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Publisher: Cambridge University Press   (Total: 374 journals)

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Showing 1 - 200 of 374 Journals sorted alphabetically
Acta Neuropsychiatrica     Hybrid Journal   (Followers: 6, SJR: 0.733, CiteScore: 2)
Acta Numerica     Hybrid Journal   (Followers: 5, SJR: 6.709, CiteScore: 10)
Advances in Animal Biosciences     Full-text available via subscription   (Followers: 12)
Advances in Applied Mathematics and Mechanics     Full-text available via subscription   (Followers: 2, SJR: 0.441, CiteScore: 1)
Aeronautical J., The     Hybrid Journal   (Followers: 6)
Africa     Hybrid Journal   (Followers: 20, SJR: 0.582, CiteScore: 1)
African Studies Review     Full-text available via subscription   (Followers: 20, SJR: 0.437, CiteScore: 1)
Ageing & Society     Hybrid Journal   (Followers: 43, SJR: 0.756, CiteScore: 2)
Agricultural and Resource Economics Review     Open Access   (Followers: 6, SJR: 0.414, CiteScore: 1)
AI EDAM     Hybrid Journal   (Followers: 2, SJR: 0.375, CiteScore: 1)
AJS Review     Full-text available via subscription   (Followers: 4, SJR: 0.128, CiteScore: 0)
American Political Science Review     Hybrid Journal   (Followers: 309, SJR: 5.587, CiteScore: 4)
Anatolian Studies     Full-text available via subscription   (Followers: 5, SJR: 0.528, CiteScore: 1)
Ancient Mesoamerica     Hybrid Journal   (Followers: 11, SJR: 0.478, CiteScore: 1)
Anglo-Saxon England     Hybrid Journal   (Followers: 35, SJR: 0.1, CiteScore: 0)
animal     Hybrid Journal   (Followers: 3, SJR: 0.842, CiteScore: 2)
Animal Health Research Reviews     Hybrid Journal   (Followers: 3, SJR: 0.69, CiteScore: 2)
Animal Science     Full-text available via subscription   (Followers: 10)
Annals of Actuarial Science     Full-text available via subscription   (Followers: 1)
Annual of the British School at Athens     Full-text available via subscription   (Followers: 15, SJR: 0.177, CiteScore: 0)
Annual Review of Applied Linguistics     Hybrid Journal   (Followers: 43, SJR: 3.223, CiteScore: 4)
Antarctic Science     Hybrid Journal   (Followers: 1, SJR: 0.643, CiteScore: 1)
Antichthon     Full-text available via subscription   (Followers: 3, SJR: 0.101, CiteScore: 0)
Antiquaries J., The     Full-text available via subscription   (Followers: 11, SJR: 0.106, CiteScore: 0)
Antiquity     Hybrid Journal   (Followers: 31)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.216, CiteScore: 0)
Applied Psycholinguistics     Hybrid Journal   (Followers: 24, SJR: 0.945, CiteScore: 2)
APSIPA Transactions on Signal and Information Processing     Open Access   (Followers: 9, SJR: 0.404, CiteScore: 2)
Arabic Sciences and Philosophy     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Arbor Clinical Nutrition Updates     Full-text available via subscription   (Followers: 4)
Archaeological Dialogues     Hybrid Journal   (Followers: 38, SJR: 0.898, CiteScore: 1)
Archaeological Reports     Full-text available via subscription   (Followers: 5, SJR: 0.128, CiteScore: 0)
arq: Architectural Research Quarterly     Hybrid Journal   (Followers: 7, SJR: 0.123, CiteScore: 0)
Asian J. of Comparative Law     Hybrid Journal   (Followers: 11, SJR: 0.129, CiteScore: 0)
Asian J. of Intl. Law     Hybrid Journal   (Followers: 19, SJR: 0.135, CiteScore: 0)
Asian J. of Law and Society     Hybrid Journal   (Followers: 7, SJR: 0.195, CiteScore: 0)
Astin Bulletin     Full-text available via subscription   (Followers: 1, SJR: 0.878, CiteScore: 1)
Australasian J. of Organisational Psychology     Hybrid Journal   (Followers: 9, SJR: 0.154, CiteScore: 1)
Australian J. of Environmental Education     Full-text available via subscription   (Followers: 9, SJR: 0.403, CiteScore: 1)
Australian J. of Indigenous Education, The     Full-text available via subscription   (Followers: 10, SJR: 0.26, CiteScore: 1)
Australian J. of Rehabilitation Counseling     Full-text available via subscription   (Followers: 6, SJR: 0.144, CiteScore: 0)
