Econometrics and Statistics, July 2019

Green Table of Contents

Volume 11

Pages 1-158

Part A: Econometrics

A Bayesian analysis of linear regression models with highly collinear regressors

M. Hashem Pesaran, Ron P. Smith

Pages 1-21

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Modeling Euro STOXX 50 volatility with common and market-specific components

Fabrizio Cipollini, Giampiero M. Gallo

Pages 22-42

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Mixed interval realized variance: A robust estimator of stock price volatility

Maxwell Sutton, Andrey L. Vasnev, Richard Gerlach

Pages 43-62

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A two-stage estimator for heterogeneous panel models with common factors

Carolina Castagnetti, Eduardo Rossi, Lorenzo Trapani

Pages 63-82

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The factor analytical method for interactive effects dynamic panel models with moving average errors

Milda Norkutė, Joakim Westerlund

Pages 83-104

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Part B: Statistics

Parameter regimes in partial functional panel regression

Dominik Liebl, Fabian Walders

Pages 105-115

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Adaptive semiparametric M-quantile regression

Fabian Otto-Sobotka, Nicola Salvati, Maria Giovanna Ranalli, Thomas Kneib

Pages 116-129

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Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior

Lendie Follett, Cindy Yu

Pages 130-144

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Oracle inequalities for sign constrained generalized linear models

Yuta Koike, Yuta Tanoue

Pages 145-157

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