Second special issue on computational econometrics

DOI10.1016/j.csda.2004.05.013zbMath1429.00026OpenAlexW1969668756MaRDI QIDQ957202

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Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.013

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Collections of articles of miscellaneous specific interest (00B15)

Related Items (4)

Editorial: The sixth special issue on computational econometrics ⋮ The fifth special issue on computational econometrics ⋮ Editorial: The fourth special issue on computational econometrics ⋮ The third special issue on computational econometrics

Cites Work

• Improved frequency selective filters
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• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• An algorithm for computing estimators that optimize step functions
• An algorithm to estimate time-varying parameter SURE models under different types of restriction
• Independent multiresolution component analysis and matching pursuit
• The MCMC and SML estimation of a self-selection model with two outcomes
• An illustration of Cox's non-nested testing procedure for logit and probit models
• Likelihood-based inference for asymmetric stochastic volatility models
• Forecasting the US unemployment rate
• On the performance of nonparametric specification tests in regression models
• Inference for negativist theory using numerically computed rejection regions
• Space-varying regression models: specifications and simulation
• A comparative study of algorithms for solving seemingly unrelated regressions models
• Recursive estimation in econometrics
• BLUP in the nested panel regression model with serially correlated errors
• Testing and dating of structural changes in practice
• Applications of optimization heuristics to estimation and modelling problems
• An option pricing formula for the GARCH diffusion model
• Optimal aggregation of linear time series models
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Estimating confidence regions over bounded domains
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Computing estimates of continuous time macroeconometric models on the basis of discrete data
• Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
• Exact tests of the stability of the Phillips curve: the Canadian case
• Computational algorithms for double bootstrap confidence intervals
• New algorithms for dating the business cycle
• Third-order inference for the Weibull distribution
• Simulation-based Bayesian estimation of an affine term structure model
• A comparison of semiparametric estimators for the ordered response model
• How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US
• An adaptive algorithm for least squares piecewise monotonic data fitting
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Editorial

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