Austrian History Yearbook     Full-text available via subscription   (Followers: 11, SJR: 0.161, CiteScore: 0)
Behavioral and Brain Sciences     Hybrid Journal   (Followers: 38, SJR: 0.595, CiteScore: 1)
Behaviour Change     Full-text available via subscription   (Followers: 13, SJR: 0.508, CiteScore: 1)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 180, SJR: 0.976, CiteScore: 2)
Bilingualism: Language and Cognition     Hybrid Journal   (Followers: 42, SJR: 1.446, CiteScore: 2)
Biofilms     Full-text available via subscription   (Followers: 1)
Bird Conservation Intl.     Hybrid Journal   (Followers: 26, SJR: 0.581, CiteScore: 1)
BJPsych Advances     Full-text available via subscription   (Followers: 57, SJR: 0.275, CiteScore: 0)
BJPsych Intl.     Open Access   (Followers: 2)
BJPsych Open     Open Access   (Followers: 3)
Brain Impairment     Full-text available via subscription   (Followers: 2, SJR: 0.321, CiteScore: 1)
Breast Cancer Online     Full-text available via subscription   (Followers: 4)
Britannia     Full-text available via subscription   (Followers: 10, SJR: 0.111, CiteScore: 0)
British Actuarial J.     Full-text available via subscription  
British Catholic History     Hybrid Journal   (Followers: 1, SJR: 0.133, CiteScore: 1)
British J. for the History of Science     Hybrid Journal   (Followers: 24, SJR: 0.235, CiteScore: 0)
British J. of Anaesthetic and Recovery Nursing     Full-text available via subscription   (Followers: 8)
British J. of Music Education     Hybrid Journal   (Followers: 24, SJR: 0.564, CiteScore: 1)
British J. Of Nutrition     Hybrid Journal   (Followers: 86, SJR: 1.612, CiteScore: 4)
British J. of Political Science     Hybrid Journal   (Followers: 211, SJR: 4.661, CiteScore: 4)
British J. of Psychiatry     Hybrid Journal   (Followers: 223, SJR: 2.844, CiteScore: 3)
Bulletin of Entomological Research     Hybrid Journal   (Followers: 13, SJR: 0.805, CiteScore: 2)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2, SJR: 0.555, CiteScore: 1)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 1, SJR: 0.44, CiteScore: 0)
Bulletin of the School of Oriental and African Studies     Hybrid Journal   (Followers: 21, SJR: 0.146, CiteScore: 0)
Business and Human Rights J.     Full-text available via subscription   (Followers: 4, SJR: 0.536, CiteScore: 1)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 14, SJR: 1.098, CiteScore: 2)
Business History Review     Hybrid Journal   (Followers: 16, SJR: 0.347, CiteScore: 1)
Cambridge Archaeological J.     Hybrid Journal   (Followers: 149, SJR: 1.121, CiteScore: 1)
Cambridge Classical J.     Full-text available via subscription   (Followers: 21, SJR: 0.101, CiteScore: 0)
Cambridge J. of Postcolonial Literary Inquiry     Hybrid Journal   (Followers: 7)
Cambridge Law J.     Hybrid Journal   (Followers: 199, SJR: 0.213, CiteScore: 0)
Cambridge Opera J.     Hybrid Journal   (Followers: 4, SJR: 0.14, CiteScore: 0)
Cambridge Quarterly of Healthcare Ethics     Hybrid Journal   (Followers: 11, SJR: 0.299, CiteScore: 1)
Camden Fifth Series     Full-text available via subscription   (Followers: 3)
Canadian Entomologist     Hybrid Journal   (Followers: 5, SJR: 0.482, CiteScore: 1)
Canadian J. of Emergency Medicine     Hybrid Journal   (Followers: 13, SJR: 0.624, CiteScore: 1)
Canadian J. of Law & Jurisprudence     Full-text available via subscription   (Followers: 11, SJR: 0.237, CiteScore: 0)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 20, SJR: 0.259, CiteScore: 1)
Canadian J. of Neurological Sciences     Full-text available via subscription   (SJR: 0.549, CiteScore: 1)
Canadian J. of Political Science/Revue canadienne de science politique     Full-text available via subscription   (Followers: 25, SJR: 0.385, CiteScore: 1)
Canadian J. on Aging     Hybrid Journal   (Followers: 12, SJR: 0.426, CiteScore: 1)
Canadian Yearbook of Intl. Law / Annuaire canadien de droit international     Full-text available via subscription   (Followers: 3)
Cardiology in the Young     Hybrid Journal   (Followers: 34, SJR: 0.372, CiteScore: 1)
