The sixth special issue on computational econometrics

Abstract

The journal Computational Statistics and Data Analysis has had five regular issues dedicated to computational econometrics (Belsley and Kontoghiorghes, 2003, Belsley and Kontoghiorghes, 2005, Belsley et al., 2007, Belsley et al., 2009, Belsley et al., 2010), and two further ones aimed more specifically at computational finance (Amendola et al., 2006, Amendola et al., 2008). This sixth special issue comprises 31 studies, spanning an impressive range of important topics in computational and financial econometrics, including, but not limited to, Bayesian techniques, spectral methods, wavelet procedures, panel data, forecasting methods, copula models, long-memory models, specification testing, asymptotic and nonlinear methods, VAR and GARCH models, bootstrap estimation, recursive techniques, and dynamic models and methods.

This is the last CSDA special issue on computational econometrics. From this year the CSDA will be publishing The Annals of Computational and Financial Econometrics (CFE). The Annals of CFE will be published as a supplement to the CSDA journal to serve as an outlet for distinguished research papers in computational econometrics and financial econometrics. Of particular interest are papers in important areas of econometric applications where both computational techniques and numerical methods have a major impact. The goal is to provide sources of information about the most recent developments in computational and financial econometrics that are currently scattered throughout publications in specialized areas.

Authors submitting a paper to CSDA may request that it be considered for inclusion in the Annals of CFE. The high standards of the Annals will make it a valuable resource for econometric research. Each issue will be edited by several Guest Editors and Associated Editors who will be responsible, together with the Annals of CFE Managing Editors and CSDA Co-editors, for the selection of the papers.