Econometrics

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Most Cited & Viewed - Econometrics

Citations	Article
64	Article: The Biggest Myth in Spatial Econometrics by James P. LeSage and R. Kelley Pace
26	Article: Asymmetry and Leverage in Conditional Volatility Models by Michael McAleer
25	Article: Ten Things You Should Know about the Dynamic Conditional Correlation Representation by Massimiliano Caporin and Michael McAleer
24	Article: Detecting Location Shifts during Model Selection by Step-Indicator Saturation by Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Felix Pretis
23	Article: A One Line Derivation of EGARCH by Michael McAleer and Christian M. Hafner
18	Article: A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts by Hossein Hassani and Emmanuel Sirimal Silva
15	Article: Academic Rankings with RePEc by Christian Zimmermann
14	Article: Structural Panel VARs by Peter Pedroni
11	Article: A Fast, Accurate Method for Value-at-Risk and Expected Shortfall by Jochen Krause and Marc S. Paolella
8	Article: Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator by Søren Johansen and Bent Nielsen

Citations	Article
2	Article: Decomposing Wage Distributions Using Recentered Influence Function Regressions by Sergio P. Firpo, Nicole M. Fortin and Thomas Lemieux
1	Review: Using the GB2 Income Distribution by Duangkamon Chotikapanich, William E. Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D. S. Prasada Rao
1	Article: Polarization and Rising Wage Inequality: Comparing the U.S. and Germany by Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger

Citations	Article
2	Article: Decomposing Wage Distributions Using Recentered Influence Function Regressions by Sergio P. Firpo, Nicole M. Fortin and Thomas Lemieux
2	Article: Non-Causality Due to Included Variables by Umberto Triacca
2	Article: Jackknife Bias Reduction in the Presence of a Near-Unit Root by Marcus J. Chambers and Maria Kyriacou
1	Article: Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? by Alain Hecq, Sean Telg and Lenard Lieb
1	Article: Synthetic Control and Inference by Jinyong Hahn and Ruoyao Shi
1	Review: Using the GB2 Income Distribution by Duangkamon Chotikapanich, William E. Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D. S. Prasada Rao
1	Article: A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade by Rodolfo Metulini, Roberto Patuelli and Daniel A. Griffith
1	Article: From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective by Francesca Greselin and Ričardas Zitikis
1	Article: Polarization and Rising Wage Inequality: Comparing the U.S. and Germany by Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger

Citations	Article
6	Article: A Simple Test for Causality in Volatility by Chia-Lin Chang and Michael McAleer
5	Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions by Jurgen A. Doornik
4	Review: Pair-Copula Constructions for Financial Applications: A Review by Kjersti Aas
3	Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
3	Article: Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency by Kyoo il Kim
3	Article: Goodness-of-Fit Tests for Copulas of Multivariate Time Series by Bruno Rémillard
2	Article: Decomposing Wage Distributions Using Recentered Influence Function Regressions by Sergio P. Firpo, Nicole M. Fortin and Thomas Lemieux
2	Article: Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models by Jan Kiviet, Milan Pleus and Rutger Poldermans
2	Article: Non-Causality Due to Included Variables by Umberto Triacca
2	Article: Jackknife Bias Reduction in the Presence of a Near-Unit Root by Marcus J. Chambers and Maria Kyriacou

Citations	Article
6	Article: A Simple Test for Causality in Volatility by Chia-Lin Chang and Michael McAleer
5	Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions by Jurgen A. Doornik
4	Article: Forecasting Value-at-Risk under Different Distributional Assumptions by Manuela Braione and Nicolas K. Scholtes
4	Review: Pair-Copula Constructions for Financial Applications: A Review by Kjersti Aas
4	Article: Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability by Marc S. Paolella
4	Article: Evaluating Eigenvector Spatial Filter Corrections for Omitted Georeferenced Variables by Daniel A. Griffith and Yongwan Chun
4	Article: Volatility Forecasting: Downside Risk, Jumps and Leverage Effect by Francesco Audrino and Yujia Hu
3	Article: Estimation of Gini Index within Pre-Specified Error Bound by Bhargab Chattopadhyay and Shyamal Krishna De
3	Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
3	Article: Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors by Xibin Zhang, Maxwell L. King and Han Lin Shang