Central European History     Full-text available via subscription   (Followers: 32, SJR: 0.159, CiteScore: 0)
Children Australia     Partially Free   (Followers: 2, SJR: 0.255, CiteScore: 0)
China Quarterly     Hybrid Journal   (Followers: 54, SJR: 2.289, CiteScore: 3)
Chinese J. of Agricultural Biotechnology     Full-text available via subscription   (Followers: 4)
Church History: Studies in Christianity and Culture     Full-text available via subscription   (Followers: 75, SJR: 0.106, CiteScore: 0)
Classical Quarterly     Full-text available via subscription   (Followers: 34, SJR: 0.204, CiteScore: 0)
Classical Review     Full-text available via subscription   (Followers: 27)
CNS Spectrums     Hybrid Journal   (Followers: 3, SJR: 1.391, CiteScore: 3)
Cognitive Behaviour Therapist     Hybrid Journal   (Followers: 14)
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4, SJR: 0.839, CiteScore: 1)
Communications in Computational Physics     Full-text available via subscription   (Followers: 3, SJR: 1.048, CiteScore: 2)
Comparative Studies in Society and History     Full-text available via subscription   (Followers: 49, SJR: 0.585, CiteScore: 1)
Compositio Mathematica     Full-text available via subscription   (SJR: 3.139, CiteScore: 1)
Contemporary European History     Hybrid Journal   (Followers: 29, SJR: 0.263, CiteScore: 1)
Continuity and Change     Hybrid Journal   (Followers: 12, SJR: 0.107, CiteScore: 0)
Dance Research J.     Full-text available via subscription   (Followers: 13, SJR: 0.211, CiteScore: 0)
Development and Psychopathology     Hybrid Journal   (Followers: 9, SJR: 2.068, CiteScore: 4)
Dialogue Canadian Philosophical Review/Revue canadienne de philosophie     Full-text available via subscription   (Followers: 4, SJR: 0.156, CiteScore: 0)
Diamond Light Source Proceedings     Full-text available via subscription   (Followers: 1)
Disaster Medicine and Public Health Preparedness     Hybrid Journal   (Followers: 13, SJR: 0.471, CiteScore: 1)
Du Bois Review: Social Science Research on Race     Full-text available via subscription   (Followers: 9, SJR: 0.561, CiteScore: 1)
Early China     Hybrid Journal   (Followers: 3)
Early Music History     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Earth and Environmental Science Transactions of the Royal Society of Edinburgh     Hybrid Journal   (Followers: 5)
East Asian J. on Applied Mathematics     Full-text available via subscription   (SJR: 0.418, CiteScore: 1)
Ecclesiastical Law J.     Full-text available via subscription   (Followers: 6, SJR: 0.114, CiteScore: 0)
Econometric Theory     Hybrid Journal   (Followers: 17, SJR: 2.915, CiteScore: 1)
Economics and Philosophy     Hybrid Journal   (Followers: 15, SJR: 0.622, CiteScore: 1)
Edinburgh J. of Botany     Hybrid Journal   (SJR: 0.283, CiteScore: 1)
Eighteenth-Century Music     Hybrid Journal   (Followers: 13, SJR: 0.113, CiteScore: 0)
English Language and Linguistics     Hybrid Journal   (Followers: 24, SJR: 0.52, CiteScore: 1)
English Profile J.     Hybrid Journal   (Followers: 2)
English Today     Hybrid Journal   (Followers: 13, SJR: 0.279, CiteScore: 0)
Enterprise & Society : The Intl. J. of Business History     Hybrid Journal   (Followers: 18, SJR: 0.245, CiteScore: 1)
Environment and Development Economics     Hybrid Journal   (Followers: 38, SJR: 0.617, CiteScore: 1)
Environmental Conservation     Hybrid Journal   (Followers: 61, SJR: 1.028, CiteScore: 2)
Environmental Practice     Full-text available via subscription   (Followers: 3, SJR: 0.145, CiteScore: 0)
Epidemiology & Infection     Hybrid Journal   (Followers: 17, SJR: 1.128, CiteScore: 2)
Epidemiology and Psychiatric Sciences     Hybrid Journal   (Followers: 3, SJR: 1.494, CiteScore: 2)
Episteme     Hybrid Journal   (Followers: 12, SJR: 0.756, CiteScore: 1)
Equine and Comparative Exercise Physiology     Full-text available via subscription   (Followers: 8)
Ergodic Theory and Dynamical Systems     Hybrid Journal   (Followers: 2, SJR: 1.193, CiteScore: 1)
Ethics & Intl. Affairs     Full-text available via subscription   (Followers: 15, SJR: 0.557, CiteScore: 1)
