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Journal of Econometrics

Short Title: J. Econom.
Publisher: Elsevier (North-Holland), Amsterdam
ISSN: 0304-4076
Online: https://www.sciencedirect.com/journal/journal-of-econometrics/issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 4,827 Publications (since 1973)
References Indexed: 4,742 Publications with 169,384 References.
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...and 337 more Volumes
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Authors

76 Phillips, Peter Charles Bonest
50 Linton, Oliver Bruce
47 Lee, Lung-Fei
38 Pesaran, M. Hashem
38 Schmidt, Peter
34 Li, Qi
34 Taylor, A. M. Robert
33 Su, Liangjun
32 Robinson, Peter Michael
31 Gourieroux, Christian
30 Bollerslev, Tim
29 Ghysels, Eric
28 Gallant, A. Ronald
28 Hsiao, Cheng
27 Gao, Jiti
27 White, Halbert Lynn jun.
26 Aït-Sahalia, Yacine
26 Baltagi, Badi H.
26 Dufour, Jean-Marie
26 Granger, Clive William John
26 Park, Joon Y.
26 Renault, Eric
25 Chen, Songnian
25 Koop, Gary
24 Bai, Jushan
24 Zellner, Arnold
23 Chen, Xiaohong
23 Yu, Jun
22 McAleer, Michael
22 Swanson, Norman Rasmus
22 Tauchen, George E.
22 van Dijk, Herman K.
21 Timmermann, Allan G.
21 Todorov, Viktor
20 Corradi, Valentina
20 Diebold, Francis Xavier
20 Inoue, Atsushi
20 Koopman, Siem Jan
20 Lewbel, Arthur
20 Monfort, Alain
20 Newey, Whitney Kent
20 Perron, Pierre
20 Xiao, Zhijie
19 Andrews, Donald Wilfrid Kao
19 Chib, Siddhartha
19 Hendry, David F.
19 Hong, Yongmiao
19 Horowitz, Joel Lawrence
18 Fan, Yanqin
18 Hausman, Jerry Allen
18 Hu, Yingyao
18 Ng, Serena
17 Andersen, Torben G.
17 Geweke, John F.
17 Powell, James L.
17 Sasaki, Yuya
17 Sentana, Enrique
16 Cai, Zongwu
16 Fan, Jianqing
16 Hallin, Marc
16 Heckman, James Joseph
16 Hidalgo, Javier
16 Judge, George G.
16 Leybourne, Stephen J.
16 Maasoumi, Esfandiar
16 Manski, Charles F.
16 Steel, Mark F. J.
16 Sun, Yixiao
16 Whang, Yoon-Jae
15 Barnett, William Arnold
15 Francq, Christian
15 Hall, Alastair R.
15 Hong, Han
15 King, Maxwell Leslie
15 Li, Tong
15 Lütkepohl, Helmut
15 Magnus, Jan R.
15 Mykland, Per Aslak
15 Patton, Andrew J.
15 Simar, Léopold
15 Wooldridge, Jeffrey M.
14 Boswijk, H. Peter
14 Chernozhukov, Victor
14 Engle, Robert Fry
14 Florens, Jean-Pierre
14 Johansen, Søren Glud
14 Kapetanios, George
14 Kumbhakar, Subal Chandra
14 Lee, Sokbae
14 Nielsen, Morten Ørregaard
14 Prucha, Ingmar R.
14 Shephard, Neil
14 Smith, Richard J.
13 Blundell, Richard W.
13 Delgado, Miguel Ángel
13 Giraitis, Liudas
13 Hansen, Bruce E.
13 Hoderlein, Stefan G. N.
13 Imbens, Guido Wilhelmus
13 Khan, Shakeeb
...and 3,990 more Authors

Publications by Year

Citations contained in zbMATH Open

4,112 Publications have been cited 68,278 times in 26,855 Documents Cited by Year
Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119
Bollerslev, Tim
1986
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? Zbl 0871.62100
Kwiatkowski, Denis; Phillips, Peter C. B.; Schmidt, Peter; Shin, Yongcheol
482
1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
Ichimura, Hidehiko
423
1993
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
Baillie, Richard T.
360
1996
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter
347
1977
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
337
1992
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
274
1996
Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Zbl 0582.90007
Charnes, A.; Cooper, W. W.; Golany, B.; Seiford, L.; Stutz, J.
255
1985
Least absolute deviations estimation for the censored regression model. Zbl 0571.62100
Powell, James L.
