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Econometric Reviews, Volume 28 Issue 1 - 3 2009

2008 Impact Factor now 1.220 up from 0.771 in 2007!
ISSN: 1532-4168 (electronic) 0747-4938 (paper)
Publication Frequency: 6 issues per year
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Editorials
Editorial: Special Issue on Statistical Inference on Time Series Stochastic and Deterministic Dynamics
Estela Bee Dagum; Silvano Bordignon
Pages 1 – 3
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Original Articles
Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
Richard Ashley; Randal J. Verbrugge
Pages 4 – 20
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Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics
Anthony C. Atkinson
Pages 21 – 39
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A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
Estela Bee Dagum; Alessandra Luati
Pages 40 – 59
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Periodic Long-Memory GARCH Models
Silvano Bordignon;  Massimiliano Caporin; Francesco Lisi
Pages 60 – 82
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Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
Yongjae Kwon;  Hamparsum Bozdogan; Halima Bensmail
Pages 83 – 101
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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
Giovanni De Luca; Giampiero M. Gallo
Pages 102 – 120
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Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Søren Johansen
Pages 121 – 145
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Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
Fabrizio Laurini; Jonathan A. Tawn
Pages 146 – 169
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Pairwise Likelihood Inference for General State Space Models
Cristiano Varin; Paolo Vidoni
Pages 170 – 185
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On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
Tommaso Proietti
Pages 186 – 208
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Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
Matteo Grigoletto; Corrado Provasi
Pages 209 – 224
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Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
Changli He;  Timo Teräsvirta; Andrés González
Pages 225 – 245
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A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
Esfandiar Maasoumi; Jeffrey S. Racine
Pages 246 – 261
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Robust Transformations in Univariate and Multivariate Time Series
Marco Riani
Pages 262 – 278
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A New Bispectral Test for NonLinear Serial Dependence
Elena Rusticelli;  Richard A. Ashley;  Estela Bee Dagum; Douglas M. Patterson
Pages 279 – 293
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