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Wiley-Blackwell: Econometrics Journal
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Incl. Fee Electronic Paper Improved Lagrange Multiplier Tests in Spatial Autoregressions
The Econometrics Journal, Vol. 17, Issue 1, pp. 139-164, 2014
Peter M. Robinson and Francesca Rossi
London School of Economics & Political Science (LSE) - Department of Economics and University of Southampton - Division of Economics
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Weighted Composite Quantile Regression Estimation of DTARCH Models
The Econometrics Journal, Vol. 17, Issue 1, pp. 1-23, 2014
Jiancheng Jiang , Xuejun Jiang and Xinyuan Song
Peking University - School of Mathematical Sciences , Zhongnan University of Economics and Law and The Chinese University of Hong Kong (CUHK)
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Direct Semi‐Parametric Estimation of Fixed Effects Panel Data Varying Coefficient Models
The Econometrics Journal, Vol. 17, Issue 1, pp. 107-138, 2014
Juan Manuel Rodriguez-Poo and Alexandra Soberon
University of Cantabria - Department of Economics and University of Cantabria - Department of Economics
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Identification‐Robust Inference for Endogeneity Parameters in Linear Structural Models
The Econometrics Journal, Vol. 17, Issue 1, pp. 165-187, 2014
Firmin Doko Tchatoka and Jean-Marie Dufour
University of Tasmania - School of Economics and Finance and McGill University
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of State‐Space Models with Endogenous Markov Regime‐Switching Parameters
The Econometrics Journal, Vol. 17, Issue 1, pp. 56-82, 2014
Kyu H. Kang
Korea University
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Variance Targeting in the BEKK–GARCH Model
The Econometrics Journal, Vol. 17, Issue 1, pp. 24-55, 2014
Rasmus Søndergaard Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Stochastic Equicontinuity in Nonlinear Time Series Models
The Econometrics Journal, Vol. 17, Issue 1, pp. 188-196, 2014
Andreas Hagemann
University of Illinois at Urbana-Champaign - Department of Economics
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of Fixed Effects Panel Data Partially Linear Additive Regression Models
The Econometrics Journal, Vol. 17, Issue 1, pp. 83-106, 2014
Chunrong Ai , Jinhong You and Yong Zhou
University of Florida - Warrington College of Business Administration - Department of Economics , Shanghai University of Finance and Economics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Date Posted: February 19, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Stochastic Volatility Model with Random Level Shifts and its Applications to S&P 500 and NASDAQ Return Indices
The Econometrics Journal, Vol. 16, Issue 3, pp. 309-339, 2013
Zhongjun Qu and Pierre Perron
Boston University and Boston University - Department of Economics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Asymptotics for Threshold Regression Under General Conditions
The Econometrics Journal, Vol. 16, Issue 3, pp. 430-462, 2013
Ping Yu and Yongqiang Zhao
University of Auckland - Department of Economics and University of Wisconsin - Madison - Department of Mathematics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Consistent Co‐Trending Rank Selection When Both Stochastic and Non‐Linear Deterministic Trends are Present
The Econometrics Journal, Vol. 16, Issue 3, pp. 473-484, 2013
Zheng-Feng Guo and Mototsugu Shintani
International Monetary Fund (IMF) and Vanderbilt University - College of Arts and Science - Department of Economics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
The Econometrics Journal, Vol. 16, Issue 3, pp. 400-429, 2013
Yohei Yamamoto and Pierre Perron
Hitotsubashi University - Faculty of Economics and Boston University - Department of Economics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes
The Econometrics Journal, Vol. 16, Issue 3, pp. 373-399, 2013
Richard Baillie and George Kapetanios
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and University of London - Queen Mary College - Department of Economics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Heteroscedasticity‐Robust C Model Averaging
The Econometrics Journal, Vol. 16, Issue 3, pp. 463-472, 2013
Qingfeng Liu and Ryo Okui
Otaru University of Commerce and Kyoto University - Institute of Economic Research
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Pairwise‐Comparison Estimation with Non‐Parametric Controls
The Econometrics Journal, Vol. 16, Issue 3, pp. 340-372, 2013
Koen Jochmans
Fondation Nationale des Sciences Politiques (FNSP) - Department of Economics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Predictability of Shapes of Intraday Price Curves
The Econometrics Journal, Vol. 16, Issue 3, pp. 285-308, 2013
Piotr Kokoszka and Matthew Reimherr