239
1984
Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
Newey, Whitney K.
226
1997
Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
Bougerol, Philippe; Picard, Nico
224
1992
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
Granger, C. W. J.
223
1980
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
Fan, Jianqing; Fan, Yingying; Lv, Jinchi
217
2008
Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
Blundell, Richard; Bond, Stephen
213
1998
A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
Zheng, John Xu
209
1996
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
Arellano, Manuel; Bover, Olympia
208
1995
Censored regression quantiles. Zbl 0605.62139
Powell, James L.
206
1986
Analysis of time series subject to changes in regime. Zbl 0723.62050
Hamilton, James D.
201
1990
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
Hamilton, James D.; Susmel, Raul
195
1994
ARCH models as diffusion approximations. Zbl 0719.60089
Nelson, Daniel B.
191
1990
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
186
2003
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
Manski, Charles F.
181
1975
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
180
2012
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
Chamberlain, Gary
179
1987
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
179
2000
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
Han, Aaron K.
178
1987
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
Smith, Michael; Kohn, Robert
176
1996
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
170
2001
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
166
1986
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
Manski, Charles F.
165
1985
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
163
1990
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
161
2011
Consistent model specification tests. Zbl 0549.62076
Bierens, Herman J.
161
1982
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
155
2003
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
151
2003
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
147
2002
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
147
1996
Spurious regressions in econometrics. Zbl 0319.62072
Granger, C. W. J.; Newbold, P.
146
1974
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
145
1998
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
141
1996
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
140
2007
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
140
2006
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
139
2007
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
Patton, Andrew J.
139
2011
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
139
2004
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
Robinson, P. M.
136
1991
Least squares model averaging by Mallows criterion. Zbl 1431.62291
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua
135
2010
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
134
1998
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
133
1994
Polyhedral cone-ratio DEA models with an illustrative application to large commercials banks. Zbl 0712.90015
Charnes, A.; Cooper, W. W.; Huang, Z. M.; Sun, D. B.
132
1990
On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
130
2001
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
128
2001
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
Seiford, Lawrence M.; Thrall, Robert M.
128
1990
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
125
2002
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
123
1995
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
122
2007
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
122
2002
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
121
2006
A Markov model for switching regressions. Zbl 0294.62087
Goldfeld, Stephen M.; Quandt, Richard E.
120
1973
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
116
1996
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
114
2004
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
114
2010
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
114
2007
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
114
1982
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
Chib, Siddhartha
111
1996
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
111
2006
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
110
1993
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
110
2011
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
108
2010
On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196
Diebold, Francis X.; Yılmaz, Kamil
107
2014
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
106
1985
Tobit models: A survey. Zbl 0539.62121
Amemiya, Takeshi
106
1984
Common breaks in means and variances for panel data. Zbl 1431.62353
Bai, Jushan
105
2010
On leverage in a stochastic volatility model. Zbl 1335.91116
Yu, Jun
105
2005
Estimation of spatial autoregressive panel data models with fixed effects. Zbl 1431.62643
Lee, Lung-fei; Yu, Jihai
103
2010
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
101
2004
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
100
2007
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
98
2000
Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656
Corsi, Fulvio; Pirino, Davide; Renò, Roberto
98
2010
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
97
1995
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
97
1995
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
95
1985
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
Härdle, W.; Tsybakov, A.
95
1997
Semiparametric instrumental variable estimation of treatment response models. Zbl 1038.62113
Abadie, Alberto
94
2003
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
94
2004
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
93
2007
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
92
2011
Exact and superlative index numbers. Zbl 0387.90046
Diewert, W. E.
92
1976
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
91
1998
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
91
1999
Multivariate regression models for panel data. Zbl 0512.62115
Chamberlain, Gary
91
1982
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
89
2008
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Zbl 1431.62472
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark
89
2010
Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables. Zbl 0970.62082
Lewbel, Arthur
88
2000
Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large. Zbl 1418.62549
Yu, Jihai; de Jong, Robert; Lee, Lung-fei
88
2008
The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397
Gourieroux, C.; Jasiak, J.; Sufana, R.
87
2009
Robust inference on average treatment effects with possibly more covariates than observations. Zbl 1337.62113
Farrell, Max H.
86
2015
Panel data models with spatially correlated error components. Zbl 1418.62482
Kapoor, Mudit; Kelejian, Harry H.; Prucha, Ingmar R.
