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The Econometrics Journal

Short Title: Econom. J.
Publisher: Oxford University Press, Oxford; Royal Economic Society, London
ISSN: 1368-4221; 1368-423X/e
Online: https://academic.oup.com/ectj/issue
https://onlinelibrary.wiley.com/loi/1368423x
Comments: Journal
Documents Indexed: 597 Publications (since 1998)
References Indexed: 266 Publications with 7,992 References.
all top 5

Authors

13 Phillips, Peter Charles Bonest
7 Leybourne, Stephen J.
6 Lee, Lung-Fei
6 Perron, Pierre
5 Abbring, Jaap H.
5 Abrevaya, Jason
5 Davidson, Russell
5 Hadri, Kaddour
5 Hsu, Yu-Chin
5 Kapetanios, George
5 Larsson, Rolf
5 Lee, Sokbae
5 Linton, Oliver Bruce
5 MacKinnon, James G.
5 Newbold, Paul
5 Saikkonen, Pentti
5 Xiao, Zhijie
4 Baltagi, Badi H.
4 Chernozhukov, Victor
4 Clements, Michael P.
4 Harvey, David I.
4 Hendry, David F.
4 Lütkepohl, Helmut
4 Magnus, Jan R.
4 Moon, Hyungsik Roger
4 Rahbek, Anders
4 Robinson, Peter Michael
4 Shin, Youngki
4 Tamer, Elie
4 Taylor, A. M. Robert
4 Westerlund, Joakim
4 Windmeijer, Frank A. G.
4 Xu, Haiqing
3 Bai, Jushan
3 Bauwens, Luc Claude A.
3 Bravo, Francesco
3 Carrion-i-Silvestre, Josep Lluís
3 Chen, Jia
3 Chong, Terence Tai-Leung
3 Dufour, Jean-Marie
3 Ericsson, Neil R.
3 Gao, Jiti
3 Gørgens, Tue
3 Hansen, Peter Reinhard
3 Honoré, Bo E.
3 Horváth, Lajos
3 Iskhakov, Fedor
3 Jiang, Jiancheng
3 Jochmans, Koen
3 Johansen, Søren Glud
3 Kiviet, Jan F.
3 Kokoszka, Piotr S.
3 Koop, Gary
3 Koopman, Siem Jan
3 Kristensen, Dennis
3 Mammen, Enno
3 Marcellino, Massimiliano
3 Mourifié, Ismael
3 Newey, Whitney Kent
3 Nielsen, Bent
3 Nielsen, Heino Bohn
3 Orme, Chris D.
3 Preminger, Arie
3 Sarafidis, Vasilis
3 Shephard, Neil
3 Smith, Richard J.
3 Teräsvirta, Timo
3 Trivedi, Pravin K.
3 Velasco, Carlos
3 Whang, Yoon-Jae
3 Wu, Ximing
3 Würtz, Allan H.
3 Yamagata, Takashi
3 Yu, Jun
3 Zhang, Zhengyu
3 Zou, Guohua
2 Ai, Chunrong
2 Antoine, Bertille
2 Asai, Manabu
2 Bårdsen, Gunnar
2 Blevins, Jason R.
2 Breitung, Jorg
2 Calzolari, Giorgio
2 Camponovo, Lorenzo
2 Cavaliere, Giuseppe
2 Chang, Yoosoon
2 Chen, Le-Yu
2 Chen, Xiaohong
2 Čížek, Pavel
2 de Paula, Áureo
2 del Barrio Castro, Tomas
2 Delgado, Miguel Ángel
2 Dellaportas, Petros
2 Demetrescu, Matei
2 Demos, Antonis
2 Doko Tchatoka, Firmin
2 Emvalomatis, Grigorios
2 Fan, Jianqing
2 Florens, Jean-Pierre
2 Frölich, Markus
...and 735 more Authors

Publications by Year

Citations contained in zbMATH Open

455 Publications have been cited 4,019 times in 3,317 Documents Cited by Year
Double/debiased machine learning for treatment and structural parameters. Zbl 07565928
Chernozhukov, Victor; Chetverikov, Denis; Demirer, Mert; Duflo, Esther; Hansen, Christian; Newey, Whitney; Robins, James
154
2018
Dynamic panel estimation and homogeneity testing under cross section dependence. Zbl 1032.62111
Phillips, Peter C. B.; Sul, Donggyu
91
2003
Weak and strong cross-section dependence and estimation of large panels. Zbl 1218.62097
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa
83
2011
An overview of the estimation of large covariance and precision matrices. Zbl 1521.62083
Fan, Jianqing; Liao, Yuan; Liu, Han
77
2016
Realized kernels in practise : trades and quotes. Zbl 1179.91259
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
70
2009
Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques. Zbl 1053.62087
Frühwirth-Schnatter, Sylvia
57
2004
BUGS for a Bayesian analysis of stochastic volatility models. Zbl 0970.91060
Meyer, Renate; Yu, Jun
54
2000
Model selection tests for nonlinear dynamic models. Zbl 1010.62110
Rivers, Douglas; Vuong, Quang
53
2002
Heteroscedasticity-robust \(C_p\) model averaging. Zbl 1521.62117
Liu, Qingfeng; Okui, Ryo
49
2013
Change-point monitoring in linear models. Zbl 1106.62067
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
48
2006
Non-monotonic hazard functions and the autoregressive conditional duration model. Zbl 1038.91523
Grammig, Joachim; Maurer, Kai-Oliver
47
2000
Representation theorem for convex nonparametric least squares. Zbl 1141.91640
Kuosmanen, Timo
44
2008
Modelling sample selection using Archimedean copulas. Zbl 1037.62047
Smith, Murray D.
