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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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...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 Monfort, Alain
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 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 3,897 more Authors

Publications by Year

Citations contained in zbMATH Open

3,965 Publications have been cited 61,528 times in 24,558 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
458
1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
Ichimura, Hidehiko
392
1993
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
Baillie, Richard T.
347
1996
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
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter
322
1977
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
263
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.
230
1984
Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
Bougerol, Philippe; Picard, Nico
219
1992
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
Granger, C. W. J.
210
1980
Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
Blundell, Richard; Bond, Stephen
201
1998
Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
Newey, Whitney K.
200
1997
A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
Zheng, John Xu
198
1996
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
Arellano, Manuel; Bover, Olympia
196
1995
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
Fan, Jianqing; Fan, Yingying; Lv, Jinchi
196
2008
Censored regression quantiles. Zbl 0605.62139
Powell, James L.
194
1986
Analysis of time series subject to changes in regime. Zbl 0723.62050
Hamilton, James D.
187
1990
ARCH models as diffusion approximations. Zbl 0719.60089
Nelson, Daniel B.
185
1990
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
Hamilton, James D.; Susmel, Raul
184
1994
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
173
2003
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
Smith, Michael; Kohn, Robert
172
1996
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
165
2000
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
Manski, Charles F.
163
1975
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
Chamberlain, Gary
162
1987
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
161
2001
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
160
1990
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
Manski, Charles F.
159
1985
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
Han, Aaron K.
159
1987
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
159
1986
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
151
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
148
2011
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
147
2012
Consistent model specification tests. Zbl 0549.62076
Bierens, Herman J.
143
1982
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
143
1998
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
140
2002
Spurious regressions in econometrics. Zbl 0319.62072
Granger, C. W. J.; Newbold, P.
137
1974
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
135
1996
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
135
2003
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
135
2007
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
Robinson, P. M.
133
1991
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
133
2007
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
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
Seiford, Lawrence M.; Thrall, Robert M.
125
1990
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
123
2001
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
123
2004
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
122
1995
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
122
1998
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
121
1996
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
Patton, Andrew J.
119
2011
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
119
2006
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
118
1994
On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
117
2001
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
117
2002
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
117
2002
Least squares model averaging by Mallows criterion. Zbl 1431.62291
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua
114
2010
A Markov model for switching regressions. Zbl 0294.62087
Goldfeld, Stephen M.; Quandt, Richard E.
112
1973
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
111
1982
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
111
1996
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
111
2007
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
105
2007
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
103
2006
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
102
1985
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
101
2010
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
100
2011
On leverage in a stochastic volatility model. Zbl 1335.91116
Yu, Jun
98
2005
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
97
1993
Tobit models: A survey. Zbl 0539.62121
Amemiya, Takeshi
96
1984
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
96
2007
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
96
2004
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
95
1985
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
95
2006
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
92
2000
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
92
2010
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
92
2004
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
92
2007
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
90
1995
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
90
1998
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
Härdle, W.; Tsybakov, A.
90
1997
Estimation of spatial autoregressive panel data models with fixed effects. Zbl 1431.62643
Lee, Lung-fei; Yu, Jihai
90
2010
On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196
Diebold, Francis X.; Yılmaz, Kamil
89
2014
Exact and superlative index numbers. Zbl 0387.90046
Diewert, W. E.
88
1976
Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656
Corsi, Fulvio; Pirino, Davide; Renò, Roberto
88
2010
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
86
1995
Common breaks in means and variances for panel data. Zbl 1431.62353
Bai, Jushan
86
2010
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
86
2008
Multivariate regression models for panel data. Zbl 0512.62115
Chamberlain, Gary
85
1982
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
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
84
1999
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
84
2011
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
83
2003
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
83
2010
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
83
2004
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
Gallant, A. Ronald
81
1981
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
Goffe, William L.; Ferrier, Gary D.; Rogers, John
81
1994
Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
Singleton, Kenneth J.
81
2001
Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables. Zbl 0970.62082
Lewbel, Arthur
80
2000
Predicting volatility: getting the most out of return data sampled at different frequencies. Zbl 1337.62363
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen
80
2006
Panel data models with spatially correlated error components. Zbl 1418.62482
Kapoor, Mudit; Kelejian, Harry H.; Prucha, Ingmar R.
