery Geenens and   
                   Richard Dunn   A nonparametric copula approach to
                                  conditional Value-at-Risk  . . . . . . . 19--37
                   Wai-Sum Chan   On temporal aggregation of some
                                  nonlinear time-series models . . . . . . 38--49
           Damien C. H. Wee and   
                  Feng Chen and   
         William T. M. Dunsmuir   Likelihood inference for Markov
                                  switching GARCH(1,1) models using
                                  sequential Monte Carlo . . . . . . . . . 50--68
                     Thomas Lux   Inference for Nonlinear State Space
                                  Models: a Comparison of Different
                                  Methods applied to Markov-Switching
                                  Multifractal Models  . . . . . . . . . . 69--95
              Guy Mélard   An indirect proof for the asymptotic
                                  properties of VARMA model estimators . . 96--111
           Frederic Ferraty and   
                Alois Kneip and   
             Piotr Kokoszka and   
             Alexander Petersen   2nd Special issue on Functional Data
                                  Analysis . . . . . . . . . . . . . . . . 112--113
               Rahul Ghosal and   
                    Arnab Maity   A Score Based Test for Functional Linear
                                  Concurrent Regression  . . . . . . . . . 114--130
     Stéphane Girard and   
            Gilles Stupfler and   
       Antoine Usseglio-Carleve   Functional estimation of extreme
                                  conditional expectiles . . . . . . . . . 131--158
         Alexander Petersen and   
                 Chao Zhang and   
                 Piotr Kokoszka   Modeling Probability Density Functions
                                  as Data Objects  . . . . . . . . . . . . 159--178


Econometrics and Statistics
Volume 22, Number ??, April, 2022

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
        Salvatore Ingrassia and   
                    Tsung-I Lin   The 2nd Special issue on Mixture Models  1--2
                  Timo Adam and   
               Andreas Mayr and   
                   Thomas Kneib   Gradient boosting in Markov-switching
                                  generalized additive models for
                                  location, scale, and shape . . . . . . . 3--16
          Riccardo Corradin and   
 Luis Enrique Nieto-Barajas and   
                Bernardo Nipoti   Optimal stratification of survival data
                                  via Bayesian nonparametric mixtures  . . 17--38
                Lore Dirick and   
            Gerda Claeskens and   
              Andrey Vasnev and   
                   Bart Baesens   A hierarchical mixture cure model with
                                  unobserved heterogeneity for credit risk 39--55
        Matthew Fitzpatrick and   
                Michael Stewart   Asymptotics for Markov chain mixture
                                  detection  . . . . . . . . . . . . . . . 56--66
           Siva Rajesh Kasa and   
                  Vaibhav Rajan   Improved Inference of Gaussian Mixture
                                  Copula Model for Clustering and
                                  Reproducibility Analysis using Automatic
                                  Differentiation  . . . . . . . . . . . . 67--97
            Marica Manisera and   
               Paola Zuccolotto   A mixture model for ordinal variables
                                  measured on semantic differential scales 98--123
            Sanela Omerovic and   
              Herwig Friedl and   
              Bettina Grün   Modelling Multiple Regimes in Economic
                                  Growth by Mixtures of Generalised
                                  Nonlinear Models . . . . . . . . . . . . 124--135
            Özge Sahin and   
                  Claudia Czado   Vine copula mixture models and
                                  clustering for non-Gaussian data . . . . 136--158
               Jiacheng Xue and   
                     Weixin Yao   Machine Learning Embedded Semiparametric
                                  Mixtures of Regressions with
                                  Covariate-Varying Mixing Proportions . . 159--171
              Haoxin Zhuang and   
                 Liqun Diao and   
                    Grace Y. Yi   A Bayesian nonparametric mixture model
                                  for grouping dependence structures and
                                  selecting copula functions . . . . . . . 172--189


