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Content
2019, Volume 12, Issue C
2019, Volume 11, Issue C
- 1-21 A Bayesian analysis of linear regression models with highly collinear regressors
by Pesaran, M. Hashem & Smith, Ron P.
- 22-42 Modeling Euro STOXX 50 volatility with common and market-specific components
by Cipollini, Fabrizio & Gallo, Giampiero M.
- 43-62 Mixed interval realized variance: A robust estimator of stock price volatility
by Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard
- 63-82 A two-stage estimator for heterogeneous panel models with common factors
by Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo
- 83-104 The factor analytical method for interactive effects dynamic panel models with moving average errors
by Norkutė, Milda & Westerlund, Joakim
- 105-115 Parameter regimes in partial functional panel regression
by Liebl, Dominik & Walders, Fabian
- 116-129 Adaptive semiparametric M-quantile regression
by Otto-Sobotka, Fabian & Salvati, Nicola & Ranalli, Maria Giovanna & Kneib, Thomas
- 130-144 Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior
by Follett, Lendie & Yu, Cindy
- 145-157 Oracle inequalities for sign constrained generalized linear models
by Koike, Yuta & Tanoue, Yuta
2019, Volume 10, Issue C
- 1-8 Sign tests for dependent observations
by Brown, Donald & Ibragimov, Rustam
- 9-26 An improved bootstrap test of density ratio ordering
by Beare, Brendan K. & Shi, Xiaoxia
- 27-52 Closed-form results for vector moving average models with a univariate estimation approach
by Poloni, Federico & Sbrana, Giacomo
- 53-70 On accepting the edge-effect (for the inference of ARMA-type processes in Z2)
by Dimitriou-Fakalou, Chrysoula
- 71-95 Alternative over-identifying restriction test in the GMM estimation of panel data models
by Hayakawa, Kazuhiko
- 96-119 Improving weighted least squares inference
by DiCiccio, Cyrus J. & Romano, Joseph P. & Wolf, Michael
- 120-133 Joint estimation of multiple network Granger causal models
by Skripnikov, A. & Michailidis, G.
- 134-150 On-line peak detection in medical time series with adaptive regression methods
by Grillenzoni, Carlo & Fornaciari, Michele
- 151-169 A Harris process to model stochastic volatility
by Anzarut, Michelle & Mena, Ramsés H.
2019, Volume 9, Issue C
- 1-16 Estimating MIDAS regressions via OLS with polynomial parameter profiling
by Ghysels, Eric & Qian, Hang
- 17-41 Robust analysis of the martingale hypothesis
by Gourieroux, Christian & Jasiak, Joann
- 42-61 Testing subspace Granger causality
by Al-Sadoon, Majid M.
- 62-77 Estimation for time-invariant effects in dynamic panel data models with application to income dynamics
by Zhang, Yonghui & Zhou, Qiankun
- 78-94 Model order selection in periodic long memory models
by Leschinski, Christian & Sibbertsen, Philipp
- 95-107 Nonparametric regression on contaminated functional predictor with application to hyperspectral data
by Ferraty, Frédéric & Zullo, Anthony & Fauvel, Mathieu
- 108-121 Robust Monitoring of Time Series with Application to Fraud Detection
by Rousseeuw, Peter & Perrotta, Domenico & Riani, Marco & Hubert, Mia
- 122-139 Testing for heteroscedasticity in high-dimensional regressions
by Li, Zhaoyuan & Yao, Jianfeng
- 140-155 Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model
by Sun, Yanqing & Zhang, Yuanqing & Huang, Jianhua Z.
- 156-170 Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach
by Funke, Benedikt & Hirukawa, Masayuki
2018, Volume 8, Issue C
- 3-12 Heterogeneity and nonconstant effect in two-stage quantile regression
by Muller, Christophe
- 13-36 Quantile continuous treatment effects
by Alejo, Javier & Galvao, Antonio F. & Montes-Rojas, Gabriel
- 37-55 A hyperplanes intersection simulated annealing algorithm for maximum score estimation
by Florios, Kostas
- 56-77 Combining Value-at-Risk forecasts using penalized quantile regressions
by Bayer, Sebastian
- 78-93 Covariates missing at random under signed-rank inference
by Bindele, Huybrechts F.
- 94-124 Estimating Chinese Treasury yield curves with Bayesian smoothing splines
by Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu
- 125-140 Semiparametric count data modeling with an application to health service demand
by Bach, Philipp & Farbmacher, Helmut & Spindler, Martin
- 141-158 Estimation of grouped, time-varying convergence in economic growth
by Haupt, Harry & Schnurbus, Joachim & Semmler, Willi
- 161-183 Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data
by Hofert, Marius & Oldford, Wayne
- 184-203 Approximating expected shortfall for heavy-tailed distributions
by Broda, Simon A. & Krause, Jochen & Paolella, Marc S.