78
2007
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. Zbl 07822335
Windmeijer, Frank
1
2024
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. Zbl 07813999
Chang, Jinyuan; Hu, Qiao; Liu, Cheng; Tang, Cheng Yong
1
2024
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
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. Zbl 07648719
Wang, Xiaohu; Xiao, Weilin; Yu, Jun
5
2023
Cluster-robust inference: a guide to empirical practice. Zbl 07648714
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
4
2023
Time series analysis of COVID-19 infection curve: a change-point perspective. Zbl 07633053
Jiang, Feiyu; Zhao, Zifeng; Shao, Xiaofeng
4
2023
Large dimensional latent factor modeling with missing observations and applications to causal inference. Zbl 07659421
Xiong, Ruoxuan; Pelger, Markus
4
2023
Refining set-identification in VARs through independence. Zbl 07704516
Drautzburg, Thorsten; Wright, Jonathan H.
3
2023
Nowcasting the output gap. Zbl 07633054
Berger, Tino; Morley, James; Wong, Benjamin
3
2023
Sparse spatio-temporal autoregressions by profiling and bagging. Zbl 07633060
Ma, Yingying; Guo, Shaojun; Wang, Hansheng
3
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
Synthetic learner: model-free inference on treatments over time. Zbl 07693690
Viviano, Davide; Bradic, Jelena
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
PELVE: probability equivalent level of VaR and ES. Zbl 07674661
Li, Hengxin; Wang, Ruodu
2
2023
Reprint of: Generalized autoregressive conditional heteroskedasticity. Zbl 07674636
Bollerslev, Tim
2
2023
Quasi score-driven models. Zbl 07674657
Blasques, F.; Francq, Christian; Laurent, Sébastien
2
2023
Global robust Bayesian analysis in large models. Zbl 07704467
Ho, Paul
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
Bootstrap specification tests for dynamic conditional distribution models. Zbl 07704480
Perera, Indeewara; Silvapulle, Mervyn J.
2
2023
Comparing stochastic volatility specifications for large Bayesian VARs. Zbl 07704499
Chan, Joshua C. C.
2
2023
High-dimensional conditionally Gaussian state space models with missing data. Zbl 07729865
Chan, Joshua C. C.; Poon, Aubrey; Zhu, Dan
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 1532.62047
Phillips, Peter C. B.; Wang, Ying
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
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
Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055
Gourieroux, C.; Jasiak, J.
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
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
Comparing forecasting performance in cross-sections. Zbl 07767719
Qu, Ritong; Timmermann, Allan; Zhu, Yinchu
2
2023
Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 07674639
Diebold, Francis X.; Yılmaz, Kamil
1
2023
Bias reduction in spot volatility estimation from options. Zbl 07674649
Todorov, Viktor; Zhang, Yang
1
2023
Maximum likelihood estimation of stochastic frontier models with endogeneity. Zbl 07674650
Centorrino, Samuele; Pérez-Urdiales, María
1
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
Testing stochastic dominance with many conditioning variables. Zbl 07704463
Linton, Oliver; Seo, Myung Hwan; Whang, Yoon-Jae
1
2023
Profile GMM estimation of panel data models with interactive fixed effects. Zbl 07704479
Hong, Shengjie; Su, Liangjun; Jiang, Tao
1
2023
Testing the martingale difference hypothesis in high dimension. Zbl 07704481
Chang, Jinyuan; Jiang, Qing; Shao, Xiaofeng
1
2023
Semiparametric partially linear varying coefficient modal regression. Zbl 07704482
Ullah, Aman; Wang, Tao; Yao, Weixin
1
2023
Penalized time-varying model averaging. Zbl 07704496
Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu
1
2023
Time-varying unobserved heterogeneity in earnings shocks. Zbl 07704497
Botosaru, Irene
1
2023
Estimation and identification of latent group structures in panel data. Zbl 07704501
Mehrabani, Ali
1
2023
Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model. Zbl 07704504
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan
1
2023
Inference and forecasting for continuous-time integer-valued trawl processes. Zbl 07743048
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.
1
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
1
2023
It ain’t where you’re from, it’s where you’re at: hiring origins, firm heterogeneity, and wages. Zbl 07667906
Di Addario, Sabrina; Kline, Patrick; Saggio, Raffaele; Sølvsten, Mikkel
1
2023
Do firm effects drift? Evidence from Washington administrative data. Zbl 07667907
Lachowska, Marta; Mas, Alexandre; Saggio, Raffaele; Woodbury, Stephen A.
