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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: 4,732 Publications (since 1973)
References Indexed: 4,649 Publications with 164,642 References.
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Latest Issues

240, No. 2 (2024)
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...and 328 more Volumes
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Authors

81 Phillips, Peter Charles Bonest
49 Linton, Oliver Bruce
46 Lee, Lung-Fei
38 Schmidt, Peter
37 Pesaran, M. Hashem
34 Taylor, A. M. Robert
33 Li, Qi
32 Robinson, Peter Michael
32 Su, Liangjun
31 Gourieroux, Christian
30 Bollerslev, Tim
29 Ghysels, Eric
28 Gallant, A. Ronald
28 Hsiao, Cheng
27 White, Halbert Lynn jun.
26 Aït-Sahalia, Yacine
26 Baltagi, Badi H.
26 Dufour, Jean-Marie
26 Gao, Jiti
26 Granger, Clive William John
26 Park, Joon Y.
26 Renault, Eric
25 Chen, Songnian
25 Koop, Gary
24 Zellner, Arnold
22 Bai, Jushan
22 Chen, Xiaohong
22 McAleer, Michael
22 Swanson, Norman Rasmus
22 Tauchen, George E.
22 van Dijk, Herman K.
22 Yu, Jun
21 Timmermann, Allan G.
21 Todorov, Viktor
20 Diebold, Francis Xavier
20 Lewbel, Arthur
20 Newey, Whitney Kent
19 Andrews, Donald Wilfrid Kao
19 Chib, Siddhartha
19 Hendry, David F.
19 Horowitz, Joel Lawrence
19 Inoue, Atsushi
19 Koopman, Siem Jan
19 Monfort, Alain
19 Xiao, Zhijie
18 Corradi, Valentina
18 Fan, Yanqin
18 Hausman, Jerry Allen
18 Hong, Yongmiao
18 Ng, Serena
18 Perron, Pierre
17 Andersen, Torben G.
17 Geweke, John F.
17 Hu, Yingyao
17 Powell, James L.
16 Cai, Zongwu
16 Fan, Jianqing
16 Hallin, Marc
16 Hidalgo, Javier
16 Judge, George G.
16 Leybourne, Stephen J.
16 Maasoumi, Esfandiar
16 Manski, Charles F.
16 Sasaki, Yuya
16 Sentana, Enrique
16 Steel, Mark F. J.
16 Whang, Yoon-Jae
15 Barnett, William Arnold
15 Francq, Christian
15 Hall, Alastair R.
15 Hong, Han
15 King, Maxwell Leslie
15 Lütkepohl, Helmut
15 Mykland, Per Aslak
15 Simar, Léopold
15 Sun, Yixiao
15 Wooldridge, Jeffrey M.
14 Chernozhukov, Victor
14 Engle, Robert Fry
14 Florens, Jean-Pierre
14 Heckman, James Joseph
14 Johansen, Søren Glud
14 Kapetanios, George
14 Kumbhakar, Subal Chandra
14 Lee, Sokbae
14 Li, Tong
14 Magnus, Jan R.
14 Nielsen, Morten Ørregaard
14 Patton, Andrew J.
14 Prucha, Ingmar R.
14 Shephard, Neil
14 Smith, Richard J.
13 Blundell, Richard W.
13 Boswijk, H. Peter
13 Delgado, Miguel Ángel
13 Hansen, Bruce E.
13 Hoderlein, Stefan G. N.
13 Imbens, Guido Wilhelmus
13 Khan, Shakeeb
13 Kohn, Robert J.
...and 3,895 more Authors

Publications by Year

Citations contained in zbMATH Open

3,949 Publications have been cited 60,771 times in 24,130 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
452
1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
Ichimura, Hidehiko
379
1993
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
Baillie, Richard T.
343
1996
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter
322
1977
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
322
1992
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
260
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.
247
1985
Least absolute deviations estimation for the censored regression model. Zbl 0571.62100
Powell, James L.