- 204-230 A new particle filtering approach to estimate stochastic volatility models with Markov-switching
by Karamé, Frédéric
- 231-249 A two-decrement model for the valuation and risk measurement of a guaranteed annuity option
by Zhao, Yixing & Mamon, Rogemar & Gao, Huan
2018, Volume 7, Issue C
- 1-17 A UK financial conditions index using targeted data reduction: Forecasting and structural identification
by Kapetanios, George & Price, Simon & Young, Garry
- 18-29 Stochastic processes of limited frequency and the effects of oversampling
by Pollock, D.S.G.
- 30-45 Composite indirect inference with application to corporate risks
by Gourieroux, C. & Monfort, A.
- 46-62 Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR
by Muriel, Nelson & González-Farías, Graciela
- 63-88 Change point detection in heteroscedastic time series
by Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr
- 89-114 The copula-graphic estimator in censored nonparametric location-scale regression models
by Sujica, Aleksandar & Van Keilegom, Ingrid
- 115-133 Composite quantile regression for GARCH models using high-frequency data
by Wang, Meng & Chen, Zhao & Wang, Christina Dan
- 134-152 Binary functional linear models under choice-based sampling
by Ahmed, M.S. & Attouch, M.K. & Dabo-Niang, S.
- 153-164 Discrimination measures for discrete time-to-event predictions
by Schmid, Matthias & Tutz, Gerhard & Welchowski, Thomas
2018, Volume 6, Issue C
- 1-21 Filterbased stochastic volatility in continuous-time hidden Markov models
by Krishnamurthy, Vikram & Leoff, Elisabeth & Sass, Jörn
- 22-43 Spot volatility estimation using the Laplace transform
by Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina
- 44-56 Higher-order statistics for DSGE models
by Mutschler, Willi
- 57-73 Assessing causality and delay within a frequency band
by Breitung, Jörg & Schreiber, Sven
- 74-89 Semiparametric estimation under shape constraints
by Wu, Ximing & Sickles, Robin
- 90-105 On the use of higher order bias approximations for 2SLS and k-class estimators with non-normal disturbances and many instruments
by Liu-Evans, Gareth & Phillips, Garry D.A.
- 107-128 A high quantile estimator based on the log-generalized Weibull tail limit
by de Valk, Cees & Cai, Juan-Juan
- 129-148 Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
by El Methni, Jonathan & Stupfler, Gilles
- 149-167 Tail dependence of recursive max-linear models with regularly varying noise variables
by Gissibl, Nadine & Klüppelberg, Claudia & Otto, Moritz
2018, Volume 5, Issue C
- 1-19 Fast and reliable computation of generalized synthetic controls
by Becker, Martin & Klößner, Stefan
- 20-44 Designating market maker behaviour in limit order book markets
by Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre
- 45-66 Simple robust tests for the specification of high-frequency predictors of a low-frequency series
by Miller, J. Isaac
- 67-82 Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
by Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly
- 83-106 An information theoretic criterion for empirical validation of simulation models
by Lamperti, Francesco
- 107-123 A data-cleaning augmented Kalman filter for robust estimation of state space models
by Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano
- 124-136 Semiparametric method for model structure discovery in additive regression models
by Yoshida, Takuma
- 137-147 A discrete modification of the Benjamini–Yekutieli procedure
by Döhler, Sebastian
- 148-170 Density estimation over spatio-temporal data streams
by Amiri, Aboubacar & Dabo-Niang, Sophie
- 171-188 Model comparison for generalized linear models with dependent observations
by Eguchi, Shoichi
2017, Volume 4, Issue C
- 3-17 A strategy for optimal bandwidth selection in Local Whittle estimation
by Arteche, Josu & Orbe, Jesus
- 18-30 Generalized empirical likelihood M testing for semiparametric models with time series data
by Bravo, Francesco & Chu, Ba M. & Jacho-Chávez, David T.
- 31-38 Non-identifiability of VMA and VARMA systems in the mixed frequency case
by Deistler, Manfred & Koelbl, Lukas & Anderson, Brian D.O.
- 39-56 Estimating the competitive storage model: A simulated likelihood approach
by Kleppe, Tore Selland & Oglend, Atle
- 57-69 Supervised dimension reduction for multivariate time series
by Matilainen, M. & Croux, C. & Nordhausen, K. & Oja, H.