Utah State University - Department of Mathematics & Statistics and University of Chicago - Department of Statistics
Date Posted: November 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Local NLLS Estimation of Semi‐Parametric Binary Choice Models
The Econometrics Journal, Vol. 16, Issue 2, pp. 135-160, 2013
Jason R. Blevins and Shakeeb Khan
Ohio State University (OSU) - Department of Economics and Duke University - Department of Economics
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper New Inference Methods for Quantile Regression Based on Resampling
The Econometrics Journal, Vol. 16, Issue 2, pp. 278-283, 2013
Víctor M. Aguirre and Manuel A. Domínguez
Instituto Tecnológico Autónomo de México (ITAM) and Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Orthogonal to Backward Mean Transformation for Dynamic Panel Data Models
The Econometrics Journal, Vol. 16, Issue 2, pp. 179-221, 2013
Gerdie Everaert
Ghent University - Department of Social Economics
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Semi‐Parametric Estimation of a Generalized Threshold Regression Model Under Conditional Quantile Restriction
The Econometrics Journal, Vol. 16, Issue 2, pp. 250-277, 2013
Zhengyu Zhang
Shanghai Academy of Social Sciences (SASS) - Center for Econometric Study
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Testing Panel Cointegration with Unobservable Dynamic Common Factors that are Correlated with the Regressors
The Econometrics Journal, Vol. 16, Issue 2, pp. 222-249, 2013
Jushan Bai and Josep Lluís Carrion-i-Silvestre
New York University (NYU) - Department of Economics and University of Barcelona - Department of Econometrics
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper The Projection Approach for Unbalanced Panel Data
The Econometrics Journal, Vol. 16, Issue 2, pp. 161-178, 2013
Jason Abrevaya
University of Texas at Austin
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Heteroskedasticity and Autocorrelation Robust F Test Using an Orthonormal Series Variance Estimator
The Econometrics Journal, Vol. 16, Issue 1, pp. 1-26, 2013
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Estimation of Spatial Autoregressive Models with Randomly Missing Data in the Dependent Variable
The Econometrics Journal, Vol. 16, Issue 1, pp. 73-102, 2013
Wei Wang and Lung‐fei Lee
Xi'an Jiaotong University (XJTU) and affiliation not provided to SSRN
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes
The Econometrics Journal, Vol. 16, Issue 1, pp. S24-S59, 2013
Jan F. Kiviet
University of Amsterdam - Department of Quantitative Economics
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Instrumental Variables Estimation and Inference in the Presence of Many Exogenous Regressors
The Econometrics Journal, Vol. 16, Issue 1, pp. 27-72, 2013
Stanislav Anatolyev
New Economic School
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions
The Econometrics Journal, Vol. 16, Issue 1, pp. 103-134, 2013
Badi H. Baltagi and Zhenlin Yang
Syracuse University - Maxwell School of Citizenship and Public Affairs and Singapore Management University
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Identification of Treatment Response with Social Interactions
The Econometrics Journal, Vol. 16, Issue 1, pp. S1-S23, 2013
Charles F. Manski
Northwestern University - Department of Economics
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Partial Identification in Asymmetric Auctions in the Absence of Independence
The Econometrics Journal, Vol. 16, Issue 1, pp. S60-S92, 2013
Tatiana Komarova
affiliation not provided to SSRN
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Set Inference in Latent Variables Models
The Econometrics Journal, Vol. 16, Issue 1, pp. S93-S105, 2013
Marc Henry and Ismael Mourifié
Pennsylvania State University and affiliation not provided to SSRN
Date Posted: February 13, 2013
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Estimation of Dynamic Latent Variable Models Using Simulated Non‐Parametric Moments
The Econometrics Journal, Vol. 15, Issue 3, pp. 490-515, 2012
Michael Creel and Dennis Kristensen
Autonomous University of Barcelona and University College London
Date Posted: November 30, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Non‐Parametric Detection and Estimation of Structural Change
The Econometrics Journal, Vol. 15, Issue 3, pp. 420-461, 2012
Dennis Kristensen
University College London
Date Posted: November 30, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Testing a Parametric Function Against a Non‐Parametric Alternative in IV and GMM Settings
The Econometrics Journal, Vol. 15, Issue 3, pp. 462-489, 2012
Tue Gørgens and Allan Würtz
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: November 30, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Testing for Uncorrelated Errors in Arma Models: Non‐Standard Andrews‐Ploberger Tests
The Econometrics Journal, Vol. 15, Issue 3, pp. 516-534, 2012
John Nankervis and N. Eugene Savin
