Last update:
Thu Oct 12 08:51:55 MDT 2023
Giampiero M. Gallo and
Grayham E. Mizon Simulation Methods in Econometrics:
Editors' Introduction . . . . . . . . . i--vii
Tommaso Proietti Spurious Periodic Autoregressions . . . 1--22
Luc Bauwens and
Michel Lubrano Bayesian Inference on GARCH Models Using
the Gibbs Sampler . . . . . . . . . . . 23--46
Michael P. Clements and
Hans-Martin Krolzig A Comparison of the Forecast Performance
of Markov-switching and Threshold
Autoregressive Models of US GNP . . . . 47--75
Holger Bartel and
Helmut Lütkepohl Estimating the Kronecker Indices of
Cointegrated Echelon-form VARMA Models 76--99
Giorgio Calzolari and
Francesca Di Iorio and
Gabriele Fiorentini Control Variates for Variance Reduction
in Indirect Inference: Interest Rate
Models in Continuous Time . . . . . . . 100--112
Chiara Monfardini Estimating Stochastic Volatility Models
Through Indirect Inference . . . . . . . 113--128
Thierry Kamionka Simulated Maximum Likelihood Estimation
in Transition Models . . . . . . . . . . 129--153
Jean-Marie Dufour and
Abdeljelil Farhat and
Lucien Gardiol and
Lynda Khalaf Simulation-based Finite Sample Normality
Tests in Linear Regressions . . . . . . 154--173
Aurora Manrique and
Neil Shephard Simulation-based Likelihood Inference
for Limited Dependent Processes . . . . 174--202
Neil R. Ericsson and
Jaime Marquez A Framework for Economic Forecasting . . 203--227
Pieter J. van der Sluis Computationally Attractive Stability
Tests for the Efficient Method of
Moments . . . . . . . . . . . . . . . . 203--227
David F. Hendry and
Neil Shephard The Econometrics Journal of the Royal
Economic Society: Foreword . . . . . . . i--ii
Enrique Sentana The Relation Between Conditionally
Heteroskedastic Factor Models and Factor
GARCH Models . . . . . . . . . . . . . . 1--9
Rolf Larsson Distribution Approximation of Unit Root
Tests in Autoregressive Models . . . . . 10--26
Zhijie Xiao and
Peter C. B. Phillips An ADF Coefficient Test for a Unit Root
in ARMA Models of Unknown Order with
Empirical Applications to the US Economy 27--43
Jan F. Kiviet and
Garry D. A. Phillips Degrees of Freedom Adjustment for
Disturbance Variance Estimators in
Dynamic Regression Models . . . . . . . 44--70
Michael Lechner Nonparametric bounds on employment and
income effects of continuous vocational
training in East Germany . . . . . . . . 1--28
Murat K. Munkin and
Pravin K. Trivedi Simulated maximum likelihood estimation
of multivariate mixed-Poisson regression
models, with application . . . . . . . . 29--48
Valentino Dardanoni and
Antonio Forcina Inference for Lorenz curve orderings . . 49--75
Anders Rahbek and
Rocco Mosconi Cointegration rank inference with
stationary regressors in VAR models . . 76--91
Stephen J. Leybourne and
Paul Newbold The behaviour of Dickey--Fuller and
Phillips-Perron tests under the
alternative hypothesis . . . . . . . . . 92--100
Siem Jan Koopman and
Neil Shephard and
Jurgen A. Doornik Statistical algorithms for models in
state space using SsfPack 2.2 . . . . . 107--160
Marius Ooms Review of SsfPack 2.2: statistical
algorithms for models in state space . . 161--166
Kevin D. Hoover and
Stephen J. Perez Data mining reconsidered: encompassing
and the general-to-specific approach to
specification search . . . . . . . . . . 167--191
Bruce E. Hansen Discussion of `Data mining reconsidered' 192--201
David F. Hendry and
Hans-Martin Krolzig Improving on `Data mining reconsidered'
by K. D. Hoover and S. J. Perez . . . . 202--219
Clive Granger and
Allan Timmermann Data mining with local model
specification uncertainty: a discussion
of Hoover and Perez . . . . . . . . . . 220--225
Julia Campos and
Neil R. Ericsson Constructive data mining: modeling
consumers' expenditure in Venezuela . . 226--240
David J. Hand Discussion contribution on `Data mining
reconsidered: encompassing and the
general-to-specific approach to
specification search' by Hoover and
Perez . . . . . . . . . . . . . . . . . 241--243
Kevin D. Hoover and
Stephen J. Perez Reply to our discussants . . . . . . . . 244--247
Robert P. Sherman and
Yu-Yun K. Ho and
Siddhartha R. Dalal Conditions for convergence of Monte
Carlo EM sequences with an application
to product diffusion modeling . . . . . 248--267
Hans-Jürg Büttler The optimal capital structure of a
liquidity-insuring bank . . . . . . . . 268--291
Jason Abrevaya Rank estimation of a transformation
model with observed truncation . . . . . 292--305
Henrik Hansen and
Sòren Johansen Some tests for parameter constancy in
cointegrated VAR-models . . . . . . . . 306--333
Stephen J. Leybourne and
Paul Newbold Behaviour of the standard and symmetric
Dickey--Fuller-type tests when there is
a break under the null hypothesis . . . 1--15
Joachim Grammig and
Kai-Oliver Maurer Non-monotonic hazard functions and the
autoregressive conditional duration
model . . . . . . . . . . . . . . . . . 16--38
Sylvia Kaufmann Measuring business cycles with a dynamic
Markov switching factor model: an
assessment using Bayesian simulation
methods . . . . . . . . . . . . . . . . 39--65
Leslie G. Godfrey and
Chris D. Orme Controlling the significance levels of
prediction error tests for linear
regression models . . . . . . . . . . . 66--83
Andrew Harvey and
Siem Jan Koopman Signal extraction and the formulation of
unobserved components models . . . . . . 84--107
Attila Hornok and
Rolf Larsson The finite sample distribution of the
KPSS test . . . . . . . . . . . . . . . 108--121
Michael Sòrensen Prediction-based estimating functions 123--147
Kaddour Hadri Testing for stationarity in
heterogeneous panel data . . . . . . . . 148--161
Thórarinn G. Pétursson The representative household's demand
for money in a cointegrated VAR model 162--176
Christian M. Hafner and
Helmut Herwartz Testing for linear autoregressive
dynamics under heteroskedasticity . . . 177--197
Renate Meyer and
Jun Yu BUGS for a Bayesian analysis of
stochastic volatility models . . . . . . 198--215
Sòren Johansen and
Rocco Mosconi and
Bent Nielsen Cointegration analysis in the presence
of structural breaks in the
deterministic trend . . . . . . . . . . 216--249
Philip Hans Franses and
A. M. Robert Taylor Determining the order of differencing in
seasonal time series processes . . . . . 250--264
Paul Newbold and
Richard J. Smith Forecasting in Econometrics: Editors'
introduction . . . . . . . . . . . . . . 1--2
Michael P. Clements and
David. F. Hendry Forecasting with difference-stationary
and trend-stationary models . . . . . . 1--19
Yoosoon Chang and
Joon Y. Park and
Peter C. B. Phillips Nonlinear econometric models with
cointegrated and deterministically
trending regressors . . . . . . . . . . 1--36
Michael Artis and
Massimiliano Marcellino Fiscal forecasting: The track record of
the IMF, OECD and EC . . . . . . . . . . 20--36
Gary Koop and
Simon M. Potter Are apparent findings of nonlinearity
due to structural instability in
economic time series? . . . . . . . . . 37--55
Peter G. Moffatt Graphical conditional moment tests . . . 56--69
Giuseppe Cavaliere Testing the unit root hypothesis using
generalized range statistics . . . . . . 70--88
David J. McKenzie Estimation of AR(1) models with
unequally spaced pseudo-panels . . . . . 89--108
Rolf Larsson and
Johan Lyhagen and
Mickael Löthgren Likelihood-based cointegration tests in
heterogeneous panels . . . . . . . . . . 109--142
Pierre Perron and
Cosme Vodounou Asymptotic approximations in the
near-integrated model with a non-zero
initial condition . . . . . . . . . . . 143--169
David I. Harvey and
Stephen J. Leybourne and
Paul Newbold Analysis of a panel of UK macroeconomic
forecasts . . . . . . . . . . . . . . . S37--S55
Gonzalo Camba-Mendez and
George Kapetanios and
Richard J. Smith and
Martin R. Weale An automatic leading indicator of
economic activity: forecasting GDP
growth for European countries . . . . . S56--S90
Chih-Chiang Hsu and
Chung-Ming Kuan Distinguishing between trend-break
models: method and empirical evidence 171--190
Thórarinn G. Pétursson and
Torsten Slòk Wage formation and employment in a
cointegrated VAR model . . . . . . . . . 191--209
Jun Yu and
Peter C. B. Phillips A Gaussian approach for continuous time
models of the short-term interest rate 210--224
Zacharias Psaradakis Markov level shifts and the unit-root
hypothesis . . . . . . . . . . . . . . . 225--241
Franz K. Dietrich The limiting distribution of the
$t$-ratio for the unit root test in an
AR(1) . . . . . . . . . . . . . . . . . 242--256
Gary Koop and
Dale J. Poirier Testing for optimality in job search
models . . . . . . . . . . . . . . . . . 257--272
Alok Bhargava Stochastic specification and the
international GDP series . . . . . . . . 273--286
Helmut Lüutkepohl and
Pentti Saikkonen and
Carsten Trenkler Maximum eigenvalue versus trace tests
for the cointegrating rank of a VAR
process . . . . . . . . . . . . . . . . 287--310
Gunnar Bårdsen Review of PcGets 1 for Windows . . . . . 311--318
Morten B. Jensen and
Asger Lunde The NIG--S&ARCH model: a fat-tailed,
stochastic, and autoregressive
conditional heteroskedastic volatility
model . . . . . . . . . . . . . . . . . 319--342
Douglas Rivers and
Quang Vuong Model selection tests for nonlinear
dynamic models . . . . . . . . . . . . . 1--39
Òyvind Eitrheim and
Eilev Jansen and
Ragnar Nymoen Progress from forecast failure --- the
Norwegian consumption function . . . . . 40--64
Paolo Paruolo On Monte Carlo estimation of relative
power . . . . . . . . . . . . . . . . . 65--75
Karim Abadir and
Jan Magnus Notation in econometrics: a proposal for
a standard . . . . . . . . . . . . . . . 76--90
João Nicolau A new technique for simulating the
likelihood of stochastic differential
equations . . . . . . . . . . . . . . . 91--103
Francesco Bravo Testing linear restrictions in linear
models with empirical likelihood . . . . 104--130
Efstathios Paparoditis and
Dimitris Politis The tapered block bootstrap for general
statistics from stationary sequences . . 131--148
Kees Jan van Garderen and
Chandra Shah Exact interpretation of dummy variables
in semilogarithmic equations . . . . . . 149--159
James Davidson and
Robert De Jong Consistency of kernel variance
estimators for sums of semiparametric
linear processes . . . . . . . . . . . . 160--175
Paulo Rodrigues On LM type tests for seasonal unit roots
in quarterly data . . . . . . . . . . . 176--195
Serena Ng and
