Journal of Econometrics Short Title: J. Econom. Publisher: Elsevier (North-Holland), Amsterdam ISSN: 0304-4076 Online: https://www.sciencedirect.com/journal/journal-of-econometrics/issues Comments: Journal; Indexed cover-to-cover Documents Indexed: 4,827 Publications (since 1973) References Indexed: 4,742 Publications with 169,384 References. all top 5 Latest Issues 246, No. 1-2 (2024) 245, No. 1-2 (2024) 244, No. 2 (2024) 244, No. 1 (2024) 243, No. 1-2 (2024) 242, No. 2 (2024) 242, No. 1 (2024) 241, No. 2 (2024) 241, No. 1 (2024) 240, No. 2 (2024) 240, No. 1 (2024) 239, No. 2 (2024) 239, No. 1 (2024) 238, No. 2 (2024) 238, No. 1 (2024) 237, No. 2, Part C (2023) 237, No. 2, Part B (2023) 237, No. 2, Part A (2023) 237, No. 1 (2023) 236, No. 2 (2023) 236, No. 1 (2023) 235, No. 2 (2023) 235, No. 1 (2023) 234, No. 2 (2023) 234, No. 1 (2023) 234, Suppl. 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Hashem 38 Schmidt, Peter 34 Li, Qi 34 Taylor, A. M. Robert 33 Su, Liangjun 32 Robinson, Peter Michael 31 Gourieroux, Christian 30 Bollerslev, Tim 29 Ghysels, Eric 28 Gallant, A. Ronald 28 Hsiao, Cheng 27 Gao, Jiti 27 White, Halbert Lynn jun. 26 Aït-Sahalia, Yacine 26 Baltagi, Badi H. 26 Dufour, Jean-Marie 26 Granger, Clive William John 26 Park, Joon Y. 26 Renault, Eric 25 Chen, Songnian 25 Koop, Gary 24 Bai, Jushan 24 Zellner, Arnold 23 Chen, Xiaohong 23 Yu, Jun 22 McAleer, Michael 22 Swanson, Norman Rasmus 22 Tauchen, George E. 22 van Dijk, Herman K. 21 Timmermann, Allan G. 21 Todorov, Viktor 20 Corradi, Valentina 20 Diebold, Francis Xavier 20 Inoue, Atsushi 20 Koopman, Siem Jan 20 Lewbel, Arthur 20 Monfort, Alain 20 Newey, Whitney Kent 20 Perron, Pierre 20 Xiao, Zhijie 19 Andrews, Donald Wilfrid Kao 19 Chib, Siddhartha 19 Hendry, David F. 19 Hong, Yongmiao 19 Horowitz, Joel Lawrence 18 Fan, Yanqin 18 Hausman, Jerry Allen 18 Hu, Yingyao 18 Ng, Serena 17 Andersen, Torben G. 17 Geweke, John F. 17 Powell, James L. 17 Sasaki, Yuya 17 Sentana, Enrique 16 Cai, Zongwu 16 Fan, Jianqing 16 Hallin, Marc 16 Heckman, James Joseph 16 Hidalgo, Javier 16 Judge, George G. 16 Leybourne, Stephen J. 16 Maasoumi, Esfandiar 16 Manski, Charles F. 16 Steel, Mark F. J. 16 Sun, Yixiao 16 Whang, Yoon-Jae 15 Barnett, William Arnold 15 Francq, Christian 15 Hall, Alastair R. 15 Hong, Han 15 King, Maxwell Leslie 15 Li, Tong 15 Lütkepohl, Helmut 15 Magnus, Jan R. 15 Mykland, Per Aslak 15 Patton, Andrew J. 15 Simar, Léopold 15 Wooldridge, Jeffrey M. 14 Boswijk, H. Peter 14 Chernozhukov, Victor 14 Engle, Robert Fry 14 Florens, Jean-Pierre 14 Johansen, Søren Glud 14 Kapetanios, George 14 Kumbhakar, Subal Chandra 14 Lee, Sokbae 14 Nielsen, Morten Ørregaard 14 Prucha, Ingmar R. 14 Shephard, Neil 14 Smith, Richard J. 13 Blundell, Richard W. 13 Delgado, Miguel Ángel 13 Giraitis, Liudas 13 Hansen, Bruce E. 13 Hoderlein, Stefan G. N. 13 Imbens, Guido Wilhelmus 13 Khan, Shakeeb ...and 3,989 more Authors all top 5 Fields 4,702 Statistics (62-XX) 1,713 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 217 Numerical analysis (65-XX) 195 Probability theory and stochastic processes (60-XX) 120 General and overarching topics; collections (00-XX) 56 Operations research, mathematical programming (90-XX) 22 History and biography (01-XX) 16 Systems theory; control (93-XX) 14 Geophysics (86-XX) 9 Linear and multilinear algebra; matrix theory (15-XX) 9 Computer science (68-XX) 9 Biology and other natural sciences (92-XX) 5 Functional analysis (46-XX) 4 Information and communication theory, circuits (94-XX) 3 Combinatorics (05-XX) 3 Real functions (26-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-XX) 1 Functions of a complex variable (30-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 4,105 Publications have been cited 68,120 times in 26,768 Documents Cited by ▼ Year ▼ Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119 Bollerslev, Tim 1,925 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 484 1992 Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079 Ichimura, Hidehiko 422 1993 Long memory processes and fractional integration in econometrics. Zbl 0854.62099 Baillie, Richard T. 360 1996 Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026 Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter 348 1977 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057 Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 338 1992 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085 Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 275 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. 