225
1984
Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
Bougerol, Philippe; Picard, Nico
218
1992
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
Granger, C. W. J.
209
1980
A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
Zheng, John Xu
197
1996
Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
Blundell, Richard; Bond, Stephen
197
1998
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
Fan, Jianqing; Fan, Yingying; Lv, Jinchi
195
2008
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
Arellano, Manuel; Bover, Olympia
193
1995
Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
Newey, Whitney K.
192
1997
Censored regression quantiles. Zbl 0605.62139
Powell, James L.
188
1986
ARCH models as diffusion approximations. Zbl 0719.60089
Nelson, Daniel B.
183
1990
Analysis of time series subject to changes in regime. Zbl 0723.62050
Hamilton, James D.
183
1990
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
Hamilton, James D.; Susmel, Raul
181
1994
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
172
2003
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
Smith, Michael; Kohn, Robert
169
1996
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
160
1990
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
Chamberlain, Gary
160
1987
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
160
2001
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
159
1986
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
159
2000
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
Manski, Charles F.
157
1975
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
Manski, Charles F.
156
1985
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
Han, Aaron K.
152
1987
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
150
2003
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
144
2011
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
142
1998
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
140
2012
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
139
2002
Consistent model specification tests. Zbl 0549.62076
Bierens, Herman J.
138
1982
Spurious regressions in econometrics. Zbl 0319.62072
Granger, C. W. J.; Newbold, P.
136
1974
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
134
2007
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
133
1996
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
132
2007
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
131
2003
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.
130
1990
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
Robinson, P. M.
130
1991
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
Seiford, Lawrence M.; Thrall, Robert M.
125
1990
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
121
1995
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
121
2004
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
120
1998
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
119
2001
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
119
1996
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
118
2006
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
118
2002
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
117
1994
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
117
2002
On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
115
2001
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
Patton, Andrew J.
113
2011
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
110
1996
A Markov model for switching regressions. Zbl 0294.62087
Goldfeld, Stephen M.; Quandt, Richard E.
110
1973
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
109
1982
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
108
2007
Least squares model averaging by Mallows criterion. Zbl 1431.62291
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua
107
2010
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
Chib, Siddhartha
105
1996
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
104
2007
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
100
1985
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
99
2006
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
99
2010
On leverage in a stochastic volatility model. Zbl 1335.91116
Yu, Jun
98
2005
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
98
2011
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
97
1985
Tobit models: A survey. Zbl 0539.62121
Amemiya, Takeshi
96
1984
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
95
2004
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
95
2006
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
95
1993
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
95
2007
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
92
2000
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
91
2004
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
90
2007
Estimation of spatial autoregressive panel data models with fixed effects. Zbl 1431.62643
Lee, Lung-fei; Yu, Jihai
90
2010
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
90
1998
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
90
1995
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
Härdle, W.; Tsybakov, A.
89
1997
Exact and superlative index numbers. Zbl 0387.90046
Diewert, W. E.
88
1976
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
86
2010
On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196
Diebold, Francis X.; Yılmaz, Kamil
86
2014
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
85
2008
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.
84
1993
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
84
1995
Multivariate regression models for panel data. Zbl 0512.62115
Chamberlain, Gary
83
1982
Common breaks in means and variances for panel data. Zbl 1431.62353
Bai, Jushan
82
2010
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
82
2010
Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656
Corsi, Fulvio; Pirino, Davide; Renò, Roberto
81
2010
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
Gallant, A. Ronald
81
1981
Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
Singleton, Kenneth J.
81
2001
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
81
2004
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
80
2011
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
Goffe, William L.; Ferrier, Gary D.; Rogers, John
80
1994
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
79
2003
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
78
1999
Panel data models with spatially correlated error components. Zbl 1418.62482
Kapoor, Mudit; Kelejian, Harry H.; Prucha, Ingmar R.
77
2007
The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397
Gourieroux, C.; Jasiak, J.; Sufana, R.