86
2007
Instrumental quantile regression inference for structural and treatment effect models. Zbl 1337.62353
Chernozhukov, Victor; Hansen, Christian
86
2006
Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Zbl 0766.62055
Lee, Tae-Hwy; White, Halbert; Granger, Clive W. J.
85
1993
Modelling cycles in climate series: the fractional sinusoidal waveform process. Zbl 07813983
Proietti, Tommaso; Maddanu, Federico
3
2024
Testing equality of several distributions in separable metric spaces: a maximum mean discrepancy based approach. Zbl 07813996
Zhang, Jin-Ting; Guo, Jia; Zhou, Bu
3
2024
Retire: robust expectile regression in high dimensions. Zbl 07814015
Man, Rebeka; Tan, Kean Ming; Wang, Zian; Zhou, Wen-Xin
3
2024
Unconditional effects of general policy interventions. Zbl 07803952
Martínez-Iriarte, Julián; Montes-Rojas, Gabriel; Sun, Yixiao
2
2024
Beyond RCP8.5: marginal mitigation using quasi-representative concentration pathways. Zbl 07813982
Miller, J. Isaac; Brock, William A.
2
2024
The validity of bootstrap testing for threshold autoregression. Zbl 07813985
Giannerini, Simone; Goracci, Greta; Rahbek, Anders
2
2024
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. Zbl 07813999
Chang, Jinyuan; Hu, Qiao; Liu, Cheng; Tang, Cheng Yong
2
2024
A generalized knockoff procedure for FDR control in structural change detection. Zbl 07814000
Liu, Jingyuan; Sun, Ao; Ke, Yuan
2
2024
A latent class Cox model for heterogeneous time-to-event data. Zbl 07814002
Pei, Youquan; Peng, Heng; Xu, Jinfeng
2
2024
Inferential theory for generalized dynamic factor models. Zbl 07814012
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; Zaffaroni, Paolo
2
2024
Covariate adjustment in experiments with matched pairs. Zbl 07863970
Bai, Yuehao; Jiang, Liang; Romano, Joseph P.; Shaikh, Azeem M.; Zhang, Yichong
2
2024
Maximum likelihood estimation of latent Markov models using closed-form approximations. Zbl 07822327
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu
2
2024
Asset pricing with neural networks: significance tests. Zbl 07803940
Fallahgoul, Hasan; Franstianto, Vincentius; Lin, Xin
1
2024
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions. Zbl 07803941
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan
1
2024
A conditional linear combination test with many weak instruments. Zbl 07803958
Lim, Dennis; Wang, Wenjie; Zhang, Yichong
1
2024
The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity. Zbl 07803964
Casini, Alessandro
1
2024
Robust testing for explosive behavior with strongly dependent errors. Zbl 07803965
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun
1
2024
The likelihood ratio test for structural changes in factor models. Zbl 07803969
Bai, Jushan; Duan, Jiangtao; Han, Xu
1
2024
Observation-driven filtering of time-varying parameters using moment conditions. Zbl 07803972
Creal, Drew; Koopman, Siem Jan; Lucas, André; Zamojski, Marcin
1
2024
Sieve bootstrap inference for linear time-varying coefficient models. Zbl 07813984
Friedrich, Marina; Lin, Yicong
1
2024
Modelling circular time series. Zbl 07813986
Harvey, Andrew; Hurn, Stan; Palumbo, Dario; Thiele, Stephen
1
2024
Common volatility shocks driven by the global carbon transition. Zbl 07813987
Campos-Martins, Susana; Hendry, David F.
1
2024
Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model. Zbl 07813988
He, Changli; Kang, Jian; Silvennoinen, Annastiina; Teräsvirta, Timo
1
2024
On model selection criteria for climate change impact studies. Zbl 07813989
Cui, Xiaomeng; Gafarov, Bulat; Ghanem, Dalia; Kuffner, Todd
1
2024
Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data. Zbl 07813990
Reuvers, Hanno; Wijler, Etienne
1
2024
Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change. Zbl 07813991
Jiao, Xiyu; Pretis, Felix; Schwarz, Moritz
1
2024
Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. Zbl 07813997
Cai, Zhanrui; Li, Changcheng; Wen, Jiawei; Yang, Songshan
1
2024
A multi-kink quantile regression model with common structure for panel data analysis. Zbl 07813998
Sun, Yan; Wan, Chuang; Zhang, Wenyang; Zhong, Wei
1
2024
Mixed membership estimation for social networks. Zbl 07814004
Jin, Jiashun; Ke, Zheng Tracy; Luo, Shengming
1
2024
Spherical autoregressive models, with application to distributional and compositional time series. Zbl 07814008
Zhu, Changbo; Müller, Hans-Georg
1
2024
Stock co-jump networks. Zbl 07814010
Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua
1
2024
Hypothesis testing on high dimensional quantile regression. Zbl 07803924
Chen, Zhao; Cheng, Vivian Xinyi; Liu, Xu
1
2024
High-dimensional low-rank tensor autoregressive time series modeling. Zbl 07803925
Wang, Di; Zheng, Yao; Li, Guodong
1
2024
Estimation of complier expected shortfall treatment effects with a binary instrumental variable. Zbl 07803954
Wei, Bo; Tan, Kean Ming; He, Xuming
1
2024
Policy evaluation with multiple instrumental variables. Zbl 07908589
Mogstad, Magne; Torgovitsky, Alexander; Walters, Christopher R.