254 1985 Least absolute deviations estimation for the censored regression model. Zbl 0571.62100 Powell, James L. 240 1984 Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049 Newey, Whitney K. 225 1997 Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087 Bougerol, Philippe; Picard, Nico 225 1992 Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108 Granger, C. W. J. 223 1980 High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185 Fan, Jianqing; Fan, Yingying; Lv, Jinchi 216 2008 Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112 Blundell, Richard; Bond, Stephen 215 1998 Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099 Arellano, Manuel; Bover, Olympia 210 1995 A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030 Zheng, John Xu 209 1996 Censored regression quantiles. Zbl 0605.62139 Powell, James L. 206 1986 Analysis of time series subject to changes in regime. Zbl 0723.62050 Hamilton, James D. 202 1990 Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950 Hamilton, James D.; Susmel, Raul 195 1994 ARCH models as diffusion approximations. Zbl 0719.60089 Nelson, Daniel B. 191 1990 Testing for unit roots in heterogeneous panels. Zbl 1041.62075 Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol 187 2003 Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068 Manski, Charles F. 181 1975 Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063 Han, Aaron K. 179 1987 Jackknife model averaging. Zbl 1441.62721 Hansen, Bruce E.; Racine, Jeffrey S. 179 2012 Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118 Bates, David S. 178 2000 Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040 Chamberlain, Gary 178 1987 Nonparametric regression using Bayesian variable selection. Zbl 0864.62025 Smith, Michael; Kohn, Robert 176 1996 Long memory and regime switching. Zbl 1040.62109 Diebold, Francis X.; Inoue, Atsushi 170 2001 Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096 Manski, Charles F. 168 1985 Understanding spurious regressions in econometrics. Zbl 0602.62098 Phillips, P. C. B. 167 1986 Seasonal integration and cointegration. Zbl 0709.62102 Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. 164 1990 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 163 2011 Consistent model specification tests. Zbl 0549.62076 Bierens, Herman J. 162 1982 Alternative models for stock price dynamics. Zbl 1043.62087 Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George 155 2003 An MCMC approach to classical estimation. Zbl 1043.62022 Chernozhukov, Victor; Hong, Han 151 2003 Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539 Chib, Siddhartha; Nardari, Federico; Shephard, Neil 148 2002 Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086 Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. 148 1996 Spurious regressions in econometrics. Zbl 0319.62072 Granger, C. W. J.; Newbold, P. 147 1974 Limit theory for moderate deviations from a unit root. Zbl 1418.62348 Phillips, Peter C. B.; Magdalinos, Tassos 146 2007 The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116 Breidt, F. Jay; Crato, Nuno; de Lima, Pedro 145 1998 Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535 Simar, Léopold; Wilson, Paul W. 142 2007 Forecasting the term structure of government bond yields. Zbl 1337.62324 Diebold, Francis X.; Li, Canlin 142 2006 Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830 Patton, Andrew J. 141 2011 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560 Bollerslev, Tim; Mikkelsen, Hans Ole 140 1996 Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254 Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. 