SSRN eLibrary Search Results
Wiley-Blackwell: Econometrics Journal

Wiley-Blackwell Logo     
2,777 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Search Within

Viewing: 1 - 50 of 364 papers

1.

Controlling for Overdispersion in Grouped Conditional Logit Models: A Computationally Simple Application of Dirichlet-Multinomial Regression

Econometrics Journal, Vol. 10, No. 2, pp. 439-452, July 2007
Number of pages: 14 Posted: 27 Jun 2007
Accepted Paper Series
University of South Carolina - Darla Moore School of Business and Medical University of South Carolina
Downloads 32
2.

Simulation-Based Tests for Heteroskedasticity in Linear Regression Models: Some Further Results

Econometrics Journal, Vol. 9, No. 1, pp. 76-97, March 2006
Number of pages: 22 Posted: 08 May 2006
Accepted Paper Series
University of York - Department of Economics, University of Manchester and University of Surrey
Downloads 32
3.

Mean Group Tests for Stationarity in Heterogeneous Panels

Econometrics Journal, Vol. 9, No. 1, pp. 123-158, March 2006
Number of pages: 36 Posted: 08 May 2006
Accepted Paper Series
Independent and University of Edinburgh - Economics
Downloads 31
4.

Modelling Methodology and Forecast Failure

The Econometrics Journal, Vol. 5, pp. 319-344, 2002
Number of pages: 26 Posted: 05 Feb 2003
Accepted Paper Series
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 31
5.

Adaptive MCMC Methods for Inference on Affine Stochastic Volatility Models with Jumps

Econometrics Journal, Vol. 8, No. 2, pp. 235-250, July 2005
Number of pages: 16 Posted: 02 Aug 2005
Accepted Paper Series
University of Bologna - Department of Economics
Downloads 30
6.

Searching for Co-integration in a Dynamic System

Econometrics Journal, Vol. 10, Issue 3, pp. 580-604, November 2007
Number of pages: 25 Posted: 31 Oct 2007
Accepted Paper Series
Boston University
Downloads 30
7.

Moments of IV and JIVE Estimators

Econometrics Journal, Vol. 10, Issue 3, pp. 541-553, November 2007
Number of pages: 13 Posted: 31 Oct 2007
Accepted Paper Series
McGill University and Queen's University - Department of Economics
Downloads 29
8.

More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Constant and Linear Term

Econometrics Journal, Vol. 7, No. 2, pp. 389-397, December 2004
Number of pages: 9 Posted: 13 Dec 2004
Accepted Paper Series
University of Copenhagen - Department of Economics and University of Oslo - Department of Mathematics
Downloads 29
9.

Non-Trading Day Effects in Asymmetric Conditional and Stochastic Volatility Models

Econometrics Journal, Vol. 10, No. 1, pp. 113-123, March 2007
Number of pages: 11 Posted: 08 Mar 2007
Accepted Paper Series
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 29
10.

Testing for Duration Dependence in Economic Cycles

Econometrics Journal, Vol. 7, No. 2, pp. 528-549, December 2004
Number of pages: 22 Posted: 28 Dec 2004
Accepted Paper Series
Wagner College - Department of Business Administration, Lehigh University - College of Business & Economics and Australian National University (ANU) - Research School of Social Sciences (RSSS)
Downloads 29
11.

Cointegration Analysis in the Presence of Outliers

Econometrics Journal, Vol. 7, No. 1, pp. 249-271, June 2004
Number of pages: 23 Posted: 22 Jul 2004
Accepted Paper Series
University of Copenhagen - Department of Economics
Downloads 28
12.

Size Matters: Covariance Matrix Estimation Under the Alternative

Econometrics Journal, Vol. 10, Issue 3, pp. 637-644, November 2007
Number of pages: 8 Posted: 31 Oct 2007
Accepted Paper Series
Government of Canada - Bank of Canada

Multiple version iconThere are 2 versions of this paper

Downloads 28
13.