Econometrics and Statistics
Volume 23, Number ??, July, 2022

                      Anonymous   Pages 1--204 (July 2022) . . . . . . . . 1--204
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          McKinley L. Blackburn   Testing for coefficient differences
                                  across nested linear regression
                                  specifications . . . . . . . . . . . . . 1--18
              Nicklas Werge and   
           Olivier Wintenberger   AdaVol: an Adaptive Recursive Volatility
                                  Prediction Method  . . . . . . . . . . . 19--35
               Holger Dette and   
             Vasyl Golosnoy and   
             Janosch Kellermann   Correcting Intraday Periodicity Bias in
                                  Realized Volatility Measures . . . . . . 36--52
      Imma Valentina Curato and   
               Simona Sanfelici   Stochastic leverage effect in
                                  high-frequency data: a Fourier based
                                  analysis . . . . . . . . . . . . . . . . 53--82
             Claudia Pigini and   
           Francesco Bartolucci   Conditional inference for binary panel
                                  data models with predetermined
                                  covariates . . . . . . . . . . . . . . . 83--104
        Tore Selland Kleppe and   
           Roman Liesenfeld and   
      Guilherme Valle Moura and   
                    Atle Oglend   Analyzing Commodity Futures Using Factor
                                  State-Space Models with Wishart
                                  Stochastic Volatility  . . . . . . . . . 105--127
Carlos Vladimir Rodríguez-Caballero   Energy consumption and GDP: a panel data
                                  analysis with multi-level
                                  cross-sectional dependence . . . . . . . 128--146
              Marius Hofert and   
             Avinash Prasad and   
                         Mu Zhu   Multivariate time-series modeling with
                                  generative neural networks . . . . . . . 147--164
    Maria Laura Battagliola and   
      Helle Sòrensen and   
              Anders Tolver and   
               Ana-Maria Staicu   A bias-adjusted estimator in quantile
                                  regression for clustered data  . . . . . 165--186
                 Haeran Cho and   
              Karolos K. Korkas   High-dimensional GARCH process
                                  segmentation with an application to
                                  Value-at-Risk  . . . . . . . . . . . . . 187--203


Econometrics and Statistics
Volume 24, Number ??, October, 2022

                      Anonymous   Pages 1--194 (October 2022)  . . . . . . 1--194
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
            Johannes Bleher and   
                  Thomas Dimpfl   Knitting Multi-Annual High-Frequency
                                  Google Trends to Predict Inflation and
                                  Consumption. . . . . . . . . . . . . . . 1--26
               Martin Bladt and   
            Alexander J. McNeil   Time series copula models using d-vines
                                  and v-transforms . . . . . . . . . . . . 27--48
                Alexander Mayer   On the local power of some tests of
                                  strict exogeneity in linear fixed
                                  effects models . . . . . . . . . . . . . 49--74
               Yixiao Zhang and   
                Cindy L. Yu and   
                      Haitao Li   Nowcasting GDP Using Dynamic Factor
                                  Model with Unknown Number of Factors and
                                  Stochastic Volatility: a Bayesian
                                  Approach . . . . . . . . . . . . . . . . 75--93
                   Rafael Kawka   Convergence of spectral density
                                  estimators in the locally stationary
                                  framework  . . . . . . . . . . . . . . . 94--115
         Jörg Breitung and   
        Sebastian Kripfganz and   
              Kazuhiko Hayakawa   Bias-corrected method of moments
                                  estimators for dynamic panel data models 116--132
                     Hua Li and   
                Zhidong Bai and   
            Wing-Keung Wong and   
                Michael McAleer   Spectrally-Corrected Estimation for
                                  High-Dimensional Markowitz Mean-Variance
                                  Optimization . . . . . . . . . . . . . . 133--150
             Yves G. Berger and   
               Valentin Patilea   A semi-parametric empirical likelihood
                                  approach for conditional estimating
                                  equations under endogenous selection . . 151--163
             Michael Schatz and   
           Spencer Wheatley and   
                Didier Sornette   The ARMA Point Process and its
                                  Estimation . . . . . . . . . . . . . . . 164--182
    Stefano Antonio Gattone and   
          Francesca Fortuna and   
         Adelia Evangelista and   
              Tonio Di Battista   Simultaneous confidence bands for the
                                  functional mean of convex curves . . . . 183--193