139 2004 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070 Robinson, P. M. 136 1991 Least squares model averaging by Mallows criterion. Zbl 1431.62291 Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua 134 2010 Dynamic linear models with Markov-switching. Zbl 0795.62104 Kim, Chang-Jin 133 1994 Estimation and comparison of multiple change-point models. Zbl 1045.62510 Chib, Siddhartha 133 1998 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. 133 1990 Benchmark priors for Bayesian model averaging. Zbl 1091.62507 Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J. 130 2001 On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019 Kelejian, Harry H.; Prucha, Ingmar R. 130 2001 Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015 Seiford, Lawrence M.; Thrall, Robert M. 128 1990 Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079 Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James 124 2002 Efficient estimation of models for dynamic panel data. Zbl 0831.62094 Ahn, Seung C.; Schmidt, Peter 123 1995 Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306 Cai, Zongwu 122 2007 Nonparametric frontier estimation: A robust approach. Zbl 1051.62116 Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold 122 2002 Estimation of copula-based semiparametric time series models. Zbl 1337.62201 Chen, Xiaohong; Fan, Yanqin 119 2006 A Markov model for switching regressions. Zbl 0294.62087 Goldfeld, Stephen M.; Quandt, Richard E. 119 1973 Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626 Ding, Zhuanxin; Granger, Clive W. J. 117 1996 GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476 Lee, Lung-fei 115 2007 Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062 Racine, Jeff; Li, Qi 114 2004 Formulation and estimation of dynamic models using panel data. Zbl 0487.62099 Anderson, T. W.; Hsiao, Cheng 114 1982 Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636 Kelejian, Harry H.; Prucha, Ingmar R. 113 2010 Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010 Chib, Siddhartha 112 1996 Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063 Ahn, Hyungtaik; Powell, James L. 111 1993 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425 Chen, Xiaohong; Fan, Yanqin 111 2006 Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911 Zhang, Lan 110 2011 On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196 Diebold, Francis X.; Yılmaz, Kamil 107 2014 Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485 Xiu, Dacheng 107 2010 On leverage in a stochastic volatility model. Zbl 1335.91116 Yu, Jun 106 2005 Tobit models: A survey. Zbl 0539.62121 Amemiya, Takeshi 106 1984 Generalized method of moments specification testing. Zbl 0606.62132 Newey, Whitney K. 106 1985 Common breaks in means and variances for panel data. Zbl 1431.62353 Bai, Jushan 103 2010 Estimation of spatial autoregressive panel data models with fixed effects. Zbl 1431.62643 Lee, Lung-fei; Yu, Jihai 101 2010 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517 Gonçalves, Sıĺvia; Kilian, Lutz 101 2004 Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207 Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi 100 2007 Nonparametric risk management and implied risk aversion. Zbl 0952.62091 Aït-Sahalia, Yacine; Lo, Andrew W. 98 2000 Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656 Corsi, Fulvio; Pirino, Davide; Renò, Roberto 98 2010 A generalization of the beta distribution with applications. Zbl 0813.62011 McDonald, James B.; Xu, Yexiao J. 97 1995 Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104 Pesaran, M. Hashem; Smith, Ron 96 1995 Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047 Härdle, W.; Tsybakov, A. 95 1997 Simultaneous equations models in applied search theory. Zbl 0578.62099 Lancaster, Tony 95 1985 Testing for