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Econometric Reviews is a peer-reviewed journal published by Taylor & Francis, covering Monetary Policy and Economic Impact, Economic Theory and Policy, Global Financial Crisis and Policies. Over its lifetime it has published 6,973 papers, which have received 85,264 citations.
| Publisher | Taylor & Francis |
|---|---|
| Reference style | Author–year (APA) Author–year — (Smith, 2023) in the text Smith, A., Jones, B., & Lee, C. (2023). A representative article title. Econometric Reviews, 12(3), 45–58.
Formats any DOI in Econometric Reviews style. No sign-up. |
| Publishes research in | Monetary Policy and Economic Impact Economic Theory and Policy Global Financial Crisis and Policies Banking stability, regulation, efficiency Financial Risk and Volatility Modeling |
| ISSN | 0747-4938 |
| Citation impact (2-yr) | 1.02 |
| h-index | 113 |
| i10-index | 1,188 |
| Top institutions publishing here | Monash University |
| Journal website | www.tandfonline.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
This paper presents a test of independence that can be applied to the estimated residuals of any time series model that can be transformed into a model driven by independent and identically distributed errors. The first order asymptotic distribution of the test statistic is independent of estimation error provided that the parameters of the model…
We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test statistics in dynamic models that jointly parameterize conditional means and conditional covariances, when a normal log-likelihood os maximized but the assumption of normality is violated. Because the score of the normal log-likelihood has the martingale difference property when the forst two conditional…
This article considers testing the hypothesis that errors in a panel data model are weakly cross-sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios, and Pesaran (2012). It is shown that the implicit null of the cross-sectional dependence (CD) test depends on the relative expansion rates of N and T…
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH) formulations. The discussion will be motivated by a simple asset pricing theory which is particularly appropriate for examining futures contracts with risk averse agents. A new class of models defined to be…
This paper considers the estimation of Cobb-Douglas production functions using panel data covering a large sample of companies observed for a small number of time periods. GMM estimatorshave been found to produce large finite-sample biases when using the standard first-differenced estimator. These biases can be dramatically reduced by exploiting reasonable stationarity restrictions on the initial…