Econometrics and Statistics
Volume 25, Number ??, January, 2023

                      Anonymous   Pages 1--134 (January 2023)  . . . . . . 1--134
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                  Jan F. Kiviet   Instrument-free inference under confined
                                  regressor endogeneity and mild
                                  regularity . . . . . . . . . . . . . . . 1--22
                    Manabu Asai   Feasible Panel GARCH Models:
                                  Variance-Targeting Estimation and
                                  Empirical Application  . . . . . . . . . 23--38
            Evgeniy Savinov and   
             Victoria Shamraeva   On a Rosenblatt-type transformation of
                                  multivariate copulas . . . . . . . . . . 39--48
           Michele Guindani and   
                F. Javier Rubio   Editorial: Special issue on
                                  Biostatistics  . . . . . . . . . . . . . 49--50
                Ashok Chaurasia   Combining rules for $F$- and
                                  Beta-statistics from multiply-imputed
                                  data . . . . . . . . . . . . . . . . . . 51--65
          Sarah J. C. Craig and   
              Ana M. Kenney and   
                  Junli Lin and   
                Ian M. Paul and   
             Leann L. Birch and   
         Jennifer S. Savage and   
          Michele E. Marini and   
      Francesca Chiaromonte and   
        Matthew L. Reimherr and   
             Kateryna D. Makova   Constructing a polygenic risk score for
                                  childhood obesity using functional data
                                  analysis . . . . . . . . . . . . . . . . 66--86
      Christiana Kartsonaki and   
                      D. R. Cox   Regression Reconstruction from a
                                  Retrospective Sample . . . . . . . . . . 87--92
     Subhadeep Mukhopadhyay and   
                    Kaijun Wang   On The Problem of Relevance in
                                  Statistical Inference  . . . . . . . . . 93--109
      Alexandra Nießl and   
            Arthur Allignol and   
             Jan Beyersmann and   
                 Carina Mueller   Statistical inference for state
                                  occupation and transition probabilities
                                  in non-Markov multi-state models subject
                                  to both random left-truncation and
                                  right-censoring  . . . . . . . . . . . . 110--124
                 Yanqing Yi and   
                     Xikui Wang   A Markov decision process for response
                                  adaptive designs . . . . . . . . . . . . 125--133


Econometrics and Statistics
Volume 26, Number ??, April, 2023

                      Anonymous   Pages 1--160 (April 2023)  . . . . . . . 1--160
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                 Ana Colubi and   
         Erricos Kontoghiorghes   Editorial Special issues on the 20th
                                  anniversary of the CMStatistics
                                  (Computational and Methodological
                                  Statistics)  . . . . . . . . . . . . . . 1--2
                Marco Lippi and   
           Manfred Deistler and   
                 Brian Anderson   High-Dimensional Dynamic Factor Models:
                                  a Selective Survey and Lines of Future
                                  Research . . . . . . . . . . . . . . . . 3--16
          M. Hashem Pesaran and   
                   Ron P. Smith   Arbitrage pricing theory, the stochastic
                                  discount factor and estimation of risk
                                  premia from portfolios . . . . . . . . . 17--30
         Jennifer L. Castle and   
          Jurgen A. Doornik and   
                David F. Hendry   Robust Discovery of Regression Models    31--51
             James G. MacKinnon   Fast cluster bootstrap methods for
                                  linear regression models . . . . . . . . 52--71
               Andew Harvey and   
                       Yin Liao   Dynamic Tobit models . . . . . . . . . . 72--83
                 Ana Colubi and   
Ana Belén Ramos-Guajardo   Fuzzy sets and (fuzzy) random sets in
                                  \booktitleEconometrics and Statistics    84--98
               Thomas Kneib and   
     Alexander Silbersdorff and   
           Benjamin Säfken   Rage Against the Mean --- a Review of
                                  Distributional Regression Approaches . . 99--123
              Daniel Ahfock and   
          Geoffrey J. McLachlan   Semi-Supervised Learning of Classifiers
                                  from a Statistical Perspective: a Brief
                                  Review . . . . . . . . . . . . . . . . . 124--138
                    Su Chen and   
              Stephen G. Walker   A New Statistic for Bayesian Hypothesis
                                  Testing  . . . . . . . . . . . . . . . . 139--152
                 Christophe Ley   When the score function is the identity
                                  function --- a tale of characterizations
                                  of the normal distribution . . . . . . . 153--160