a unit root in panels with dynamic factors. Zbl 1282.62201 Moon, Hyungsik Roger; Perron, Benoit 95 2004 Semiparametric instrumental variable estimation of treatment response models. Zbl 1038.62113 Abadie, Alberto 94 2003 Econometric specification of stochastic discount factor models. Zbl 1420.91461 Gourieroux, C.; Monfort, A. 94 2007 Exact and superlative index numbers. Zbl 0387.90046 Diewert, W. E. 93 1976 The wild bootstrap, tamed at last. Zbl 1418.62183 Davidson, Russell; Flachaire, Emmanuel 92 2008 Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577 Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan 92 2011 A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031 Li, Qi; Wang, Suojin 91 1998 GMM estimation with cross sectional dependence. Zbl 0944.62117 Conley, T. G. 91 1999 Multivariate regression models for panel data. Zbl 0512.62115 Chamberlain, Gary 91 1982 Predicting volatility: getting the most out of return data sampled at different frequencies. Zbl 1337.62363 Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen 90 2006 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 90 2010 Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables. Zbl 0970.62082 Lewbel, Arthur 89 2000 Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large. Zbl 1418.62549 Yu, Jihai; de Jong, Robert; Lee, Lung-fei 88 2008 The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122 Jones, Christopher S. 87 2003 The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397 Gourieroux, C.; Jasiak, J.; Sufana, R. 87 2009 Instrumental quantile regression inference for structural and treatment effect models. Zbl 1337.62353 Chernozhukov, Victor; Hansen, Christian 86 2006 Robust inference on average treatment effects with possibly more covariates than observations. Zbl 1337.62113 Farrell, Max H. 86 2015 Modelling cycles in climate series: the fractional sinusoidal waveform process. Zbl 07813983 Proietti, Tommaso; Maddanu, Federico 3 2024 Retire: robust expectile regression in high dimensions. Zbl 07814015 Man, Rebeka; Tan, Kean Ming; Wang, Zian; Zhou, Wen-Xin 3 2024 Testing equality of several distributions in separable metric spaces: a maximum mean discrepancy based approach. Zbl 07813996 Zhang, Jin-Ting; Guo, Jia; Zhou, Bu 3 2024 Maximum likelihood estimation of latent Markov models using closed-form approximations. Zbl 07822327 Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu 2 2024 Beyond RCP8.5: marginal mitigation using quasi-representative concentration pathways. Zbl 07813982 Miller, J. Isaac; Brock, William A. 2 2024 The validity of bootstrap testing for threshold autoregression. Zbl 07813985 Giannerini, Simone; Goracci, Greta; Rahbek, Anders 2 2024 Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. Zbl 07813999 Chang, Jinyuan; Hu, Qiao; Liu, Cheng; Tang, Cheng Yong 2 2024 A generalized knockoff procedure for FDR control in structural change detection. Zbl 07814000 Liu, Jingyuan; Sun, Ao; Ke, Yuan 2 2024 Inferential theory for generalized dynamic factor models. Zbl 07814012 Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; Zaffaroni, Paolo 2 2024 Unconditional effects of general policy interventions. Zbl 07803952 Martínez-Iriarte, Julián; Montes-Rojas, Gabriel; Sun, Yixiao 2 2024 Covariate adjustment in experiments with matched pairs. Zbl 07863970 Bai, Yuehao; Jiang, Liang; Romano, Joseph P.; Shaikh, Azeem M.; Zhang, Yichong 2 2024 Hypothesis testing on high dimensional quantile regression. Zbl 07803924 Chen, Zhao; Cheng, Vivian Xinyi; Liu, Xu 1 2024 Asset pricing with neural networks: significance tests. Zbl 07803940 Fallahgoul, Hasan; Franstianto, Vincentius; Lin, Xin 1 2024 Maximum likelihood estimation for non-stationary location models with mixture of normal distributions. Zbl 07803941 Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan 1 2024 Locally robust inference for non-Gaussian linear simultaneous equations models. Zbl 07822304 Lee, Adam; Mesters, Geert 1 2024 Bias in local projections. Zbl 