Bounds for Inference with Nuisance Parameters Present Only Under the Alternative

The Econometrics Journal, Vol. 5, pp. 494-519, 2002
Number of pages: 26 Posted: 05 Feb 2003
Accepted Paper Series
Brevan Howard Asset Management LLP and Queen Mary, University of London
Downloads 27
14.

Breaking the Panels: An Application to the GDP Per Capita

Econometrics Journal, Vol. 8, No. 2, pp. 159-175, July 2005
Number of pages: 17 Posted: 29 Jul 2005
Accepted Paper Series
University of Barcelona - Department of Econometrics, University of Barcelona - Department of Econometrics and University of Barcelona, AQR
Downloads 27
15.

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Econometrics Journal, Vol. 6, pp. 217-259, June 2003
Number of pages: 43 Posted: 18 Sep 2003
Accepted Paper Series
Yale University - Cowles Foundation and University of Auckland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 27
16.

Exploring Economic Time Series: A Bayesian Graphical Approach

Econometrics Journal, Vol. 6, pp. 124-145, June 2003
Number of pages: 22 Posted: 21 Sep 2003
Accepted Paper Series
Nottingham Trent University - School of Computing and Mathematics, Nottingham Trent University - Nottingham Clinical Research Ltd. and The University of Sydney - Discipline of Econometrics and Business Statistics
Downloads 27
17.

Generic Consistency of the Break-point Estimator Under Specification Errors

Econometrics Journal, Vol. 6, pp. 167-192, June 2003
Number of pages: 26 Posted: 18 Sep 2003
Accepted Paper Series
The Chinese University of Hong Kong (CUHK) - Lau Chor Tak Institute of Global Economics and Finance
Downloads 27
18.

Local Sensitivity and Diagnostic Tests

Econometrics Journal, Vol. 10, No. 1, pp. 166-192, March 2007
Number of pages: 27 Posted: 08 Mar 2007
Accepted Paper Series
VU University Amsterdam - Faculty of Economics and Business Administration and University of Sydney

Multiple version iconThere are 2 versions of this paper

Downloads 27
19.

Partially Adaptive Estimation via the Maximum Entropy Densities

Econometrics Journal, Vol. 8, No. 3, pp. 352-366, December 2005
Number of pages: 15 Posted: 27 Dec 2005
Accepted Paper Series
Texas A&M University - Department of Agricultural Economics and University of Guelph - Department of Economics
Downloads 27
20.

Moments of the ARMA-EGARCH Model

Econometrics Journal, Vol. 6, pp. 146-166, June 2003
Number of pages: 21 Posted: 25 Sep 2003
Accepted Paper Series
University of York - Department of Economics and Related Studies and Independent
Downloads 26
21.

Semiparametric Mixture Models for Multivariate Count Data, with Application

Econometrics Journal, Vol. 7, No. 2, pp. 426-454, December 2004
Number of pages: 29 Posted: 13 Dec 2004
Accepted Paper Series
Università degli Studi La Sapienza and University of Rome, Tor Vergata - Faculty of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 26
22.

Temporal Disaggregation By State Space Methods: Dynamic Regression Methods Revisited

Econometrics Journal, Vol. 9, No. 3, pp. 357-372, November 2006
Number of pages: 16 Posted: 01 Nov 2006
Accepted Paper Series
University of Rome II - Department of Economics and Finance
Downloads 26
23.

The Consequences of Seasonal Adjustment for Periodic Autoregressive Processes

Econometrics Journal, Vol. 7, No. 2, pp. 307-321, December 2004
Number of pages: 15 Posted: 13 Dec 2004
Accepted Paper Series
University of Barcelona - Department of Econometrics and University of Manchester - School of Social Sciences
Downloads 26
24.

Two-Stage Quantile Regression when the First Stage is Based on Quantile Regression

Econometrics Journal, Vol. 7, No. 1, pp. 218-231, June 2004
Number of pages: 14 Posted: 10 Jul 2004
Accepted Paper Series
University of Nottingham - School of Economics and Universidad de Alicante - Department of Economic Analysis

Multiple version iconThere are 2 versions of this paper

Downloads 26
25.