University of Essex - Department of Accounting, Finance & Management and University of Iowa - Henry B. Tippie College of Business - Department of Economics
Date Posted: November 30, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Weak Instrument Inference in the Presence of Parameter Instability
The Econometrics Journal, Vol. 15, Issue 3, pp. 395-419, 2012
Hong Li and Zhijie Xiao
Brandeis University and Boston College - Department of Finance and Department of Economics
Date Posted: November 30, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Breakdown Point Theory for Implied Probability Bootstrap
The Econometrics Journal, Vol. 15, Issue 1, pp. 32-55, 2012
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Incorporating Covariates in the Measurement of Welfare and Inequality: Methods and Applications
The Econometrics Journal, Vol. 15, Issue 1, pp. C1-C30, 2012
Stephen G. Donald , Yu‐Chin Hsu and Garry F. Barrett
University of Texas at Austin - Department of Economics , affiliation not provided to SSRN and University of Sydney
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Testing for Common Trends in Semi‐Parametric Panel Data Models with Fixed Effects
The Econometrics Journal, Vol. 15, Issue 1, pp. 56-100, 2012
Yonghui Zhang , Liangjun Su and Peter C. B. Phillips
affiliation not provided to SSRN , Singapore Management University and Yale University - Cowles Foundation
Date Posted: February 17, 2012
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Unit Root Tests for Panel Data with AR(1) Errors and Small T
The Econometrics Journal, Vol. 15, Issue 1, pp. 101-124, 2012
Geert Dhaene
KU Leuven - Department of Economics
Date Posted: February 17, 2012
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Break Point Estimators for a Slope Shift: Levels Versus First Differences
The Econometrics Journal, Vol. 15, Issue 1, pp. 154-169, 2012
Jingjing Yang
Michigan State University
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Discussion of S.G. Donald Et Al. And R. Davidson
The Econometrics Journal, Vol. 15, Issue 1, pp. C54-C57, 2012
Christian Schluter
University of Southampton - Division of Economics
Date Posted: February 17, 2012
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Generalized Empirical Likelihood Testing in Semiparametric Conditional Moment Restrictions Models
The Econometrics Journal, Vol. 15, Issue 1, pp. 1-31, 2012
Francesco Bravo
University of York (UK) - Department of Economics and Related Studies
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper On the Problem of Inference for Inequality Measures for Heavy‐Tailed Distributions
The Econometrics Journal, Vol. 15, Issue 1, pp. 125-153, 2012
Christian Schluter
University of Southampton - Division of Economics
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Statistical Inference in the Presence of Heavy Tails
The Econometrics Journal, Vol. 15, Issue 1, pp. C31-C53, 2012
Russell Davidson
McGill University - Desautels Faculty of Management
Date Posted: February 17, 2012
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper A Structural Approach to Estimating the Effect of Taxation on the Labour Market Dynamics of Older Workers
The Econometrics Journal, Vol. 13, Issue 3, pp. S99-S125, 2010
Peter Haan and Victoria L. Prowse
DIW Berlin, German Institute for Economic Research and Cornell University - Department of Economics
Date Posted: November 03, 2011
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Inference in Limited Dependent Variable Models Robust to Weak Identification
The Econometrics Journal, Vol. 13, Issue 3, pp. S56-S79, 2010
Leandro M. Magnusson
University of Western Australia
Date Posted: November 03, 2011
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Non‐Parametric Estimation of Exact Consumer Surplus with Endogeneity in Price
The Econometrics Journal, Vol. 13, Issue 3, pp. S80-S98, 2010
Anne Vanhems
Toulouse Business School
Date Posted: November 03, 2011
Accepted Paper Series
2 downloads

Incl. Fee Electronic Paper Semi‐Parametric Estimation of Non‐Separable Models: A Minimum Distance from Independence Approach
The Econometrics Journal, Vol. 13, Issue 3, pp. S28-S55, 2010
Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics
Date Posted: November 03, 2011
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Structural Dynamic Model of Retirement with Latent Health Indicator
The Econometrics Journal, Vol. 13, Issue 3, pp. S126-S161, 2010
Fedor Iskhakov
University of Technology Sydney (UTS)
Date Posted: November 03, 2011
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper The Practice of Non‐Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models
The Econometrics Journal, Vol. 13, Issue 3, pp. S1-S27, 2010
Frédérique Fève and Jean‐Pierre Florens
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: November 03, 2011
Accepted Paper Series
2 downloads


 

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