77
2009
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
77
2003
Smoothed quantile regression with large-scale inference. Zbl 07648718
He, Xuming; Pan, Xiaoou; Tan, Kean Ming; Zhou, Wen-Xin
7
2023
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. Zbl 07704456
Casini, Alessandro
5
2023
Time series analysis of COVID-19 infection curve: a change-point perspective. Zbl 07633053
Jiang, Feiyu; Zhao, Zifeng; Shao, Xiaofeng
4
2023
Cluster-robust inference: a guide to empirical practice. Zbl 07648714
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
4
2023
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. Zbl 07648719
Wang, Xiaohu; Xiao, Weilin; Yu, Jun
4
2023
Large dimensional latent factor modeling with missing observations and applications to causal inference. Zbl 07659421
Xiong, Ruoxuan; Pelger, Markus
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
3
2023
Factor-based imputation of missing values and covariances in panel data of large dimensions. Zbl 07659414
Cahan, Ercument; Bai, Jushan; Ng, Serena
3
2023
Quasi-maximum likelihood estimation of break point in high-dimensional factor models. Zbl 07659418
Duan, Jiangtao; Bai, Jushan; Han, Xu
3
2023
Refining set-identification in VARs through independence. Zbl 07704516
Drautzburg, Thorsten; Wright, Jonathan H.
3
2023
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Zbl 07767715
Aknouche, Abdelhakim; Francq, Christian
3
2023
Dynamic factor copula models with estimated cluster assignments. Zbl 07767732
Oh, Dong Hwan; Patton, Andrew J.
3
2023
Quasi score-driven models. Zbl 07674657
Blasques, F.; Francq, Christian; Laurent, Sébastien
2
2023
PELVE: probability equivalent level of VaR and ES. Zbl 07674661
Li, Hengxin; Wang, Ruodu
2
2023
Nowcasting the output gap. Zbl 07633054
Berger, Tino; Morley, James; Wong, Benjamin
2
2023
Sparse spatio-temporal autoregressions by profiling and bagging. Zbl 07633060
Ma, Yingying; Guo, Shaojun; Wang, Hansheng
2
2023
Fully modified least squares cointegrating parameter estimation in multicointegrated systems. Zbl 07648715
Kheifets, Igor L.; Phillips, Peter C. B.
2
2023
When bias contributes to variance: true limit theory in functional coefficient cointegrating regression. Zbl 07648722
Phillips, Peter C. B.; Wang, Ying
2
2023
Multi-dimensional latent group structures with heterogeneous distributions. Zbl 07659409
Leng, Xuan; Chen, Heng; Wang, Wendun
2
2023
High-dimensional VARs with common factors. Zbl 07659416
Miao, Ke; Phillips, Peter C. B.; Su, Liangjun
2
2023
Reprint of: Generalized autoregressive conditional heteroskedasticity. Zbl 07674636
Bollerslev, Tim
2
2023
Synthetic learner: model-free inference on treatments over time. Zbl 07693690
Viviano, Davide; Bradic, Jelena
2
2023
Multiple treatments with strategic substitutes. Zbl 07693692
Balat, Jorge F.; Han, Sukjin
2
2023
Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model. Zbl 07693697
Gribisch, Bastian; Hartkopf, Jan Patrick
2
2023
Time series estimation of the dynamic effects of disaster-type shocks. Zbl 07693703
Davis, Richard; Ng, Serena
2
2023
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. Zbl 07704468
Fiorentini, Gabriele; Sentana, Enrique
2
2023
Uniform inference in linear panel data models with two-dimensional heterogeneity. Zbl 07704470
Lu, Xun; Su, Liangjun
2
2023
A GMM approach to estimate the roughness of stochastic volatility. Zbl 07704472
Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen
2
2023
Community network auto-regression for high-dimensional time series. Zbl 07704491
Chen, Elynn Y.; Fan, Jianqing; Zhu, Xuening
2
2023
Comparing stochastic volatility specifications for large Bayesian VARs. Zbl 07704499
Chan, Joshua C. C.