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

Econometrics Journal, Vol. 10, No. 2, pp. 408-425, July 2007
Number of pages: 18 Posted: 27 Jun 2007
Accepted Paper Series
Université catholique de Louvain and HEC Montreal

Multiple version iconThere are 2 versions of this paper

Downloads 25
26.

Estimation of Impulse Response Functions Using Long Autoregression

Econometrics Journal, Vol. 10, No. 2, pp. 453-469, July 2007
Number of pages: 17 Posted: 27 Jun 2007
Accepted Paper Series
Singapore Management University - School of Social Sciences and University of British Columbia (UBC)
Downloads 25
27.

Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models

Econometrics Journal, Vol. 10, No. 1, pp. 49-81, March 2007
Number of pages: 33 Posted: 08 Mar 2007
Accepted Paper Series
University of Southern California - Department of Economics and University of Delaware - Economics

Multiple version iconThere are 2 versions of this paper

Downloads 25
28.

Consistency of Kernel Variance Estimators for Sums of Semiparametric Linear Processes

Econometrics Journal, Vol. 5, No. 1, pp. 160-175, 2002
Number of pages: 16 Posted: 02 Dec 2002
Accepted Paper Series
Cardiff Business School and Ohio State University (OSU) - Economics
Downloads 24
29.

Counts with an Endogenous Binary Regressor: A Series Expansion Approach

Econometrics Journal, Vol. 8, No. 1, pp. 1-22, March 2005
Number of pages: 22 Posted: 15 Mar 2005
Accepted Paper Series
University of Murcia - Department of Economic Analysis and Department of Economics. University College London
Downloads 24
30.

Lag Length and Mean Break in Stationary VAR Models

The Econometrics Journal, Vol. 5, pp. 374-386, 2002
Number of pages: 13 Posted: 05 Feb 2003
Accepted Paper Series
UNSW Australia Business School, School of Economics
Downloads 24
31.

Method of Moment Estimation in the Cogarch(1,1) Model

Econometrics Journal, Vol. 10, No. 2, pp. 320-341, July 2007
Number of pages: 22 Posted: 27 Jun 2007
Accepted Paper Series
Munich University of Technology - Center for Mathematical Sciences, Technische Universität München (TUM), University of Marburg - Department of Mathematics and Computer Science and Munich University of Technology - Center for Mathematical Sciences
Downloads 24
32.

Projection Estimators for Autoregressive Panel Data Models

The Econometrics Journal, Vol. 5, pp. 457-479, 2002
Number of pages: 23 Posted: 05 Feb 2003
Accepted Paper Series
Nuffield College and University of Bristol - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 24
33.

Propensity Score Matching without Conditional Independence Assumption - With an Application to the Gender Wage Gap in the United Kingdom

Econometrics Journal, Vol. 10, No. 2, pp. 359-407, July 2007
Number of pages: 49 Posted: 27 Jun 2007
Accepted Paper Series
Universität Mannheim, Chair of Econometrics
Downloads 24
34.

The Asymptotic Distribution of the F-Test Statistic for Individual Effects

Econometrics Journal, Vol. 9, No. 3, pp. 404-422, November 2006
Number of pages: 19 Posted: 01 Nov 2006
Accepted Paper Series
University of Manchester and University of Cambridge - Faculty of Economics and Politics
Downloads 24
35.

Two-Stage Estimation of Limited Dependent Variable Models with Errors-in-Variables

Econometrics Journal, Vol. 10, No. 2, pp. 426-438, July 2007
Number of pages: 13 Posted: 27 Jun 2007
Accepted Paper Series
University of Manitoba and University of Southern California - Department of Economics
Downloads 24
36.

Estimation of the Mean of a Univariate Normal Distribution when the Variance is not Known

Econometrics Journal, Vol. 8, No. 3, pp. 277-291, December 2005
Number of pages: 15 Posted: 03 Jan 2006
Accepted Paper Series
EURANDOM - Technical University of Eindhoven
Downloads 23
37.

