Modern Econometrics

Stanislav Anatolyev and Nikolay Gospodinov. Methods for Estimation and Inference in Modern Econometrics. CRC Press, 2011, 234 pages

GMM vs GEL

GMM, GEL, serial correlation, and asymptotic bias, Econometrica, 2005

Many instruments/regressors

Off-diagonal elements of projection matrices and dimension asymptotics (with Maksim Smirnov), Economics Letters, 2024

Testing many restrictions under heteroskedasticity (with Mikkel Sølvsten), Journal of Econometrics, 2023

Mallows criterion for heteroskedastic linear regressions with many regressors, Economics Letters, 2021

Many instruments and/or regressors: a friendly guide, Journal of Economic Surveys, 2019

Many instruments: implementation in Stata (with Alena Skolkova), Stata Journal, 2019

Almost unbiased variance estimation in linear regressions with many covariates, Economics Letters, 2018

Asymptotics of diagonal elements of projection matrices under many instruments/regressors (with Pavel Yaskov), Econometric Theory, 2017

Instrumental variables estimation and inference in the presence of many exogenous regressors, Econometrics Journal, 2013

Asymptotic variance under many instruments: numerical computations, Economics Letters, 2013

Inference in regression models with many regressors, Journal of Econometrics, 2012

Specification testing in models with many instruments (with Nikolay Gospodinov), Econometric Theory, 2011

Big factor models

Factor models with many assets: strong factors, weak factors, and the two-pass procedure (with Anna Mikusheva), Journal of Econometrics, 2022

Limit theorems for factor models (with Anna Mikusheva), Econometric Theory, 2021

Optimal instruments

Instrumental variables estimation of heteroskedastic linear models using all lags of instruments (with Kenneth West and Ka-fu Wong), Econometric Reviews, 2009

Method-of-moments estimation and choice of instruments: numerical computations, Economics Letters, 2008

Optimal instruments in time series: a survey, Journal of Economic Surveys, 2007

Redundancy of lagged regressors revisited, Econometric Theory (Notes and Problems), 2007

The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions, Econometric Theory, 2003

Redundancy of lagged regressors in a conditionally heteroskedastic time series regression, Econometric Theory (Problems and Solutions), 2003

Autoregression and redundant instruments, Econometric Theory (Problems and Solutions), 2002-2003

Decomposition model

Multivariate return decomposition: theory and implications (with Nikolay Gospodinov), Econometric Reviews, 2019

Foreign exchange predictability and the carry trade: a decomposition approach (with Nikolay Gospodinov, Ibrahim Jamali and Xiaochun Liu), Journal of Empirical Finance, 2017

Modeling financial return dynamics via decomposition (with Nikolay Gospodinov), Journal of Business & Economic Statistics, 2010

Time series dynamics and forecasting

Copula shrinkage and portfolio allocation in ultra-high dimensions (with Vladimir Pyrlik), Journal of Economic Dynamics and Control, 2022

Directional news impact curve, Journal of Forecasting, 2021

Forecasting dynamic return distributions based on ordered binary choice (with Jozef Baruník), International Journal of Forecasting, 2019

Estimating asymmetric dynamic distributions in high dimensions (with Renat Khabibullin and Artem Prokhorov), Asymmetric Dependence in Finance, 2018

Uncovering the skewness news impact curve (with Anton Petukhov), Journal of Financial Econometrics, 2016

An algorithm for constructing high dimensional distributions from distributions of lower dimension (with Renat Khabibullin and Artem Prokhorov), Economics Letters, 2014

Multi-market direction-of-change modeling using dependence ratios, Studies in Nonlinear Dynamics & Econometrics, 2009

Dynamic modeling under linear-exponential loss, Economic Modelling, 2009

A trading approach to testing for predictability (with Alexander Gerko), Journal of Business & Economic Statistics, 2005

Volatility

Unrestricted, restricted and regularized models for forecasting multivariate volatility (with Filip Staněk), Studies in Nonlinear Dynamics & Econometrics, 2023

MEM or/and LogARMA: which model for realized volatility? Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics, 2022

Volatility filtering in estimation of kurtosis (and variance), Dependence Modeling, 2019

Modeling and forecasting realized covariance matrices with accounting for leverage (with Nikita Kobotaev), Econometric Reviews, 2018

Right on target, or is it? The role of distributional shape in variance targeting (with Stanislav Khrapov), Econometrics, 2015

Missing mean does no harm to volatility! (with Irina Tarasyuk), Economics Letters, 2015

Structural stability

Sequential testing with uniformly distributed size (with Grigory Kosenok), Journal of Time Series Econometrics, 2018

Another numerical method of finding critical values for the Andrews stability test (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2011

Nonparametric retrospection and monitoring of predictability of financial returns, Journal of Business & Economic Statistics, 2009

Using all observations when forecasting under structural breaks (with Victor Kitov), Finnish Economic Papers, 2007

Nonparametrics and Bootstrap

Tests in contingency tables as regression tests (with Grigory Kosenok), Economics Letters, 2010

Robustness of residual-based bootstrap to composition of serially correlated errors, Journal of Statistical Computation and Simulation, 2009

Kernel estimation under linear-exponential loss, Economics Letters, 2006

Markov chain approximation in bootstrapping autoregressions (with Andrey Vasnev), Economics Bulletin, 2002

Nonparametric estimation of nonlinear rational expectations models, Economics Letters, 1999

Various econometric methods and phenomena

A ridge to homogeneity for linear models, Journal of Statistical Computation and Simulation, 2020

Testing for a functional form of mean regression in a fully parametric environment, Journal of Econometric Methods, 2019

An alternative to maximum likelihood based on spacings (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2005

Inference when a nuisance parameter is weakly identified under the null hypothesis, Economics Letters, 2004

Durbin-Watson statistic and random individual effects, Econometric Theory (Problems and Solutions), 2002-2003

Serial correlation and asymptotic variance, Econometric Theory (Problems and Solutions), 2001

Conditional and unconditional correlatedness and heteroskedasticity, Econometric Theory (Problems and Solutions), 2001-2002

Applied Econometrics

Do mistakes provoke new mistakes? Evidence from chess (with Akash Adhikari and Dmitry Dagaev), IEEE Transactions on Games, 2023

How does the financial market update beliefs about the real economy? Evidence from the oil market (with Sergei Seleznev and Veronika Selezneva), Journal of Applied Econometrics, 2021

A 10-year retrospective on the determinants of Russian stock returns, Research in International Business and Finance, 2008

Trade intensity in the Russian stock market: dynamics, distribution and determinants (with Dmitry Shakin), Applied Financial Economics, 2007

The term structure of Russian interest rates (with Sergey Korepanov), Applied Economics Letters, 2003

Articles in Russian

Basics of quasi- and pseudo-likelihood theories, Quantile, 2019

Do spatial structures yield better volatility forecasts? (with Stanislav Khrapov), Quantile, 2019

Objects of nonstructural time series modeling, Quantile, 2013

Asymptotics of near unit roots (with Nikolay Gospodinov), Quantile, 2012

Nonparametric regression, Quantile, 2009

Where to find data on the Web? (with Alexander Tsyplakov), Quantile, 2009

Review of English textbooks in time series analysis, Quantile, 2008

Making econometric reports, Quantile, 2008

The basics of bootstrapping, Quantile, 2007

Review of English textbooks in econometrics, Quantile, 2007

Optimal instruments, Quantile, 2007

Testing for pedictability, Quantile, 2006

Асимптотические приближения в современной эконометрике, Экономика и математические методы, 2005