07822306 Herbst, Edward P.; Johannsen, Benjamin K. 1 2024 Local regression distribution estimators. Zbl 07822331 Cattaneo, Matias D.; Jansson, Michael; Ma, Xinwei 1 2024 Using Wasserstein generative adversarial networks for the design of Monte Carlo simulations. Zbl 07822333 Athey, Susan; Imbens, Guido W.; Metzger, Jonas; Munro, Evan 1 2024 Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. Zbl 07822335 Windmeijer, Frank 1 2024 One instrument to rule them all: the bias and coverage of just-ID IV. Zbl 07822339 Angrist, Joshua; Kolesár, Michal 1 2024 Instrumental variable estimation with first-stage heterogeneity. Zbl 07822341 Abadie, Alberto; Gu, Jiaying; Shen, Shu 1 2024 Sieve bootstrap inference for linear time-varying coefficient models. Zbl 07813984 Friedrich, Marina; Lin, Yicong 1 2024 Modelling circular time series. Zbl 07813986 Harvey, Andrew; Hurn, Stan; Palumbo, Dario; Thiele, Stephen 1 2024 Common volatility shocks driven by the global carbon transition. Zbl 07813987 Campos-Martins, Susana; Hendry, David F. 1 2024 Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model. Zbl 07813988 He, Changli; Kang, Jian; Silvennoinen, Annastiina; Teräsvirta, Timo 1 2024 On model selection criteria for climate change impact studies. Zbl 07813989 Cui, Xiaomeng; Gafarov, Bulat; Ghanem, Dalia; Kuffner, Todd 1 2024 Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data. Zbl 07813990 Reuvers, Hanno; Wijler, Etienne 1 2024 Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change. Zbl 07813991 Jiao, Xiyu; Pretis, Felix; Schwarz, Moritz 1 2024 Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. Zbl 07813997 Cai, Zhanrui; Li, Changcheng; Wen, Jiawei; Yang, Songshan 1 2024 A latent class Cox model for heterogeneous time-to-event data. Zbl 07814002 Pei, Youquan; Peng, Heng; Xu, Jinfeng 1 2024 Mixed membership estimation for social networks. Zbl 07814004 Jin, Jiashun; Ke, Zheng Tracy; Luo, Shengming 1 2024 Stock co-jump networks. Zbl 07814010 Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua 1 2024 Estimation of complier expected shortfall treatment effects with a binary instrumental variable. Zbl 07803954 Wei, Bo; Tan, Kean Ming; He, Xuming 1 2024 A conditional linear combination test with many weak instruments. Zbl 07803958 Lim, Dennis; Wang, Wenjie; Zhang, Yichong 1 2024 The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity. Zbl 07803964 Casini, Alessandro 1 2024 Robust testing for explosive behavior with strongly dependent errors. Zbl 07803965 Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun 1 2024 The likelihood ratio test for structural changes in factor models. Zbl 07803969 Bai, Jushan; Duan, Jiangtao; Han, Xu 1 2024 Observation-driven filtering of time-varying parameters using moment conditions. Zbl 07803972 Creal, Drew; Koopman, Siem Jan; Lucas, André; Zamojski, Marcin 1 2024 Spherical autoregressive models, with application to distributional and compositional time series. Zbl 07814008 Zhu, Changbo; Müller, Hans-Georg 1 2024 Spectral clustering with variance information for group structure estimation in panel data. Zbl 07863962 Yu, Lu; Gu, Jiaying; Volgushev, Stanislav 1 2024 A vector monotonicity assumption for multiple instruments. Zbl 07863968 Goff, Leonard 1 2024 Policy evaluation with multiple instrumental variables. Zbl 07908589 Mogstad, Magne; Torgovitsky, Alexander; Walters, Christopher R. 1 2024 Smoothed quantile regression with large-scale inference. Zbl 07648718 He, Xuming; Pan, Xiaoou; Tan, Kean Ming; Zhou, Wen-Xin 17 2023 Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. Zbl 07648719 Wang, Xiaohu; Xiao, Weilin; Yu, Jun 11 2023 Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. Zbl 07704456 Casini, Alessandro 7 2023 A GMM approach to estimate the roughness of stochastic volatility. Zbl 07704472 Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen 7 2023 Time series analysis of COVID-19 infection curve: a change-point perspective. Zbl 07633053 Jiang, Feiyu; Zhao, Zifeng; Shao, Xiaofeng 