42
2003
Pooling of forecasts. Zbl 1053.62104
Hendry, David F.; Clements, Michael P.
40
2004
Statistical algorithms for models in state space using SsfPack 2. 2. Zbl 0935.91034
Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A.
39
1999
Testing for stationarity in heterogeneous panel data. Zbl 0965.62102
Hadri, Kaddour
37
2000
Some tests for parameter constancy in cointegrated VAR-models. Zbl 0982.62072
Hansen, Henrik; Johansen, Søren
37
1999
Theory and inference for a Markov switching GARCH model. Zbl 1230.62115
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K.
36
2010
Critical values for multiple structural change tests. Zbl 1032.62064
Bai, Jushan; Perron, Pierre
36
2003
Two-step series estimation of sample selection models. Zbl 1181.62036
Newey, Whitney K.
33
2009
Nonlinear econometric models with cointegrated and deterministically trending regressors. Zbl 1007.62100
Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B.
32
2001
A full-factor multivariate GARCH model. Zbl 1065.91553
Vrontos, I. D.; Dellaportas, P.; Politis, D. N.
29
2003
Non-parametric time-varying coefficient panel data models with fixed effects. Zbl 1284.62222
Li, Degui; Chen, Jia; Gao, Jiti
28
2011
Modelling the differences in counted outcomes using bivariate copula models with applications to mismeasured counts. Zbl 1115.62329
Cameron, Colin A.; Li, Tong; Trivedi, Pravin K.; Zimmer, David M.
28
2004
A bias-adjusted LM test of error cross-section independence. Zbl 1135.91414
Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi
28
2008
Prediction-based estimating functions. Zbl 0998.62071
Sørensen, Michael
28
2000
Cointegration analysis in the presence of structural breaks in the deterministic trend. Zbl 0979.91070
Johansen, Søren; Mosconi, Rocco; Nielsen, Bent
28
2000
Estimation with weak instruments: accuracy of higher-order bias and MSE approximations. Zbl 1053.62128
Hahn, Jinyong; Hausman, Jerry; Kuersteiner, Guido
28
2004
Specification and estimation of social interaction models with network structures. Zbl 1217.91162
Lee, Lung-Fei; Liu, Xiaodong; Lin, Xu
26
2010
A simple approach to quantile regression for panel data. Zbl 1284.62258
Canay, Ivan A.
26
2011
Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application. Zbl 0935.91036
Munkin, Murat K.; Trivedi, Pravin K.
26
1999
Measurement of aggregate risk with copulas. Zbl 1125.91351
Junker, Markus; May, Angelika
26
2005
A heteroskedasticity and autocorrelation robust \(F\) test using an orthonormal series variance estimator. Zbl 1521.62174
Sun, Yixiao
26
2013
Copula-based nonlinear quantile autoregression. Zbl 1182.62175
Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie
24
2009
Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis. Zbl 0965.62074
Leybourne, Stephen J.; Newbold, Paul
24
2000
Unit root tests in three-regime SETAR models. Zbl 1096.62083
Kapetanios, George; Shin, Yongcheol
23
2006
The weak instrument problem of the system GMM estimator in dynamic panel data models. Zbl 1187.62139
Bun, Maurice J. G.; Windmeijer, Frank
23
2010
Semiparametric estimation and testing of the trend of temperature series. Zbl 1145.91381
Gao, Jiti; Hawthorne, Kim
23
2006
The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects. Zbl 1053.62068
Greene, William
23
2004
Bayesian inference on GARCH models using the Gibbs sampler. Zbl 07708411
Bauwens, Luc; Lubrano, Michel
23
1998
Vector equilibrium correction models with non-linear discontinuous adjustments. Zbl 1114.91338
Bec, Frédérique; Rahbek, Anders
22
2004
Tests for a change in persistence against the null of difference-stationarity. Zbl 1065.91552
Leybourne, Stephen; Kim, Tae-Hwan; Smith, Vanessa; Newbold, Paul
22
2003
Inference for Lorenz curve orderings. Zbl 0935.91033
Dardanoni, Valentino; Forcina, Antonio
22
1999
Residual-based diagnostics for conditional heteroscedasticity models. Zbl 1018.62053
Tse, Y. K.
22
2002
Identification of treatment response with social interactions. Zbl 1521.62217
Manski, Charles F.
22
2013
A bootstrap procedure for panel data sets with many cross-sectional units. Zbl 1141.91639
Kapetanios, G.
21
2008
Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
21
2007
Efficient GMM with nearly-weak instruments. Zbl 1182.62032
Antoine, Bertille; Renault, Eric
21
2009
Estimation of the mean of a univariate normal distribution with known variance. Zbl 0992.62025
Magnus, Jan R.