Timothy Vogelsang Forecasting autoregressive time series
in the presence of deterministic
components . . . . . . . . . . . . . . . 196--224
Jan Magnus Estimation of the mean of a univariate
normal distribution with known variance 225--236
Asad Zaman Maximum likelihood estimates for the
Hildreth--Houck random coefficients
model . . . . . . . . . . . . . . . . . 237--262
Christian M. Dahl An investigation of tests for linearity
and the accuracy of likelihood based
inference using random fields . . . . . 263--284
Neil R. Ericsson and
James G. MacKinnon Distributions of error correction tests
for cointegration . . . . . . . . . . . 285--318
Michael P. Clements and
David F. Hendry Modelling methodology and forecast
failure . . . . . . . . . . . . . . . . 319--344
Antonis Demos Moments and dynamic structure of a
time-varying parameter stochastic
volatility in mean model . . . . . . . . 345--357
Y. K. Tse Residual-based diagnostics for
conditional heteroscedasticity models 358--374
Minxian Yang Lag length and mean break in stationary
VAR models . . . . . . . . . . . . . . . 374--387
Claudia Klüppelberg and
Ross A. Maller and
Mark Van De Vyver and
Derick Wee Testing for reduction to random walk in
autoregressive conditional
heteroskedasticity models . . . . . . . 387--416
Jon A. Breslaw Multinomial probit estimation without
nuisance parameters . . . . . . . . . . 417--434
Atsushi Yoshida and
Alessandra Guariglia Estimating saving functions in the
presence of excessive-zeros problems . . 435--456
Stephen Bond and
Frank Windmeijer Projection estimators for autoregressive
panel data models . . . . . . . . . . . 457--479
Badi H. Baltagi and
Seuck H. Song and
Byoung C. Jung A comparative study of alternative
estimators for the unbalanced two-way
error component regression model . . . . 480--493
Filippo Altissimo and
Valentina Corradi Bounds for inference with nuisance
parameters present only under the
alternative . . . . . . . . . . . . . . 494--519
Ralph W. Bailey and
A. M. Robert Taylor An optimal test against a random walk
component in a non-orthogonal unobserved
components model . . . . . . . . . . . . 520--532
Ruud H. Koning and
Geert Ridder Discrete choice and stochastic utility
maximization . . . . . . . . . . . . . . 1--27
Yasushi Kondo and
Myoung-jae Lee Hedonic price index estimation under
mean-independence of time dummies from
quality characteristics . . . . . . . . 28--45
J. M. C. Santos Silva A note on the estimation of mixture
models under endogenous sampling . . . . 46--52
Hans Christian Kongsted An $ I(2) $ cointegration analysis of
small-country import price determination 53--71
Jushan Bai and
Pierre Perron Critical values for multiple structural
change tests . . . . . . . . . . . . . . 72--78
Dick Van Dijk and
Birgit Strikholm and
Timo Teräsvirta The effects of institutional and
technological change and business cycle
fluctuations on seasonal patterns in
quarterly industrial production series 79--98
Murray D. Smith Modelling sample selection using
Archimedean copulas . . . . . . . . . . 99--123
J. M. Marriott and
J. C. Naylor and
A. R. Tremayne Exploring economic time series: a
Bayesian graphical approach . . . . . . 124--145
M. Karanasos and
J. Kim Moments of the ARMA--EGARCH model . . . 146--166
Terence Tai-Leung Chong Generic consistency of the break-point
estimator under specification errors . . 167--192
Giuseppe Cavaliere Asymptotics for unit root tests under
Markov regime-switching . . . . . . . . 193--216
Peter C. B. Phillips and
Donggyu Sul Dynamic panel estimation and homogeneity
testing under cross section dependence 217--259
Jianqing Fan and
Juan Gu Semiparametric estimation of Value at
Risk . . . . . . . . . . . . . . . . . . 261--290
Stephen Leybourne and
Tae-Hwan Kim and
Vanessa Smith and
Paul Newbold Tests for a change in persistence
against the null of
difference-stationarity . . . . . . . . 291--311
I. D. Vrontos and
P. Dellaportas and
D. N. Politis A full-factor multivariate GARCH model 312--334
Nour Meddahi ARMA representation of integrated and
realized variances . . . . . . . . . . . 335--356
Andrew P. Blake and
George Kapetanios A radial basis function artificial
neural network test for neglected
nonlinearity . . . . . . . . . . . . . . 357--373
Jòrgen Aasness and
Erik Biòrn and
Terje Skjerpen Distribution of preferences and
measurement errors in a disaggregated
expenditure system . . . . . . . . . . . 374--400
Pinar Karaca-Mandic and
Kenneth Train Standard error correction in two-stage
estimation with nested samples . . . . . 401--407
Renate Meyer and
David A. Fournier and
Andreas Berg Stochastic volatility: Bayesian
computation using automatic
differentiation and the extended Kalman
filter . . . . . . . . . . . . . . . . . 408--420
A. Sen Limiting behaviour of Dickey--Fuller
$F$-tests under the crash model
alternative . . . . . . . . . . . . . . 421--429
Gunnar Bårdsen and
Eilev S. Jansen and
Ragnar Nymoen Econometric inflation targeting . . . . 430--461
David F. Hendry and
Michael P. Clements Pooling of forecasts . . . . . . . . . . 1--31
Jean-Yves Pitarakis Least squares estimation and tests of
breaks in mean and variance under
misspecification . . . . . . . . . . . . 32--54
Rehim Kiliç Linearity tests and stationarity . . . . 55--62
Morten Òrregaard Nielsen Efficient inference in multivariate
fractionally integrated time series
models . . . . . . . . . . . . . . . . . 63--97
William Greene The behaviour of the maximum likelihood
estimator of limited dependent variable
models in the presence of fixed effects 98--119
Wei Zhang and
Lung-fei Lee Simulation estimation of dynamic
discrete choice panel models with
accelerated importance samplers . . . . 120--142
Sylvia Frühwirth-Schnatter Estimating marginal likelihoods for
mixture and Markov switching models
using bridge sampling techniques . . . . 143--167
Juan J. Dolado and
Francesc Marmol Asymptotic inference results for
multivariate long-memory processes . . . 168--190
D. Harris and
D. S. Poskitt Determination of cointegrating rank in
partially non-stationary processes via a
generalised von-Neumann criterion . . . 191--217
Tae-Hwan Kim and
Christophe Muller Two-stage quantile regression when the
first stage is based on quantile
regression . . . . . . . . . . . . . . . 218--231
Gerhard Rünstler Modelling phase shifts among stochastic
cycles . . . . . . . . . . . . . . . . . 232--248
Heino Bohn Nielsen Cointegration analysis in the presence
of outliers . . . . . . . . . . . . . . 249--271
Jinyong Hahn and
Jerry Hausman and
Guido Kuersteiner Estimation with weak instruments:
Accuracy of higher-order bias and MSE
approximations . . . . . . . . . . . . . 272--306
Tomas Del Barrio Castro and
Denise R. Osborn The consequences of seasonal adjustment
for periodic autoregressive processes 307--321
Anindya Banerjee and
Massimiliano Marcellino and
Chiara Osbat Some cautions on the use of panel
methods for integrated series of
macroeconomic data . . . . . . . . . . . 322--340
In Choi and
Pentti Saikkonen Testing linearity in cointegrating
smooth transition regressions . . . . . 341--365
Jason Abrevaya and
Jerry A. Hausman Response error in a transformation model
with an application to earnings-equation
estimation . . . . . . . . . . . . . . . 366--388
Sòren Johansen and
Anders Rygh Swensen More on testing exact rational
expectations in cointegrated vector
autoregressive models: Restricted
constant and linear term . . . . . . . . 389--397
Efthymios G. Tsionas and
Subal C. Kumbhakar Markov switching stochastic frontier
model . . . . . . . . . . . . . . . . . 398--425
Marco Alf\`o and
Giovanni Trovato Semiparametric mixture models for
multivariate count data, with
application . . . . . . . . . . . . . . 426--454
Vasco J. Gabriel and
Luis F. Martins On the forecasting ability of ARFIMA
models when infrequent breaks occur . . 455--475
Q. Farooq Akram Oil prices and exchange rates: Norwegian
evidence . . . . . . . . . . . . . . . . 476--504
Nikolay Gospodinov Asymptotic confidence intervals for
impulse responses of near-integrated
processes . . . . . . . . . . . . . . . 505--527
Jonathan Ohn and
Larry W. Taylor and
Adrian Pagan Testing for duration dependence in
economic cycles . . . . . . . . . . . . 528--549
Gary Koop and
Simon Potter Forecasting in dynamic factor models
using Bayesian model averaging . . . . . 550--565
A. Colin Cameron and
Tong Li and
Pravin K. Trivedi and
David M. Zimmer Modelling the differences in counted
outcomes using bivariate copula models
with application to mismeasured counts 566--584
Ekaterini Panopoulou and
Nikitas Pittis A comparison of autoregressive
distributed lag and dynamic OLS
cointegration estimators in the case of
a serially correlated cointegration
error . . . . . . . . . . . . . . . . . 585--617
Chris Heaton and
Victor Solo Identification of causal factor models
of stationary time series . . . . . . . 618--627
Frédérique Bec and
Anders Rahbek Vector equilibrium correction models
with non-linear discontinuous
adjustments . . . . . . . . . . . . . . 628--651
Andrés Romeu and
Marcos Vera-Hernández Counts with an endogenous binary
regressor: A series expansion approach 1--22
Peter Reinhard Hansen Granger's representation theorem: A
closed-form expression for I (1)
processes . . . . . . . . . . . . . . . 23--38
Jan R. Magnus and
Ashoke K. Sinha On Theil's errors . . . . . . . . . . . 39--54
Kaddour Hadri and
Rolf Larsson Testing for stationarity in
heterogeneous panel data where the time
dimension is finite . . . . . . . . . . 55--69
José A. F. Machado and
Paulo Parente Bootstrap estimation of covariance
matrices via the percentile method . . . 70--78
Jeff Chung and
Li Gan Estimating the effect of price limits on
limit-hitting days . . . . . . . . . . . 79--96
David I. Harvey and
Stephen J. Leybourne On testing for unit roots and the
initial observation . . . . . . . . . . 97--111
Anonymous Corrigendum . . . . . . . . . . . . . . 112--113
Jan F. Kiviet and
Garry D. A. Phillips Moment approximation for least-squares
estimators in dynamic regression models
with a unit root . . . . . . . . . . . . 115--142
Yer Van Hui and
Jiancheng Jiang Robust modelling of DTARCH models . . . 143--158
Josep Lluís Carrion-i-Silvestre and
Tomás Del Barrio-Castro and
Enrique López-Bazo Breaking the panels: An application to
the GDP per capita . . . . . . . . . . . 159--175
Myoung-Jae Lee and
Ayal Kimhi Simultaneous equations in ordered