Econometrics and Statistics
Volume 27, Number ??, July, 2023

                      Anonymous   Pages 1--196 (July 2023) . . . . . . . . 1--196
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Marc Hallin and   
          Carlos Trucíos   Forecasting value-at-risk and expected
                                  shortfall in large portfolios: a general
                                  dynamic factor model approach  . . . . . 1--15
           Amanda M. Y. Chu and   
             Yasuhiro Omori and   
                 Hing-yu So and   
                  Mike K. P. So   A Multivariate Randomized Response Model
                                  for Sensitive Binary Data  . . . . . . . 16--35
              Masayuki Hirukawa   Robust Covariance Matrix Estimation in
                                  Time Series: a Review  . . . . . . . . . 36--61
           Tommaso Proietti and   
              Diego J. Pedregal   Seasonality in High Frequency Time
                                  Series . . . . . . . . . . . . . . . . . 62--82
               Zhaoxing Gao and   
                   Ruey S. Tsay   A Two-Way Transformed Factor Model for
                                  Matrix-Variate Time Series . . . . . . . 83--101
        Christopher M. Hans and   
             Mario Peruggia and   
                    Junyan Wang   Empirical Bayes Model Averaging with
                                  Influential Observations: Tuning
                                  Zellner's $g$ Prior for Predictive
                                  Robustness . . . . . . . . . . . . . . . 102--119
             Antonio Canale and   
              Antonio Lijoi and   
            Bernardo Nipoti and   
             Igor Prünster   Inner spike and slab Bayesian
                                  nonparametric models . . . . . . . . . . 120--135
              Toshihiro Abe and   
              Yoichi Miyata and   
              Takayuki Shiohama   Bayesian estimation for mode and
                                  anti-mode preserving circular
                                  distributions  . . . . . . . . . . . . . 136--160
      Jean-Michel Galharret and   
                  Anne Philippe   Bayesian analysis for mediation and
                                  moderation using $g$-priors  . . . . . . 161--172
             Yuri Goegebeur and   
            Armelle Guillou and   
         Nguyen Khanh Le Ho and   
                       Jing Qin   A Weissman-type estimator of the
                                  conditional marginal expected shortfall  173--196


Econometrics and Statistics
Volume 28, Number ??, October, 2023

                      Anonymous   Pages 1--172 (October 2023)  . . . . . . 1--172
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              Monica Billio and   
       Massimiliano Caporin and   
         Lorenzo Frattarolo and   
               Loriana Pelizzon   Networks in risk spillovers: a
                                  multivariate GARCH perspective . . . . . 1--29
           Cathy W. S. Chen and   
          Toshiaki Watanabe and   
               Edward M. H. Lin   Bayesian estimation of realized
                                  GARCH-type models with application to
                                  financial tail risk management . . . . . 30--46
                Zefang Song and   
               Xinyuan Song and   
                        Yuan Li   Bayesian Analysis of ARCH-M model with a
                                  dynamic latent variable  . . . . . . . . 47--62
               Helga Wagner and   
Sylvia Frühwirth-Schnatter and   
                   Liana Jacobi   Factor-augmented Bayesian treatment
                                  effects models for panel outcomes  . . . 63--80
          Michael Stanley Smith   Implicit Copulas: an Overview  . . . . . 81--104
                   Eric Beutner   A review of effective age models and
                                  associated non- and semiparametric
                                  methods  . . . . . . . . . . . . . . . . 105--119
              Takeshi Emura and   
            Ching-Chieh Lai and   
                   Li-Hsien Sun   Change point estimation under a
                                  copula-based Markov chain model for
                                  binomial time series . . . . . . . . . . 120--137
       Heiko Großmann and   
              Steven G. Gilmour   Partially orthogonal blocked three-level
                                  response surface designs . . . . . . . . 138--154
             Ping-Yang Chen and   
              Ray-Bing Chen and   
                Yu-Shi Chen and   
                  Weng Kee Wong   Numerical Methods for Finding
                                  $A$-optimal Designs Analytically . . . . 155--162
            Matteo Borrotti and   
            Francesco Sambo and   
                Kalliopi Mylona   Multi-objective optimisation of
                                  split-plot designs . . . . . . . . . . . 163--172