21
2002
Stochastic frontier models with dependent error components. Zbl 1135.91407
Smith, Murray D.
20
2008
Central limit theorems for conditional efficiency measures and tests of the ‘separability’ condition in non-parametric, two-stage models of production. Zbl 07547390
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W.
20
2018
Forecasting in dynamic factor models using Bayesian model averaging. Zbl 1063.62032
Koop, Gary; Potter, Simon
19
2004
Notation in econometrics: A proposal for a standard. Zbl 1037.62502
Abadir, Karim M.; Magnus, Jan R.
19
2002
The tapered block bootstrap for general statistics from stationary sequences. Zbl 1009.62034
Paparoditis, Efstathios; Politis, Dimitris N.
19
2002
Non-linear GARCH models for highly persistent volatility. Zbl 1095.91046
Lanne, Markku; Saikkonen, Pentti
18
2005
Identification and estimation of local average derivatives in non-separable models without monotonicity. Zbl 1190.62199
Hoderlein, Stefan; Mammen, Enno
17
2009
Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160
Nakatani, Tomoaki; Teräsvirta, Timo
17
2009
Asymptotic local power of pooled \(t\)-ratio tests for unit roots in panels with fixed effects. Zbl 1135.91413
Moon, Hyungsik Roger; Perron, Benoit
17
2008
Fully modified narrow-band least squares estimation of weak fractional cointegration. Zbl 1218.62095
Nielsen, Morten Ørregaard; Frederiksen, Per
16
2011
A Gaussian approach for continuous time models of the short-term interest rate. Zbl 1051.91516
Yu, Jun; Phillips, Peter C. B.
16
2001
ARMA representation of integrated and realized variances. Zbl 1036.62085
Meddahi, Nour
16
2003
Likelihood-based cointegration tests in heterogeneous panels. Zbl 0983.62086
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael
16
2001
On testing for unit roots and the initial observation. Zbl 1076.62088
Harvey, David I.; Leybourne, Stephen J.
16
2005
Testing linearity in cointegration smooth transition regressions. Zbl 1064.62096
Choi, In; Saikkonen, Pentti
15
2004
Goodness-of-fit tests for functional data. Zbl 1182.62096
Bugni, Federico A.; Hall, Peter; Horowitz, Joel L.; Neumann, George R.
15
2009
Testing for sphericity in a fixed effects panel data model. Zbl 1218.62055
Baltagi, Badi H.; Feng, Qu; Kao, Chihwa
15
2011
Functional-coefficient models under unit root behaviour. Zbl 1073.62075
Juhl, Ted
15
2005
Local sensitivity and diagnostic tests. Zbl 1116.62078
Magnus, Jan R.; Vasnev, Andrey L.
14
2007
Semiparametric cointegrating rank selection. Zbl 1182.62080
Cheng, Xu; Phillips, Peter C. B.
14
2009
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-\(t\) innovations. Zbl 1190.62155
Ardia, David
14
2009
Weighted composite quantile regression estimation of DTARCH models. Zbl 1521.62150
Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan
14
2014
Multivariate variance targeting in the BEKK-GARCH model. Zbl 1521.62165
Pedersen, Rasmus S.; Rahbek, Anders
14
2014
Rank estimation of a transformation model with observed truncation. Zbl 0965.91043
Abrevaya, Jason
13
1999
Distributions of error correction tests for cointegration. Zbl 1018.62107
Ericsson, Neil R.; MacKinnon, James G.
13
2002
Breaking the panels: an application to the GDP per capita. Zbl 1073.62114
Carrion-i-Silvestre, Josep Lluís; del Barrio-Castro, Tomás; López-Bazo, Enrique
13
2005
Common breaks in time trends for large panel data with a factor structure. Zbl 1521.62156
Kim, Dukpa
13
2014
Using mixtures in econometric models: a brief review and some new results. Zbl 1521.62209
Compiani, Giovanni; Kitamura, Yuichi
13
2016
Consistent tests for conditional treatment effects. Zbl 1521.62071
Hsu, Yu-Chin
13
2017
Instrumental regression in partially linear models. Zbl 1521.62049
Florens, Jean-Pierre; Johannes, Jan; Van Bellegem, Sébastien
13
2012
A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP. Zbl 07708412
Clements, Michael P.; Krolzig, Hans-Martin
13
1998
Simulation-based finite sample normality tests in linear regressions. Zbl 07708417
Dufour, Jean-Marie; Farhat, Abdeljelil; Gardiol, Lucien; Khalaf, Lynda
13
1998
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models. Zbl 1206.62045
Bravo, Francesco
12
2009
Semiparametric mixture models for multivariate count data, with application. Zbl 1064.62031
Alfò, Marco; Trovato, Giovanni
12
2004
More on monotone instrumental variables. Zbl 1182.91136
Manski, Charles F.; Pepper, John V.
