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Wiley-Blackwell: Econometrics Journal
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Incl. Fee Electronic Paper A Social Interaction Model with an Extreme Order Statistic
The Econometrics Journal, Vol. 17, Issue 3, pp. 197-240, 2014
Ji Tao and Lung-Fei Lee
Shanghai University of Finance and Economics and Ohio State University (OSU) - Department of Economics
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Common Breaks in Time Trends for Large Panel Data with a Factor Structure
The Econometrics Journal, Vol. 17, Issue 3, pp. 301-337, 2014

Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper First‐Differencing in Panel Data Models with Incidental Functions
The Econometrics Journal, Vol. 17, Issue 3, pp. 373-382, 2014
Koen Jochmans
Fondation Nationale des Sciences Politiques (FNSP) - Department of Economics
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Maximum Score Estimation with Nonparametrically Generated Regressors
The Econometrics Journal, Vol. 17, Issue 3, pp. 271-300, 2014
Le‐Yu Chen , Sokbae Lee and Myung Jae Sung
Academia Sinica , Seoul National University and Hongik University
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of Discrete Games with Correlated Types
The Econometrics Journal, Vol. 17, Issue 3, pp. 241-270, 2014
Haiqing Xu
University of Texas at Austin - Department of Economics
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Indirect Inference Based on the Score
The Econometrics Journal, Vol. 17, Issue 3, pp. 383-393, 2014
Peter Fuleky and Eric Zivot
University of Hawaii Economic Research Organization and University of Washington - Department of Economics
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Point‐Optimal Panel Unit Root Tests with Serially Correlated Errors
The Econometrics Journal, Vol. 17, Issue 3, pp. 338-372, 2014
Hyungsik Roger Moon , Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics , University of Montreal - Department of Economics and Yale University - Cowles Foundation
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Simulated Maximum Likelihood Estimation in Transition Models
The Econometrics Journal, Vol. 1, Issue 1, pp. 129-153, 1998
Thierry Kamionka
National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Simulation‐Based Finite Sample Normality Tests in Linear Regressions
The Econometrics Journal, Vol. 1, Issue 1, pp. 154-173, 1998
Jean-Marie Dufour , Abdeljelil Farhat , Lucien Gardiol and Lynda Khalaf
University of Montreal - Department of Economics , University of Monastir - l'Unité de recherche EAS-Mahdia Faculté des sciences économiques et de gestion de Mahdia , University of Lausanne - Institute of Health Economics and Management (IEMS) and Laval University - Département d'Économique
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Comparison of the Forecast Performance of Markov‐Switching and Threshold Autoregressive Models of Us Gnp
The Econometrics Journal, Vol. 1, Issue 1, pp. 47-75, 1998
Michael P. Clements and Hans‐Martin Krolzig
University of Reading - Henley Business School and affiliation not provided to SSRN
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Framework for Economic Forecasting
The Econometrics Journal, Vol. 1, Issue 1, pp. 203-227, 1998
Neil R. Ericsson and Jaime Marquez
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System - International Financial Transactions Section
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Inference on GARCH Models Using the Gibbs Sampler
The Econometrics Journal, Vol. 1, Issue 1, pp. 23-46, 1998
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and French National Center for Scientific Research (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Computationally Attractive Stability Tests for the Efficient Method of Moments
The Econometrics Journal, Vol. 1, Issue 1, pp. 203-227, 1998
Pieter Jelle van der Sluis
APG Asset Management, GTAA Fund
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time
The Econometrics Journal, Vol. 1, Issue 1, pp. 100-112, 1998
Giorgio Calzolari , Francesca Di Iorio and Gabriele Fiorentini
Universita di Firenze - Dipartimento di Statistica , Istituto Nazionale di Statistica and Universita di Firenze - Dipartimento di Statistica
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimating Stochastic Volatility Models Through Indirect Inference
The Econometrics Journal, Vol. 1, Issue 1, pp. 113-128, 1998
Chiara Monfardini
University of Bologna - Department of Economics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimating the Kronecker Indices of Cointegrated Echelon‐Form Varma Models
The Econometrics Journal, Vol. 1, Issue 1, pp. 76-99, 1998
Helmut Luetkepohl and Holger Bartel
European University Institute and Humboldt University of Berlin
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Simulation‐Based Likelihood Inference for Limited Dependent Processes
The Econometrics Journal, Vol. 1, Issue 1, pp. 174-202, 1998
Aurora Manrique and Neil Shephard
University of Salamanca and University of Oxford - Oxford-Man Institute
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Spurious Periodic Autoregressions
The Econometrics Journal, Vol. 1, Issue 1, pp. 1-22, 1998
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper An Instrumental Variable Random‐Coefficients Model for Binary Outcomes
The Econometrics Journal, Vol. 17, Issue 2, pp. S1-S19, 2014
Andrew Chesher and Adam M Rosen
University College London - Department of Economics and University College London
Date Posted: June 05, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Backfitting and Smooth Backfitting in Varying Coefficient Quantile Regression
The Econometrics Journal, Vol. 17, Issue 2, pp. S20-S38, 2014
Young K. Lee , Enno Mammen and Byeong U. Park
Kangwon National University , University of Mannheim - Department of Economics and Seoul National University
Date Posted: June 05, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Confidence Sets Based on Inverting Anderson–Rubin Tests
The Econometrics Journal, Vol. 17, Issue 2, pp. S39-S58, 2014
Russell Davidson and James G. MacKinnon
McGill University and Queen's University (Canada) - Department of Economics
Date Posted: June 05, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Generalized Dynamic Semi‐Parametric Factor Models for High‐Dimensional Non‐Stationary Time Series
The Econometrics Journal, Vol. 17, Issue 2, pp. S101-S131, 2014
Song Song , Wolfgang K. Härdle and Ya'acov Ritov
University of Alabama - Department of Mathematics , Humboldt University of Berlin - Institute for Statistics and Econometrics and Hebrew University of Jerusalem
Date Posted: June 05, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Posterior Inference in Curved Exponential Families Under Increasing Dimensions
The Econometrics Journal, Vol. 17, Issue 2, pp. S75-S100, 2014
Alexandre Belloni and Victor Chernozhukov
Duke University - Fuqua School of Business and Massachusetts Institute of Technology (MIT) - Department of Economics
Date Posted: June 05, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Testing for the Stochastic Dominance Efficiency of a Given Portfolio
The Econometrics Journal, Vol. 17, Issue 2, pp. S59-S74, 2014
Oliver B. Linton , Thierry Post and Yoon-Jae Whang
University of Cambridge , Koc University - Graduate School of Business and Seoul National University - School of Economics
Date Posted: June 05, 2014
Accepted Paper Series

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-Universiteit Gent - 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


 

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