Econometrics and Statistics
Volume 29, Number ??, January, 2024

                      Anonymous   Pages 1--282 (January 2024)  . . . . . . 1--282
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                   Josu Arteche   Bootstrapping long memory time series:
                                  Application in low frequency estimators  1--15
                       Degui Li   Estimation of Large Dynamic Covariance
                                  Matrices: a Selective Review . . . . . . 16--30
              Kazuhiko Hayakawa   Recent development of covariance
                                  structure analysis in economics  . . . . ??
       Zacharias Psaradakis and   
                    Martin Sola   Markov-Switching Models with
                                  State-Dependent Time-Varying Transition
                                  Probabilities  . . . . . . . . . . . . . 49--63
                 Claudio Morana   A new macro-financial condition index
                                  for the euro area  . . . . . . . . . . . 64--87
         Richard T. Baillie and   
                Dooyeon Cho and   
                   Seunghwa Rho   Combining Long and Short Memory in Time
                                  Series Models: the Role of Asymptotic
                                  Correlations of the MLEs . . . . . . . . 88--112
              Monica Billio and   
            Roberto Casarin and   
            Michele Costola and   
                Matteo Iacopini   COVID-19 spreading in financial
                                  networks: a semiparametric matrix
                                  regression model . . . . . . . . . . . . 113--131
           Amy Y. Guisinger and   
          Michael T. Owyang and   
                  Daniel Soques   Industrial Connectedness and Business
                                  Cycle Comovements  . . . . . . . . . . . 132--149
                Eva Cantoni and   
             Nad\`ege Jacot and   
                Paolo Ghisletta   Review and comparison of measures of
                                  explained variation and model selection
                                  in linear mixed-effects models . . . . . ??
         Ioannis Kalogridis and   
               Stefan Van Aelst   Robust penalized spline estimation with
                                  difference penalties . . . . . . . . . . 169--188
                Marco Riani and   
    Anthony Curtis Atkinson and   
            Aldo Corbellini and   
          Alessio Farcomeni and   
               Fabrizio Laurini   Information Criteria for Outlier
                                  Detection Avoiding Arbitrary
                                  Significance Levels  . . . . . . . . . . 189--205
                 Kris Boudt and   
                 Ewoud Heyndels   Robust interactive fixed effects . . . . 206--223
                JooChul Lee and   
      Elizabeth D. Schifano and   
                   HaiYing Wang   Fast Optimal Subsampling Probability
                                  Approximation for Generalized Linear
                                  Models . . . . . . . . . . . . . . . . . 224--237
             Xiao-Wen Chang and   
               Zhilong Chen and   
                    Jinming Wen   An extended Babai method for estimating
                                  linear model based integer parameters    238--251
            Gaspard Bernard and   
               Thomas Verdebout   On some multivariate sign tests for
                                  scatter matrix eigenvalues . . . . . . . 252--260
          Thomas Muschinski and   
              Georg J. Mayr and   
             Thorsten Simon and   
            Nikolaus Umlauf and   
                  Achim Zeileis   Cholesky-based multivariate Gaussian
                                  regression . . . . . . . . . . . . . . . 261--281


Econometrics and Statistics
Volume 30, Number ??, April, 2024

                      Anonymous   Pages 1--132 (April 2024)  . . . . . . . 1--132
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
            Karim M. Abadir and   
             Walter Distaso and   
                Liudas Giraitis   Partially one-sided semiparametric
                                  inference for trending persistent and
                                  antipersistent processes . . . . . . . . 1--14
         P. de Zea Bermudez and   
     J. Miguel Marín and   
           Håvard Rue and   
                   Helena Veiga   Integrated nested Laplace approximations
                                  for threshold stochastic volatility
                                  models . . . . . . . . . . . . . . . . . 15--35
           Bertille Antoine and   
                   Eric Renault   GMM with Nearly-Weak Identification  . . 36--59
     Daniel Felix Ahelegbey and   
              Monica Billio and   
                Roberto Casarin   Modeling Turning Points in the Global
                                  Equity Market  . . . . . . . . . . . . . 60--75
                 Haeran Cho and   
                  Claudia Kirch   Data segmentation algorithms: Univariate
                                  mean change and beyond . . . . . . . . . 76--95
                 Peng Zhong and   
         Raphaël Huser and   
                   Thomas Opitz   Exact Simulation of Max-Infinitely
                                  Divisible Processes  . . . . . . . . . . 96--109
          Maria Brigida Ferraro   Fuzzy $k$-Means: history and
                                  applications . . . . . . . . . . . . . . 110--123
                Cheng Yong Tang   A model specification test for
                                  semiparametric nonignorable missing data
                                  modeling . . . . . . . . . . . . . . . . 124--132