» More Articles

Views	Article
5544	Article: Academic Rankings with RePEc by Christian Zimmermann
5515	Article: Generalized Information Matrix Tests for Detecting Model Misspecification by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner
5276	Article: Detecting Location Shifts during Model Selection by Step-Indicator Saturation by Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Felix Pretis
4933	Article: Structural Panel VARs by Peter Pedroni
4693	Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions by Jurgen A. Doornik
4294	Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels by Jae H. Kim and In Choi
4206	Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
4095	Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators by Jochen Heberle and Cristina Sattarhoff
3960	Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation by Ragnar Nymoen
3947	Review: Pair-Copula Constructions for Financial Applications: A Review by Kjersti Aas

Views

Article

5544

Article: Academic Rankings with RePEc

by Christian Zimmermann

5515

Article: Generalized Information Matrix Tests for Detecting Model Misspecification

by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

5276

Article: Detecting Location Shifts during Model Selection by Step-Indicator Saturation

by Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Felix Pretis

4933

Article: Structural Panel VARs

by Peter Pedroni

4693

Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions

by Jurgen A. Doornik

4294

Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

by Jae H. Kim and In Choi

4206

Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices

by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber

4095

Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators

by Jochen Heberle and Cristina Sattarhoff

3960

Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation

by Ragnar Nymoen

3947

Review: Pair-Copula Constructions for Financial Applications: A Review

by Kjersti Aas

Views	Article
1903	Article: Polarization and Rising Wage Inequality: Comparing the U.S. and Germany by Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger
1851	Article: Structural Break Tests Robust to Regression Misspecification by Alaa Abi Morshed, Elena Andreou and Otilia Boldea
1722	Article: Decomposing Wage Distributions Using Recentered Influence Function Regressions by Sergio P. Firpo, Nicole M. Fortin and Thomas Lemieux
1717	Review: Using the GB2 Income Distribution by Duangkamon Chotikapanich, William E. Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D. S. Prasada Rao
1716	Article: Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality by Giovanni M. Giorgi and Alessio Guandalini
1606	Article: Forecasting Inflation Uncertainty in the G7 Countries by Mawuli Segnon, Stelios Bekiros and Bernd Wilfling
1518	Article: TSLS and LIML Estimators in Panels with Unobserved Shocks by Giovanni Forchini, Bin Jiang and Bin Peng
1490	Article: Parametric Inference for Index Functionals by Stéphane Guerrier, Samuel Orso and Maria-Pia Victoria-Feser
1457	Editorial: Recent Developments in Macro-Econometric Modeling: Theory and Applications by Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov
1457	Article: Johansen’s Reduced Rank Estimator Is GMM by Bruce E. Hansen

Views

Article

1903

Article: Polarization and Rising Wage Inequality: Comparing the U.S. and Germany

by Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger

1851

Article: Structural Break Tests Robust to Regression Misspecification

by Alaa Abi Morshed, Elena Andreou and Otilia Boldea

1722

Article: Decomposing Wage Distributions Using Recentered Influence Function Regressions

by Sergio P. Firpo, Nicole M. Fortin and Thomas Lemieux

1717

Review: Using the GB2 Income Distribution

by Duangkamon Chotikapanich, William E. Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D. S. Prasada Rao

1716

Article: Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality

by Giovanni M. Giorgi and Alessio Guandalini

1606

Article: Forecasting Inflation Uncertainty in the G7 Countries

by Mawuli Segnon, Stelios Bekiros and Bernd Wilfling

1518

Article: TSLS and LIML Estimators in Panels with Unobserved Shocks

by Giovanni Forchini, Bin Jiang and Bin Peng

1490

Article: Parametric Inference for Index Functionals

by Stéphane Guerrier, Samuel Orso and Maria-Pia Victoria-Feser

1457

Editorial: Recent Developments in Macro-Econometric Modeling: Theory and Applications

by Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov

1457

Article: Johansen’s Reduced Rank Estimator Is GMM

by Bruce E. Hansen

Views	Article
3020	Article: Synthetic Control and Inference by Jinyong Hahn and Ruoyao Shi
2956	Article: Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis by Antoni Espasa and Eva Senra
2879	Article: Inequality and Poverty When Effort Matters by Martin Ravallion
2780	Article: Assessing News Contagion in Finance by Paola Cerchiello and Giancarlo Nicola
2742	Article: Bayesian Analysis of Bubbles in Asset Prices by Andras Fulop and Jun Yu
2685	Article: Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models by Jurgen A. Doornik, Rocco Mosconi and Paolo Paruolo
2538	Article: Reducing Approximation Error in the Fourier Flexible Functional Form by Tristan D. Skolrud
2494	Article: Time-Varying Window Length for Correlation Forecasts by Yoontae Jeon and Thomas H. McCurdy
2417	Article: Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility by Yingjie Dong and Yiu-Kuen Tse
2413	Article: Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? by Alain Hecq, Sean Telg and Lenard Lieb

