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Wiley-Blackwell: Econometrics Journal
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Incl. Fee Electronic Paper Instrumental Variable Estimation of a Spatial Dynamic Panel Model with Endogenous Spatial Weights When T is Small
The Econometrics Journal, Vol. 19, Issue 3, pp. 261-290, 2016
Xi Qu, Xiaoliang Wang and Lung-Fei Lee
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Ohio State University (OSU) - Economics
Date Posted: November 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Error Cross‐Sectional Independence Using Pairwise Augmented Regressions
The Econometrics Journal, Vol. 19, Issue 3, pp. 237-260, 2016
Guangyu Mao
Beijing Jiaotong University - School of Economics and Management
Date Posted: November 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Using Mixtures in Econometric Models: A Brief Review and Some New Results
The Econometrics Journal, Vol. 19, Issue 3, pp. C95-C127, 2016
Giovanni Compiani and Yuichi Kitamura
Yale University and Yale University - Cowles Foundation
Date Posted: November 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonlinear Panel Data Estimation via Quantile Regressions
The Econometrics Journal, Vol. 19, Issue 3, pp. C61-C94, 2016
Manuel Arellano and Stéphane Bonhomme
CEMFI and University of Chicago
Date Posted: November 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Estimating a Nonparametric Triangular Model with Binary Endogenous Regressors
The Econometrics Journal, Vol. 19, Issue 2, pp. 113-149, 2016
Sung Jae Jun, Joris Pinkse and Haiqing Xu
Pennsylvania State University, Pennsylvania State University, College of the Liberal Arts - Department of Economic and Department of Economics, University of Texas at Austin
Date Posted: October 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Lagrange Multiplier Type Tests for Slope Homogeneity in Panel Data Models
The Econometrics Journal, Vol. 19, Issue 2, pp. 166-202, 2016
Jörg Breitung, Christoph Roling and Nazarii Salish
University of Cologne, Deutsche Bundesbank and Universidad Carlos III de Madrid - Department of Economics
Date Posted: October 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On Ill‐Posedness of Nonparametric Instrumental Variable Regression with Convexity Constraints
The Econometrics Journal, Vol. 19, Issue 2, pp. 232-236, 2016
O. Scaillet
University of Geneva GSEM and GFRI
Date Posted: October 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Finite Mixture Models with One Exclusion Restriction
The Econometrics Journal, Vol. 19, Issue 2, pp. 150-165, 2016
Christopher Adams
Federal Trade Commission - Bureau of Economics
Date Posted: October 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model Averaging in Predictive Regressions
The Econometrics Journal, Vol. 19, Issue 2, pp. 203-231, 2016
Chu-An Liu and Biing-Shen Kuo
Academia Sinica and Dept. International Business, National Chengchi University
Date Posted: October 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Overview of the Estimation of Large Covariance and Precision Matrices
The Econometrics Journal, Vol. 19, Issue 1, pp. C1-C32, 2016
Jianqing Fan, Yuan Liao and Han Liu
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Rutgers University, New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Asymptotic Refinements of Nonparametric Bootstrap for Quasi‐Likelihood Ratio Tests for Classes of Extremum Estimators
The Econometrics Journal, Vol. 19, Issue 1, pp. 33-54, 2016
Lorenzo Camponovo
University of St. Gallen
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonparametric Bootstrap Tests for Independence of Generalized Errors
The Econometrics Journal, Vol. 19, Issue 1, pp. 55-83, 2016
Zaichao Du
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Generalized Dynamic Factor Models and Volatilities: Recovering the Market Volatility Shocks
The Econometrics Journal, Vol. 19, Issue 1, pp. C33-C60, 2016
Matteo Barigozzi and Marc Hallin
London School of Economics and Political Science and ECARES, Universite Libre de Bruxelles
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Residuals‐Based Tests for Cointegration with Generalized Least‐Squares Detrended Data
The Econometrics Journal, Vol. 19, Issue 1, pp. 84-111, 2016
Pierre Perron and Gabriel Rodríguez
Boston University - Department of Economics and Pontificia Universidad Católica of Peru
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Validity of Edgeworth Expansions for Realized Volatility Estimators
The Econometrics Journal, Vol. 19, Issue 1, pp. 1-32, 2016
Ulrich Hounyo and Bezirgen Veliyev
University of Aarhus - CREATES and Aarhus University
Date Posted: May 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Confidence Sets for the Break Date Based on Optimal Tests
The Econometrics Journal, Vol. 18, Issue 3, pp. 412-435, 2015
Eiji Kurozumi and Yohei Yamamoto
Hitotsubashi University - Faculty of Economics and Hitotsubashi University - Faculty of Economics
Date Posted: January 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Novel Panel Cointegration Tests Emending for Cross‐Section Dependence with N Fixed
The Econometrics Journal, Vol. 18, Issue 3, pp. 363-411, 2015
Kaddour Hadri, Eiji Kurozumi and Yao Rao
Queen's University Belfast, Hitotsubashi University - Faculty of Economics and The University of Liverpool
Date Posted: January 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Identification and Estimation of Single‐Index Models with Measurement Error and Endogeneity
The Econometrics Journal, Vol. 18, Issue 3, pp. 347-362, 2015
Yingyao Hu, Ji‐Liang Shiu and Tiemen Woutersen
Johns Hopkins University - Department of Economics, Renmin University of China and University of Arizona
Date Posted: January 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonparametric Tests of Conditional Treatment Effects with an Application to Single‐Sex Schooling on Academic Achievements
The Econometrics Journal, Vol. 18, Issue 3, pp. 307-346, 2015
Minsu Chang, Sokbae Lee and Yoon-Jae Whang
University of Pennsylvania, Seoul National University and Seoul National University - School of Economics
Date Posted: January 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Class of Indirect Inference Estimators: Higher‐Order Asymptotics and Approximate Bias Correction
The Econometrics Journal, Vol. 18, Issue 2, pp. 200-241, 2015
Stelios Arvanitis and Antonis Demos
Athens University of Economics and Business and Athens University of Economics and Business
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Economic Theory and Forecasting: Lessons from the Literature
The Econometrics Journal, Vol. 18, Issue 2, pp. C22-C41, 2015
Raffaella Giacomini
University College London - Department of Economics
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Identification and Estimation of Partially Linear Censored Regression Models with Unknown Heteroscedasticity
The Econometrics Journal, Vol. 18, Issue 2, pp. 242-273, 2015
Zhengyu Zhang and Bing Liu
Shanghai University of Finance and Economics - School of Economics and Shanghai University of Finance and Economics - School of Economics
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Likelihood‐Based Dynamic Factor Analysis for Measurement and Forecasting
The Econometrics Journal, Vol. 18, Issue 2, pp. C1-C21, 2015
Borus Jungbacker and Siem Jan Koopman
VU University Amsterdam - Department of Economics and VU University Amsterdam
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Maximization by Parts in Extremum Estimation
The Econometrics Journal, Vol. 18, Issue 2, pp. 147-171, 2015
Yanqin Fan, Sergio Pastorello and Eric Michel Renault
University of Washington - Department of Economics, University of Bologna - Department of Economics and Brown University - Department of Economics
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Standard Rates of Convergence of Criterion‐Function‐Based Set Estimators for Binary Response Models
The Econometrics Journal, Vol. 18, Issue 2, pp. 172-199, 2015
Jason R. Blevins
Ohio State University (OSU) - Economics
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Structural Change Under Non‐Stationary Variances
The Econometrics Journal, Vol. 18, Issue 2, pp. 274-305, 2015
Ke-Li Xu
Texas A&M University
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Fee Electronic Paper More Reliable Inference for the Dissimilarity Index of Segregation
The Econometrics Journal, Vol. 18, Issue 1, pp. 40-66, 2015
Rebecca Allen, Simon M. Burgess, Russell Davidson and Frank Windmeijer
University of London - Institute of Education, University of Bristol - Department of Economics, McGill University and University of Bristol - Department of Economics
Date Posted: March 31, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Parametric Inference on the Number of Equilibria
The Econometrics Journal, Vol. 18, Issue 1, pp. 1-39, 2015
Maximilian Kasy
University of California, Berkeley
Date Posted: March 31, 2015
Accepted Paper Series

