TOC: J Econometrics
Introduction
Journal of Econometrics, 159(1)
 : : : TOC
: : journals |
Relevant ARCategory: |
The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study
–Cheti Nicoletti, Concetta Rondinelli [] []
Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
–Szabolcs Blazsek, Alvaro Escribano [] []
A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
–Arnold Zellner, Tomohiro Ando [] []
A consistent nonparametric test of affiliation in auction models
–Sung Jae Jun, Joris Pinkse, Yuanyuan Wan [] []
Efficient estimation of a multivariate multiplicative volatility model
–Christian M. Hafner, Oliver Linton [] []
Realised quantile-based estimation of the integrated variance
–Kim Christensen, Roel Oomen, Mark Podolskij [] []
GMM estimation of social interaction models with centrality
–Xiaodong Liu, Lung-fei Lee [] []
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
–Kim Christensen, Silja Kinnebrock, Mark Podolskij [] []
A flexible approach to parametric inference in nonlinear and time varying time series models
–Gary Koop, Simon Potter [] []
Inconsistency of the MLE and inference based on weighted LS for LARCH models
–Christian Francq, Jean-Michel Zakoïan [] []
No-arbitrage macroeconomic determinants of the yield curve
–Ruslan Bikbov, Mikhail Chernov [] []
Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
–Yong Zhou, Alan T.K. Wan, Shangyu Xie, Xiaojing Wang [] []
The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results
–Kazuhiko Hayakawa [] []
Specification tests of parametric dynamic conditional quantiles
–Juan Carlos Escanciano, Carlos Velasco [] []
Root-NN-consistent estimation of fixed-effect panel data transformation models with censoring
–Songnian Chen [] []
Quasi-maximum likelihood estimation of volatility with high frequency data
–Dacheng Xiu [] []