The Econometrics Journal 2009

Vol. 12, n° 3/2009

  • FAN Jianquing, SMITH Richard J. - editorial, pp. Ci-Ciii
  • BARNDORFF-NIELSEN O. E., HANSEN P.Reinhard, LUNDE A., SHEPHARD N. - Realized kernels in practice: trades and quotes, pp. C1-C32
  • CHRISTENSEN Jens H. E., DIEBOLD Francis X., RUDEBUSCH Glenn D. - An arbitrage-free generalized Nelson-Siegel term structure model
    pp. C33-C64
  • SENTANA Enrique - The econometrics of mean-variance efficiency tests: a survey, pp. C65-C101

Articles

  • DAVEZIES Laurent, D'HAUTEFOEUILLE Xavier, FOUGÈRE Denis - Identification of peer effects using group size variation, pp. 397-413
  • DEMETRESCU Matei, LÜTKEPOL Helmut, SAIKKONEN Pentti - Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term, pp. 414-435

Notes

  • LIU Ji-Chun - Stationarity of a family of GARCH processes, pp. 436-446

(résumés du n° 3/2009)

Volume 12, n° 2/2009

  • LINTON Oliver, NIELSEN PERCH Jens, FEODOR NIELSEN Søren - Non-parametric regression with a latent time series, pp. 187-207
  • BRAVO Francesco - Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models, pp. 208-231
  • BAO Yong, ULLAH Aman - On skewness and kurtosis of econometric estimators, pp. 232-247
  • CIZEK P., HÄRDLE W., SPOKOINY V. - Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models, pp. 248-271
  • KRING Sebastian, RACHEV Svetlozar T., HÖCHSTÖTTER Markus, FABOZZI Frank J., BIANCHI Michele Leonardo - Multi-tail generalized elliptical distributions for asset returns, pp. 272-291
  • ASAI Manabu, MCALEER Michael - Multivariate stochastic volatility, leverage and news impact surfaces, pp. 292-309
  • GRIGOLETTO Matteo, LISI Francesco - Looking for skewness in financial time series, pp. 310-323
  • GU Yuanyuan, FIEBIG Denzil G., CRIPPS Edward, KOHN Robert - Bayesian estimation of a random effects heteroscedastic probit model, pp. 324-339
  • DE SILVA S., HADRI K., TREMAYNE A. R. - Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application, pp. 340-366

Notes

  • ENGLER Eric, NIELSEN Bent - The empirical process of autoregressive residuals, pp. 367-381
  • SPERLICH Stefan - A note on non-parametric estimation with predicted variables pp. 382-395

(résumés du n° 2/2009)

Volume 12, n° S1/2009

  • SMITH Richard J. - Editorial, pp. Si-Sv (texte)
  • BUGNI Federico A., HALL Peter, HOROWITZ Joel L., NEUMANN George R. - Goodness-of-fit tests for functional data, pp. S1-S18 (texte)
  • COUDIN Elise, DUFOUR Jean-Marie - Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form, pp. S19-S49 (texte)
  • CHEN Xiaohong, KOENKER Roger, XIAO Zhijie - Copula-based nonlinear quantile autoregression, pp. S50-S67 (texte)
  • ROBINSON P. M. - Large-sample inference on spatial dependence, pp. S68-S82 (texte)
  • CHENG Xu, PHILLIPS Peter C. B. - Semiparametric cointegrating rank selection, pp. S83-S104 (texte)
  • DELGADO Miguel A., HIDALGO Javier, VELASCO Carlos - Distribution-free specification tests for dynamic linear models, pp. S105-S134 (texte)
  • ANTOINE Bertille, RENAULT Eric - Efficient GMM with nearly-weak instruments, pp. S135-S171 (texte)
  • ANDREWS Donald W. K., HAN Sukjin - Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities, pp. S172-S199 (texte)
  • MANSKI Charles F., PEPPER John V. - More on monotone instrumental variables, pp. S200-S216 (texte)
  • NEWEY Whitney K. - Two-step series estimation of sample selection models, pp. S217-S229 (texte)
  • HECKMAN James J., TODD Petra E. - A note on adapting propensity score matching and selection models to choice based samples, pp. S230-S234 (texte)

(résumés du n° S1/2009)

Volume 12, n° 1/2009

  • HODERLEIN Stefan, MAMMEN Enno - Identification and estimation of local average derivatives in non-separable models without monotonicity, pp. 1-25 (texte)
  • POSKITT D. S., SKEELS C. L. - Assessing the magnitude of the concentration parameter in a simultaneous equations model, pp. 26-44 (texte)
  • LI Qiaoling, PAN Jiazhu - Determining the number of factors in a multivariate error correction-volatility factor model, pp. 45-61 (texte)
  • SARAFIDIS Vasilis, ROBERTSON Donald - On the impact of error cross-sectional dependence in short dynamic panel estimation, pp. 62-81 (texte)
  • WILHELMSSON Anders - Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model, pp. 82-104 (texte)
  • ARDIA David - Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations, pp. 105-126 (texte)
  • HAFNER Christian M. - Causality and forecasting in temporally aggregated multivariate GARCH processes, pp. 127-146 (texte)
  • NAKATANI Tomoaki, TERÄSVIRTA Timo - Testing for volatility interactions in the Constant Conditional Correlation GARCH model, pp. 147-163 (texte)
  • KAWAKATSU Hiroyuki, LARGEY Ann G. - EM algorithms for ordered probit models with endogenous regressors, pp. 164-186 (texte)

(résumés du n° 1/2009)

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