1
2023
Gender differences in sorting on wages and risk. Zbl 07667912
Lavetti, Kurt; Schmutte, Ian M.
1
2023
Estimation of spillover effects with matched data or longitudinal network data. Zbl 07667920
Braun, Martin; Verdier, Valentin
1
2023
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Zbl 07704484
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Shin, Minchul
1
2023
Nonparametric identification and estimation of the extended Roy model. Zbl 07704485
Lee, Ji Hyung; Park, Byoung G.
1
2023
The role of score and information bias in panel data likelihoods. Zbl 07704490
Schumann, Martin; Severini, Thomas A.; Tripathi, Gautam
1
2023
A functional estimation approach to the first-price auction models. Zbl 07704506
Enache, Andreea; Florens, Jean-Pierre; Sbai, Erwann
1
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
1
2023
Debiased machine learning of set-identified linear models. Zbl 07704512
Semenova, Vira
1
2023
Jackknife estimation of a cluster-sample IV regression model with many weak instruments. Zbl 07704513
Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen
1
2023
Spatial autoregressions with an extended parameter space and similarity-based weights. Zbl 07704514
Rossi, Francesca; Lieberman, Offer
1
2023
Wild bootstrap inference for penalized quantile regression for longitudinal data. Zbl 07704515
Lamarche, Carlos; Parker, Thomas
1
2023
Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators. Zbl 07704517
Chen, Jiafeng; Chen, Xiaohong; Tamer, Elie
1
2023
Identifying latent group structures in spatial dynamic panels. Zbl 07704522
Su, Liangjun; Wang, Wuyi; Xu, Xingbai
1
2023
One-way or two-way factor model for matrix sequences? Zbl 07704523
He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long
1
2023
Policy evaluation during a pandemic. Zbl 07729858
Callaway, Brantly; Li, Tong
1
2023
Nowcasting in a pandemic using non-parametric mixed frequency VARs. Zbl 07633056
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, Michael; Schreiner, Josef
1
2023
How to go viral: a COVID-19 model with endogenously time-varying parameters. Zbl 07633057
Ho, Paul; Lubik, Thomas A.; Matthes, Christian
1
2023
A spatial panel quantile model with unobserved heterogeneity. Zbl 07633063
Ando, Tomohiro; Li, Kunpeng; Lu, Lina
1
2023
A discrete-time hedging framework with multiple factors and fat tails: on what matters. Zbl 07648720
Augustyniak, Maciej; Badescu, Alexandru; Bégin, Jean-François
1
2023
Scalable inference for a full multivariate stochastic volatility model. Zbl 07648724
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina; Plataniotis, Anastasios
1
2023
Corrigendum to “Local mispricing and microstructural noise: a parametric perspective”. Zbl 07648729
Andersen, Torben G.; Archakov, Ilya; Cebiroglu, Gökhan; Hautsch, Nikolaus
1
2023
Firm pay dynamics. Zbl 07667908
Engbom, Niklas; Moser, Christian; Sauermann, Jan
1
2023
Shrinkage estimation of network spillovers with factor structured errors. Zbl 07659412
Higgins, Ayden; Martellosio, Federico
1
2023
Group fused Lasso for large factor models with multiple structural breaks. Zbl 07659415
Ma, Chenchen; Tu, Yundong
1
2023
Information criteria for latent factor models: a study on factor pervasiveness and adaptivity. Zbl 07659419
Guo, Xiao; Chen, Yu; Tang, Cheng Yong
1
2023
Testing for structural changes in large dimensional factor models via discrete Fourier transform. Zbl 07659422
Fu, Zhonghao; Hong, Yongmiao; Wang, Xia
1
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
1
2023
On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference. Zbl 07693699
Van de Sijpe, Nicolas; Windmeijer, Frank
1
2023
Bootstrap inference for Hawkes and general point processes. Zbl 07693701
Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; Stærk-Østergaard, Jacob
1
2023
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
2023
A condition for the identification of multivariate models with binary instruments. Zbl 07693705
Gunsilius, Florian F.