The Tobit Model With a Non-Zero Threshold

Econometrics Journal, Vol. 10, Issue 3, pp. 488-502, November 2007
Number of pages: 15 Posted: 31 Oct 2007
Accepted Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 23
38.

Distributions of Error Correction Tests For Cointegration

Econometrics Journal, Vol. 5, pp. 285-318, 2002
Number of pages: 34 Posted: 05 Feb 2003
Accepted Paper Series
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Queen's University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 22
39.

Estimating Option Implied Risk-Neutral Densities Using Spline and Hypergeometric Functions

Econometrics Journal, Vol. 10, No. 2, pp. 216-244, July 2007
Number of pages: 29 Posted: 27 Jun 2007
Accepted Paper Series
University of Liverpool - Management School (ULMS) and Durham Business School
Downloads 22
40.

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Econometrics Journal, Vol. 8, No. 3, pp. 367-379, December 2005
Number of pages: 13 Posted: 28 Dec 2005
Accepted Paper Series
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation

Multiple version iconThere are 2 versions of this paper

Downloads 22
41.

Forecasting in Dynamic Factor Models Using Bayesian Model Averaging

Econometrics Journal, Vol. 7, No. 2, pp. 550-565, December 2004
Number of pages: 16 Posted: 14 Dec 2004
Accepted Paper Series
University of Leicester - Department of Economics and Federal Reserve Bank of New York
Downloads 22
42.

Measurement of Aggregate Risk with Copulas

Econometrics Journal, Vol. 8, No. 3, pp. 428-454, December 2005
Number of pages: 27 Posted: 28 Dec 2005
Accepted Paper Series
Darmstadt University of Technology - Department of Mathematics and Darmstadt University of Technology - Department of Mathematics
Downloads 22
43.

Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data

Econometrics Journal, Vol. 7, No. 2, pp. 322-340, December 2004
Number of pages: 19 Posted: 13 Dec 2004
Accepted Paper Series
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 22
44.

Estimating Cointegrating Relations from a Cross Section

Econometrics Journal, Vol. 8, No. 3, pp. 380-405, December 2005
Number of pages: 26 Posted: 03 Jan 2006
Accepted Paper Series
University of Copenhagen - Department of Economics
Downloads 21
45.

Estimating Saving Functions in the Presence of Excessive-zeros Problems

The Econometrics Journal, Vol. 5, pp. 435-456, 2002
Number of pages: 22 Posted: 05 Feb 2003
Accepted Paper Series
University of Tsukuba - Institute of Policy and Planning Sciences and University of Kent, Canterbury
Downloads 21
46.

Estimating the Effect of Price Limits on Limit-Hitting Days

Econometrics Journal, Vol. 8, No. 1, pp. 79-96, March 2005
Number of pages: 18 Posted: 17 Mar 2005
Accepted Paper Series
University of California, Berkeley - Department of Economics and Texas A&M University - Department of Economics
Downloads 21
47.

Estimation of the Mean of a Univariate Normal Distribution with Known Variance

Econometrics Journal, Vol. 5, pp. 225-236, 2002
Number of pages: 12 Posted: 02 Dec 2002
Accepted Paper Series
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 21
48.

Functional-coefficient Models under Unit Root Behaviour

Econometrics Journal, Vol. 8, No. 2, pp. 197-213, July 2005
Number of pages: 17 Posted: 29 Jul 2005
Accepted Paper Series
University of Kansas - Department of Economics
Downloads 21
49.

Model Selection Tests for Nonlinear Dynamic Models

The Econometrics Journal, Vol. 5, pp. 1-39, 2002
Number of pages: 39 Posted: 02 Dec 2002
Accepted Paper Series
Stanford University - Department of Political Science and Centre Emile Bernheim (SBS-EM; ULB)
Downloads 21
50.

Modeling Sample Selection Using Archimedean Copulas

Econometrics Journal, Vol. 6, pp. 99-123, June 2003
Number of pages: 25 Posted: 21 Sep 2003
Accepted Paper Series
University of Lincoln
Downloads 21