Econometrics Concept

subject area of

• 'New and improved' direct marketing: A non-parametric approach  Books
• A Dependence Metric for Possibly Nonlinear Processes  Journal Articles
• A Partially Linear Kernel Estimator for Categorical Data  Journal Articles
• A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes  Journal Articles
• A Robust Generalization of the Rao Test  Journal Articles
• A SMOOTH NONPARAMETRIC CONDITIONAL DENSITY TEST FOR CATEGORICAL RESPONSES  Journal Articles
• A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test  Journal Articles
• A consistent model specification test with mixed discrete and continuous data  Journal Articles
• A multivariate GARCH–jump mixture model  Journal Articles
• A new BISARMA time series model for forecasting mortality using weather and particulate matter data  Journal Articles
• A new structural break model, with an application to Canadian inflation forecasting  Scholarly Editions
• A nonparametric test for equality of distributions with mixed categorical and continuous data  Journal Articles
• A solution to aggregation and an application to multidimensional ‘well-being’ frontiers  Journal Articles
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses  Journal Articles
• Advances in Econometrics  Journal
• Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns  Journal Articles
• Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns  Journal Articles
• Agglomeration as Local Instability of Spatially Uniform Steady-States  Journal Articles
• An efficient Bayesian approach to multiple structural change in multivariate time series  Scholarly Editions
• An efficient Bayesian approach to multiple structural change in multivariate time series  Journal Articles
• An infinite hidden Markov model with stochastic volatility  Journal Articles
• Are There Structural Breaks in Realized Volatility?  Scholarly Editions
• Are There Structural Breaks in Realized Volatility?  Journal Articles
• Bayesian Nonparametric Estimation ofEx PostVariance  Scholarly Editions
• Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models  Scholarly Editions
• Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models  Journal Articles
• Bayesian forecasting in economics and finance: A modern review  Journal Articles
• Bayesian parametric and semiparametric factor models for large realized covariance matrices  Scholarly Editions
• Bayesian semiparametric modeling of realized covariance matrices  Journal Articles
• Bayesian semiparametric multivariate GARCH modeling  Scholarly Editions
• Bayesian semiparametric stochastic volatility modeling  Scholarly Editions
• Bootstrap Model Averaging Unit Root Inference  Chapters
• Bootstrap inference on a factor model based average treatment effects estimator  Journal Articles
• Bootstrap prediction intervals for single period regression forecasts  Journal Articles
• Bootstrapping the process of model selection: AN econometric example  Journal Articles
• COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS  Journal Articles
• Can GARCH Models Capture Long-Range Dependence?  Journal Articles
• Categorical semiparametric varying‐coefficient models  Journal Articles
• Collective Decision-Making and Heterogeneity in Tastes  Journal Articles
• Comments on goodness-of-fitmeasures in binary choice models by frank windmeijer  Journal Articles
• Comments on “bootstrapping time series models”  Journal Articles
• Complete subset averaging with many instruments  Journal Articles
• Components of Bull and Bear Markets: Bull Corrections and Bear Rallies  Scholarly Editions
• Components of Bull and Bear Markets: Bull Corrections and Bear Rallies  Journal Articles
• Components of Market Risk and Return  Journal Articles
• Conditional Jump Dynamics in Stock Market Returns  Journal Articles
• Consistent Significance Testing for Nonparametric Regression  Journal Articles
• Consistent Significance Testing for Nonparametric Regression  Journal Articles
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation  Journal Articles
• Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions  Journal Articles
• Crowdsourcing the vote: new horizons in citizen forecasting  Journal Articles
• Difference‐in‐differences when the treatment status is observed in only one period  Journal Articles
• Do high-frequency measures of volatility improve forecasts of return distributions?  Scholarly Editions
• Econometric Reviews  Journal
• Econometric Theory  Journal
• Econometrica  Journal
• Econometrics Journal  Journal
• Efficient Estimation of Average Treatment Effects with Mixed Categorical and Continuous Data  Journal Articles
• Entropy and predictability of stock market returns  Journal Articles
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture  Scholarly Editions
• Exact computation of maximum rank correlation estimator  Journal Articles
• FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES  Journal Articles
• Fast inference for quantile regression with tens of millions of observations  Journal Articles
• Forecasting realized volatility: a Bayesian model-averaging approach  Journal Articles
• Forecasting realized volatility: a Bayesian model‐averaging approach  Scholarly Editions
• Foreign-Exchange Rate Dynamics: An Empirical Study Using Maximum Entropy Spectral Analysis  Journal Articles
• Foreign-Exchange Rate Dynamics: An Empirical Study Using Maximum Entropy Spectral Analysis  Journal Articles
• Formulating Wald Tests of Nonlinear Restrictions  Journal Articles
• Formulating wald tests of the restrictions implied by the rational expectations hypothesis  Journal Articles
• Gaim 1.1: A review  Journal Articles
• Growth and convergence: A profile of distribution dynamics and mobility  Journal Articles
• Heteroscedastic Transformation Models With Covariate Dependent Censoring  Journal Articles
• How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?  Scholarly Editions
• How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?  Journal Articles
• Identification and forecasting of bull and bear markets using multivariate returns  Journal Articles
• Identification of time-varying counterfactual parameters in nonlinear panel models  Journal Articles
• Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares  Journal Articles
• Identifying Bull and Bear Markets in Stock Returns  Journal Articles
• Identifying Bull and Bear Markets in Stock Returns  Journal Articles
• Improving Markov switching models using realized variance  Journal Articles
• Improving Markov switching models using realized variance  Scholarly Editions
• Infinite Markov pooling of predictive distributions  Journal Articles
• Infinite order cross-validated local polynomial regression  Journal Articles
• Information measures of kernel estimation  Journal Articles
• International Journal of Forecasting  Journal
• Jackknife model averaging  Journal Articles
• Journal of Econometrics  Journal
• Journal of Financial Econometrics  Journal
• Journal of Forecasting  Journal
• Journal of Time Series Analysis  Journal
• Journal of applied econometrics  Journal
• Journal of business & economic statistics  Journal
• LOCAL RANK ESTIMATION OF TRANSFORMATION MODELS WITH FUNCTIONAL COEFFICIENTS  Journal Articles
• Learning, forecasting and structural breaks  Scholarly Editions
• Learning, forecasting and structural breaks  Journal Articles
• Length-bias Correction in Transformation Models with Supplementary Data  Journal Articles
• Local Polynomial Derivative Estimation: Analytic or Taylor?  Conferences
• Maxima: An open source computer algebra system  Journal Articles
• Mining semantic features in current reports for financial distress prediction: Empirical evidence from unlisted public firms in China  Journal Articles
• Modeling Realized Covariances and Returns  Scholarly Editions
• Modeling Realized Covariances and Returns  Journal Articles
• Modeling covariance breakdowns in multivariate GARCH  Scholarly Editions
• NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS  Journal Articles
• Neural network forecasting of quarterly accounting earnings  Journal Articles
• Nonparametric Dynamic Conditional Beta  Scholarly Editions
• Nonparametric Estimation of Conditional CDF and Quantile Functions With Mixed Categorical and Continuous Data  Journal Articles
• Nonparametric analysis of a duration model with stochastic unobserved heterogeneity  Journal Articles
• Nonparametric analysis of growth in replenishable resource stocks  Books
• Nonparametric and semiparametric methods in R  Journal Articles
• Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach  Journal Articles
• Nonparametric estimation of marginal effects in regression-spline random effects models  Journal Articles
• Nonparametric estimation of regression functions with both categorical and continuous data  Journal Articles
• Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics  Journal Articles
• Oil price shocks and economic growth: The volatility link  Scholarly Editions
• On estimating dynamic factor demands  Journal Articles
• On estimating the effects of peak demand pricing  Journal Articles
• On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables  Journal Articles
• On the role of covariates in the synthetic control method  Journal Articles
• Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions  Journal Articles
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions  Journal Articles
• Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value-at-Risk Forecasting  Journal Articles
• Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach  Journal Articles
• Predictor relevance and extramarital affairs  Journal Articles
• Public insurance and private savings: who is affected and by how much?  Journal Articles
• RStudio: A Platform‐Independent IDE for R and Sweave  Journal Articles
• Rank estimation of partially linear index models  Journal Articles
• Resampling a time‐series process: A method of estimating the probabilities associated with alternative plans for protecting pensions against inflation  Journal Articles
• SGMM: Stochastic Approximation to Generalized Method of Moments  Journal Articles
• SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA  Journal Articles
• Selecting Regressors for Prediction Using PRESS and White t Statistics  Journal Articles
• Selecting Regressors for Prediction Using PRESS and WhitetStatistics  Journal Articles
• Semiparametric estimation of the Box-Cox transformation model  Journal Articles
• Shazam 6.2: A review  Journal Articles
• Single-equation estimators and aggregation restrictions when equations have the same sets of regressors  Journal Articles
• Space, mortality, and economic growth  Journal Articles
• Sparse HP filter: Finding kinks in the COVID-19 contact rate  Journal Articles
• Spline Regression in the Presence of Categorical Predictors  Journal Articles
• Studies in Nonlinear Dynamics and Econometrics  Journal
• Testing for a Global Maximum in an Econometric Context  Journal Articles
• Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models  Journal Articles
• The Cygwin tools: a GNU toolkit for Windows  Journal Articles
• The Interactive and Causal Relationships Involving Precious Metal Price Movements An Analysis of the Gold and Silver Markets  Journal Articles
• The Interactive and Causal Relationships Involving Precious Metal Price Movements: An Analysis of the Gold and Silver Markets  Journal Articles
• The Principle of Minimum Differentiation Holds under Sufficient Heterogeneity  Journal Articles
• The Probability Distribution of Future Demand  Journal Articles
• The Probability Distribution of Future Demand: The Case of Hydro Quebec  Journal Articles
• The demand for gasoline: a two stage approach  Journal Articles
• The dynamics of health in the British Household Panel Survey  Journal Articles
• The small sample bias of Durbin's tests for serial correlation  Journal Articles
• The smooth colonel and the reverend find common ground  Journal Articles
• Time-varying unobserved heterogeneity in earnings shocks  Journal Articles
• Towards reproducible econometric research: the Sweave framework  Journal Articles
• Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach  Journal Articles
• Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations  Journal Articles
• Using R to teach econometrics  Journal Articles
• gnuplot 4.0: a portable interactive plotting utility  Journal Articles