12
2009
On the impact of error cross-sectional dependence in short dynamic panel estimation. Zbl 1190.62205
Sarafidis, Vasilis; Robertson, Donald
12
2009
A note on non-parametric estimation with predicted variables. Zbl 1206.62064
Sperlich, Stefan
12
2009
Linearity tests and stationarity. Zbl 1053.62020
Kiliç, Rehim
12
2004
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy. Zbl 1104.62334
Xiao, Zhijie; Phillips, Peter C. B.
12
1998
Are apparent findings of nonlinearity due to structural instability in economic time series? Zbl 0989.91086
Koop, Gary; Potter, Simon M.
12
2001
The practice of non-parametric estimation by solving inverse problems: the example of transformation models. Zbl 07708396
Fève, Frédérique; Florens, Jean-Pierre
12
2010
Some cautions on the use of panel methods for integrated series of macroeconomic data. Zbl 1114.91344
Banerjee, Anindya; Marcellino, Massimiliano; Osbat, Chiara
11
2004
An arbitrage-free generalized Nelson-Siegel term structure model. Zbl 1179.91246
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
11
2009
Multivariate stochastic volatility, leverage and news impact surfaces. Zbl 1231.91483
Asai, Manabu; McAleer, Michael
11
2009
The NIG-S& ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. Zbl 1048.91065
Jensen, Morten B.; Lunde, Asger
11
2001
A new technique for simulating the likelihood of stochastic differential equations. Zbl 1006.60049
Nicolau, João
11
2002
Indirect estimation of \(\alpha \)-stable distributions and processes. Zbl 1135.91406
Lombardi, Marco J.; Calzolari, Giorgio
11
2008
Signal extraction and the formulation of unobserved components models. Zbl 1018.62076
Harvey, Andrew; Koopman, Siem Jan
11
2000
Testing for linear autoregressive dynamics under heteroskedasticity. Zbl 0970.91058
Hafner, Christian M.; Herwartz, Helmut
11
2000
Testing for common trends in semi-parametric panel data models with fixed effects. Zbl 1242.91167
Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B.
11
2012
Incorporating covariates in the measurement of welfare and inequality: methods and applications. Zbl 1242.91058
Donald, Stephen G.; Hsu, Yu-Chin; Barrett, Garry F.
11
2012
Debiased machine learning of global and local parameters using regularized Riesz representers. Zbl 07626657
Chernozhukov, Victor; Newey, Whitney K.; Singh, Rahul
4
2022
Two-stage instrumental variable estimation of linear panel data models with interactive effects. Zbl 07626646
Cui, Guowei; Norkutė, Milda; Sarafidis, Vasilis; Yamagata, Takashi
2
2022
Double machine learning-based programme evaluation under unconfoundedness. Zbl 07626658
Knaus, Michael C.
2
2022
Optimal minimax rates against nonsmooth alternatives. Zbl 07626645
Hitomi, Kohtaro; Iwasawa, Masamune; Nishiyama, Yoshihiko
1
2022
Permanent-transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices. Zbl 07626653
Casoli, Chiara; Lucchetti, Riccardo Jack
1
2022
Doubly robust identification for causal panel data models. Zbl 07626660
Arkhangelsky, Dmitry; Imbens, Guido W.
1
2022
Distribution regression in duration analysis: an application to unemployment spells. Zbl 07626661
Delgado, Miguel A.; García-Suaza, Andrés; Sant’Anna, Pedro H. C.
1
2022
Bounding infection prevalence by bounding selectivity and accuracy of tests: with application to early COVID-19. Zbl 07546417
Stoye, Jörg
1
2022
The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy. Zbl 07546419
Cerqueti, Roy; Coppier, Raffaella; Girardi, Alessandro; Ventura, Marco
1
2022
Debiased machine learning of conditional average treatment effects and other causal functions. Zbl 07546401
Semenova, Vira; Chernozhukov, Victor
11
2021
Machine learning estimation of heterogeneous causal effects: empirical Monte Carlo evidence. Zbl 07546390
Knaus, Michael C.; Lechner, Michael; Strittmatter, Anthony
5
2021
Complete subset averaging with many instruments. Zbl 07546402
Lee, Seojeong; Shin, Youngki
3
2021
Large mixed-frequency VARs with a parsimonious time-varying parameter structure. Zbl 07546409
Götz, Thomas B.; Hauzenberger, Klemens
3
2021
Using a satisficing model of experimenter decision-making to guide finite-sample inference for compromised experiments. Zbl 07546394
Heckman, James J.; Karapakula, Ganesh
3
2021
Low-rank approximations of nonseparable panel models. Zbl 07546396
Fernández-Val, Iván; Freeman, Hugo; Weidner, Martin
2
2021
Forecasting using cross-section average-augmented time series regressions. Zbl 07546403
Karabiyik, Hande; Westerlund, Joakim
2
2021
Computing moment inequality models using constrained optimization. Zbl 07546407
Dong, Baiyu; Hsieh, Yu-Wei; Shum, Matthew
2
2021
Binary classification with covariate selection through \(\ell_0\)-penalised empirical risk minimisation. Zbl 07546388
Chen, Le-Yu; Lee, Sokbae
2
2021
A simple estimator for quantile panel data models using smoothed quantile regressions. Zbl 07546400
Chen, Liang; Huo, Yulong
1
2021
Units of measurement and the inverse hyperbolic sine transformation. Zbl 07546404
Aihounton, Ghislain B. D.; Henningsen, Arne
1
2021
Instrument-based estimation with binarised treatments: issues and tests for the exclusion restriction. Zbl 07546414
Andresen, Martin E.; Huber, Martin
1
2021
Double/debiased machine learning for logistic partially linear model. Zbl 07546415
Liu, Molei; Zhang, Yi; Zhou, Doudou
1
2021
Testing identification via heteroskedasticity in structural vector autoregressive models. Zbl 07546380
Lütkepohl, Helmut; Meitz, Mika; Netšunajev, Aleksei; Saikkonen, Pentti
1
2021
Online estimation of DSGE models. Zbl 07546383
Cai, Michael; Del Negro, Marco; Herbst, Edward; Matlin, Ethan; Sarfati, Reca; Schorfheide, Frank
1
2021
Identification of a class of index models: a topological approach. Zbl 07546389
Fosgerau, Mogens; Kristensen, Dennis
1
2021
Potential outcomes and finite-population inference for M-estimators. Zbl 07546391
Xu, Ruonan
1
2021
Optimal bandwidth choice for robust bias-corrected inference in regression discontinuity designs. Zbl 07546364
Calonico, Sebastian; Cattaneo, Matias D.; Farrell, Max H.