European Constitutional Law Review (EuConst)     Full-text available via subscription   (Followers: 35, SJR: 1.009, CiteScore: 1)
European J. of Applied Mathematics     Hybrid Journal   (SJR: 0.52, CiteScore: 1)
European J. of Sociology     Hybrid Journal   (Followers: 36, SJR: 0.643, CiteScore: 1)
European Political Science Review     Hybrid Journal   (Followers: 27, SJR: 1.816, CiteScore: 2)
European Review     Hybrid Journal   (Followers: 18, SJR: 0.131, CiteScore: 0)
Experimental Agriculture     Hybrid Journal   (Followers: 14, SJR: 0.542, CiteScore: 1)
Expert Reviews in Molecular Medicine     Hybrid Journal   (Followers: 1, SJR: 1.647, CiteScore: 4)
Fetal and Maternal Medicine Review     Hybrid Journal   (Followers: 5)
Financial History Review     Full-text available via subscription   (Followers: 15, SJR: 0.238, CiteScore: 1)
Foreign Policy Bulletin     Hybrid Journal   (Followers: 6)
Forum of Mathematics, Pi     Open Access   (Followers: 1)
Forum of Mathematics, Sigma     Open Access   (Followers: 1)
Genetics Research     Hybrid Journal   (Followers: 4, SJR: 0.483, CiteScore: 1)
Geological Magazine     Hybrid Journal   (Followers: 16, SJR: 0.966, CiteScore: 2)
Glasgow Mathematical J.     Full-text available via subscription   (SJR: 0.604, CiteScore: 0)
Global Constitutionalism     Hybrid Journal   (Followers: 17)
Global Mental Health     Open Access   (Followers: 8)
Global Sustainability     Open Access  
Government and Opposition     Full-text available via subscription   (Followers: 23, SJR: 0.965, CiteScore: 2)
Greece & Rome     Partially Free   (Followers: 26, SJR: 0.113, CiteScore: 0)
Hague J. on the Rule of Law     Full-text available via subscription   (Followers: 15, SJR: 0.271, CiteScore: 1)
Harvard Theological Review     Full-text available via subscription   (Followers: 78, SJR: 0.165, CiteScore: 0)
Health Economics, Policy and Law     Hybrid Journal   (Followers: 28, SJR: 0.745, CiteScore: 1)
Hegel Bulletin     Full-text available via subscription   (Followers: 2)
High Power Laser Science and Engineering     Open Access   (Followers: 3, SJR: 0.901, CiteScore: 3)
Historical J.     Hybrid Journal   (Followers: 37, SJR: 0.247, CiteScore: 1)
History in Africa     Full-text available via subscription   (Followers: 9)
Horizons     Partially Free   (Followers: 1, SJR: 0.129, CiteScore: 0)
Industrial and Organizational Psychology     Hybrid Journal   (Followers: 26, SJR: 0.916, CiteScore: 1)
Infection Control and Hospital Epidemiology     Full-text available via subscription   (Followers: 41, SJR: 1.97, CiteScore: 3)
Intl. & Comparative Law Quarterly     Full-text available via subscription   (Followers: 234, SJR: 0.369, CiteScore: 1)
Intl. J. of Asian Studies     Hybrid Journal   (Followers: 13, SJR: 0.143, CiteScore: 0)
Intl. J. of Astrobiology     Hybrid Journal   (Followers: 3, SJR: 0.548, CiteScore: 1)
Intl. J. of Cultural Property     Full-text available via subscription   (Followers: 13, SJR: 0.253, CiteScore: 1)
Intl. J. of Disability Management Research     Full-text available via subscription   (Followers: 8, SJR: 0.105, CiteScore: 0)
Intl. J. of Law in Context     Hybrid Journal   (Followers: 17, SJR: 0.275, CiteScore: 1)
Intl. J. of Legal Information     Open Access   (Followers: 339)
Intl. J. of Microwave and Wireless Technologies     Hybrid Journal   (Followers: 8, SJR: 0.184, CiteScore: 1)
Intl. J. of Middle East Studies     Hybrid Journal   (Followers: 71, SJR: 0.434, CiteScore: 0)
Intl. J. of Technology Assessment in Health Care     Hybrid Journal   (Followers: 14, SJR: 0.714, CiteScore: 1)
Intl. J. of Tropical Insect Science     Hybrid Journal   (Followers: 1, SJR: 0.334, CiteScore: 1)
Intl. Labor and Working-Class History     Full-text available via subscription   (Followers: 14, SJR: 0.182, CiteScore: 0)
Intl. Organization     Full-text available via subscription   (Followers: 104, SJR: 8.527, CiteScore: 5)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 13, SJR: 1.048, CiteScore: 2)
Intl. Review of Social History     Full-text available via subscription   (Followers: 27, SJR: 0.315, CiteScore: 1)