6 2023 Cluster-robust inference: a guide to empirical practice. Zbl 07648714 MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D. 6 2023 Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Zbl 07767715 Aknouche, Abdelhakim; Francq, Christian 6 2023 Quasi-maximum likelihood estimation of break point in high-dimensional factor models. Zbl 07659418 Duan, Jiangtao; Bai, Jushan; Han, Xu 6 2023 Model averaging prediction by \(K\)-fold cross-validation. Zbl 07693708 Zhang, Xinyu; Liu, Chu-An 6 2023 Nowcasting the output gap. Zbl 07633054 Berger, Tino; Morley, James; Wong, Benjamin 5 2023 Sparse spatio-temporal autoregressions by profiling and bagging. Zbl 07633060 Ma, Yingying; Guo, Shaojun; Wang, Hansheng 5 2023 Large dimensional latent factor modeling with missing observations and applications to causal inference. Zbl 07659421 Xiong, Ruoxuan; Pelger, Markus 5 2023 Community network auto-regression for high-dimensional time series. Zbl 07704491 Chen, Elynn Y.; Fan, Jianqing; Zhu, Xuening 5 2023 Penalized time-varying model averaging. Zbl 07704496 Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu 5 2023 PELVE: probability equivalent level of VaR and ES. Zbl 07674661 Li, Hengxin; Wang, Ruodu 5 2023 Instrument validity for heterogeneous causal effects. Zbl 07767744 Sun, Zhenting 4 2023 Factor-based imputation of missing values and covariances in panel data of large dimensions. Zbl 07659414 Cahan, Ercument; Bai, Jushan; Ng, Serena 4 2023 High-dimensional conditionally Gaussian state space models with missing data. Zbl 07729865 Chan, Joshua C. C.; Poon, Aubrey; Zhu, Dan 4 2023 Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. Zbl 07704468 Fiorentini, Gabriele; Sentana, Enrique 4 2023 Refining set-identification in VARs through independence. Zbl 07704516 Drautzburg, Thorsten; Wright, Jonathan H. 4 2023 Optimal model averaging based on forward-validation. Zbl 07767724 Zhang, Xiaomeng; Zhang, Xinyu 4 2023 Time series estimation of the dynamic effects of disaster-type shocks. Zbl 07693703 Davis, Richard; Ng, Serena 4 2023 Estimation of panel group structure models with structural breaks in group memberships and coefficients. Zbl 07659411 Lumsdaine, Robin L.; Okui, Ryo; Wang, Wendun 4 2023 Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055 Gourieroux, C.; Jasiak, J. 3 2023 Nowcasting in a pandemic using non-parametric mixed frequency VARs. Zbl 07633056 Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, Michael; Schreiner, Josef 3 2023 High dimensional semiparametric moment restriction models. Zbl 07648716 Dong, Chaohua; Gao, Jiti; Linton, Oliver 3 2023 High-dimensional VARs with common factors. Zbl 07659416 Miao, Ke; Phillips, Peter C. B.; Su, Liangjun 3 2023 Global robust Bayesian analysis in large models. Zbl 07704467 Ho, Paul 3 2023 Profile GMM estimation of panel data models with interactive fixed effects. Zbl 07704479 Hong, Shengjie; Su, Liangjun; Jiang, Tao 3 2023 Testing the martingale difference hypothesis in high dimension. Zbl 07704481 Chang, Jinyuan; Jiang, Qing; Shao, Xiaofeng 3 2023 Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Zbl 07704484 Arias, Jonas E.; Rubio-Ramírez, Juan F.; Shin, Minchul 3 2023 Approximate factor models with weaker loadings. Zbl 07704519 Bai, Jushan; Ng, Serena 3 2023 What’s trending in difference-in-differences? A synthesis of the recent econometrics literature. Zbl 07704532 Roth, Jonathan; Sant’Anna, Pedro H. C.; Bilinski, Alyssa; Poe, John 3 2023 Dynamic factor copula models with estimated cluster assignments. Zbl 07767732 Oh, Dong Hwan; Patton, Andrew J. 3 2023 Synthetic learner: model-free inference on treatments over time. Zbl 07693690 Viviano, Davide; Bradic, Jelena 3 2023 Estimation and inference of treatment effects with \(L_2\)-boosting in high-dimensional settings. Zbl 07693691 Kueck, Jannis; Luo, Ye; Spindler, Martin; Wang, Zigan 3 2023 Multi-dimensional latent group structures with heterogeneous distributions. Zbl 07659409 Leng, Xuan; Chen, Heng; Wang, Wendun 3 2023 Inference and forecasting for continuous-time integer-valued trawl processes. Zbl 07743048 Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. 