2
2023
Approximate factor models with weaker loadings. Zbl 07704519
Bai, Jushan; Ng, Serena
2
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
2
2023
High-dimensional conditionally Gaussian state space models with missing data. Zbl 07729865
Chan, Joshua C. C.; Poon, Aubrey; Zhu, Dan
2
2023
Comparing forecasting performance in cross-sections. Zbl 07767719
Qu, Ritong; Timmermann, Allan; Zhu, Yinchu
2
2023
Conditional asymmetry in power ARCH\((\infty)\) models. Zbl 07674654
Royer, Julien
1
2023
A new robust inference for predictive quantile regression. Zbl 07674656
Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai
1
2023
Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055
Gourieroux, C.; Jasiak, J.
1
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Nowcasting in a pandemic using non-parametric mixed frequency VARs. Zbl 07633056
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, Michael; Schreiner, Josef
1
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How to go viral: a COVID-19 model with endogenously time-varying parameters. Zbl 07633057
Ho, Paul; Lubik, Thomas A.; Matthes, Christian
1
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A spatial panel quantile model with unobserved heterogeneity. Zbl 07633063
Ando, Tomohiro; Li, Kunpeng; Lu, Lina
1
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A discrete-time hedging framework with multiple factors and fat tails: on what matters. Zbl 07648720
Augustyniak, Maciej; Badescu, Alexandru; Bégin, Jean-François
1
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Scalable inference for a full multivariate stochastic volatility model. Zbl 07648724
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina; Plataniotis, Anastasios
1
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Corrigendum to “Local mispricing and microstructural noise: a parametric perspective”. Zbl 07648729
Andersen, Torben G.; Archakov, Ilya; Cebiroglu, Gökhan; Hautsch, Nikolaus
1
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Shrinkage estimation of network spillovers with factor structured errors. Zbl 07659412
Higgins, Ayden; Martellosio, Federico
1
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Group fused Lasso for large factor models with multiple structural breaks. Zbl 07659415
Ma, Chenchen; Tu, Yundong
1
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Information criteria for latent factor models: a study on factor pervasiveness and adaptivity. Zbl 07659419
Guo, Xiao; Chen, Yu; Tang, Cheng Yong
1
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Do firm effects drift? Evidence from Washington administrative data. Zbl 07667907
Lachowska, Marta; Mas, Alexandre; Saggio, Raffaele; Woodbury, Stephen A.
1
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Firm pay dynamics. Zbl 07667908
Engbom, Niklas; Moser, Christian; Sauermann, Jan
1
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Gender differences in sorting on wages and risk. Zbl 07667912
Lavetti, Kurt; Schmutte, Ian M.
1
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Estimation of spillover effects with matched data or longitudinal network data. Zbl 07667920
Braun, Martin; Verdier, Valentin
1
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Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 07674639
Diebold, Francis X.; Yılmaz, Kamil
1
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Bias reduction in spot volatility estimation from options. Zbl 07674649
Todorov, Viktor; Zhang, Yang
1
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Maximum likelihood estimation of stochastic frontier models with endogeneity. Zbl 07674650
Centorrino, Samuele; Pérez-Urdiales, María
1
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Estimation of treatment effects under endogenous heteroskedasticity. Zbl 07693681
Abrevaya, Jason; Xu, Haiqing
1
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Forward-selected panel data approach for program evaluation. Zbl 07693683
Shi, Zhentao; Huang, Jingyi
1
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Estimation and inference of treatment effects with \(L_2\)-boosting in high-dimensional settings. Zbl 07693691
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On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference. Zbl 07693699
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Bootstrap inference for Hawkes and general point processes. Zbl 07693701
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1
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Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic. Zbl 07693702
Guo, Xu; Li, Runze; Liu, Jingyuan; Zeng, Mudong
1
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A condition for the identification of multivariate models with binary instruments. Zbl 07693705
Gunsilius, Florian F.