discrete responses with
regressor-dependent thresholds . . . . . 176--196
Ted Juhl Functional-coefficient models under unit
root behaviour . . . . . . . . . . . . . 197--213
Filippo Moauro and
Giovanni Savio Temporal disaggregation using
multivariate structural time series
models . . . . . . . . . . . . . . . . . 214--234
Davide Raggi Adaptive MCMC methods for inference on
affine stochastic volatility models with
jumps . . . . . . . . . . . . . . . . . 235--250
Markku Lanne and
Pentti Saikkonen Non-linear GARCH models for highly
persistent volatility . . . . . . . . . 251--276
Dmitry Danilov Estimation of the mean of a univariate
normal distribution when the variance is
not known . . . . . . . . . . . . . . . 277--291
Naorayex K. Dastoor On the arbitrariness of some asymptotic
test statistics based on generalized
inverses . . . . . . . . . . . . . . . . 292--305
Riccardo Lucchetti and
Eduardo Rossi Artificial regression testing in the
GARCH-in-mean model . . . . . . . . . . 306--322
Evangelos E. Ioannidis Residual-based block bootstrap unit root
testing in the presence of trend breaks 323--351
Ximing Wu and
Thanasis Stengos Partially adaptive estimation via the
maximum entropy densities . . . . . . . 352--366
Offer Lieberman and
Peter C. B. Phillips Expansions for approximate maximum
likelihood estimators of the fractional
difference parameter . . . . . . . . . . 367--379
Edith Madsen Estimating cointegrating relations from
a cross section . . . . . . . . . . . . 380--405
Christian Kleiber and
Walter Krämer Finite-sample power of the
Durbin--Watson test against fractionally
integrated disturbances . . . . . . . . 406--417
Jo Thori Lind Repeated surveys and the Kalman filter 418--427
Markus Junker and
Angelika May Measurement of aggregate risk with
copulas . . . . . . . . . . . . . . . . 428--454
Tue Gòrgens Semiparametric estimation of
single-index hazard functions without
proportional hazards . . . . . . . . . . 1--22
Luca Fanelli Dynamic adjustment cost models with
forward-looking behaviour . . . . . . . 23--47
Atsushi Inoue A bootstrap approach to moment selection 48--75
L. G. Godfrey and
C. D. Orme and
J. M. C. Santos Silva Simulation-based tests for
heteroskedasticity in linear regression
models: Some further results . . . . . . 76--97
Terence Tai-Leung Chong The polynomial aggregated AR(1) model 98--122
Yongcheol Shin and
Andy Snell Mean group tests for stationarity in
heterogeneous panels . . . . . . . . . . 123--158
Alan T. K. Wan and
Guohua Zou and
Kazuhiro Ohtani Further results on optimal critical
values of pre-test when estimating the
regression error variance . . . . . . . 159--176
Alban Thomas Consistent estimation of binary-choice
panel data models with heterogeneous
linear trends . . . . . . . . . . . . . 177--195
Josep Lluís Carrion-i-Silvestre and
Andreu Sansó Joint hypothesis specification for unit
root tests with a structural break . . . 196--224
Hui Liu and
Gabriel Rodríguez Unit root tests and structural change
when the initial observation is drawn
from its unconditional distribution . . 225--251
George Kapetanios and
Yongcheol Shin Unit root tests in three-regime SETAR
models . . . . . . . . . . . . . . . . . 252--278
Tadeusz Bednarski and
Edyta Mocarska On robust model selection within the Cox
model . . . . . . . . . . . . . . . . . 279--290
P. M. Robinson and
M. Gerolimetto Instrumental variables estimation of
stationary and non-stationary
cointegrating regressions . . . . . . . 291--306
Partha Deb and
Pravin K. Trivedi Specification and simulated likelihood
estimation of a non-normal
treatment-outcome model with selection:
Application to health care utilization 307--331
Jiti Gao and
Kim Hawthorne Semiparametric estimation and testing of
the trend of temperature series . . . . 332--355
Tommaso Proietti Temporal disaggregation by state space
methods: Dynamic regression methods
revisited . . . . . . . . . . . . . . . 357--372
Alexander Aue and
Lajos Horváth and
Marie Husková and
Piotr Kokoszka Change-point monitoring in linear models 373--403
Chris D. Orme and
Takashi Yamagata The asymptotic distribution of the
$F$-test statistic for individual
effects . . . . . . . . . . . . . . . . 404--422
Ai Deng and
Pierre Perron A comparison of alternative asymptotic
frameworks to analyse a structural
change in a linear time trend . . . . . 423--447
Desheng Ouyang and
Dong Li and
Qi Li Cross-validation and non-parametric k
nearest-neighbour estimation . . . . . . 448--471
Birgit Strikholm and
Timo Teräsvirta A sequential procedure for determining
the number of regimes in a threshold
autoregressive model . . . . . . . . . . 472--491
Ignacio N. Lobato and
Carlos Velasco Optimal Fractional Dickey--Fuller tests 492--510
Markus Frölich Non-parametric regression for binary
dependent variables . . . . . . . . . . 511--540
Kyoo il Kim Uniform convergence rate of the
seminonparametric density estimator and
testing for similarity of two unknown
densities . . . . . . . . . . . . . . . 1--34
Bryan W. Brown and
Douglas J. Hodgson Semiparametric efficiency bounds in
dynamic non-linear systems under
elliptical symmetry . . . . . . . . . . 35--48
Cheng Hsiao and
Siyan Wang Lag-augmented two- and three-stage least
squares estimators for integrated
structural dynamic models . . . . . . . 49--81
Chi-Young Choi and
Young-Kyu Moh How useful are tests for unit-root in
distinguishing unit-root processes from
stationary but non-linear processes? . . 82--112
Manabu Asai and
Michael McAleer Non-trading day effects in asymmetric
conditional and stochastic volatility
models . . . . . . . . . . . . . . . . . 113--123
Laura Mayoral Minimum distance estimation of
stationary and non-stationary ARFIMA
processes . . . . . . . . . . . . . . . 124--148
David I. Harvey and
Stephen J. Leybourne Testing for time series linearity . . . 149--165
Jan R. Magnus and
Andrey L. Vasnev Local sensitivity and diagnostic tests 166--192
José Canals-Cerdá and
Shiferaw Gurmu Semiparametric competing risks analysis 193--215
Ruijun Bu and
Kaddour Hadri Estimating option implied risk-neutral
densities using spline and
hypergeometric functions . . . . . . . . 216--244
Tassos Magdalinos On the inconsistency of the unrestricted
estimator of the information matrix near
a unit root . . . . . . . . . . . . . . 245--262
Christian Dustmann and
María Engracia Rochina-Barrachina Selection correction in panel data
models: An application to the estimation
of females' wage equations . . . . . . . 263--293
Arie Preminger and
Shinichi Sakata A model selection method for
$S$-estimation . . . . . . . . . . . . . 294--319
S. Haug and
C. Klüppelberg and
A. Lindner and
M. Zapp Method of moment estimation in the
COGARCH(1,1) model . . . . . . . . . . . 320--341
Hiroyuki Kawakatsu Numerical integration-based Gaussian
mixture filters for maximum likelihood
estimation of asymmetric stochastic
volatility models . . . . . . . . . . . 342--358
Markus Frölich Propensity score matching without
conditional independence assumption ---
with an application to the gender wage
gap in the United Kingdom . . . . . . . 359--407
L. Bauwens and
J. V. K. Rombouts Bayesian inference for the mixed
conditional heteroskedasticity model . . 408--425
Liqun Wang and
Cheng Hsiao Two-stage estimation of limited
dependent variable models with
errors-in-variables . . . . . . . . . . 426--438
Paulo Guimarães and
Richard C. Lindrooth Controlling for overdispersion in
grouped conditional logit models: A
computationally simple application of
Dirichlet-multinomial regression . . . . 439--452
Pao-Li Chang and
Shinichi Sakata Estimation of impulse response functions
using long autoregression . . . . . . . 453--469
Alan T. K. Wan and
Guohua Zou and
Huaizhen Qin On the sensitivity of the restricted
least squares estimators to covariance
misspecification . . . . . . . . . . . . 471--487
Richard T. Carson and
Yixiao Sun The Tobit model with a non-zero
threshold . . . . . . . . . . . . . . . 488--502
P. Dellaportas and
I. D. Vrontos Modelling volatility asymmetries: a
Bayesian analysis of a class of tree
structured multivariate GARCH models . . 503--520
Maria Caterina Bramati and
Christophe Croux Robust estimators for the fixed effects
panel data model . . . . . . . . . . . . 521--540
Russell Davidson and
James G. MacKinnon Moments of IV and JIVE estimators . . . 541--553
Barbara Rossi Expectations hypotheses tests at Long
Horizons . . . . . . . . . . . . . . . . 554--579
Zhongjun Qu Searching for cointegration in a dynamic
system . . . . . . . . . . . . . . . . . 580--604
Iliyan Georgiev A mixture-distribution factor model for
multivariate outliers . . . . . . . . . 605--636
Jason Allen Size matters: covariance matrix
estimation under the alternative . . . . 637--644
Richard J. Smith The Econometrics Journal of the Royal
Economic Society . . . . . . . . . . . . i--iii
Ke-Li Xu Bootstrapping Autoregression under
Non-stationary Volatility . . . . . . . 1--26
Da Huang and
Hansheng Wang and
Qiwei Yao Estimating GARCH models: when to use
what? . . . . . . . . . . . . . . . . . 27--38
Heino Bohn Nielsen Influential observations in cointegrated
VAR models: Danish money demand
1973-2003 . . . . . . . . . . . . . . . 39--57
Tor Jacobson and
Johan Lyhagen and
Rolf Larsson and
Marianne Nessén Inflation, exchange rates and PPP in a
multivariate panel cointegration model 58--79
Hyungsik Roger Moon and
Benoit Perron Asymptotic local power of pooled
$t$-ratio tests for unit roots in panels
with fixed effects . . . . . . . . . . . 80--104
M. Hashem Pesaran and
Aman Ullah and
Takashi Yamagata A bias-adjusted LM test of error
cross-section independence . . . . . . . 105--127
Esfandiar Maasoumi and
Le Wang Economic Reform, Growth and Convergence
in China . . . . . . . . . . . . . . . . 128--154
Konrad Banachewicz and
André Lucas and
Aad Van Der Vaart Modelling Portfolio Defaults Using
Hidden Markov Models with Covariates . . 155--171
Murray D. Smith Stochastic frontier models with
dependent error components . . . . . . . 172--192
Marco J. Lombardi and
Giorgio Calzolari Indirect Estimation of $ \alpha $-Stable
Distributions and Processes . . . . . . 193--208
Tucker McElroy Exact formulas for the Hodrick--Prescott
filter . . . . . . . . . . . . . . . . . 209--217
Xiao Huang Panel vector autoregression under
cross-sectional dependence . . . . . . . 219--243
Robert J. Elliott and
Vikram Krishnamurthy and