3 2023 Efficient closed-form estimation of large spatial autoregressions. Zbl 07633061 Gupta, Abhimanyu 2 2023 A spatial panel quantile model with unobserved heterogeneity. Zbl 07633063 Ando, Tomohiro; Li, Kunpeng; Lu, Lina 2 2023 Fully modified least squares cointegrating parameter estimation in multicointegrated systems. Zbl 07648715 Kheifets, Igor L.; Phillips, Peter C. B. 2 2023 A discrete-time hedging framework with multiple factors and fat tails: on what matters. Zbl 07648720 Augustyniak, Maciej; Badescu, Alexandru; Bégin, Jean-François 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 Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. Zbl 07648726 Chen, Xin; Yang, Dan; Xu, Yan; Xia, Yin; Wang, Dong; Shen, Haipeng 2 2023 Volatility measurement with pockets of extreme return persistence. Zbl 07767714 Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo 2 2023 Dynamic conditional eigenvalue GARCH. Zbl 07767716 Hetland, Simon; Søndergaard Pedersen, Rasmus; Rahbek, Anders 2 2023 Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Zbl 07767718 Gorgi, P.; Koopman, S. J. 2 2023 Comparing forecasting performance in cross-sections. Zbl 07767719 Qu, Ritong; Timmermann, Allan; Zhu, Yinchu 2 2023 Testing for structural changes in large dimensional factor models via discrete Fourier transform. Zbl 07659422 Fu, Zhonghao; Hong, Yongmiao; Wang, Xia 2 2023 Uniform inference in linear panel data models with two-dimensional heterogeneity. Zbl 07704470 Lu, Xun; Su, Liangjun 2 2023 Specification tests for time-varying coefficient models. Zbl 07704471 Fu, Zhonghao; Hong, Yongmiao; Su, Liangjun; Wang, Xia 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 Estimation and identification of latent group structures in panel data. Zbl 07704501 Mehrabani, Ali 2 2023 Identifying causal effects in experiments with spillovers and non-compliance. Zbl 07704507 DiTraglia, Francis J.; García-Jimeno, Camilo; O’Keeffe-O’Donovan, Rossa; Sánchez-Becerra, Alejandro 2 2023 Debiased machine learning of set-identified linear models. Zbl 07704512 Semenova, Vira 2 2023 Identifying latent group structures in spatial dynamic panels. Zbl 07704522 Su, Liangjun; Wang, Wuyi; Xu, Xingbai 2 2023 One-way or two-way factor model for matrix sequences? Zbl 07704523 He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long 2 2023 ...and 1419 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 25,974 Authors 118 Phillips, Peter Charles Bonest 91 Taylor, A. M. Robert 85 Linton, Oliver Bruce 80 Shin, Dongwan 76 Baltagi, Badi H. 76 McAleer, Michael 68 Horváth, Lajos 68 Li, Qi 66 Gao, Jiti 66 Lee, Lung-Fei 66 Su, Liangjun 64 Dette, Holger 63 Pesaran, M. Hashem 62 Tsionas, Mike G. 60 Zhang, Xinyu 59 Van Keilegom, Ingrid 58 Kapetanios, George 57 Robinson, Peter Michael 55 Fan, Jianqing 55 Härdle, Wolfgang Karl 54 Gourieroux, Christian 54 Leybourne, Stephen J. 52 Perron, Pierre 52 Zhu, Lixing 51 Hsiao, Cheng 50 Cavaliere, Giuseppe 50 Kokoszka, Piotr S. 50 Kumbhakar, Subal Chandra 49 Ullah, Aman 49 Wan, Alan T. K. 46 Dufour, Jean-Marie 46 Koop, Gary 45 Cai, Zongwu 45 Chen, Xiaohong 45 Lian, Heng 45 Simar, Léopold 45 Todorov, Viktor 44 Peng, Liang 44 Surgailis, Donatas 43 Francq, Christian 43 Franses, Philip Hans 43 Hallin, Marc 43 Lee, Sangyeol 43 Schmidt, Peter 43 Zou, Guohua 42 Bodnar, Taras 42 Li, Wai Keung 41 Gil-Alana, Luis Alberiko 41 Westerlund, Joakim 41 Xiao, Zhijie 40 Chen, Cathy W. S. 40 Ling, Shiqing 39 Chan, Ngai Hang 39 Fan, Yanqin 39 Florens, Jean-Pierre 39 Renault, Eric 39 Tjøstheim, Dag B. 39 Yu, Jun 38 Hong, Yongmiao 38 Nielsen, Morten Ørregaard 37 Harvey, David I. 37 King, Maxwell Leslie 37 Nadarajah, Saralees 37 Otsu, Taisuke 37 Zakoïan, Jean-Michel 36 Barnett, William Arnold 36 Ghysels, Eric 36 Hu, Yingyao 36 Li, Degui 36 You, Jinhong 35 Chen, Songnian 35 Chernozhukov, Victor 35 