9
2020
Probabilistic forecasting of bubbles and flash crashes. Zbl 07546369
Banerjee, Anurag; Chevillon, Guillaume; Kratz, Marie
5
2020
Inference on finite-population treatment effects under limited overlap. Zbl 07546355
Hong, Han; Leung, Michael P.; Li, Jessie
4
2020
Double/debiased machine learning for difference-in-differences models. Zbl 07546363
Chang, Neng-Chieh
3
2020
Initial conditions of dynamic panel data models: on within and between equations. Zbl 07546359
Lee, Lung-fei; Yu, Jihai
2
2020
A new structural break test for panels with common factors. Zbl 07546360
Zhu, Huanjun; Sarafidis, Vasilis; Silvapulle, Mervyn J.
2
2020
Kernel estimation for panel data with heterogeneous dynamics. Zbl 07546361
Okui, Ryo; Yanagi, Takahide
2
2020
Multilayer network analysis of oil linkages. Zbl 07546368
Casarin, Roberto; Iacopini, Matteo; Molina, German; ter Horst, Enrique; Espinasa, Ramon; Sucre, Carlos; Rigobon, Roberto
2
2020
Artificial intelligence as structural estimation: Deep Blue, Bonanza, and AlphaGo. Zbl 07546371
Igami, Mitsuru
2
2020
Quantifying the impact of nonpharmaceutical interventions during the COVID-19 outbreak: the case of Sweden. Zbl 07546376
Cho, Sang-Wook (Stanley)
2
2020
Two-way exclusion restrictions in models with heterogeneous treatment effects. Zbl 07546377
Liu, Shenglong; Mourifié, Ismael; Wan, Yuanyuan
2
2020
Semiparametric estimation of generalized transformation panel data models with nonstationary error. Zbl 07546379
Wang, Xi; Chen, Songnian
2
2020
Wild bootstrap for fuzzy regression discontinuity designs: obtaining robust bias-corrected confidence intervals. Zbl 07546365
He, Yang; Bartalotti, Otávio
1
2020
Quantile coherency: a general measure for dependence between cyclical economic variables. Zbl 07547363
Baruník, Jozef; Kley, Tobias
8
2019
High-dimensional macroeconomic forecasting and variable selection via penalized regression. Zbl 07547358
Uematsu, Yoshimasa; Tanaka, Shinya
5
2019
On the role of covariates in the synthetic control method. Zbl 07547362
Botosaru, Irene; Ferman, Bruno
5
2019
Unobserved heterogeneity in auctions. Zbl 07547355
Haile, Philip A.; Kitamura, Yuichi
4
2019
Testing for constant correlation of filtered series under structural change. Zbl 07547357
Demetrescu, Matei; Wied, Dominik
4
2019
Estimating latent group structure in time-varying coefficient panel data models. Zbl 07547368
Chen, Jia
3
2019
Two-stage least squares as minimum distance. Zbl 07547354
Windmeijer, Frank
2
2019
Testing for moderate explosiveness. Zbl 07547360
Guo, Gangzheng; Sun, Yixiao; Wang, Shaoping
2
2019
Reconsideration of a simple approach to quantile regression for panel data. Zbl 07547372
Besstremyannaya, Galina; Golovan, Sergei
1
2019
Optimal panel unit root testing with covariates. Zbl 07547359
Juodis, Artūras; Westerlund, Joakim
1
2019
Testing collinearity of vector time series. Zbl 07547361
McElroy, Tucker S.; Jach, Agnieszka
1
2019
Inferential results for a new measure of inequality. Zbl 07547364
Davydov, Youri; Greselin, Francesca
1
2019
Double/debiased machine learning for treatment and structural parameters. Zbl 07565928
Chernozhukov, Victor; Chetverikov, Denis; Demirer, Mert; Duflo, Esther; Hansen, Christian; Newey, Whitney; Robins, James
154
2018
Central limit theorems for conditional efficiency measures and tests of the ‘separability’ condition in non-parametric, two-stage models of production. Zbl 07547390
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W.