- 70-90 On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks
by Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis
- 91-104 A tractable, parsimonious and flexible model for cylindrical data, with applications
by Abe, Toshihiro & Ley, Christophe
- 105-120 Identifying gene-environment interactions for prognosis using a robust approach
by Chai, Hao & Zhang, Qingzhao & Jiang, Yu & Wang, Guohua & Zhang, Sanguo & Ahmed, Syed Ejaz & Ma, Shuangge
- 121-129 A novel approach to measuring consumer confidence
by Segers, Rene & Franses, Philip Hans & de Bruijn, Bert
2017, Volume 3, Issue C
- 3-22 Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models
by Gruber, Lutz F. & West, Mike
- 23-33 On efficient Bayesian inference for models with stochastic volatility
by Sakaria, D.K. & Griffin, J.E.
- 34-59 Cholesky realized stochastic volatility model
by Shirota, Shinichiro & Omori, Yasuhiro & F. Lopes, Hedibert. & Piao, Haixiang
- 60-72 On limiting distribution of quasi-posteriors under partial identification
by Jiang, Wenxin
- 73-88 Incorporating unobserved heterogeneity in Weibull survival models: A Bayesian approach
by Vallejos, Catalina A. & Steel, Mark F.J.
- 91-111 Robust normal mixtures for financial portfolio allocation
by Gambacciani, Marco & Paolella, Marc S.
- 112-131 Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data
by Bartolucci, Francesco & Bacci, Silvia & Pigini, Claudia
- 132-140 A Fisher-scoring algorithm for fitting latent class models with individual covariates
by Forcina, Antonio
- 141-159 Evolutionary clustering for categorical data using parametric links among multinomial mixture models
by Hasnat, Md. Abul & Velcin, Julien & Bonnevay, Stephane & Jacques, Julien
- 160-168 A mixture of SDB skew-t factor analyzers
by Murray, Paula M. & Browne, Ryan P. & McNicholas, Paul D.
2017, Volume 2, Issue C
- 1-21 The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
by Kiviet, Jan F. & Pleus, Milan
- 22-35 Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data
by Al-Sulami, Dawlah & Jiang, Zhenyu & Lu, Zudi & Zhu, Jun
- 36-49 Neural nets for indirect inference
by Creel, Michael
- 50-60 A distance test of normality for a wide class of stationary processes
by Psaradakis, Zacharias & Vávra, Marián
- 61-72 Meta-analytic cointegrating rank tests for dependent panels
by Karaman Örsal, Deniz Dilan & Arsova, Antonia
- 73-80 Big Data in context and robustness against heterogeneity
by Marron, J.S.
- 81-105 Nonparametric causal inference from observational time series through marginal integration
by Li, Shu & Ernest, Jan & Bühlmann, Peter
- 106-116 Preliminary test estimation for multi-sample principal components
by Paindaveine, Davy & Rasoafaraniaina, Rondrotiana Joséa & Verdebout, Thomas
- 117-130 Binary time series models driven by a latent process
by Fokianos, Konstantinos & Moysiadis, Theodoros
- 131-148 Separating location and dispersion in ordinal regression models
by Tutz, G. & Berger, M.
2017, Volume 1, Issue C
- 1-1 Econometrics and Statistics
by Kontoghiorghes, Erricos & Van Dijk, Herman K. & Colubi, Ana
- 2-18 Structural vector autoregressions with heteroskedasticity: A review of different volatility models
by Lütkepohl, Helmut & Netšunajev, Aleksei
- 19-39 Asymmetric stable Paretian distribution testing
by Paolella, Marc S.
- 40-61 A dynamic component model for forecasting high-dimensional realized covariance matrices
by Bauwens, Luc & Braione, Manuela & Storti, Giuseppe
- 62-84 Combined Lagrange multiplier test for ARCH in vector autoregressive models
by Catani, P.S. & Ahlgren, N.J.C.
- 85-98 Singular Spectrum Analysis for signal extraction in Stochastic Volatility models
by Arteche, Josu & García-Enríquez, Javier
- 99-100 Special issue on functional data analysis
by Kokoszka, Piotr & Oja, Hanny & Park, Byeong & Sangalli, Laura
- 101-117 Change point and trend analyses of annual expectile curves of tropical storms
by Burdejova, P. & Härdle, W. & Kokoszka, P. & Xiong, Q.
- 118-127 On the consistency of bootstrap methods in separable Hilbert spaces
by González-Rodríguez, Gil & Colubi, Ana
- 128-149 Prediction of functional ARMA processes with an application to traffic data
by Klepsch, J. & Klüppelberg, C. & Wei, T.
- 150-166 Multinomial functional regression with wavelets and LASSO penalization
by Mousavi, Seyed Nourollah & Sørensen, Helle
- 167-183 High-dimensional adaptive function-on-scalar regression
by Fan, Zhaohu & Reimherr, Matthew
- 184-200 Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration
by Shang, Han Lin