Intl. Review of the Red Cross     Full-text available via subscription   (Followers: 13, SJR: 0.214, CiteScore: 0)
Intl. Theory: A J. of Intl. Politics, Law and Philosophy     Hybrid Journal   (Followers: 19, SJR: 2.293, CiteScore: 2)
Iraq     Full-text available via subscription   (Followers: 3)
Irish Historical Studies     Hybrid Journal   (Followers: 5, SJR: 0.103, CiteScore: 0)
Irish J. of Psychological Medicine     Hybrid Journal   (Followers: 2, SJR: 0.221, CiteScore: 0)
Israel Law Review     Hybrid Journal   (Followers: 2, SJR: 0.165, CiteScore: 0)
Itinerario     Full-text available via subscription   (Followers: 11, SJR: 0.158, CiteScore: 0)
J. of African History     Hybrid Journal   (Followers: 21, SJR: 0.348, CiteScore: 1)
J. of African Law     Full-text available via subscription   (Followers: 3, SJR: 0.113, CiteScore: 0)
J. of Agricultural and Applied Economics     Open Access   (Followers: 2, SJR: 0.263, CiteScore: 1)
J. of Agricultural Science     Full-text available via subscription   (Followers: 8, SJR: 0.563, CiteScore: 1)
J. of American Studies     Hybrid Journal   (Followers: 20, SJR: 0.164, CiteScore: 0)
J. of Anglican Studies     Hybrid Journal   (Followers: 6, SJR: 0.101, CiteScore: 0)
J. of Applied Animal Nutrition     Hybrid Journal   (Followers: 4)
J. of Asian Studies     Full-text available via subscription   (Followers: 41, SJR: 0.591, CiteScore: 1)
J. of Benefit-Cost Analysis     Hybrid Journal   (Followers: 4)
J. of Biosocial Science     Hybrid Journal   (Followers: 4, SJR: 0.48, CiteScore: 1)
J. of British Studies     Full-text available via subscription   (Followers: 32, SJR: 0.246, CiteScore: 0)
J. of Child Language     Hybrid Journal   (Followers: 21, SJR: 1.035, CiteScore: 2)
J. of Classics Teaching     Open Access  
J. of Clinical and Translational Science     Open Access  
J. of Dairy Research     Full-text available via subscription   (Followers: 8, SJR: 0.573, CiteScore: 1)
J. of Demographic Economics     Hybrid Journal   (Followers: 3, SJR: 1.227, CiteScore: 1)
J. of Developmental Origins of Health and Disease     Hybrid Journal   (Followers: 2, SJR: 0.843, CiteScore: 2)
J. of Diagnostic Radiography and Imaging     Hybrid Journal   (Followers: 4)
J. of East Asian Studies     Full-text available via subscription   (Followers: 14, SJR: 0.59, CiteScore: 1)
J. of Ecclesiastical History     Hybrid Journal   (Followers: 19, SJR: 0.138, CiteScore: 0)

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Similar Journals
Journal Cover
Econometric Theory
Journal Prestige (SJR): 2.915
Citation Impact (citeScore): 1
Number of Followers: 17  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0266-4666 - ISSN (Online) 1469-4360
Published by Cambridge University Press Homepage  [374 journals]
  • ECT volume 35 issue 4 Cover and Front matter
    • PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466619000173
      Issue No: Vol. 35, No. 4 (2019)
       
  • ECT volume 35 issue 4 Cover and Back matter
    • PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466619000185
      Issue No: Vol. 35, No. 4 (2019)
       
  • THE ET INTERVIEW: PROFESSOR HASHEM PESARAN
    • Authors: Allan Timmermann
      Pages: 685 - 728
      PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000336
      Issue No: Vol. 35, No. 4 (2019)
       
  • TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS
    • Authors: Denis Chetverikov
      Pages: 729 - 776
      Abstract: Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This article develops a general nonparametric framework for testing monotonicity of a regression function. Using this framework, a broad class of new tests is introduced, which gives an empirical researcher a lot of flexibility to incorporate ex ante information she might have. The article also develops new methods for simulating critical values, which are based on the combination of a bootstrap procedure and new selection algorithms. These methods yield tests that have correct asymptotic size and are asymptotically nonconservative. It is also shown how to obtain an adaptive and rate optimal test that has the best attainable rate of uniform consistency against models whose regression function has Lipschitz-continuous first-order derivatives and that automatically adapts to the unknown smoothness of the regression function. Simulations show that the power of the new tests in many cases significantly exceeds that of some prior tests, e.g., that of Ghosal, Sen, and Van der Vaart (2000).
      PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000282
      Issue No: Vol. 35, No. 4 (2019)
       
  • DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS
    • Authors: Guannan Liu; Wei Long, Xinyu Zhang, Qi Li
      Pages: 777 - 815
      Abstract: A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing copula families. Because different pairs of markets may exhibit quite different dependence structures in empirical studies, mixture copulas are useful in modeling the dependence in financial data. Therefore, rather than selecting a single copula based on certain criteria, we propose using a model averaging approach to estimate financial data dependence structures in a mixture copula framework. We select weights (for averaging) by a J-fold Cross-Validation procedure. We prove that the model averaging estimator is asymptotically optimal in the sense that it minimizes the squared estimation loss. Our simulation results show that the model averaging approach outperforms some competing methods when the working mixture model is misspecified. Using 12 years of data on daily returns from four developed economies’ stock indexes, we show that the model averaging approach more accurately estimates their dependence structures than some competing methods.
      PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000270
      Issue No: Vol. 35, No. 4 (2019)
       
  • INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
    • Authors: Xinyu Zhang; Chu-An Liu
      Pages: 816 - 841
      Abstract: This article considers the problem of inference for nested least squares averaging estimators. We study the asymptotic behavior of the Mallows model averaging estimator (MMA; Hansen, 2007) and the jackknife model averaging estimator (JMA; Hansen and Racine, 2012) under the standard asymptotics with fixed parameters setup. We find that both MMA and JMA estimators asymptotically assign zero weight to the under-fitted models, and MMA and JMA weights of just-fitted and over-fitted models are asymptotically random. Building on the asymptotic behavior of model weights, we derive the asymptotic distributions of MMA and JMA estimators and propose a simulation-based confidence interval for the least squares averaging estimator. Monte Carlo simulations show that the coverage probabilities of proposed confidence intervals achieve the nominal level.
      PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000269
      Issue No: Vol. 35, No. 4 (2019)
       
  • ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING
    • Authors: Ryan Greenaway-McGrevy
      Pages: 842 - 899
      Abstract: This article develops new model selection methods for forecasting panel data using a set of least squares (LS) vector autoregressions. Model selection is based on minimizing the estimated quadratic forecast risk among candidate models. We provide conditions under which the selection criterion is asymptotically efficient in the sense of Shibata (1980) as n (cross sections) and T (time series) approach infinity. Relative to extant selection criteria, this criterion places a heavier penalty on model dimensionality in order to account for the effects of parameterized forms of cross sectional heterogeneity (such as fixed effects) on forecast loss. We also extend the analysis to bias-corrected least squares, showing that significant reductions in forecast risk can be achieved.
      PubDate: 2019-08-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000294
      Issue No: Vol. 35, No. 4 (2019)
       
 
 
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