20
2018
The wild bootstrap for few (treated) clusters. Zbl 07547388
MacKinnon, James G.; Webb, Matthew D.
9
2018
Adaptive wild bootstrap tests for a unit root with non-stationary volatility. Zbl 07547387
Boswijk, H. Peter; Zu, Yang
6
2018
Testing for changing volatility. Zbl 07547391
Wu, Jilin; Xiao, Zhijie
3
2018
Non-parametric inference on (conditional) quantile differences and interquantile ranges, using \(L\)-statistics. Zbl 07547389
Goldman, Matt; Kaplan, David M.
2
2018
Estimation of graphical models using the \(L_{1, 2}\) norm. Zbl 07547393
Chiong, Khai Xiang; Moon, Hyungsik Roger
2
2018
CCE in panels with general unknown factors. Zbl 07547394
Westerlund, Joakim
2
2018
A simple and robust estimator for linear regression models with strictly exogenous instruments. Zbl 07565931
Escanciano, Juan Carlos
1
2018
Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors. Zbl 07547392
Mu, Beili; Zhang, Zhengyu
1
2018
Beyond plausibly exogenous. Zbl 07547397
van Kippersluis, Hans; Rietveld, Cornelius A.
1
2018
Consistent tests for conditional treatment effects. Zbl 1521.62071
Hsu, Yu-Chin
13
2017
Multiple fixed effects in binary response panel data models. Zbl 07565919
Charbonneau, Karyne B.
11
2017
A survey of some recent applications of optimal transport methods to econometrics. Zbl 07565912
Galichon, Alfred
10
2017
Indirect inference in spatial autoregression. Zbl 07565914
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca
8
2017
Change point tests in functional factor models with application to yield curves. Zbl 1521.62141
Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; Young, Gabriel
8
2017
Peer effects in bedtime decisions among adolescents: a social network model with sampled data. Zbl 07565924
Liu, Xiaodong; Patacchini, Eleonora; Rainone, Edoardo
7
2017
Testing for changes in (extreme) VaR. Zbl 1521.62193
Hoga, Yannick
5
2017
Model-selection tests for conditional moment restriction models. Zbl 1521.62026
Hsu, Yu-Chin; Shi, Xiaoxia
5
2017
Semi-linear mode regression. Zbl 07565913
Krief, Jerome M.
5
2017
My friend far, far away: a random field approach to exponential random graph models. Zbl 07565920
Boucher, Vincent; Mourifié, Ismael
4
2017
Estimation of social-influence-dependent peer pressure in a large network game. Zbl 07565923
Lin, Zhongjian; Xu, Haiqing
4
2017
Trading networks. Zbl 07565925
Adamic, Lada; Brunetti, Celso; Harris, Jeffrey H.; Kirilenko, Andrei
3
2017
Least-squares estimation of GARCH(1,1) models with heavy-tailed errors. Zbl 07565916
Preminger, Arie; Storti, Giuseppe
2
2017
A sequential test for the specification of predictive densities. Zbl 07565915
Lin, Juan; Wu, Ximing
1
2017
Sparse estimation of huge networks with a block-wise structure. Zbl 07565922
Moscone, Francesco; Tosetti, Elisa; Vinciotti, Veronica
1
2017
An overview of the estimation of large covariance and precision matrices. Zbl 1521.62083
Fan, Jianqing; Liao, Yuan; Liu, Han
77
2016
Using mixtures in econometric models: a brief review and some new results. Zbl 1521.62209
Compiani, Giovanni; Kitamura, Yuichi
13
2016
Model averaging in predictive regressions. Zbl 1521.62116
Liu, Chu-An; Kuo, Biing-Shen
10
2016
Generalized dynamic factor models and volatilities: recovering the market volatility shocks. Zbl 1521.62189
Barigozzi, Matteo; Hallin, Marc
9
2016
Nonlinear panel data estimation via quantile regressions. Zbl 1521.62047
Arellano, Manuel; Bonhomme, Stéphane
9
2016
Validity of Edgeworth expansions for realized volatility estimators. Zbl 1521.62194
Hounyo, Ulrich; Veliyev, Bezirgen
6
2016
Nonparametric bootstrap tests for independence of generalized errors. Zbl 1521.62070
Du, Zaichao
5
2016
Lagrange multiplier type tests for slope homogeneity in panel data models. Zbl 1521.62066
Breitung, Jörg; Roling, Christoph; Salish, Nazarii
5
2016
Instrumental variable estimation of a spatial dynamic panel model with endogenous spatial weights when \(T\) is small. Zbl 1521.62169
Qu, Xi; Wang, Xiaoliang; Lee, Lung-fei
4
2016
Residuals-based tests for cointegration with generalized least-squares detrended data. Zbl 1521.62166
Perron, Pierre; Rodríguez, Gabriel
3
2016
Testing for error cross-sectional independence using pairwise augmented regressions. Zbl 1521.62118
Mao, Guangyu
3
2016
Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators. Zbl 1521.62067
Camponovo, Lorenzo
1
2016
Estimating a nonparametric triangular model with binary endogenous regressors. Zbl 1521.62040
Jun, Sung Jae; Pinkse, Joris; Xu, Haiqing
1
2016
Testing for structural change under non-stationary variances. Zbl 1521.62200
Xu, Ke-Li
11
2015
Nonparametric tests of conditional treatment effects with an application to single-sex schooling on academic achievements. Zbl 1521.62068
Chang, Minsu; Lee, Sokbae; Whang, Yoon-Jae
11
2015
Likelihood-based dynamic factor analysis for measurement and forecasting. Zbl 1521.62152
Jungbacker, Borus; Koopman, Siem Jan
10
2015
Identification and estimation of single-index models with measurement error and endogeneity. Zbl 1521.62051
Hu, Yingyao; Shiu, Ji-Liang; Woutersen, Tiemen
8
2015
Specification tests for nonlinear dynamic models. Zbl 1521.62155
Kheifets, Igor L.