Jörn Sass Moment based regression algorithms for
drift and volatility estimation in
continuous-time Markov switching models 244--270
Andreas Beyer and
Roger E. A. Farmer and
Jérôme Henry and
Massimiliano Marcellino Factor analysis in a model with rational
expectations . . . . . . . . . . . . . . 271--286
Jushan Bai and
Haiqiang Chen and
Terence Tai-Leung Chong and
Seraph Xin Wang Generic consistency of the break-point
estimators under specification errors in
a multiple-break model . . . . . . . . . 287--307
Timo Kuosmanen Representation theorem for convex
nonparametric least squares . . . . . . 308--325
Ozkan Eren and
Daniel J. Henderson The impact of homework on student
achievement . . . . . . . . . . . . . . 326--348
Zhenlin Yang and
Yiu-Kuen Tse Generalized LM tests for functional form
and heteroscedasticity . . . . . . . . . 349--376
G. Kapetanios A bootstrap procedure for panel data
sets with many cross-sectional units . . 377--395
Rui Li and
Guan Gong K-nearest-neighbour non-parametric
estimation of regression functions in
the presence of irrelevant variables . . 396--408
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Seasonal unit root tests and the role of
initial conditions . . . . . . . . . . . 409--442
Russell Davidson and
James G. MacKinnon Bootstrap inference in a linear equation
estimated by instrumental variables . . 443--477
Shawn W. Ulrick Using semi-parametric methods in an
analysis of earnings mobility . . . . . 478--498
Timothy J. Halliday Heterogeneity, state dependence and
health . . . . . . . . . . . . . . . . . 499--516
Youngki Shin Semiparametric estimation of the
Box--Cox transformation model . . . . . 517--537
Chunrong Ai and
Edward C. Norton A semiparametric derivative estimator in
log transformation models . . . . . . . 538--553
Badi H. Baltagi and
Chihwa Kao and
Long Liu 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 . . . . . . . . . . . . . 554--572
Teruko Takada Asymptotic and qualitative performance
of non-parametric density estimators: a
comparative study . . . . . . . . . . . 573--592
John Knight and
Cathy Q. Ning Estimation of the stochastic conditional
duration model via alternative methods 593--616
Shiuyan Pong and
Mark B. Shackleton and
Stephen J. Taylor Distinguishing short and long memory
volatility specifications . . . . . . . 617--637
Rickard Sandberg Critical values for linearity tests in
time-varying smooth transition
autoregressive models when data are
highly persistent . . . . . . . . . . . 638--647
Stefan Hoderlein and
Enno Mammen Identification and estimation of local
average derivatives in non-separable
models without monotonicity . . . . . . 1--25
D. S. Poskitt and
C. L. Skeels Assessing the magnitude of the
concentration parameter in a
simultaneous equations model . . . . . . 26--44
Qiaoling Li and
Jiazhu Pan Determining the number of factors in a
multivariate error correction-volatility
factor model . . . . . . . . . . . . . . 45--61
Vasilis Sarafidis and
Donald Robertson On the impact of error cross-sectional
dependence in short dynamic panel
estimation . . . . . . . . . . . . . . . 62--81
Anders Wilhelmsson Value at Risk with time varying
variance, skewness and kurtosis --- the
NIG--ACD model . . . . . . . . . . . . . 82--104
David Ardia Bayesian estimation of a
Markov-switching threshold asymmetric
GARCH model with Student-$t$ innovations 105--126
Christian M. Hafner Causality and forecasting in temporally
aggregated multivariate GARCH processes 127--146
Tomoaki Nakatani and
Timo Teräsvirta Testing for volatility interactions in
the Constant Conditional Correlation
GARCH model . . . . . . . . . . . . . . 147--163
Hiroyuki Kawakatsu and
Ann G. Largey EM algorithms for ordered probit models
with endogenous regressors . . . . . . . 164--186
Oliver Linton and
Jens Perch Nielsen and
Sòren Feodor Nielsen Non-parametric regression with a latent
time series . . . . . . . . . . . . . . 187--207
Francesco Bravo Blockwise generalized empirical
likelihood inference for non-linear
dynamic moment conditions models . . . . 208--231
Yong Bao and
Aman Ullah On skewness and kurtosis of econometric
estimators . . . . . . . . . . . . . . . 232--247
P. Cízek and
W. Härdle and
V. Spokoiny Adaptive pointwise estimation in
time-inhomogeneous conditional
heteroscedasticity models . . . . . . . 248--271
Sebastian Kring and
Svetlozar T. Rachev and
Markus Höchstötter and
Frank J. Fabozzi and
Michele Leonardo Bianchi Multi-tail generalized elliptical
distributions for asset returns . . . . 272--291
Manabu Asai and
Michael McAleer Multivariate stochastic volatility,
leverage and news impact surfaces . . . 292--309
Matteo Grigoletto and
Francesco Lisi Looking for skewness in financial time
series . . . . . . . . . . . . . . . . . 310--323
Yuanyuan Gu and
Denzil G. Fiebig and
Edward Cripps and
Robert Kohn Bayesian estimation of a random effects
heteroscedastic probit model . . . . . . 324--339
S. De Silva and
K. Hadri and
A. R. Tremayne Panel unit root tests in the presence of
cross-sectional dependence: finite
sample performance and an application 340--366
Eric Engler and
Bent Nielsen The empirical process of autoregressive
residuals . . . . . . . . . . . . . . . 367--381
Stefan Sperlich A note on non-parametric estimation with
predicted variables . . . . . . . . . . 382--395
Jianqing Fan and
Richard J. Smith Royal Economic Society Annual Conference
2008 Special Issue on Financial
Econometrics . . . . . . . . . . . . . . ci--ciii
Laurent Davezies and
Xavier D'Haultfoeuille and
Denis Foug\`ere Identification of peer effects using
group size variation . . . . . . . . . . 397--413
Matei Demetrescu and
Helmut Lütkepohl and
Pentti Saikkonen Testing for the cointegrating rank of a
vector autoregressive process with
uncertain deterministic trend term . . . 414--435
Ji-Chun Liu Stationarity of a family of GARCH
processes . . . . . . . . . . . . . . . 436--446
Anonymous Errata . . . . . . . . . . . . . . . . . 447
Elise Coudin and
Jean-Marie Dufour Index to \booktitleThe Econometrics
Journal Volume 12 . . . . . . . . . . . 449--450
O. E. Barndorff-Nielsen and
P. Reinhard Hansen and
A. Lunde and
N. Shephard Realized kernels in practice: trades and
quotes . . . . . . . . . . . . . . . . . C1--C32
Jens H. E. Christensen and
Francis X. Diebold and
Glenn D. Rudebusch An arbitrage-free generalized
Nelson-Siegel term structure model . . . C33--C64
Enrique Sentana The econometrics of mean-variance
efficiency tests: a survey . . . . . . . C65--C101
Martin Browning and
Jesus M. Carro Heterogeneity in dynamic discrete choice
models . . . . . . . . . . . . . . . . . 1--39
Marcia M. A. Schafgans and
Victoria Zinde-Walsh Smoothness adaptive average derivative
estimation . . . . . . . . . . . . . . . 40--62
Edith Madsen Unit root inference in panel data models
where the time-series dimension is
fixed: a comparison of different tests 63--94
Maurice J. G. Bun and
Frank Windmeijer The weak instrument problem of the
system GMM estimator in dynamic panel
data models . . . . . . . . . . . . . . 95--126
Bo E. Honoré and
Luojia Hu Estimation of a transformation model
with truncation, interval observation
and time-varying covariates . . . . . . 127--144
Gary Koop A Review of A First Course in Bayesian
Statistical Methods . . . . . . . . . . B1--B5
Lung-fei Lee and
Xiaodong Liu and
Xu Lin Specification and estimation of social
interaction models with network
structures . . . . . . . . . . . . . . . 145--176
Hwan-sik Choi and
Nicholas M. Kiefer Improving robust model selection tests
for dynamic models . . . . . . . . . . . 177--204
Jonathan H. Wright Testing the adequacy of conventional
asymptotics in GMM . . . . . . . . . . . 205--217
Luc Bauwens and
Arie Preminger and
Jeroen V. K. Rombouts Theory and inference for a Markov
switching GARCH model . . . . . . . . . 218--244
George J. Jiang and
John L. Knight ECF estimation of Markov models where
the transition density is unknown . . . 245--270
Carlo V. Fiorio and
Vassilis A. Hajivassiliou and
Peter C. B. Phillips Bimodal $t$-ratios: the impact of thick
tails on inference . . . . . . . . . . . 271--289
Anonymous Index to \booktitleThe Econometrics
Journal Volume 13 . . . . . . . . . . . 291--292
Frédérique F\`eve and
Jean-Pierre Florens The practice of non-parametric
estimation by solving inverse problems:
the example of transformation models . . S1--S27
Ivana Komunjer and
Andres Santos Semi-parametric estimation of
non-separable models: a minimum distance
from independence approach . . . . . . . S28--S55
Leandro M. Magnusson Inference in limited dependent variable
models robust to weak identification . . S56--S79
Anne Vanhems Non-parametric estimation of exact
consumer surplus with endogeneity in
price . . . . . . . . . . . . . . . . . S80--S98
Peter Haan and
Victoria Prowse A structural approach to estimating the
effect of taxation on the labour market
dynamics of older workers . . . . . . . S99--S125
Fedor Iskhakov Structural dynamic model of retirement
with latent health indicator . . . . . . S126--S161
Jean-Marc Robin Recent developments in structural
microeconometrics . . . . . . . . . . . Si--Sii
Pierre Perron and
Richard J. Smith Royal Economic Society Annual Conference
2009 Special Issue on Factor Models:
Theoretical and Applied Perspectives . . ci--ciii
Tomohiro Ando and
Ruey S. Tsay Quantile regression models with
factor-augmented predictors and
information criterion . . . . . . . . . 1--24
Badi H. Baltagi and
Qu Feng and
Chihwa Kao Testing for sphericity in a fixed
effects panel data model . . . . . . . . 25--47
Jan Mutl and
Michael Pfaffermayr The Hausman test in a Cliff and Ord
panel model . . . . . . . . . . . . . . 48--76
Morten Òrregaard Nielsen and
Per Frederiksen Fully modified narrow-band least squares
estimation of weak fractional
cointegration . . . . . . . . . . . . . 77--120
Deniz Dilan Karaman Örsal and
Bernd Droge Corrigendum to `Likelihood-based
cointegration tests in heterogeneous
panels' (Larsson R., J. Lyhagen and M.
Löthgren, Econometrics Journal, \bf 4,
2001, 109--142) . . . . . . . . . . . . 121--125
Peter C. B. Phillips and
Jun Yu Corrigendum to `A Gaussian approach for
continuous time models of short-term
interest rates' (Yu, J. and P. C. B.
Phillips, Econometrics Journal, \bf 4,
210--224) . . . . . . . . . . . . . . . 126--129
Emanuel Moench and
Serena Ng A hierarchical factor analysis of U.S.