Econometrics and Statistics
Volume 31, Number ??, July, 2024

                      Anonymous   Pages 1--130 (July 2024) . . . . . . . . 1--130
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
       Alessandro Barbarino and   
                 Efstathia Bura   Forecasting Near-equivalence of Linear
                                  Dimension Reduction Methods in Large
                                  Panels of Macro-variables  . . . . . . . 1--18
                  Rong Peng and   
                        Zudi Lu   Semiparametric Averaging of Nonlinear
                                  Marginal Logistic Regressions and
                                  Forecasting for Time Series
                                  Classification . . . . . . . . . . . . . 19--37
              Antonio Fazzi and   
           Alexander Kukush and   
                 Ivan Markovsky   Bias correction for Vandermonde low-rank
                                  approximation  . . . . . . . . . . . . . 38--48
            Carlos Lamarche and   
                   Xuan Shi and   
                 Derek S. Young   Conditional Quantile Functions for
                                  Zero-Inflated Longitudinal Count Data    49--65
              Farrukh Javed and   
           Nicola Loperfido and   
                   Stepan Mazur   Edgeworth expansions for multivariate
                                  random sums  . . . . . . . . . . . . . . 66--80
             Seung Woo Kwak and   
              Jeongyoun Ahn and   
                 Jaewoo Lee and   
                  Cheolwoo Park   Differentially Private Goodness-of-Fit
                                  Tests for Continuous Variables . . . . . 81--99
          Konstantinos Fokianos   Multivariate Count Time Series Modelling 100--116
             Tingting Zhang and   
                  Minh Pham and   
                 Guofen Yan and   
               Yaotian Wang and   
     Sara Medina-DeVilliers and   
                  James A. Coan   Spatial-Temporal Analysis of
                                  Multi-Subject Functional Magnetic
                                  Resonance Imaging Data . . . . . . . . . 117--129


Econometrics and Statistics
Volume 32, Number ??, October, 2024

                      Anonymous   Pages 1--160 (October 2024)  . . . . . . 1--160
                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
             Jörn Sass and   
       Anna-Katharina Thös   Risk reduction and portfolio
                                  optimization using clustering methods    1--16
        Christian M. Hafner and   
                     Linqi Wang   Dynamic portfolio selection with
                                  sector-specific regularization . . . . . 17--33
           Makoto Takahashi and   
          Toshiaki Watanabe and   
                 Yasuhiro Omori   Forecasting Daily Volatility of Stock
                                  Price Index Using Daily Returns and
                                  Realized Volatility  . . . . . . . . . . 34--56
    Annastiina Silvennoinen and   
           Timo Teräsvirta   Consistency and asymptotic normality of
                                  maximum likelihood estimators of a
                                  multiplicative time-varying smooth
                                  transition correlation GARCH model . . . 57--72
              Yuzhong Cheng and   
            Nicole Hufnagel and   
                  Hiroki Masuda   Estimation of ergodic square-root
                                  diffusion under high-frequency sampling  73--87
               Yunpeng Zhou and   
                 Kam Chuen Yuen   Estimation in the High Dimensional
                                  Additive Hazard Model with $ l_0 $ Type
                                  of Penalty . . . . . . . . . . . . . . . 88--97
            Mattias Villani and   
              Matias Quiroz and   
                Robert Kohn and   
                Robert Salomone   Spectral Subsampling MCMC for Stationary
                                  Multivariate Time Series with
                                  Applications to Vector ARTFIMA Processes 98--121
             Hernando Ombao and   
                    Marco Pinto   Spectral Dependence  . . . . . . . . . . 122--159