1
2024
Spectral clustering with variance information for group structure estimation in panel data. Zbl 07863962
Yu, Lu; Gu, Jiaying; Volgushev, Stanislav
1
2024
A vector monotonicity assumption for multiple instruments. Zbl 07863968
Goff, Leonard
1
2024
Locally robust inference for non-Gaussian linear simultaneous equations models. Zbl 07822304
Lee, Adam; Mesters, Geert
1
2024
Bias in local projections. Zbl 07822306
Herbst, Edward P.; Johannsen, Benjamin K.
1
2024
Non-representative sampled networks: estimation of network structural properties by weighting. Zbl 07822319
Hsieh, Chih-Sheng; Hsu, Yu-Chin; Ko, Stanley I. M.; Kovářík, Jaromír; Logan, Trevon D.
1
2024
Local regression distribution estimators. Zbl 07822331
Cattaneo, Matias D.; Jansson, Michael; Ma, Xinwei
1
2024
Using Wasserstein generative adversarial networks for the design of Monte Carlo simulations. Zbl 07822333
Athey, Susan; Imbens, Guido W.; Metzger, Jonas; Munro, Evan
1
2024
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. Zbl 07822335
Windmeijer, Frank
1
2024
One instrument to rule them all: the bias and coverage of just-ID IV. Zbl 07822339
Angrist, Joshua; Kolesár, Michal
1
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Instrumental variable estimation with first-stage heterogeneity. Zbl 07822341
Abadie, Alberto; Gu, Jiaying; Shen, Shu
1
2024
State-dependent local projections. Zbl 07968511
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; Pesavento, Elena
1
2024
Smoothed quantile regression with large-scale inference. Zbl 07648718
He, Xuming; Pan, Xiaoou; Tan, Kean Ming; Zhou, Wen-Xin
17
2023
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. Zbl 07648719
Wang, Xiaohu; Xiao, Weilin; Yu, Jun
11
2023
Time series analysis of COVID-19 infection curve: a change-point perspective. Zbl 07633053
Jiang, Feiyu; Zhao, Zifeng; Shao, Xiaofeng
8
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A GMM approach to estimate the roughness of stochastic volatility. Zbl 07704472
Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen
7
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Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. Zbl 07704456
Casini, Alessandro
7
2023
Cluster-robust inference: a guide to empirical practice. Zbl 07648714
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
6
2023
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Zbl 07767715
Aknouche, Abdelhakim; Francq, Christian
6
2023
Quasi-maximum likelihood estimation of break point in high-dimensional factor models. Zbl 07659418
Duan, Jiangtao; Bai, Jushan; Han, Xu
6
2023
Model averaging prediction by \(K\)-fold cross-validation. Zbl 07693708
Zhang, Xinyu; Liu, Chu-An
6
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Nowcasting the output gap. Zbl 07633054
Berger, Tino; Morley, James; Wong, Benjamin
5
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Community network auto-regression for high-dimensional time series. Zbl 07704491
Chen, Elynn Y.; Fan, Jianqing; Zhu, Xuening
5
2023
Penalized time-varying model averaging. Zbl 07704496
Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu
5
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Refining set-identification in VARs through independence. Zbl 07704516
Drautzburg, Thorsten; Wright, Jonathan H.