housing market dynamics . . . . . . . . C1--C24
Elena Angelini and
Gonzalo Camba-Mendez and
Domenico Giannone and
Lucrezia Reichlin and
Gerhard Rünstler Short-term forecasts of euro area GDP
growth . . . . . . . . . . . . . . . . . C25--C44
Alexander Chudik and
M. Hashem Pesaran and
Elisa Tosetti Weak and strong cross-section dependence
and estimation of large panels . . . . . C45--C90
Anonymous The Denis Sargan Econometrics Prize . . Ai
Takamitsu Kurita and
Heino Bohn Nielsen and
Anders Rahbek An $ I(2) $ cointegration model with
piecewise linear trends . . . . . . . . 131--155
Marcus J. Chambers Cointegration and sampling frequency . . 156--185
Maria Ponomareva and
Elie Tamer Misspecification in moment inequality
models: back to moment equalities? . . . 186--203
Almut E. D. Veraart Likelihood estimation of Lévy-driven
stochastic volatility models through
realized variance measures . . . . . . . 204--240
Xiao Huang Quasi-maximum likelihood estimation of
discretely observed diffusions . . . . . 241--256
Jianing Di and
Ashis Gangopadhyay On the efficiency of a semi-parametric
GARCH model . . . . . . . . . . . . . . 257--277
Zhidong Bai and
Hua Li and
Huixia Liu and
Wing-Keung Wong Test statistics for prospect and
Markowitz stochastic dominances with
applications . . . . . . . . . . . . . . 278--303
Kairat T. Mynbaev Regressions with asymptotically
collinear regressors . . . . . . . . . . 304--320
Taisuke Otsu Large deviations of generalized method
of moments and empirical likelihood
estimators . . . . . . . . . . . . . . . 321--329
Benjamin Born and
Jörg Breitung Simple regression-based tests for
spatial dependence . . . . . . . . . . . 330--342
Christian N. Brinch Non-parametric identification of the
mixed proportional hazards model with
interval-censored durations . . . . . . 343--350
João M. C. Santos Silva A Review of
\booktitleMicro-Econometrics: Methods of
Moments and Limited Dependent Variables
(2nd Ed.) by Lee (Myoung-jae) . . . . . B1--B4
Stefan Hoderlein and
Enno Mammen and
Kyusang Yu Non-parametric models in binary choice
fixed effects panel data . . . . . . . . 351--367
Ivan A. Canay A simple approach to quantile regression
for panel data . . . . . . . . . . . . . 368--386
Degui Li and
Jia Chen and
Jiti Gao Non-parametric time-varying coefficient
panel data models with fixed effects . . 387--408
Jason Abrevaya and
Youngki Shin Rank estimation of partially linear
index models . . . . . . . . . . . . . . 409--437
Jingjing Yang and
Timothy J. Vogelsang Fixed-$b$ analysis of LM-type tests for
a shift in mean . . . . . . . . . . . . 438--456
Peter C. B. Phillips and
Liangjun Su Non-parametric regression under location
shifts . . . . . . . . . . . . . . . . . 457--486
Yunmi Kim and
Chang-Jin Kim Dealing with endogeneity in a
time-varying parameter model: joint
estimation and two-step estimation
procedures . . . . . . . . . . . . . . . 487--497
Anonymous Index to \booktitleThe Econometrics
Journal Volume 14 . . . . . . . . . . . 499--500
Ralf A. Wilke A Review of \booktitleEconometric
Analysis of Cross Section and Panel Data
(2nd ed.) by Wooldridge (Jeffrey M.) . . B5--B9
Oliver Linton and
Richard J. Smith EDITORIAL . . . . . . . . . . . . . . . Ci--Cii
Francesco Bravo Generalized empirical likelihood testing
in semiparametric conditional moment
restrictions models . . . . . . . . . . 1--31
Lorenzo Camponovo and
Taisuke Otsu Breakdown point theory for implied
probability bootstrap . . . . . . . . . 32--55
Yonghui Zhang and
Liangjun Su and
Peter C. B. Phillips Testing for common trends in
semi-parametric panel data models with
fixed effects . . . . . . . . . . . . . 56--100
Rembert De Blander and
Geert Dhaene Unit root tests for panel data with
AR(1) errors and small $T$ . . . . . . . 101--124
Christian Schluter On the problem of inference for
inequality measures for heavy-tailed
distributions . . . . . . . . . . . . . 125--153
Jingjing Yang Break point estimators for a slope
shift: levels versus first differences 154--169
Stephen G. Donald and
Yu-Chin Hsu and
Garry F. Barrett Incorporating covariates in the
measurement of welfare and inequality:
methods and applications . . . . . . . . C1--C30
Russell Davidson Statistical inference in the presence of
heavy tails . . . . . . . . . . . . . . C31--C53
Christian Schluter Discussion of S. G. Donald et al. and R.
Davidson . . . . . . . . . . . . . . . . C54--C57
Fabrizio Ferriani and
Sergio Pastorello Estimating and testing non-affine option
pricing models with a large unbalanced
panel of options . . . . . . . . . . . . 171--203
Heejoon Han and
Shen Zhang Non-stationary non-parametric volatility
model . . . . . . . . . . . . . . . . . 204--225
Tom Engsted and
Bent Nielsen Testing for rational bubbles in a
coexplosive vector autoregression . . . 226--254
Yoosoon Chang and
Bibo Jiang and
Joon Park Non-stationary regression with logistic
transition . . . . . . . . . . . . . . . 255--287
Sung Jae Jun and
Joris Pinkse and
Haiqing Xu Discrete endogenous variables in weakly
separable models . . . . . . . . . . . . 288--303
Jean-Pierre Florens and
Jan Johannes and
Sébastien Van Bellegem Instrumental regression in partially
linear models . . . . . . . . . . . . . 304--324
Peter S. Jensen and
Allan H. Würtz Estimating the effect of a variable in a
high-dimensional linear model . . . . . 325--357
Leena Kalliovirta Misspecification tests based on quantile
residuals . . . . . . . . . . . . . . . 358--393
Denise R. Osborn A Review of \booktitleModelling
Nonlinear Economic Time Series by
Teräsvirta (Timo), Tjòstheim (Dag) and
Granger (Clive W. J.) . . . . . . . . . B1--B3
Hong Li and
Zhijie Xiao Weak instrument inference in the
presence of parameter instability . . . 395--419
Dennis Kristensen Non-parametric detection and estimation
of structural change . . . . . . . . . . 420--461
Tue Gòrgens and
Allan Würtz Testing a parametric function against a
non-parametric alternative in IV and GMM
settings . . . . . . . . . . . . . . . . 462--489
Michael Creel and
Dennis Kristensen Estimation of dynamic latent variable
models using simulated non-parametric
moments . . . . . . . . . . . . . . . . 490--515
John C. Nankervis and
Nathan E. Savin Testing for uncorrelated errors in ARMA
models: non-standard Andrews--Ploberger
tests . . . . . . . . . . . . . . . . . 516--534
Anonymous Erratum . . . . . . . . . . . . . . . . 535
Anonymous Index to \booktitleThe Econometrics
Journal Volume 15 . . . . . . . . . . . 537--538
Christoph Görtz A Review of \booktitleStructural
Macroeconometrics by DeJong (David N.)
and Dave (Chetan) . . . . . . . . . . . B5--B10
Gael Martin A Review of \booktitleThe Oxford
Handbook of Bayesian Econometrics edited
by Geweke (John), Koop (Gary) and van
Dijk (Herman) . . . . . . . . . . . . . B11--B15
Yixiao Sun A heteroskedasticity and autocorrelation
robust F test using an orthonormal
series variance estimator . . . . . . . 1--26
Stanislav Anatolyev Instrumental variables estimation and
inference in the presence of many
exogenous regressors . . . . . . . . . . 27--72
Wei Wang and
Lung-Fei Lee Estimation of spatial autoregressive
models with randomly missing data in the
dependent variable . . . . . . . . . . . 73--102
Badi H. Baltagi and
Zhenlin Yang Standardized LM tests for spatial error
dependence in linear or panel
regressions . . . . . . . . . . . . . . 103--134
Charles F. Manski Identification of treatment response
with social interactions . . . . . . . . S1--S23
Jan F. Kiviet Identification and inference in a
simultaneous equation under alternative
information sets and sampling schemes S24--S59
Tatiana Komarova Partial identification in asymmetric
auctions in the absence of independence S60--S92
Marc Henry and
Ismael Mourifié Set inference in latent variables models S93--S105
Christian Bontemps and
Elie Tamer Identification in Econometrics, Theory
and Applications: EDITORIAL . . . . . . Si--Sii
Jason R. Blevins and
Shakeeb Khan Local NLLS estimation of semi-parametric
binary choice models . . . . . . . . . . 135--160
Jason Abrevaya The projection approach for unbalanced
panel data . . . . . . . . . . . . . . . 161--178
Gerdie Everaert Orthogonal to backward mean
transformation for dynamic panel data
models . . . . . . . . . . . . . . . . . 179--221
Jushan Bai and
Josep Lluís Carrion-i-Silvestre Testing panel cointegration with
unobservable dynamic common factors that
are correlated with the regressors . . . 222--249
Zhengyu Zhang Semi-parametric estimation of a
generalized threshold regression model
under conditional quantile restriction 250--277
Víctor M. Aguirre and
Manuel A. Domínguez New inference methods for quantile
regression based on resampling . . . . . 278--283
Patrick Marsh A Review of Non-Parametric Econometrics B1--B3
Piotr Kokoszka and
Matthew Reimherr Predictability of shapes of intraday
price curves . . . . . . . . . . . . . . 285--308
Zhongjun Qu and
Pierre Perron A stochastic volatility model with
random level shifts and its applications
to S&P 500 and NASDAQ return indices . . 309--339
Koen Jochmans Pairwise-comparison estimation with
non-parametric controls . . . . . . . . 340--372
Richard T. Baillie and
George Kapetanios Estimation and inference for impulse
response functions from univariate
strongly persistent processes . . . . . 373--399
Yohei Yamamoto and
Pierre Perron Estimating and testing multiple
structural changes in linear models
using band spectral regressions . . . . 400--429
Ping Yu and
Yongqiang Zhao Asymptotics for threshold regression
under general conditions . . . . . . . . 430--462
Qingfeng Liu and
Ryo Okui Heteroscedasticity-robust C p model
averaging . . . . . . . . . . . . . . . 463--472
Zheng-Feng Guo and
Mototsugu Shintani Consistent co-trending rank selection
when both stochastic and non-linear
deterministic trends are present . . . . 473--484
Anonymous Index to \booktitleThe Econometrics
Journal Volume 16 . . . . . . . . . . . 485--486
Robert Taylor A Review of Unit Root Tests in Time
Series: Volumes 1 and 2 . . . . . . . . B5--B8
Jiancheng Jiang and
Xuejun Jiang and
Xinyuan Song Weighted composite quantile regression
estimation of DTARCH models . . . . . . 1--23
Rasmus S. Pedersen and
Anders Rahbek Multivariate variance targeting in the
BEKK--GARCH model . . . . . . . . . . . 24--55
Kyu H. Kang Estimation of state-space models with
endogenous Markov regime-switching
parameters . . . . . . . . . . . . . . . 56--82
Chunrong Ai and
Jinhong You and
Yong Zhou Estimation of fixed effects panel data
partially linear additive regression
models . . . . . . . . . . . . . . . . . 83--106
Juan M. Rodriguez-Poo and
Alexandra Soberon Direct semi-parametric estimation of
fixed effects panel data varying
coefficient models . . . . . . . . . . . 107--138
Peter M. Robinson and
Francesca Rossi Improved Lagrange multiplier tests in
spatial autoregressions . . . . . . . . 139--164
Firmin Doko Tchatoka and
Jean-Marie Dufour Identification-robust inference for
endogeneity parameters in linear
structural models . . . . . . . . . . . 165--187
Andreas Hagemann Stochastic equicontinuity in nonlinear
time series models . . . . . . . . . . . 188--196
Andrew Chesher and
Adam M. Rosen An instrumental variable
random-coefficients model for binary