Incl. Fee Electronic Paper On Bootstrap Validity for Specification Tests with Weak Instruments
The Econometrics Journal, Vol. 18, Issue 1, pp. 137-146, 2015
Firmin Doko Tchatoka
University of Adelaide
Date Posted: March 31, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Robust Hypothesis Tests for M‐Estimators with Possibly Non‐Differentiable Estimating Functions
The Econometrics Journal, Vol. 18, Issue 1, pp. 95-116, 2015
Wei-Ming Lee, Yu‐Chin Hsu and Chung‐Ming Kuan
Department of Economics, National Chung Cheng University, Academia Sinica and National Taiwan University
Date Posted: March 31, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Specification Testing in Nonstationary Time Series Models
The Econometrics Journal, Vol. 18, Issue 1, pp. 117-136, 2015
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin
University of York - Department of Economics and Related Studies, Monash University - Department of Econometrics & Business Statistics, University of York and Zhejiang University
Date Posted: March 31, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Specification Tests for Nonlinear Dynamic Models
The Econometrics Journal, Vol. 18, Issue 1, pp. 67-94, 2015
Igor Kheifets
New Economic School (NES)
Date Posted: March 31, 2015
Accepted Paper Series

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) - 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
Dukpa Kim
Korea University - Department of Economics
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
Sciences Po - 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
Department of Economics, University of Texas at Austin
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 Harvard University
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


 

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