5
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Large dimensional latent factor modeling with missing observations and applications to causal inference. Zbl 07659421
Xiong, Ruoxuan; Pelger, Markus
5
2023
PELVE: probability equivalent level of VaR and ES. Zbl 07674661
Li, Hengxin; Wang, Ruodu
5
2023
Time series estimation of the dynamic effects of disaster-type shocks. Zbl 07693703
Davis, Richard; Ng, Serena
5
2023
Sparse spatio-temporal autoregressions by profiling and bagging. Zbl 07633060
Ma, Yingying; Guo, Shaojun; Wang, Hansheng
5
2023
High-dimensional conditionally Gaussian state space models with missing data. Zbl 07729865
Chan, Joshua C. C.; Poon, Aubrey; Zhu, Dan
4
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Inference and forecasting for continuous-time integer-valued trawl processes. Zbl 07743048
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.
4
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Optimal model averaging based on forward-validation. Zbl 07767724
Zhang, Xiaomeng; Zhang, Xinyu
4
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Instrument validity for heterogeneous causal effects. Zbl 07767744
Sun, Zhenting
4
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Approximate factor models with weaker loadings. Zbl 07704519
Bai, Jushan; Ng, Serena
4
2023
Estimation of panel group structure models with structural breaks in group memberships and coefficients. Zbl 07659411
Lumsdaine, Robin L.; Okui, Ryo; Wang, Wendun
4
2023
Factor-based imputation of missing values and covariances in panel data of large dimensions. Zbl 07659414
Cahan, Ercument; Bai, Jushan; Ng, Serena
4
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Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. Zbl 07704468
Fiorentini, Gabriele; Sentana, Enrique
4
2023
Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055
Gourieroux, C.; Jasiak, J.
3
2023
Nowcasting in a pandemic using non-parametric mixed frequency VARs. Zbl 07633056
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, Michael; Schreiner, Josef
3
2023
High dimensional semiparametric moment restriction models. Zbl 07648716
Dong, Chaohua; Gao, Jiti; Linton, Oliver
3
2023
Dynamic factor copula models with estimated cluster assignments. Zbl 07767732
Oh, Dong Hwan; Patton, Andrew J.
3
2023
Profile GMM estimation of panel data models with interactive fixed effects. Zbl 07704479
Hong, Shengjie; Su, Liangjun; Jiang, Tao
3
2023
Testing the martingale difference hypothesis in high dimension. Zbl 07704481
Chang, Jinyuan; Jiang, Qing; Shao, Xiaofeng
3
2023
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Zbl 07704484
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Shin, Minchul
3
2023
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature. Zbl 07704532
Roth, Jonathan; Sant’Anna, Pedro H. C.; Bilinski, Alyssa; Poe, John
3
2023
Synthetic learner: model-free inference on treatments over time. Zbl 07693690
Viviano, Davide; Bradic, Jelena
3
2023
Estimation and inference of treatment effects with \(L_2\)-boosting in high-dimensional settings. Zbl 07693691
Kueck, Jannis; Luo, Ye; Spindler, Martin; Wang, Zigan
3
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Multi-dimensional latent group structures with heterogeneous distributions. Zbl 07659409
Leng, Xuan; Chen, Heng; Wang, Wendun
3
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High-dimensional VARs with common factors. Zbl 07659416
Miao, Ke; Phillips, Peter C. B.; Su, Liangjun
3
2023
Global robust Bayesian analysis in large models. Zbl 07704467
Ho, Paul
3
2023
Fully modified least squares cointegrating parameter estimation in multicointegrated systems. Zbl 07648715
Kheifets, Igor L.; Phillips, Peter C. B.
2
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When bias contributes to variance: true limit theory in functional coefficient cointegrating regression. Zbl 1532.62047
Phillips, Peter C. B.; Wang, Ying
2
2023
Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. Zbl 07648726
Chen, Xin; Yang, Dan; Xu, Yan; Xia, Yin; Wang, Dong; Shen, Haipeng
2
2023
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume. Zbl 07743051
Diebold, Francis X.; Rudebusch, Glenn D.; Göbel, Maximilian; Goulet Coulombe, Philippe; Zhang, Boyuan
2
2023
Bayesian artificial neural networks for frontier efficiency analysis. Zbl 07743054
Tsionas, Mike; Parmeter, Christopher F.; Zelenyuk, Valentin
2
2023
Identification of auction models using order statistics. Zbl 07729859
Luo, Yao; Xiao, Ruli
2
2023
Volatility measurement with pockets of extreme return persistence. Zbl 07767714
Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo
2
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Dynamic conditional eigenvalue GARCH. Zbl 07767716
Hetland, Simon; Søndergaard Pedersen, Rasmus; Rahbek, Anders
2
2023
A dynamic conditional score model for the log correlation matrix. Zbl 07767717
Hafner, Christian M.; Wang, Linqi
2
2023
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Zbl 07767718
Gorgi, P.; Koopman, S. J.