outcomes . . . . . . . . . . . . . . . . S1--S19
Young K. Lee and
Enno Mammen and
Byeong U. Park Backfitting and smooth backfitting in
varying coefficient quantile regression S20--S38
Russell Davidson and
James G. MacKinnon Confidence sets based on inverting
Anderson-Rubin tests . . . . . . . . . . S39--S58
Oliver Linton and
Thierry Post and
Yoon-Jae Whang Testing for the stochastic dominance
efficiency of a given portfolio . . . . S59--S74
Alexandre Belloni and
Victor Chernozhukov Posterior inference in curved
exponential families under increasing
dimensions . . . . . . . . . . . . . . . S75--S100
Song Song and
Wolfgang K. Härdle and
Ya'acov Ritov Generalized dynamic semi-parametric
factor models for high-dimensional
non-stationary time series . . . . . . . S101--S131
Xiaohong Chen and
Sokbae Lee and
Oliver Linton and
Elie Tamer Advances in Robust and Flexible
Inference in Econometrics: A Special
Issue in Honour of Joel L. Horowitz . . Si--Sii
Ji Tao and
Lung-fei Lee A social interaction model with an
extreme order statistic . . . . . . . . 197--240
Haiqing Xu Estimation of discrete games with
correlated types . . . . . . . . . . . . 241--270
Le-Yu Chen and
Sokbae Lee and
Myung Jae Sung Maximum score estimation with
nonparametrically generated regressors 271--300
Dukpa Kim Common breaks in time trends for large
panel data with a factor structure . . . 301--337
Hyungsik Roger Moon and
Benoit Perron and
Peter C. B. Phillips Point-optimal panel unit root tests with
serially correlated errors . . . . . . . 338--372
Koen Jochmans First-differencing in panel data models
with incidental functions . . . . . . . 373--382
Peter Fuleky and
Eric Zivot Indirect inference based on the score 383--393
Anonymous Index to \booktitleThe Econometrics
Journal Volume 17 . . . . . . . . . . . 395--396
Maximilian Kasy Non-parametric inference on the number
of equilibria . . . . . . . . . . . . . 1--39
Rebecca Allen and
Simon Burgess and
Russell Davidson and
Frank Windmeijer More reliable inference for the
dissimilarity index of segregation . . . 40--66
Igor L. Kheifets Specification tests for nonlinear
dynamic models . . . . . . . . . . . . . 67--94
Wei-Ming Lee and
Yu-Chin Hsu and
Chung-Ming Kuan Robust hypothesis tests for
$M$-estimators with possibly
non-differentiable estimating functions 95--116
Jia Chen and
Jiti Gao and
Degui Li and
Zhengyan Lin Specification testing in nonstationary
time series models . . . . . . . . . . . 117--136
Firmin Doko Tchatoka On bootstrap validity for specification
tests with weak instruments . . . . . . 137--146
Richard J. Smith Royal Economic Society Annual Conference
2012 Special Issue on Econometrics of
Forecasting . . . . . . . . . . . . . . Ci--Cii
Yanqin Fan and
Sergio Pastorello and
Eric Renault Maximization by parts in extremum
estimation . . . . . . . . . . . . . . . 147--171
Jason R. Blevins Non-standard rates of convergence of
criterion-function-based set estimators
for binary response models . . . . . . . 172--199
Stelios Arvanitis and
Antonis Demos A class of indirect inference
estimators: higher-order asymptotics and
approximate bias correction . . . . . . 200--241
Zhengyu Zhang and
Bing Liu Identification and estimation of
partially linear censored regression
models with unknown heteroscedasticity 242--273
Ke-Li Xu Testing for structural change under
non-stationary variances . . . . . . . . 274--305
Peter C. B. Phillips Edmond Malinvaud: a tribute to his
contributions in econometrics . . . . . A1--A13
Borus Jungbacker and
Siem Jan Koopman Likelihood-based dynamic factor analysis
for measurement and forecasting . . . . C1--C21
Raffaella Giacomini Economic theory and forecasting: lessons
from the literature . . . . . . . . . . C22--C41
Minsu Chang and
Sokbae Lee and
Yoon-Jae Whang Nonparametric tests of conditional
treatment effects with an application to
single-sex schooling on academic
achievements . . . . . . . . . . . . . . 307--346
Yingyao Hu and
Ji-Liang Shiu and
Tiemen Woutersen Identification and estimation of
single-index models with measurement
error and endogeneity . . . . . . . . . 347--362
Kaddour Hadri and
Eiji Kurozumi and
Yao Rao Novel panel cointegration tests emending
for cross-section dependence with N
fixed . . . . . . . . . . . . . . . . . 363--411
Eiji Kurozumi and
Yohei Yamamoto Confidence sets for the break date based
on optimal tests . . . . . . . . . . . . 412--435
Anonymous Index to \booktitleThe Econometrics
Journal Volume 18 . . . . . . . . . . . 437
Andrew J. Patton and
Richard J. Smith Royal Economic Society Annual Conference
2014 Special Issue on Large Dimensional
Models . . . . . . . . . . . . . . . . . Ci--Cii
Ulrich Hounyo and
Bezirgen Veliyev Validity of Edgeworth expansions for
realized volatility estimators . . . . . 1--32
Lorenzo Camponovo Asymptotic refinements of nonparametric
bootstrap for quasi-likelihood ratio
tests for classes of extremum estimators 33--54
Zaichao Du Nonparametric bootstrap tests for
independence of generalized errors . . . 55--83
Pierre Perron and
Gabriel Rodríguez Residuals-based tests for cointegration
with generalized least-squares detrended
data . . . . . . . . . . . . . . . . . . 84--111
Jianqing Fan and
Yuan Liao and
Han Liu An overview of the estimation of large
covariance and precision matrices . . . C1--C32
Matteo Barigozzi and
Marc Hallin Generalized dynamic factor models and
volatilities: recovering the market
volatility shocks . . . . . . . . . . . C33--C60
Sung Jae Jun and
Joris Pinkse and
Haiqing Xu Estimating a nonparametric triangular
model with binary endogenous regressors 113--149
Christopher P. Adams Finite mixture models with one exclusion
restriction . . . . . . . . . . . . . . 150--165
Jörg Breitung and
Christoph Roling and
Nazarii Salish Lagrange multiplier type tests for slope
homogeneity in panel data models . . . . 166--202
Chu-An Liu and
Biing-Shen Kuo Model averaging in predictive
regressions . . . . . . . . . . . . . . 203--231
Olivier Scaillet On ill-posedness of nonparametric
instrumental variable regression with
convexity constraints . . . . . . . . . 232--236
Richard J. Smith Royal Economic Society Annual Conference
2013Special Issue on Econometrics of
Heterogeneity . . . . . . . . . . . . . Ciii--Civ
Guangyu Mao Testing for error cross-sectional
independence using pairwise augmented
regressions . . . . . . . . . . . . . . 237--260
Xi Qu and
Xiaoliang Wang and
Lung-fei Lee Instrumental variable estimation of a
spatial dynamic panel model with
endogenous spatial weights when T is
small . . . . . . . . . . . . . . . . . 261--290
Anonymous Index to \booktitleThe Econometrics
Journal Volume 19 . . . . . . . . . . . 291--292
Barbara Rossi A Review of Economic Forecasting . . . . B1--B3
Manuel Arellano and
Stéphane Bonhomme Nonlinear panel data estimation via
quantile regressions . . . . . . . . . . C61--C94
Giovanni Compiani and
Yuichi Kitamura Using mixtures in econometric models: a
brief review and some new results . . . C95--C127
Yu-Chin Hsu Consistent tests for conditional
treatment effects . . . . . . . . . . . 1--22
Yannick Hoga Testing for changes in (extreme) VaR . . 23--51
Yu-Chin Hsu and
Xiaoxia Shi Model-selection tests for conditional
moment restriction models . . . . . . . 52--85
Patrick Bardsley and
Lajos Horváth and
Piotr Kokoszka and
Gabriel Young Change point tests in functional factor
models with application to yield curves 86--117
Zongwu Cai and
Bingyi Jing and
Xinbing Kong and
Zhi Liu Nonparametric regression with nearly
integrated regressors under long-run
dependence . . . . . . . . . . . . . . . 118--138
Jun Ma Second-order refinement of empirical
likelihood ratio tests of nonlinear
restrictions . . . . . . . . . . . . . . 139--148
Richard J. Smith Royal Economic Society Annual Conference
2015 Special Issue on Econometrics of
Matching . . . . . . . . . . . . . . . . Ci--Cii
Jerome M. Krief Semi-linear mode regression . . . . . . 149--167
Maria Kyriacou and
Peter C. B. Phillips and
Francesca Rossi Indirect inference in spatial
autoregression . . . . . . . . . . . . . 168--189
Juan Lin and
Ximing Wu A sequential test for the specification
of predictive densities . . . . . . . . 190--220
Arie Preminger and
Giuseppe Storti Least-squares estimation of GARCH(1,1)
models with heavy-tailed errors . . . . 221--258
Koen Jochmans and
Thierry Magnac A note on sufficiency in binary panel
models . . . . . . . . . . . . . . . . . 259--269
Alfred Galichon A survey of some recent applications of
optimal transport methods to
econometrics . . . . . . . . . . . . . . C1--C11
Anonymous Index to \booktitleThe Econometrics
Journal Volume 20 . . . . . . . . . . . 271--272
Karyne B. Charbonneau Multiple fixed effects in binary
response panel data models . . . . . . . S1--S13
Vincent Boucher and
Ismael Mourifié My friend far, far away: a random field
approach to exponential random graph
models . . . . . . . . . . . . . . . . . S14--S46
Christiern D. Rose Identification of peer effects through
social networks using variance
restrictions . . . . . . . . . . . . . . S47--S60
Francesco Moscone and
Elisa Tosetti and
Veronica Vinciotti Sparse estimation of huge networks with
a block-wise structure . . . . . . . . . S61--S85
Zhongjian Lin and
Haiqing Xu Estimation of social-influence-dependent
peer pressure in a large network game S86--S102
Xiaodong Liu and
Eleonora Patacchini and
Edoardo Rainone Peer effects in bedtime decisions among
adolescents: a social network model with
sampled data . . . . . . . . . . . . . . S103--S125
Lada Adamic and
Celso Brunetti and
Jeffrey H. Harris and
Andrei Kirilenko Trading networks . . . . . . . . . . . . S126--S149
Jaap H. Abbring and
Áureo de Paula Special Issue on Econometrics of
Networks: Editorial . . . . . . . . . . Si--Sii
Richard J. Smith Royal Economic Society Annual Conference
2016 Special Issue on Model Selection
and Inference . . . . . . . . . . . . . Ci--Cii
Bo E. Honoré and
Luojia Hu Simpler bootstrap estimation of the
asymptotic variance of
$U$-statistic-based estimators . . . . . 1--10
Jiaying Gu and
Shu Shen Oracle and adaptive false discovery rate
controlling methods for one-sided
testing: theory and application in
treatment effect evaluation . . . . . . 11--35
Juan Carlos Escanciano A simple and robust estimator for linear
regression models with strictly
exogenous instruments . . . . . . . . . 36--54
Yingyao Hu and
Ji-Liang Shiu Identification and estimation of
semi-parametric censored dynamic panel
data models of short time periods . . . 55--85
Victor Chernozhukov and
Denis Chetverikov and
Mert Demirer and
Esther Duflo and
Christian Hansen and
Whitney Newey and
James Robins Double/debiased machine learning for
treatment and structural parameters . . C1--C68
H. Peter Boswijk and
Yang Zu Adaptive wild bootstrap tests for a unit
root with non-stationary volatility . . 87--113
James G. MacKinnon and
Matthew D. Webb The wild bootstrap for few (treated)
clusters . . . . . . . . . . . . . . . . 114--135
Matt Goldman and
David M. Kaplan Non-parametric inference on
(conditional) quantile differences and
interquantile ranges, using
$L$-statistics . . . . . . . . . . . . . 136--169
Cinzia Daraio and
Léopold Simar and