1
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Profile GMM estimation of panel data models with interactive fixed effects. Zbl 07704479
Hong, Shengjie; Su, Liangjun; Jiang, Tao
1
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Bootstrap specification tests for dynamic conditional distribution models. Zbl 07704480
Perera, Indeewara; Silvapulle, Mervyn J.
1
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Testing the martingale difference hypothesis in high dimension. Zbl 07704481
Chang, Jinyuan; Jiang, Qing; Shao, Xiaofeng
1
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Semiparametric partially linear varying coefficient modal regression. Zbl 07704482
Ullah, Aman; Wang, Tao; Yao, Weixin
1
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Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Zbl 07704484
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Shin, Minchul
1
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Nonparametric identification and estimation of the extended Roy model. Zbl 07704485
Lee, Ji Hyung; Park, Byoung G.
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The role of score and information bias in panel data likelihoods. Zbl 07704490
Schumann, Martin; Severini, Thomas A.; Tripathi, Gautam
1
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Penalized time-varying model averaging. Zbl 07704496
Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu
1
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Time-varying unobserved heterogeneity in earnings shocks. Zbl 07704497
Botosaru, Irene
1
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Estimation and identification of latent group structures in panel data. Zbl 07704501
Mehrabani, Ali
1
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Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model. Zbl 07704504
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan
1
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A functional estimation approach to the first-price auction models. Zbl 07704506
Enache, Andreea; Florens, Jean-Pierre; Sbai, Erwann
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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
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Debiased machine learning of set-identified linear models. Zbl 07704512
Semenova, Vira
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Jackknife estimation of a cluster-sample IV regression model with many weak instruments. Zbl 07704513
Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen
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Spatial autoregressions with an extended parameter space and similarity-based weights. Zbl 07704514
Rossi, Francesca; Lieberman, Offer
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Wild bootstrap inference for penalized quantile regression for longitudinal data. Zbl 07704515
Lamarche, Carlos; Parker, Thomas
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Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators. Zbl 07704517
Chen, Jiafeng; Chen, Xiaohong; Tamer, Elie
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Identifying latent group structures in spatial dynamic panels. Zbl 07704522
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One-way or two-way factor model for matrix sequences? Zbl 07704523
He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long
1
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Policy evaluation during a pandemic. Zbl 07729858
Callaway, Brantly; Li, Tong
1
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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.
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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
1
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Identification and estimation of spillover effects in randomized experiments. Zbl 07767698
Vazquez-Bare, Gonzalo
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Under-identification of structural models based on timing and information set assumptions. Zbl 07767700
Ackerberg, Daniel A.; Frazer, Garth; Kim, Kyoo il; Luo, Yao; Su, Yingjun
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Volatility measurement with pockets of extreme return persistence. Zbl 07767714
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Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Zbl 07767718
Gorgi, P.; Koopman, S. J.
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Evaluating forecast performance with state dependence. Zbl 07767720
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik
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CRPS learning. Zbl 07767721
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Optimal model averaging based on forward-validation. Zbl 07767724
Zhang, Xiaomeng; Zhang, Xinyu
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Time-varying forecast combination for high-dimensional data. Zbl 07767735
Chen, Bin; Maung, Kenwin
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Instrument validity for heterogeneous causal effects. Zbl 07767744
Sun, Zhenting
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Projected estimation for large-dimensional matrix factor models. Zbl 07538797
Yu, Long; He, Yong; Kong, Xinbing; Zhang, Xinsheng
10
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Semiparametric model averaging prediction for dichotomous response. Zbl 07557263
Fang, Fang; Li, Jialiang; Xia, Xiaochao
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Design-based analysis in difference-in-differences settings with staggered adoption. Zbl 07471885
Athey, Susan; Imbens, Guido W.