Views

Article

3020

Article: Synthetic Control and Inference

by Jinyong Hahn and Ruoyao Shi

2956

Article: Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis

by Antoni Espasa and Eva Senra

2879

Article: Inequality and Poverty When Effort Matters

by Martin Ravallion

2780

Article: Assessing News Contagion in Finance

by Paola Cerchiello and Giancarlo Nicola

2742

Article: Bayesian Analysis of Bubbles in Asset Prices

by Andras Fulop and Jun Yu

2685

Article: Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models

by Jurgen A. Doornik, Rocco Mosconi and Paolo Paruolo

2538

Article: Reducing Approximation Error in the Fourier Flexible Functional Form

by Tristan D. Skolrud

2494

Article: Time-Varying Window Length for Correlation Forecasts

by Yoontae Jeon and Thomas H. McCurdy

2417

Article: Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility

by Yingjie Dong and Yiu-Kuen Tse

2413

Article: Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

by Alain Hecq, Sean Telg and Lenard Lieb

Views	Article
5515	Article: Generalized Information Matrix Tests for Detecting Model Misspecification by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner
4693	Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions by Jurgen A. Doornik
4294	Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels by Jae H. Kim and In Choi
4206	Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
4095	Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators by Jochen Heberle and Cristina Sattarhoff
3960	Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation by Ragnar Nymoen
3947	Review: Pair-Copula Constructions for Financial Applications: A Review by Kjersti Aas
3923	Article: Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses by Seong Yeon Chang and Pierre Perron
3910	Article: Oil Price and Economic Growth: A Long Story? by María Dolores Gadea, Ana Gómez-Loscos and Antonio Montañés
3885	Article: Goodness-of-Fit Tests for Copulas of Multivariate Time Series by Bruno Rémillard

Views

Article

5515

Article: Generalized Information Matrix Tests for Detecting Model Misspecification

by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

4693

Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions

by Jurgen A. Doornik

4294

Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

by Jae H. Kim and In Choi

4206

Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices

by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber

4095

Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators

by Jochen Heberle and Cristina Sattarhoff

3960

Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation

by Ragnar Nymoen

3947

Review: Pair-Copula Constructions for Financial Applications: A Review

by Kjersti Aas

3923

Article: Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses

by Seong Yeon Chang and Pierre Perron

3910

Article: Oil Price and Economic Growth: A Long Story?

by María Dolores Gadea, Ana Gómez-Loscos and Antonio Montañés

3885

Article: Goodness-of-Fit Tests for Copulas of Multivariate Time Series

by Bruno Rémillard

Views	Article
5515	Article: Generalized Information Matrix Tests for Detecting Model Misspecification by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner
4693	Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions by Jurgen A. Doornik
4294	Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels by Jae H. Kim and In Choi
4206	Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
4095	Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators by Jochen Heberle and Cristina Sattarhoff
3960	Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation by Ragnar Nymoen
3947	Review: Pair-Copula Constructions for Financial Applications: A Review by Kjersti Aas
3923	Article: Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses by Seong Yeon Chang and Pierre Perron
3910	Article: Oil Price and Economic Growth: A Long Story? by María Dolores Gadea, Ana Gómez-Loscos and Antonio Montañés
3885	Article: Goodness-of-Fit Tests for Copulas of Multivariate Time Series by Bruno Rémillard

Views

Article

5515

Article: Generalized Information Matrix Tests for Detecting Model Misspecification

by Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

4693

Article: Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions

by Jurgen A. Doornik

4294

Article: Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

by Jae H. Kim and In Choi

4206

Article: Regime Switching Vine Copula Models for Global Equity and Volatility Indices

by Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber

4095

Article: A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators

by Jochen Heberle and Cristina Sattarhoff

3960

Article: Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation

by Ragnar Nymoen

3947

Review: Pair-Copula Constructions for Financial Applications: A Review

by Kjersti Aas

3923

Article: Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses

by Seong Yeon Chang and Pierre Perron

3910

Article: Oil Price and Economic Growth: A Long Story?

by María Dolores Gadea, Ana Gómez-Loscos and Antonio Montañés

3885

Article: Goodness-of-Fit Tests for Copulas of Multivariate Time Series

by Bruno Rémillard

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Most Cited & Viewed - Econometrics