6
2015
On bootstrap validity for specification tests with weak instruments. Zbl 1521.62036
Doko Tchatoka, Firmin
4
2015
Confidence sets for the break date based on optimal tests. Zbl 1521.62158
Kurozumi, Eiji; Yamamoto, Yohei
4
2015
Specification testing in nonstationary time series models. Zbl 1521.62143
Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan
3
2015
Maximization by parts in extremum estimation. Zbl 1521.62211
Fan, Yanqin; Pastorello, Sergio; Renault, Eric
3
2015
Non-standard rates of convergence of criterion-function-based set estimators for binary response models. Zbl 1521.62037
Blevins, Jason R.
3
2015
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Cited by 4,347 Authors

39 Phillips, Peter Charles Bonest
26 Zhang, Xinyu
25 Pesaran, M. Hashem
25 Taylor, A. M. Robert
24 Westerlund, Joakim
22 Cavaliere, Giuseppe
21 Kapetanios, George
20 Su, Liangjun
19 Horváth, Lajos
18 Gao, Jiti
18 Linton, Oliver Bruce
18 Shin, Dongwan
18 Yu, Jun
17 Baltagi, Badi H.
17 Zou, Guohua
16 Perron, Pierre
13 Cai, Zongwu
13 Leybourne, Stephen J.
12 Harvey, David I.
12 Kokoszka, Piotr S.
12 Rahbek, Anders
12 Wang, Qiying
11 Asai, Manabu
11 Aue, Alexander
11 Dufour, Jean-Marie
11 Frühwirth-Schnatter, Sylvia
11 Hafner, Christian Matthias
11 Hsiao, Cheng
11 Hušková, Marie
11 Kao, Chihwa
11 Li, Qi
11 Magnus, Jan R.
11 Saikkonen, Pentti
11 Shin, Yongcheol
11 Wan, Alan T. K.
11 Xiao, Zhijie
10 Bai, Jushan
10 Chen, Xiaohong
10 Chernozhukov, Victor
10 Florens, Jean-Pierre
10 Hsu, Yu-Chin
10 Koopman, Siem Jan
10 Kurozumi, Eiji
10 Lee, Lung-Fei
10 McAleer, Michael
10 Nielsen, Morten Ørregaard
10 Park, Joon Y.
10 Proietti, Tommaso
10 Sriboonchitta, Songsak
10 Sun, Yixiao
10 Tzavalis, Elias
10 Yamagata, Takashi
9 Ando, Tomohiro
9 Chen, Songnian
9 Fan, Jianqing
9 Hallin, Marc
9 Hendry, David F.
9 Hounyo, Ulrich
9 Karlis, Dimitris
9 Khalaf, Lynda
9 Peng, Bin
9 Rice, Gregory
9 Simar, Léopold
9 Sun, Yiguo
9 Tsionas, Mike G.
9 Urbain, Jean-Pierre
8 Chang, Yoosoon
8 Demetrescu, Matei
8 Fernández-Val, Iván
8 Johansen, Søren Glud
8 Lahiri, Soumendra Nath
8 Li, Degui
8 Mammen, Enno
8 Patton, Andrew J.
8 Renault, Eric
8 Rodrigues, Paulo M. M.
8 Sarafidis, Vasilis
8 Tu, Yundong
8 Wang, Hansheng
8 Zhang, Xibin
8 Zhu, Xuening
7 Anatolyev, Stanislav
7 Calzolari, Giorgio
7 Cheng, Xu
7 Chong, Terence Tai-Leung
7 Cook, Steven C.
7 Dette, Holger
7 Fan, Yanqin
7 Fang, Ying
7 Georgiev, Iliyan
7 Härdle, Wolfgang Karl
7 Hayakawa, Kazuhiko
7 Kristensen, Dennis
7 Kruse, Robinson
7 Kurita, Takamitsu
7 Lee, Junsoo
7 Nordman, Daniel J.
7 Okhrin, Ostap
7 Ooms, Marius
7 Politis, Dimitris Nicolas
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Cited in 229 Journals

684 Journal of Econometrics
218 Econometric Reviews
191 Econometric Theory
188 Computational Statistics and Data Analysis
110 Economics Letters
105 Journal of Time Series Analysis
69 Journal of the American Statistical Association
69 The Econometrics Journal
63 European Journal of Operational Research
58 Communications in Statistics. Simulation and Computation
58 Studies in Nonlinear Dynamics and Econometrics
55 Journal of Applied Statistics
52 Journal of Statistical Planning and Inference
51 Journal of Multivariate Analysis
50 Quantitative Finance
46 The Annals of Statistics
45 Journal of Statistical Computation and Simulation
42 Communications in Statistics. Theory and Methods
41 Electronic Journal of Statistics
39 Journal of Economic Dynamics & Control
33 Statistical Papers
31 Computational Statistics
28 Journal of Time Series Econometrics
27 Statistics & Probability Letters
26 Journal of Econometric Methods
25 Mathematics and Computers in Simulation
24 Journal of Business and Economic Statistics
23 Statistica Sinica
22 Journal of the Korean Statistical Society
21 Statistical Methods and Applications
19 Scandinavian Journal of Statistics
18 Annals of Operations Research
18 Bernoulli
18 The Annals of Applied Statistics