Paul W. Wilson Central limit theorems for conditional
efficiency measures and tests of the
`separability' condition in
non-parametric, two-stage models of
production . . . . . . . . . . . . . . . 170--191
Jilin Wu and
Zhijie Xiao Testing for changing volatility . . . . 192--217
Beili Mu and
Zhengyu Zhang Identification and estimation of
heteroscedastic binary choice models
with endogenous dummy regressors . . . . 218--246
Khai Xiang Chiong and
Hyungsik Roger Moon Estimation of graphical models using the
$L_{1,2}$ norm . . . . . . . . . . . . . 247--263
Joakim Westerlund CCE in panels with general unknown
factors . . . . . . . . . . . . . . . . 264--276
S. Astill and
A. M. R. Taylor Robust tests for deterministic
seasonality and seasonal mean shifts . . 277--297
Max Kleiman-Weiner and
Joshua B. Tenenbaum and
Penghui Zhou Non-parametric Bayesian inference of
strategies in repeated games . . . . . . 298--315
Hans van Kippersluis and
Cornelius A. Rietveld Beyond plausibly exogenous . . . . . . . 316--331
Brendan Kline and
Elie Tamer Identification of treatment effects with
selective participation in a randomized
trial . . . . . . . . . . . . . . . . . 332--353
Anonymous Index to \booktitleThe Econometrics
Journal Volume 21 . . . . . . . . . . . 354
Frank Windmeijer Two-stage least squares as minimum
distance . . . . . . . . . . . . . . . . 1--9
Matei Demetrescu and
Dominik Wied Testing for constant correlation of
filtered series under structural change 10--33
Yoshimasa Uematsu and
Shinya Tanaka High-dimensional macroeconomic
forecasting and variable selection via
penalized regression . . . . . . . . . . 34--56
Arturas Juodis and
Joakim Westerlund Optimal panel unit root testing with
covariates . . . . . . . . . . . . . . . 57--72
Gangzheng Guo and
Yixiao Sun and
Shaoping Wang Testing for moderate explosiveness . . . 73--95
Anonymous Royal Economic Society Annual Conference
2017 Special Issue on Econometrics of
Games . . . . . . . . . . . . . . . . . -
Philip A. Haile and
Yuichi Kitamura Unobserved heterogeneity in auctions . . -
Tucker S. McElroy and
Agnieszka Jach Testing collinearity of vector time
series . . . . . . . . . . . . . . . . . 97--116
Irene Botosaru and
Bruno Ferman On the role of covariates in the
synthetic control method . . . . . . . . 117--130
Jozef Baruník and
Tobias Kley Quantile coherency: a general measure
for dependence between cyclical economic
variables . . . . . . . . . . . . . . . 131--152
Youri Davydov and
Francesca Greselin Inferential results for a new measure of
inequality . . . . . . . . . . . . . . . 153--172
Christine Amsler and
Peter Schmidt Separating different individual effects
in a panel data model . . . . . . . . . 173--187
Brennan S. Thompson and
Matthew D. Webb A simple, graphical approach to
comparing multiple treatments . . . . . 188--205
Kuangyu Wen and
Ximing Wu A guided nonparametric goodness-of-fit
test with application to income
distributions . . . . . . . . . . . . . 207--222
Jia Chen Estimating latent group structure in
time-varying coefficient panel data
models . . . . . . . . . . . . . . . . . 223--240
Stefan Hubner and
Pavel Cízek Quantile-based smooth transition value
at risk estimation . . . . . . . . . . . 241--261
Benjamin J. Gillen and
Sergio Montero and
Hyungsik Roger Moon and
Matthew Shum BLP-2LASSO for aggregate discrete choice
models with rich covariates . . . . . . 262--281
Giovanni Forchini and
Bin Jiang Fragility of identification in panel
binary response models . . . . . . . . . 282--291
Galina Besstremyannaya and
Sergei Golovan Reconsideration of a simple approach to
quantile regression for panel data . . . 292--308
Pedro Carneiro and
Sokbae Lee and
Daniel Wilhelm Optimal data collection for randomized
control trials . . . . . . . . . . . . . 1--31
Han Hong and
Michael P. Leung and
Jessie Li Inference on finite-population treatment
effects under limited overlap . . . . . 32--47
Grigorios Emvalomatis Semi-parametric analysis of efficiency
and productivity using Gaussian
processes . . . . . . . . . . . . . . . 48--67
John R. Gardner Roy-model bounds on the wage effects of
the Great Migration . . . . . . . . . . 68--87
Christoph Breunig and
Michael Kummer and
Joerg Ohnemus and
Steffen Viete Information technology outsourcing and
firm productivity: eliminating bias from
selective missingness in the dependent
variable . . . . . . . . . . . . . . . . 88--114
Lung-fei Lee and
Jihai Yu Initial conditions of dynamic panel data
models: on within and between equations 115--136
Huanjun Zhu and
Vasilis Sarafidis and
Mervyn J. Silvapulle A new structural break test for panels
with common factors . . . . . . . . . . 137--155
Ryo Okui and
Takahide Yanagi Kernel estimation for panel data with
heterogeneous dynamics . . . . . . . . . 156--175
Grigorios Emvalomatis Erratum to: Semi-parametric analysis of
efficiency and productivity using
Gaussian processes . . . . . . . . . . . 176--176
Neng-Chieh Chang Double/debiased machine learning for
difference-in-differences models . . . . 177--191
Sebastian Calonico and
Matias D. Cattaneo and
Max H. Farrell Optimal bandwidth choice for robust
bias-corrected inference in regression
discontinuity designs . . . . . . . . . 192--210
Yang He and
Otávio Bartalotti Wild bootstrap for fuzzy regression
discontinuity designs: obtaining robust
bias-corrected confidence intervals . . 211--231
Dongwoo Kim Partial identification in nonseparable
count data instrumental variable models 232--250
Ruixuan Liu and
Zhengfei Yu Accelerated failure time models with
log-concave errors . . . . . . . . . . . 251--268
Roberto Casarin and
Matteo Iacopini and
German Molina and
Enrique ter Horst and
Ramon Espinasa and
Carlos Sucre and
Roberto Rigobon Multilayer network analysis of oil
linkages . . . . . . . . . . . . . . . . 269--296
Anurag Banerjee and
Guillaume Chevillon and
Marie Kratz Probabilistic forecasting of bubbles and
flash crashes . . . . . . . . . . . . . 297--315
Roger Koenker The ignorant monopolist redux . . . . . 316--322
Fedor Iskhakov and
John Rust and
Bertel Schjerning Editorial . . . . . . . . . . . . . . . Si--Siii
Mitsuru Igami Artificial intelligence as structural
estimation: Deep Blue, Bonanza, and
AlphaGo . . . . . . . . . . . . . . . . S1--S24
Jeppe Druedahl and
Anders Munk-Nielsen Higher-order income dynamics with linked
regression trees . . . . . . . . . . . . S25--S58
Michael Keane and
Timothy Neal Comparing deep neural network and
econometric approaches to predicting the
impact of climate change on agricultural
yield . . . . . . . . . . . . . . . . . S59--S80
Fedor Iskhakov and
John Rust and
Bertel Schjerning Machine learning and structural
econometrics: contrasts and synergies S81--S124
Sang-Wook (Stanley) Cho Quantifying the impact of
nonpharmaceutical interventions during
the COVID-19 outbreak: The case of
Sweden . . . . . . . . . . . . . . . . . 323--344
Shenglong Liu and
Ismael Mourifié and
Yuanyuan Wan Two-way exclusion restrictions in models
with heterogeneous treatment effects . . 345--362
Pieter A. Gautier and
Aico van Vuuren Identifying present bias and time
preferences with an application to
land-lease-contract data . . . . . . . . 363--385
Xi Wang and
Songnian Chen Semiparametric estimation of generalized
transformation panel data models with
nonstationary error . . . . . . . . . . 386--402
Anonymous Royal Economic Society Annual Conference
2018 Special Issue on Structural
Macroeconometrics . . . . . . . . . . . Ci--Ciii
Barbara Rossi Identifying and estimating the effects
of unconventional monetary policy: How
to do it and what have we learned? . . . C1--C32
Michael Cai and
Marco Del Negro and
Edward Herbst and
Ethan Matlin and
Reca Sarfati and
Frank Schorfheide Online estimation of DSGE models . . . . C33--C58
Helmut Lütkepohl and
Mika Meitz and
Aleksei Netsunajev and
Pentti Saikkonen Testing identification via
heteroskedasticity in structural vector
autoregressive models . . . . . . . . . 1--22
Jia-Young Michael Fu and
Joel L. Horowitz and
Matthias Parey Testing exogeneity in nonparametric
instrumental variables models identified
by conditional quantile restrictions . . 23--40
Anil Bera and
Gabriel Montes-Rojas and
Walter Sosa-Escudero and
Javier Alejo Tests for nonlinear restrictions under
misspecified alternatives with an
application to testing rational
expectation hypotheses . . . . . . . . . 41--57
Tim Ginker and
Offer Lieberman LSTUR regression theory and the
instability of the sample correlation
coefficient between financial return
indices . . . . . . . . . . . . . . . . 58--82
Mohitosh Kejriwal and
Xuewen Yu Generalized Forecast Averaging in
Autoregressions with a Near Unit Root 83--102
Le-Yu Chen and
Sokbae Lee Binary classification with covariate
selection through $ l_0$-penalised
empirical risk minimisation . . . . . . 103--120
Mogens Fosgerau and
Dennis Kristensen Identification of a class of index
models: a topological approach . . . . . 121--133
Michael C. Knaus and
Michael Lechner and
Anthony Strittmatter Machine learning estimation of
heterogeneous causal effects: Empirical
Monte Carlo evidence . . . . . . . . . . 134--161
Ruonan Xu Potential outcomes and finite-population
inference for $M$-estimators . . . . . . 162--176
Rong Zhu and
Xinyu Zhang and
Yanyuan Ma and
Guohua Zou Model averaging estimation for
high-dimensional covariance matrices
with a network structure . . . . . . . . 177--197
Anonymous Erratum to: Testing Identification via
Heteroskedasticity in Structural Vector
Autoregressive Models . . . . . . . . . 198--198
Anonymous Editorial . . . . . . . . . . . . . . . Ci--Civ
James J Heckman and
Ganesh Karapakula Using a satisficing model of
experimenter decision-making to guide
finite-sample inference for compromised
experiments . . . . . . . . . . . . . . C1--C39
Iván Fernández-Val and
Hugo Freeman and
Martin Weidner Low-rank approximations of nonseparable
panel models . . . . . . . . . . . . . . C40--C77
Bo E Honoré and
Áureo de Paula Identification in simple binary outcome
panel data models . . . . . . . . . . . C78--C93
Sanghyeok Lee and
Tue Gòrgens Estimation of dynamic models of
recurrent events with censored data . . 199--224
Mustafa Tugan Panel VAR models with interactive fixed
effects . . . . . . . . . . . . . . . . 225--246
Liang Chen and
Yulong Huo A simple estimator for quantile panel
data models using smoothed quantile
regressions . . . . . . . . . . . . . . 247--263
Vira Semenova and
Victor Chernozhukov Debiased machine learning of conditional
average treatment effects and other
causal functions . . . . . . . . . . . . 264--289
Seojeong Lee and
Youngki Shin Complete subset averaging with many
instruments . . . . . . . . . . . . . . 290--314
Hande Karabiyik and
Joakim Westerlund Forecasting using cross-section
average-augmented time series
regressions . . . . . . . . . . . . . . 315--333
Ghislain B D Aihounton and
Arne Henningsen Units of measurement and the inverse
hyperbolic sine transformation . . . . . 334--351
Richard Bluhm and
Maxim Pinkovskiy The spread of COVID-19 and the BCG
vaccine: a natural experiment in
reunified Germany . . . . . . . . . . . 353--376
Youssef M Aboutaleb and
Mazen Danaf and
Yifei Xie and
Moshe E Ben-Akiva Sparse covariance estimation in logit
