Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

JOURNAL ARTICLE published 18 December 2015 in Econometrics

Authors: Thibault Vatter | Hau-Tieng Wu | Valérie Chavez-Demoulin | Bin Yu

Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test

JOURNAL ARTICLE published 22 December 2014 in Econometrics

Authors: Francesca Di Iorio | Umberto Triacca

Causal Transmission in Reduced-Form Models

JOURNAL ARTICLE published 24 March 2022 in Econometrics

Authors: Vassilios Bazinas | Bent Nielsen

A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations

JOURNAL ARTICLE published 6 April 2022 in Econometrics

Authors: Katarina Juselius

Bayesian Model Averaging Using Power-Expected-Posterior Priors

JOURNAL ARTICLE published 11 May 2020 in Econometrics

Authors: Dimitris Fouskakis | Ioannis Ntzoufras

Balanced Growth Approach to Tracking Recessions

JOURNAL ARTICLE published 23 April 2020 in Econometrics

Research funded by National Science Foundation (SES-1529151)

Authors: Marta Boczoń | Jean-François Richard

Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models

JOURNAL ARTICLE published 3 February 2017 in Econometrics

Authors: P.A.V.B. Swamy | Jatinder Mehta | I-Lok Chang

Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions

JOURNAL ARTICLE published 2 April 2021 in Econometrics

Research funded by Japan Society for the Promotion of Science (JP20K01593)

Authors: Jau-er Chen | Chien-Hsun Huang | Jia-Jyun Tien

On the Forecast Combination Puzzle

JOURNAL ARTICLE published 10 September 2019 in Econometrics

Authors: Wei Qian | Craig A. Rolling | Gang Cheng | Yuhong Yang

Synthetic Control and Inference

JOURNAL ARTICLE published 28 November 2017 in Econometrics

Authors: Jinyong Hahn | Ruoyao Shi

Consistency of Trend Break Point Estimator with Underspecified Break Number

JOURNAL ARTICLE published 5 January 2017 in Econometrics

Authors: Jingjing Yang

Acknowledgement to Reviewers of Econometrics in 2015

JOURNAL ARTICLE published 25 January 2016 in Econometrics

Authors: Econometrics Editorial Office

Structural Break Tests Robust to Regression Misspecification

JOURNAL ARTICLE published 22 May 2018 in Econometrics

Authors: Alaa Abi Morshed | Elena Andreou | Otilia Boldea

Constructing U.K. Core Inflation

JOURNAL ARTICLE published 25 April 2013 in Econometrics

Authors: Terence Mills

An Overview of Modified Semiparametric Memory Estimation Methods

JOURNAL ARTICLE published 12 March 2018 in Econometrics

Authors: Marie Busch | Philipp Sibbertsen

Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems

JOURNAL ARTICLE published 11 March 2019 in Econometrics

Authors: Antonio Pacifico

Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models

JOURNAL ARTICLE published 4 May 2021 in Econometrics

Research funded by Japan Society for the Promotion of Science (19K01594)

Authors: Manabu Asai | Chia-Lin Chang | Michael McAleer | Laurent Pauwels

Interval Estimation of Value-at-Risk Based on Nonparametric Models

JOURNAL ARTICLE published 10 December 2018 in Econometrics

Authors: Hussein Khraibani | Bilal Nehme | Olivier Strauss

Biases in the Maximum Simulated Likelihood Estimation of the Mixed Logit Model

JOURNAL ARTICLE published 27 March 2024 in Econometrics

Authors: Maksat Jumamyradov | Murat Munkin | William H. Greene | Benjamin M. Craig

Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components

JOURNAL ARTICLE published 15 July 2019 in Econometrics

Research funded by Pioneer Investments (part of Amundi Asset Management) (----)

Authors: Franz Ramsauer | Aleksey Min | Michael Lingauer