Boswijk, P

Francq, C

Hallin, M

Taylor, AMR

University of Essex Research Repository

Computational Statistics and Data Analysis xx (xxxx) xxx–xxxQ1Contents lists available at ScienceDirectComputational Statistics and Data Analysisjournal homepage: www.elsevier.com/locate/csdaEditorialSpecial issue on time series econometricsTime Series Analysis has become one of the most important and widely used branches of Econometrics. At the same 1time, econometrics has been a driving force behind much of the recent developments in time series methodology. The im- 2portant advances and developments in computational power over this period have helped spur this development, allowing 3fast evaluation of many complex and hitherto intractable statistical problems. The fields of application of time series econo- 4metrics methods lie predominantly in economics and finance, but also span a wide and diverse range of other fields from 5neurophysiology to astrophysics, covering such well known areas as the analysis of biological data, control systems, signal 6processing and communications and vibrations engineering. 7The aim of this special issue is to illustrate and showcase recent advances in computation and data-analytic methods 8relevant to time series econometrics. The special issue is organized within the framework of the Annals of Computational 9and Financial Econometrics. A team of guest editors, assisted by the editorial board of the journal, were responsible for the 10rigorous peer review process. For this particular special issue there were about sixty submissions from which nine have 11been selected by the Guest Editors, Annals of CFE Associate Editors and CSDA Editors. 12The topics covered in this special issue are a reflection of the diversity of the subject, from exact likelihood computation 13for time-dependent dynamic models to adaptive bandwidth selection for functional time series, adaptive lasso and the 14implementation of bootstrap methods. 15The Guest Editors, wish to thank all authors for their contributions, as well as the referees, and Annals of CFE Associate 16Editors and Editors for their support in this issue. 17Table of contents 18Abdelkamel Alj, Kristján Jónasson and Guy Mélard (2016). The Exact Gaussian Likelihood Estimation of Time-Dependent 19VARMA Models. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2014.07.006. 20Josu Arteche and Jesus Orbe (2016). A bootstrap approximation for the distribution of the Local Whittle estimator. 21Comput. Statist. Data Anal., doi: 10.1016/j.csda.2015.03.014. 22Michael P. Clements (2016). Real-Time FactorModel Forecasting and the Effects of Instability. Comput. Statist. Data Anal., 23doi: 10.1016/j.csda.2015.01.011. 24Lajos Horváth, Gregory Rice and Stephen Whipple (2016). Adaptive bandwidth selection in the long run covariance 25estimator of functional time series. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2014.06.008. 26Wei Lin, Gloria González-Rivera (2016). Interval-valued Time Series Models: Estimation based on Order Statistics 27Exploring the Agriculture Marketing Service Data. Comput. Statist. Data Anal. doi: 10.1016/j.csda.2015.07.008. 28J. Huston McCulloch (2016). Moment Ratio Estimation of Autoregressive/Unit Root Parameters and Autocorrelation- 29Consistent Standard Errors. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2015.07.003. 30Garry D.A. Phillips, Gareth Liu-Evans (2016). Approximating and reducing bias in 2SLS estimation of dynamic 31simultaneous equation models. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2015.11.011. 32Amit Shelef (2016). A Gini-based unit root test. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2014.08.012. 33Florian Ziel (2016). Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to 34AR-ARCH type processes. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2015.11.016. 35Q236Guest EditorsPeter Boswijk∗University of Amsterdam, The NetherlandsE-mail address: H.P.Boswijk@uva.nl.http://dx.doi.org/10.1016/j.csda.2016.02.0060167-9473/© 2016 Published by Elsevier B.V.2 Editorial / Computational Statistics and Data Analysis xx (xxxx) xxx–xxxChristian FrancqCREST and University Lille 3, FranceE-mail address: christian.francq@univ-lille3.fr.Marc HallinUniversite libre de Bruxelles, BelgiumE-mail address:mhallin@ulb.ac.be.Robert TaylorUniversity of Essex, UKE-mail address: robert.taylor@essex.ac.uk.Available online xxxx∗ Corresponding editor.

Editorial - Special issue on time series econometrics

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