Escanciano, Juan Carlos 35 Gerlach, Richard H. 35 Herwartz, Helmut 35 Siu, Tak Kuen 35 White, Halbert Lynn jun. 34 Bai, Jushan 34 Liang, Hua 34 Lütkepohl, Helmut 34 Newey, Whitney Kent 34 Zhou, Yong 33 Hassler, Uwe 33 Ohtani, Kazuhiro 33 Politis, Dimitris Nicolas 32 Giraitis, Liudas 32 Lewbel, Arthur 32 Meintanis, Simos George 32 Rahbek, Anders 32 Steel, Mark F. J. 31 Bollerslev, Tim 31 Hafner, Christian Matthias 31 Hall, Alastair R. 31 Hušková, Marie 31 Kohn, Robert J. 31 Sasaki, Yuya 31 Schmid, Wolfgang 31 Wu, Wei Biao 30 Aït-Sahalia, Yacine 30 Hendry, David F. ...and 25,874 more Authors all top 5 Cited in 644 Journals 3,970 Journal of Econometrics 1,366 Economics Letters 918 Computational Statistics and Data Analysis 810 Econometric Theory 785 Econometric Reviews 780 Communications in Statistics. Theory and Methods 702 European Journal of Operational Research 664 Journal of Time Series Analysis 530 Journal of Economic Dynamics & Control 517 Journal of Business and Economic Statistics 476 Quantitative Finance 463 Journal of Statistical Planning and Inference 446 Journal of Multivariate Analysis 428 Statistics & Probability Letters 405 Communications in Statistics. 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Mathematics 47 Acta Mathematicae Applicatae Sinica. English Series 45 Mathematical and Computer Modelling 44 International Journal of Systems Science 44 Games and Economic Behavior 41 International Transactions in Operational Research 41 Mathematical Problems in Engineering 41 Methodology and Computing in Applied Probability 40 Brazilian Journal of Probability and Statistics 40 Computational Management Science 40 Sankhyā. Series B 39 Theory and Decision 39 Applied Mathematical Modelling 39 Environmetrics 38 Social Choice and Welfare 38 Journal of the Royal Statistical Society. Series B. Statistical Methodology ...and 544 more Journals all top 5 Cited in 52 Fields 21,436 Statistics (62-XX) 8,322 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,760 Probability theory and stochastic processes (60-XX) 2,384 Numerical analysis (65-XX) 1,234 Operations research, mathematical programming (90-XX) 389 Systems theory; control (93-XX) 362 Computer science (68-XX) 248 Biology and other natural sciences (92-XX) 149 Linear and multilinear algebra; matrix theory (15-XX) 149 Dynamical systems and ergodic theory (37-XX) 139 Information and communication theory, circuits (94-XX) 128 Partial differential equations (35-XX) 122 Ordinary differential equations (34-XX) 112 Statistical mechanics, structure of matter (82-XX) 94 Geophysics (86-XX) 85 Harmonic analysis on Euclidean spaces (42-XX) 81 General and overarching topics; collections (00-XX) 65 Calculus of variations and optimal control; optimization (49-XX) 56 History and biography (01-XX) 53 Real functions (26-XX) 52 Combinatorics (05-XX) 46 Approximations and expansions (41-XX) 40 Integral equations (45-XX) 37 Functional analysis (46-XX) 32 Special functions (33-XX) 30 Mechanics of deformable solids (74-XX) 29 Fluid mechanics (76-XX) 23 Operator theory (47-XX) 21 Integral transforms, operational calculus (44-XX) 20 Measure and integration (28-XX) 18 Quantum theory (81-XX) 17 Mathematical logic and foundations (03-XX) 12 Astronomy and astrophysics (85-XX) 11 Number theory (11-XX) 10 Relativity and gravitational theory (83-XX) 7 Mechanics of particles and systems (70-XX) 6 Global analysis, analysis on manifolds (58-XX) 5 Difference and functional equations (39-XX) 4 Functions of a complex variable (30-XX) 4 Differential geometry (53-XX) 4 Classical thermodynamics, heat transfer (80-XX) 4 Mathematics education (97-XX) 3 Convex and discrete geometry (52-XX) 2 Field theory and polynomials (12-XX) 2 Group theory and generalizations (20-XX) 2 General topology (54-XX) 2 Optics, electromagnetic theory (78-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Category theory; homological algebra (18-XX) 1 Sequences, series, summability (40-XX) 1 Algebraic topology (55-XX) Citations by Year