17 Statistica Neerlandica
17 Open Economies Review
17 Statistics and Computing
16 Biometrics
16 Statistics
14 Annals of the Institute of Statistical Mathematics
14 Insurance Mathematics & Economics
14 Test
14 Journal of Machine Learning Research (JMLR)
13 Journal of Forecasting
13 AStA. Advances in Statistical Analysis
12 The Canadian Journal of Statistics
12 Psychometrika
11 Metrika
11 Physica A
11 Statistical Science
11 Quantitative Economics
10 Journal of Systems Science and Complexity
9 International Statistical Review
9 Journal of Computational and Applied Mathematics
9 Journal of Nonparametric Statistics
9 Methodology and Computing in Applied Probability
9 Journal of Statistical Theory and Practice
8 International Economic Review
8 Metron
8 International Journal of Approximate Reasoning
8 Computational Economics
8 Brazilian Journal of Probability and Statistics
8 Science China. Mathematics
8 Bayesian Analysis
7 Stochastic Processes and their Applications
7 Bulletin of Economic Research
7 Sankhyā. Series B
6 Applied Mathematics and Computation
6 Acta Mathematicae Applicatae Sinica. English Series
6 International Transactions in Operational Research
6 Journal of the Royal Statistical Society. Series B. Statistical Methodology
6 Statistical Inference for Stochastic Processes
6 Applied Stochastic Models in Business and Industry
6 Statistical Modelling
6 Journal of Probability and Statistics
6 Dependence Modeling
5 Biometrical Journal
5 Operations Research
5 Discrete Dynamics in Nature and Society
5 International Journal of Theoretical and Applied Finance
5 Extremes
5 Macroeconomic Dynamics
5 Journal of Economic Growth
5 ASTIN Bulletin
5 Thai Journal of Mathematics
5 Statistical Methodology
5 Journal of the Japan Statistical Society. Japanese Issue
4 Journal of Applied Probability
4 Operations Research Letters
4 Neural Computation
4 International Journal of Computer Mathematics
4 Scandinavian Actuarial Journal
4 Asia-Pacific Financial Markets
4 Computational Management Science
4 Stochastics
4 Advances in Data Analysis and Classification. ADAC
4 Journal of Computational and Graphical Statistics
3 Advances in Applied Probability
3 The American Statistician
3 Journal of Mathematical Biology
...and 129 more Journals
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Cited in 38 Fields

3,008 Statistics (62-XX)
900 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
306 Numerical analysis (65-XX)
269 Probability theory and stochastic processes (60-XX)
98 Operations research, mathematical programming (90-XX)
49 Computer science (68-XX)
23 Systems theory; control (93-XX)
22 Biology and other natural sciences (92-XX)
13 Linear and multilinear algebra; matrix theory (15-XX)
12 Dynamical systems and ergodic theory (37-XX)
11 General and overarching topics; collections (00-XX)
11 Geophysics (86-XX)
8 Statistical mechanics, structure of matter (82-XX)
8 Information and communication theory, circuits (94-XX)
7 Calculus of variations and optimal control; optimization (49-XX)
6 History and biography (01-XX)
5 Combinatorics (05-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Real functions (26-XX)
4 Approximations and expansions (41-XX)
3 Integral equations (45-XX)
2 Number theory (11-XX)
2 Algebraic geometry (14-XX)
2 Ordinary differential equations (34-XX)
2 Partial differential equations (35-XX)
1 Mathematical logic and foundations (03-XX)
1 Functions of a complex variable (30-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Special functions (33-XX)
1 Difference and functional equations (39-XX)
1 Sequences, series, summability (40-XX)
1 Integral transforms, operational calculus (44-XX)
1 Functional analysis (46-XX)
1 Operator theory (47-XX)
1 Convex and discrete geometry (52-XX)
1 Mechanics of deformable solids (74-XX)
1 Quantum theory (81-XX)
1 Relativity and gravitational theory (83-XX)

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