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Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Adaptive Pointwise Estimation in Time-Inhomogeneous Conditional Heteroscedasticity Models
Econometrics Journal, Vol. 12, Issue 2, pp. 248-271, July 2009
P. Čížek , W. Härdle and V. Spokoiny
affiliation not provided to SSRN , affiliation not provided to SSRN and Weierstrass - Institute for Applied Analysis and Stochastics
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Bayesian Estimation of a Random Effects Heteroscedastic Probit Model
Econometrics Journal, Vol. 12, Issue 2, pp. 324-339, July 2009
Yuanyuan Gu , Denzil G. Fiebig , Edward Jerrold Cripps and Robert Kohn
University of New South Wales - School of Economics , University of New South Wales - Australian School of Business - School of Economics , University of New South Wales - Australian School of Business - School of Economics and University of New South Wales - School of Economics and School of Banking and Finance
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Blockwise Generalized Empirical Likelihood Inference for Non-Linear Dynamic Moment Conditions Models
Econometrics Journal, Vol. 12, Issue 2, pp. 208-231, July 2009
Francesco Bravo
University of York (UK) - Department of Economics and Related Studies
Date Posted: October 8, 2009
Last Revised: October 14, 2009
Accepted Paper Series

Looking for Skewness in Financial Time Series
Econometrics Journal, Vol. 12, Issue 2, pp. 310-323, July 2009
Matteo Grigoletto and Francesco Lisi
University of Padua - Department of Statistical Sciences and Department of Statistical Sciences, University of Padova
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Multivariate Stochastic Volatility, Leverage and News Impact Surfaces
Econometrics Journal, Vol. 12, Issue 2, pp. 292-309, July 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Non-Parametric Regression with a Latent Time Series
Econometrics Journal, Vol. 12, Issue 2, pp. 187-207, July 2009
Oliver B. Linton , Jens Perch Nielsen and Søren Feodor Nielsen
London School of Economics & Political Science - Department of Economics , City University London - Cass Business School and affiliation not provided to SSRN
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

On Skewness and Kurtosis of Econometric Estimators
Econometrics Journal, Vol. 12, Issue 2, pp. 232-247, July 2009
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside - Department of Economics
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Panel Unit Root Tests in the Presence of Cross-Sectional Dependence: Finite Sample Performance and an Application
Econometrics Journal, Vol. 12, Issue 2, pp. 340-366, July 2009
S. de Silva , K. Hadri and A. R. Tremayne
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

The Empirical Process of Autoregressive Residuals
Econometrics Journal, Vol. 12, Issue 2, pp. 367-381, July 2009
Eric Engler and Bent Nielsen
Williams College - Department of Economics and University of Oxford - Department of Economics
Date Posted: October 8, 2009
Last Revised: October 8, 2009
Accepted Paper Series

Multi-Tail Generalized Elliptical Distributions for Asset Returns
Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Sebastian Kring , Svetlozar Rachev , Markus Höchstötter , Frank J. Fabozzi and Michele Leonardo Bianchi
University of Karlsruhe , University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie , affiliation not provided to SSRN , Yale School of Management and affiliation not provided to SSRN
Date Posted: October 8, 2009
Last Revised: October 18, 2009
Accepted Paper Series

A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples
Econometrics Journal, Vol. 12, Issue s1, pp. S230-S234, January 2009
James J. Heckman and Petra Todd
University of Chicago - Department of Economics and University of Pennsylvania - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Copula-Based Nonlinear Quantile Autoregression
Econometrics Journal, Vol. 12, Issue s1, pp. S50-S67, January 2009
Xiaohong Chen , Roger Koenker and Zhijie Xiao
Yale University - Cowles Foundation , University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Distribution-Free Specification Tests for Dynamic Linear Models
Econometrics Journal, Vol. 12, Issue s1, pp. S105-S134, January 2009
Miguel Delgado , Javier S Hidalgo and Carlos Velasco
affiliation not provided to SSRN , London School of Economics & Political Science (LSE) and Universidad Carlos III de Madrid - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Efficient Gmm with Nearly-Weak Instruments
Econometrics Journal, Vol. 12, Issue s1, pp. S135-S171, January 2009
Bertille Antoine and Eric Renault
Simon Fraser University and University of North Carolina at Chapel Hill - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Finite-Sample Distribution-Free Inference in Linear Median Regressions Under Heteroscedasticity and Non-Linear Dependence of Unknown Form
Econometrics Journal, Vol. 12, Issue s1, pp. S19-S49, January 2009
Elise Coudin and Jean-Marie Dufour
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Montreal - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 7, 2009
Accepted Paper Series

Goodness-of-Fit Tests for Functional Data
Econometrics Journal, Vol. 12, Issue s1, pp. S1-S18, January 2009
Federico Bugni , Peter Hall , Joel L. Horowitz and George R. Neumann
Northwestern University - Department of Economics , University of Melbourne , Northwestern University and University of Iowa - Henry B. Tippie College of Business - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Invalidity of the Bootstrap and The M Out Of N Bootstrap for Confidence Interval Endpoints Defined by Moment Inequalities
Econometrics Journal, Vol. 12, Issue s1, pp. S172-S199, January 2009
Donald W. K. Andrews and Sukjin Han
affiliation not provided to SSRN and Yale University - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

Large-Sample Inference on Spatial Dependence
Econometrics Journal, Vol. 12, Issue s1, pp. S68-S82, January 2009
Peter M. Robinson
London School of Economics & Political Science (LSE) - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

More on Monotone Instrumental Variables
Econometrics Journal, Vol. 12, Issue s1, pp. S200-S216, January 2009
Charles F. Manski and John V. Pepper
Northwestern University - Department of Economics and University of Virginia - Department of Economics
Date Posted: July 4, 2009
Last Revised: October 6, 2009
Accepted Paper Series

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