8
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Maximum likelihood estimation for score-driven models. Zbl 07491163
Blasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, André
7
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Robust likelihood estimation of dynamic panel data models. Zbl 07471884
Alvarez, Javier; Arellano, Manuel
6
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Simultaneous inference for time-varying models. Zbl 07491166
Karmakar, Sayar; Richter, Stefan; Wu, Wei Biao
6
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Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”. Zbl 07491170
Carriero, Andrea; Chan, Joshua; Clark, Todd E.; Marcellino, Massimiliano
6
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Factor models with local factors – determining the number of relevant factors. Zbl 07538791
Freyaldenhoven, Simon
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128 Phillips, Peter Charles Bonest
86 Taylor, A. M. Robert
80 Shin, Dongwan
79 Linton, Oliver Bruce
73 McAleer, Michael
71 Baltagi, Badi H.
65 Horváth, Lajos
65 Li, Qi
63 Lee, Lung-Fei
62 Pesaran, M. Hashem
59 Dette, Holger
59 Gao, Jiti
58 Tsionas, Mike G.
57 Robinson, Peter Michael
57 Su, Liangjun
56 Kapetanios, George
54 Zhang, Xinyu
53 Gourieroux, Christian
52 Leybourne, Stephen J.
51 Fan, Jianqing
51 Härdle, Wolfgang Karl
50 Hsiao, Cheng
50 Zhu, Lixing
48 Perron, Pierre
48 Ullah, Aman
48 Van Keilegom, Ingrid
47 Kumbhakar, Subal Chandra
47 Wan, Alan T. K.
45 Simar, Léopold
44 Cavaliere, Giuseppe
44 Dufour, Jean-Marie
44 Surgailis, Donatas
43 Lee, Sangyeol
42 Kokoszka, Piotr S.
42 Schmidt, Peter
41 Francq, Christian
40 Hallin, Marc
40 Koop, Gary
40 Lian, Heng
39 Cai, Zongwu
39 Gil-Alana, Luis Alberiko
39 Li, Wai Keung
39 Zou, Guohua
38 Bodnar, Taras
38 Chen, Xiaohong
38 Franses, Philip Hans
38 Westerlund, Joakim
37 Chan, Ngai Hang
37 King, Maxwell Leslie
37 Nadarajah, Saralees
37 Peng, Liang
37 Renault, Eric
36 Chen, Cathy W. S.
36 Fan, Yanqin
36 Ling, Shiqing
36 Tjøstheim, Dag B.
36 Todorov, Viktor
36 Xiao, Zhijie
36 Yu, Jun
36 Zakoïan, Jean-Michel
35 Barnett, William Arnold
35 Florens, Jean-Pierre
35 Harvey, David I.
35 Siu, Tak Kuen
34 Chen, Songnian
34 Ghysels, Eric
34 Hu, Yingyao
34 Nielsen, Morten Ørregaard
34 White, Halbert Lynn jun.
33 Hassler, Uwe
33 Hong, Yongmiao
33 Ohtani, Kazuhiro
32 Herwartz, Helmut
32 Li, Degui
32 Lütkepohl, Helmut
32 Otsu, Taisuke
32 Steel, Mark F. J.
31 Bai, Jushan
31 Hall, Alastair R.
31 Hendry, David F.
31 Hušková, Marie
31 Politis, Dimitris Nicolas
31 You, Jinhong
30 Aït-Sahalia, Yacine
30 Escanciano, Juan Carlos
30 Gerlach, Richard H.
30 Giraitis, Liudas
30 Koul, Hira Lal
30 Tsionas, Efthymios G.
30 Zhou, Yong
29 Koopman, Siem Jan
29 Park, Joon Y.
29 Rahbek, Anders
29 Rodrigues, Paulo M. M.
29 Sriboonchitta, Songsak
29 Wu, Wei Biao
28 Aue, Alexander
28 Bollerslev, Tim
28 Hafner, Christian Matthias
28 Kohn, Robert J.
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