mixture models . . . . . . . . . . . . . 377--398
Baiyu Dong and
Yu-Wei Hsieh and
Matthew Shum Computing moment inequality models using
constrained optimization . . . . . . . . 399--416
Hugo Kruiniger Identification without assuming mean
stationarity: quasi-maximum likelihood
estimation of dynamic panel models with
endogenous regressors . . . . . . . . . 417--441
Thomas B Götz and
Klemens Hauzenberger Large mixed-frequency VARs with a
parsimonious time-varying parameter
structure . . . . . . . . . . . . . . . 442--461
Lixiong Yang and
Chunli Zhang and
Chingnun Lee and
I-Po Chen Panel kink threshold regression model
with a covariate-dependent threshold . . 462--481
Shaoxin Hong and
Jiancheng Jiang and
Xuejun Jiang and
Zhijie Xiao Unifying inference for semiparametric
regression . . . . . . . . . . . . . . . 482--501
Gordon Anderson and
Oliver Linton and
Maria Grazia Pittau and
Yoon-Jae Whang and
Roberto Zelli On unit free assessment of the extent of
multilateral distributional variation 502--518
Jason Abrevaya and
Yu-Chin Hsu Partial effects in non-linear panel data
models with correlated random effects 519--535
Martin E Andresen and
Martin Huber Instrument-based estimation with
binarised treatments: issues and tests
for the exclusion restriction . . . . . 536--558
Molei Liu and
Yi Zhang and
Doudou Zhou Double/debiased machine learning for
logistic partially linear model . . . . 559--588
Youngki Shin and
Zvezdomir Todorov Exact computation of maximum rank
correlation estimator . . . . . . . . . 589--607
Jörg Stoye Bounding infection prevalence by
bounding selectivity and accuracy of
tests: with application to early
COVID-19 . . . . . . . . . . . . . . . . 1--14
Philipp Breidenbach and
Timo Mitze Large-scale sport events and COVID-19
infection effects: evidence from the
German professional football
`experiment' . . . . . . . . . . . . . . 15--45
Roy Cerqueti and
Raffaella Coppier and
Alessandro Girardi and
Marco Ventura The sooner the better: lives saved by
the lockdown during the COVID-19
outbreak. The case of Italy . . . . . . 46--70
Marine Carrasco and
Mohamed Doukali Testing overidentifying restrictions
with many instruments and
heteroscedasticity using regularised
jackknife IV . . . . . . . . . . . . . . 71--97
Hang Liu and
Kanchan Mukherjee $R$-estimators in GARCH models:
asymptotics and applications . . . . . . 98--113
Alexandra Soberon and
Juan M Rodriguez-Poo and
Peter M Robinson Nonparametric panel data regression with
parametric cross-sectional dependence 114--133
Yayi Yan and
Tingting Cheng Factor-augmented forecasting regressions
with threshold effects . . . . . . . . . 134--154
Alessandro Palandri Rank-invariance conditions for the
comparison of volatility forecasts . . . 155--175
Likai Chen and
Ekaterina Smetanina and
Wei Biao Wu Estimation of nonstationary
nonparametric regression model with
multiplicative structure . . . . . . . . 176--214
Gyuhyeong Goh and
Jisang Yu Synthetic control method with convex
hull restrictions: a Bayesian maximum a
posteriori approach . . . . . . . . . . 215--232
Denis Nekipelov and
Vira Semenova and
Vasilis Syrgkanis Regularised orthogonal machine learning
for nonlinear semiparametric models . . 233--255
Bertille Antoine and
Xiaolin Sun Partially linear models with
endogeneity: a conditional moment-based
approach . . . . . . . . . . . . . . . . 256--275
Jaap H Abbring Ten years of Denis Sargan Econometrics
Prizes: Editorial . . . . . . . . . . . i--iii
Helmut Farbmacher and
Martin Huber and
Lukás Lafférs and
Henrika Langen and
Martin Spindler Causal mediation analysis with double
machine learning . . . . . . . . . . . . 277--300
Prateek Bansal and
Vahid Keshavarzzadeh and
Angelo Guevara and
Shanjun Li and
Ricardo A Daziano Designed quadrature to approximate
integrals in maximum simulated
likelihood estimation . . . . . . . . . 301--321
Kohtaro Hitomi and
Masamune Iwasawa and
Yoshihiko Nishiyama Optimal minimax rates against nonsmooth
alternatives . . . . . . . . . . . . . . 322--339
Guowei Cui and
Milda Norkute and
Vasilis Sarafidis and
Takashi Yamagata Two-stage instrumental variable
estimation of linear panel data models
with interactive effects . . . . . . . . 340--361
Lajos Horváth and
Zhenya Liu and
Gregory Rice and
Yuqian Zhao Detecting common breaks in the means of
high dimensional cross-dependent panels 362--383
Yves G Berger Testing conditional moment restriction
models using empirical likelihood . . . 384--403
Martin Emil Jakobsen and
Jonas Peters Distributional robustness of $K$-class
estimators and the PULSE . . . . . . . . 404--432
P Cízek and
S Sadikoglu Misclassification-robust semiparametric
estimation of single-index binary-choice
models . . . . . . . . . . . . . . . . . 433--454
Ignacio N Lobato and
Carlos Velasco Single step estimation of ARMA roots for
nonfundamental nonstationary fractional
models . . . . . . . . . . . . . . . . . 455--476
Kyunghoon Ban and
Désiré Kédagni Nonparametric bounds on treatment
effects with imperfect instruments . . . 477--493
Chiara Casoli and
Riccardo (Jack) Lucchetti Permanent-Transitory decomposition of
cointegrated time series via dynamic
factor models, with an application to
commodity prices . . . . . . . . . . . . 494--514
Thomas Dimpfl and
Jantje Sönksen and
Ingo Bechmann and
Joachim Grammig Estimating the SARS-CoV-2 infection
fatality rate by data combination: the
case of Germany's first wave . . . . . . 515--530
Andreas Olden and
Jarle Mòen The triple difference estimator . . . . 531--553
Kyungchul Song and
Zhengfei Yu Estimation and inference on treatment
effects under treatment-based sampling
designs . . . . . . . . . . . . . . . . 554--575
Victor Chernozhukov and
Whitney K. Newey and
Rahul Singh Debiased machine learning of global and
local parameters using regularized Riesz
representers . . . . . . . . . . . . . . 576--601
Michael C. Knaus Double machine learning-based programme
evaluation under unconfoundedness . . . 602--627
Hugo Bodory and
Martin Huber and
Lukás Lafférs Evaluating (weighted) dynamic treatment
effects by double machine learning . . . 628--648
Dmitry Arkhangelsky and
Guido W. Imbens Doubly robust identification for causal
panel data models . . . . . . . . . . . 649--674
Miguel A. Delgado and
Andrés García-Suaza and
Pedro H. C. Sant'Anna Distribution regression in duration
analysis: an application to unemployment
spells . . . . . . . . . . . . . . . . . 675--698
Matthew Read Algorithms for inference in SVARs
identified with sign and zero
restrictions . . . . . . . . . . . . . . 699--718
Joakim Westerlund and
Yousef Kaddoura CCE in heterogeneous fixed-$T$ panels 719--738
Peter Reinhard Hansen Relative contagiousness of emerging
virus variants: an analysis of the
Alpha, Delta, and Omicron SARS-CoV-2
variants . . . . . . . . . . . . . . . . 739--761
Ivan Korolev On reduced form estimation of the effect
of policy interventions on the COVID-19
pandemic . . . . . . . . . . . . . . . . 762--780
Firat Bilgel Effects of Covid-19 lockdowns on social
distancing in Turkey . . . . . . . . . . 781--805
Jaap H. Abbring Royal Economic Society Annual Conference
2021 Special Issue on Econometrics of
Dynamic Discrete Choice . . . . . . . . Ci--Cii
Victor Aguirregabiria Dynamic demand for differentiated
products with fixed-effects unobserved
heterogeneity . . . . . . . . . . . . . C1--C25
Taisuke Otsu and
Martin Pesendorfer Equilibrium multiplicity in dynamic
games: Testing and estimation . . . . . C26--C42
Fiammetta Menchetti and
Fabrizio Cipollini and
Fabrizia Mealli Combining counterfactual outcomes and
ARIMA models for policy evaluation . . . 1--24
Xiaohu Wang and
Jun Yu Bubble testing under polynomial trends 25--44
Maximilian Kasy and
Alexander Teytelboym Matching with semi-bandits . . . . . . . 45--66
Chaojun Li and
Yan Liu Asymptotic properties of the maximum
likelihood estimator in regime-switching
models with time-varying transition
probabilities . . . . . . . . . . . . . 67--87
Karim M. Abadir Explicit minimal representation of
variance matrices, and its implication
for dynamic volatility models . . . . . 88--104
Jaap H. Abbring The 2022 Denis Sargan Econometrics Prize i--i
Alexander Kreiss and
Christoph Rothe Inference in regression discontinuity
designs with high-dimensional covariates 105--123
Guowei Cui and
Vasilis Sarafidis and
Takashi Yamagata IV estimation of spatial dynamic panels
with interactive effects: large sample
theory and an application on bank
attitude towards risk . . . . . . . . . 124--146
Valentina Corradi and
Daniel Gutknecht Testing for quantile sample selection 147--173
Meng Yuan and
Pengfei Li and
Changbao Wu Semi-parametric inference on Gini
indices of two semi-continuous
populations under density ratio models 174--188
David M. Kaplan and
Wei Zhao Comparing latent inequality with ordinal
data . . . . . . . . . . . . . . . . . . 189--214
Sung Hoon Choi Feasible weighted projected principal
component analysis for semi-parametric
factor models . . . . . . . . . . . . . 215--234
Emmanuel Selorm Tsyawo Feasible IV regression without excluded
instruments . . . . . . . . . . . . . . 235--256
Andrés Aradillas-López and
Lidia Kosenkova A nonparametric test for cooperation in
discrete games . . . . . . . . . . . . . 257--278
Fabian Dunker and
Stefan Hoderlein and
Hiroaki Kaido Nonparametric identification of random
coefficients in aggregate demand models
for differentiated products . . . . . . 279--306
Benjamin Poignard and
Manabu Asai Estimation of high-dimensional vector
autoregression via sparse precision
matrix . . . . . . . . . . . . . . . . . 307--326
Anonymous Royal Economic Society Annual Conference
2022 Special Issue on The New
Difference-in-Differences . . . . . . . Ci--Cii
Clément de Chaisemartin and
Xavier D'Haultfoeuille Two-way fixed effects and
differences-in-differences with
heterogeneous treatment effects: a
survey . . . . . . . . . . . . . . . . . C1--C30
Jeffrey M. Wooldridge Simple approaches to nonlinear
difference-in-differences with panel
data . . . . . . . . . . . . . . . . . . C31--C66
Matthew A. Masten and
Alexandre Poirier Choosing exogeneity assumptions in
potential outcome models . . . . . . . . 327--349
Javier Alejo and
Antonio F Galvao and
Gabriel Montes-Rojas A first-stage representation for
instrumental variables quantile
regression . . . . . . . . . . . . . . . 350--377
Christian M Dahl and
Martin Huber and
Giovanni Mellace It is never too LATE: a new look at
local average treatment effects with or
without defiers . . . . . . . . . . . . 378--404
Luca Margaritella and
Joakim Westerlund Using information criteria to select
averages in CCE . . . . . . . . . . . . 405--421
Yimin Yang and
Huili Zhang Three-way gravity models with
multiplicative unobserved effects . . . 422--443
Otilia Boldea and
Adriana Cornea-Madeira and
João Madeira Disentangling the effect of measures,
variants, and vaccines on SARS-CoV-2
infections in England: a dynamic
intensity model . . . . . . . . . . . . 444--466
Stefan Richter and
Weining Wang and
Wei Biao Wu Testing for parameter change epochs in
GARCH time series . . . . . . . . . . . 467--491
Xiao Zhang and
Xu Liu and
Xingjie Shi Model selection for varying coefficient
nonparametric transformation model . . . 492--512