2
2023
Comparing forecasting performance in cross-sections. Zbl 07767719
Qu, Ritong; Timmermann, Allan; Zhu, Yinchu
2
2023
Bootstrap specification tests for dynamic conditional distribution models. Zbl 07704480
Perera, Indeewara; Silvapulle, Mervyn J.
2
2023
Semiparametric partially linear varying coefficient modal regression. Zbl 07704482
Ullah, Aman; Wang, Tao; Yao, Weixin
2
2023
Comparing stochastic volatility specifications for large Bayesian VARs. Zbl 07704499
Chan, Joshua C. C.
2
2023
Estimation and identification of latent group structures in panel data. Zbl 07704501
Mehrabani, Ali
2
2023
Identifying causal effects in experiments with spillovers and non-compliance. Zbl 07704507
DiTraglia, Francis J.; García-Jimeno, Camilo; O’Keeffe-O’Donovan, Rossa; Sánchez-Becerra, Alejandro
2
2023
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Cited by 26,085 Authors

118 Phillips, Peter Charles Bonest
91 Taylor, A. M. Robert
85 Linton, Oliver Bruce
80 Shin, Dongwan
76 Baltagi, Badi H.
76 McAleer, Michael
68 Horváth, Lajos
68 Li, Qi
66 Gao, Jiti
66 Lee, Lung-Fei
66 Su, Liangjun
64 Dette, Holger
63 Pesaran, M. Hashem
62 Tsionas, Mike G.
61 Zhang, Xinyu
59 Van Keilegom, Ingrid
58 Kapetanios, George
57 Robinson, Peter Michael
55 Fan, Jianqing
55 Härdle, Wolfgang Karl
54 Gourieroux, Christian
54 Leybourne, Stephen J.
54 Zhu, Lixing
52 Perron, Pierre
51 Hsiao, Cheng
50 Cavaliere, Giuseppe
50 Kokoszka, Piotr S.
50 Kumbhakar, Subal Chandra
49 Ullah, Aman
49 Wan, Alan T. K.
46 Dufour, Jean-Marie
46 Koop, Gary
45 Cai, Zongwu
45 Chen, Xiaohong
45 Lian, Heng
45 Peng, Liang
45 Simar, Léopold
45 Todorov, Viktor
44 Surgailis, Donatas
43 Francq, Christian
43 Franses, Philip Hans
43 Hallin, Marc
43 Lee, Sangyeol
43 Schmidt, Peter
43 Zou, Guohua
42 Bodnar, Taras
42 Li, Wai Keung
41 Gil-Alana, Luis Alberiko
41 Ling, Shiqing
41 Westerlund, Joakim
41 Xiao, Zhijie
40 Chen, Cathy W. S.
40 Florens, Jean-Pierre
39 Chan, Ngai Hang
39 Fan, Yanqin
39 Nielsen, Morten Ørregaard
39 Renault, Eric
39 Tjøstheim, Dag B.
39 Yu, Jun
38 Hong, Yongmiao
37 Harvey, David I.
37 King, Maxwell Leslie
37 Nadarajah, Saralees
37 Otsu, Taisuke
37 Zakoïan, Jean-Michel
36 Barnett, William Arnold
36 Ghysels, Eric
36 Hu, Yingyao
36 Li, Degui
36 You, Jinhong
35 Chen, Songnian
35 Chernozhukov, Victor
35 Escanciano, Juan Carlos
35 Gerlach, Richard H.
35 Herwartz, Helmut
35 Siu, Tak Kuen
35 White, Halbert Lynn jun.
35 Zhou, Yong
34 Bai, Jushan
34 Liang, Hua
34 Lütkepohl, Helmut
34 Newey, Whitney Kent
33 Hassler, Uwe
33 Ohtani, Kazuhiro
33 Politis, Dimitris Nicolas
32 Giraitis, Liudas
32 Lewbel, Arthur
32 Meintanis, Simos George
32 Rahbek, Anders
32 Steel, Mark F. J.
31 Bollerslev, Tim
31 Hafner, Christian Matthias
31 Hall, Alastair R.
31 Hušková, Marie
31 Kohn, Robert J.
31 Sasaki, Yuya
31 Schmid, Wolfgang
31 Wu, Wei Biao
30 Aït-Sahalia, Yacine
30 Hendry, David F.
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