1
2023
Estimation of treatment effects under endogenous heteroskedasticity. Zbl 07693681
Abrevaya, Jason; Xu, Haiqing
1
2023
Forward-selected panel data approach for program evaluation. Zbl 07693683
Shi, Zhentao; Huang, Jingyi
1
2023
Identification and estimation of spillover effects in randomized experiments. Zbl 07767698
Vazquez-Bare, Gonzalo
1
2023
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
1
2023
Inference under covariate-adaptive randomization with imperfect compliance. Zbl 07767701
Bugni, Federico A.; Gao, Mengsi
1
2023
Volatility measurement with pockets of extreme return persistence. Zbl 07767714
Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo
1
2023
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Zbl 07767718
Gorgi, P.; Koopman, S. J.
1
2023
Evaluating forecast performance with state dependence. Zbl 07767720
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik
1
2023
CRPS learning. Zbl 07767721
Berrisch, Jonathan; Ziel, Florian
1
2023
Optimal model averaging based on forward-validation. Zbl 07767724
Zhang, Xiaomeng; Zhang, Xinyu
1
2023
Time-varying forecast combination for high-dimensional data. Zbl 07767735
Chen, Bin; Maung, Kenwin
1
2023
Business-cycle consumption risk and asset prices. Zbl 07767738
Bandi, Federico M.; Tamoni, Andrea
1
2023
Instrument validity for heterogeneous causal effects. Zbl 07767744
Sun, Zhenting
1
2023
...and 1382 more Documents
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131 Phillips, Peter Charles Bonest
87 Taylor, A. M. Robert
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73 Baltagi, Badi H.
73 McAleer, Michael
65 Horváth, Lajos
65 Li, Qi
63 Lee, Lung-Fei
62 Pesaran, M. Hashem
60 Dette, Holger
60 Su, Liangjun
60 Tsionas, Mike G.
59 Gao, Jiti
57 Kapetanios, George
57 Robinson, Peter Michael
57 Zhang, Xinyu
53 Gourieroux, Christian
52 Fan, Jianqing
52 Härdle, Wolfgang Karl
52 Leybourne, Stephen J.
51 Zhu, Lixing
50 Hsiao, Cheng
49 Van Keilegom, Ingrid
48 Ullah, Aman
48 Wan, Alan T. K.
47 Kumbhakar, Subal Chandra
47 Perron, Pierre
46 Cavaliere, Giuseppe
45 Simar, Léopold
44 Dufour, Jean-Marie
44 Surgailis, Donatas
43 Lee, Sangyeol
42 Kokoszka, Piotr S.
42 Koop, Gary
42 Schmidt, Peter
41 Chen, Xiaohong
41 Francq, Christian
41 Lian, Heng
40 Bodnar, Taras
40 Gil-Alana, Luis Alberiko
40 Hallin, Marc
40 Zou, Guohua
39 Cai, Zongwu
39 Franses, Philip Hans
39 Li, Wai Keung
39 Todorov, Viktor
39 Xiao, Zhijie
38 Peng, Liang
38 Renault, Eric
38 Westerlund, Joakim
37 Chan, Ngai Hang
37 Fan, Yanqin
37 King, Maxwell Leslie
36 Chen, Cathy W. S.
36 Ling, Shiqing
36 Nadarajah, Saralees
36 Tjøstheim, Dag B.
36 Yu, Jun
36 Zakoïan, Jean-Michel
35 Barnett, William Arnold
35 Florens, Jean-Pierre
35 Ghysels, Eric
35 Harvey, David I.
35 Siu, Tak Kuen
34 Chen, Songnian
34 Hong, Yongmiao
34 Hu, Yingyao
34 Nielsen, Morten Ørregaard
34 White, Halbert Lynn jun.
33 Hassler, Uwe
33 Herwartz, Helmut
33 Ohtani, Kazuhiro
33 Otsu, Taisuke
32 Bai, Jushan
32 Chernozhukov, Victor
32 Li, Degui
32 Lütkepohl, Helmut
32 Steel, Mark F. J.
32 Zhou, Yong
31 Gerlach, Richard H.
31 Giraitis, Liudas
31 Hall, Alastair R.
31 Hušková, Marie
31 Politis, Dimitris Nicolas
31 Rahbek, Anders
31 You, Jinhong
30 Aït-Sahalia, Yacine
30 Escanciano, Juan Carlos
30 Hendry, David F.
30 Koul, Hira Lal
30 Liang, Hua
30 Rodrigues, Paulo M. M.
30 Tsionas, Efthymios G.
29 Koopman, Siem Jan
29 Lewbel, Arthur
29 Newey, Whitney Kent
29 Park, Joon Y.
29 Sriboonchitta, Songsak
29 Tauchen, George E.
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