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: Indexed cover-to-cover Documents Indexed: 4,386 Publications (since 1973) References Indexed: 4,312 Publications with 148,243 References. all top 5 Latest Issues 233, No. 2 (2023) 233, No. 1 (2023) 232, No. 2 (2023) 232, No. 1 (2023) 231, No. 2 (2022) 231, No. 1 (2022) 230, No. 2 (2022) 230, No. 1 (2022) 229, No. 2 (2022) 229, No. 1 (2022) 228, No. 2 (2022) 228, No. 1 (2022) 227, No. 2 (2022) 227, No. 1 (2022) 226, No. 2 (2022) 226, No. 1 (2022) 225, No. 2 (2021) 225, No. 1 (2021) 224, No. 2 (2021) 224, No. 1 (2021) 223, No. 2 (2021) 223, No. 1 (2021) 222, No. 2 (2021) 222, No. 1, Part C (2021) 222, No. 1, Part B (2021) 222, No. 1, Part A (2021) 221, No. 2 (2021) 221, No. 1 (2021) 220, No. 2 (2021) 220, No. 1 (2021) 219, No. 2 (2020) 219, No. 1 (2020) 218, No. 2 (2020) 218, No. 1 (2020) 217, No. 2 (2020) 217, No. 1 (2020) 216, No. 2 (2020) 216, No. 1 (2020) 215, No. 2 (2020) 215, No. 1 (2020) 214, No. 2 (2020) 214, No. 1 (2020) 213, No. 2 (2019) 213, No. 1 (2019) 212, No. 2 (2019) 212, No. 1 (2019) 211, No. 2 (2019) 211, No. 1 (2019) 210, No. 2 (2019) 210, No. 1 (2019) 209, No. 2 (2019) 209, No. 1 (2019) 208, No. 2 (2019) 208, No. 1 (2019) 207, No. 2 (2018) 207, No. 1 (2018) 206, No. 2 (2018) 206, No. 1 (2018) 205, No. 2 (2018) 205, No. 1 (2018) 204, No. 2 (2018) 204, No. 1 (2018) 203, No. 2 (2018) 203, No. 1 (2018) 202, No. 2 (2018) 202, No. 1 (2018) 201, No. 2 (2017) 201, No. 1 (2017) 200, No. 2 (2017) 200, No. 1 (2017) 199, No. 2 (2017) 199, No. 1 (2017) 198, No. 2 (2017) 198, No. 1 (2017) 197, No. 2 (2017) 197, No. 1 (2017) 196, No. 2 (2017) 196, No. 1 (2017) 195, No. 2 (2016) 195, No. 1 (2016) 194, No. 2 (2016) 194, No. 1 (2016) 193, No. 2 (2016) 193, No. 1 (2016) 192, No. 2 (2016) 192, No. 1 (2016) 191, No. 2 (2016) 191, No. 1 (2016) 190, No. 2 (2016) 190, No. 1 (2016) 189, No. 2 (2015) 189, No. 1 (2015) 188, No. 2 (2015) 188, No. 1 (2015) 187, No. 2 (2015) 187, No. 1 (2015) 186, No. 2 (2015) 186, No. 1 (2015) 185, No. 2 (2015) 185, No. 1 (2015) ...and 311 more Volumes all top 5 Authors 75 Phillips, Peter Charles Bonest 46 Lee, Lung-Fei 45 Linton, Oliver Bruce 35 Pesaran, M. Hashem 33 Li, Qi 32 Robinson, Peter Michael 32 Taylor, A. M. Robert 31 Gourieroux, Christian 28 Ghysels, Eric 28 Hsiao, Cheng 27 Bollerslev, Tim 27 Su, Liangjun 27 White, Halbert Lynn jun. 26 Baltagi, Badi H. 26 Gallant, A. Ronald 26 Granger, Clive William John 26 Park, Joon Y. 26 Renault, Eric 25 Dufour, Jean-Marie 24 Koop, Gary 24 Zellner, Arnold 23 Aït-Sahalia, Yacine 22 Chen, Songnian 22 Gao, Jiti 22 McAleer, Michael 22 Tauchen, George E. 21 Chen, Xiaohong 21 Swanson, Norman Rasmus 21 van Dijk, Herman K. 21 Yu, Jun 20 Monfort, Alain 20 Newey, Whitney Kent 19 Andrews, Donald Wilfrid Kao 19 Chib, Siddhartha 19 Horowitz, Joel L. 19 Inoue, Atsushi 19 Lewbel, Arthur 19 Timmermann, Allan G. 19 Xiao, Zhijie 18 Bai, Jushan 18 Hausman, Jerry Allen 18 Hendry, David F. 18 Perron, Pierre 17 Corradi, Valentina 17 Geweke, John F. 17 Todorov, Viktor 16 Hidalgo, Javier 16 Judge, George G. 16 Leybourne, Stephen J. 16 Maasoumi, Esfandiar 16 Steel, Mark F. J. 15 Andersen, Torben G. 15 Barnett, William Arnold 15 Diebold, Francis Xavier 15 Hall, Alastair R. 15 Hallin, Marc 15 Hong, Han 15 Hu, Yingyao 15 King, Maxwell Leslie 15 Koopman, Siem Jan 15 Lütkepohl, Helmut 15 Manski, Charles F. 15 Ng, Serena 15 Powell, James L. 15 Simar, Léopold 14 Cai, Zongwu 14 Engle, Robert Fry 14 Fan, Yanqin 14 Heckman, James Joseph 14 Hong, Yongmiao 14 Johansen, Søren Glud 14 Kapetanios, George 14 Kumbhakar, Subal Chandra 14 Magnus, Jan R. 14 Mykland, Per Aslak 14 Sentana, Enrique 14 Smith, Richard J. 14 Sun, Yixiao 14 Whang, Yoon-Jae 14 Wooldridge, Jeffrey M. 13 Boswijk, H. Peter 13 Chernozhukov, Victor 13 Delgado, Miguel Ángel 13 Fan, Jianqing 13 Hansen, Bruce E. 13 Kohn, Robert J. 13 Lee, Sokbae 13 Li, Tong 13 Nielsen, Morten Ørregaard 13 Patton, Andrew J. 13 Prucha, Ingmar R. 13 Shephard, Neil 13 Velasco, Carlos I. Hoyos 13 Zakoïan, Jean-Michel 12 Elliott, Graham 12 Florens, Jean-Pierre 12 Francq, Christian 12 Kleibergen, Frank 12 Kristensen, Dennis 12 Kuan, Chung-Ming ...and 3,580 more Authors all top 5 Fields 4,266 Statistics (62-XX) 1,282 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 217 Numerical analysis (65-XX) 194 Probability theory and stochastic processes (60-XX) 113 General and overarching topics; collections (00-XX) 56 Operations research, mathematical programming (90-XX) 19 History and biography (01-XX) 16 Systems theory; control (93-XX) 12 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 3,630 Publications have been cited 52,644 times in 21,527 Documents Cited by ▼ Year ▼ Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119Bollerslev, Tim 1,552 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 0871.62100Kwiatkowski, Denis; Phillips, Peter C. B.; Schmidt, Peter; Shin, Yongcheol 407 1992 Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079Ichimura, Hidehiko 345 1993 Long memory processes and fractional integration in econometrics. Zbl 0854.62099Baillie, Richard T. 306 1996 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 303 1992 Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter 283 1977 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 243 1996 Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Zbl 0582.90007Charnes, A.; Cooper, W. W.; Golany, B.; Seiford, L.; Stutz, J. 226 1985 Least absolute deviations estimation for the censored regression model. Zbl 0571.62100Powell, James L. 208 1984 Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087Bougerol, Philippe; Picard, Nico 204 1992 Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108Granger, C. W. J. 194 1980 Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112Blundell, Richard; Bond, Stephen 181 1998 A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030Zheng, John Xu 176 1996 Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099Arellano, Manuel; Bover, Olympia 175 1995 Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049Newey, Whitney K. 172 1997 ARCH models as diffusion approximations. Zbl 0719.60089Nelson, Daniel B. 171 1990 High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185Fan, Jianqing; Fan, Yingying; Lv, Jinchi 169 2008 Analysis of time series subject to changes in regime. Zbl 0723.62050Hamilton, James D. 167 1990 Censored regression quantiles. Zbl 0605.62139Powell, James L. 165 1986 Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950Hamilton, James D.; Susmel, Raul 163 1994 Nonparametric regression using Bayesian variable selection. Zbl 0864.62025Smith, Michael; Kohn, Robert 159 1996 Testing for unit roots in heterogeneous panels. Zbl 1041.62075Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol 154 2003 Seasonal integration and cointegration. Zbl 0709.62102Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. 152 1990 Understanding spurious regressions in econometrics. Zbl 0602.62098Phillips, P. C. B. 151 1986 Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040Chamberlain, Gary 149 1987 Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068Manski, Charles F. 149 1975 Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096Manski, Charles F. 146 1985 Long memory and regime switching. Zbl 1040.62109Diebold, Francis X.; Inoue, Atsushi 144 2001 Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118Bates, David S. 143 2000 Alternative models for stock price dynamics. Zbl 1043.62087Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George 141 2003 Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063Han, Aaron K. 132 1987 Consistent model specification tests. Zbl 0549.62076Bierens, Herman J. 129 1982 The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116Breidt, F. Jay; Crato, Nuno; de Lima, Pedro 129 1998 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 129 2011 Spurious regressions in econometrics. Zbl 0319.62072Granger, C. W. J.; Newbold, P. 128 1974 Polyhedral cone-ratio DEA models with an illustrative application to large commercials banks. Zbl 0712.90015Charnes, A.; Cooper, W. W.; Huang, Z. M.; Sun, D. B. 127 1990 Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015Seiford, Lawrence M.; Thrall, Robert M. 123 1990 Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539Chib, Siddhartha; Nardari, Federico; Shephard, Neil 123 2002 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070Robinson, P. M. 121 1991 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560Bollerslev, Tim; Mikkelsen, Hans Ole 118 1996 Efficient estimation of models for dynamic panel data. Zbl 0831.62094Ahn, Seung C.; Schmidt, Peter 113 1995 Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535Simar, Léopold; Wilson, Paul W. 113 2007 Forecasting the term structure of government bond yields. Zbl 1337.62324Diebold, Francis X.; Li, Canlin 110 2006 Limit theory for moderate deviations from a unit root. Zbl 1418.62348Phillips, Peter C. B.; Magdalinos, Tassos 110 2007 Estimation and comparison of multiple change-point models. Zbl 1045.62510Chib, Siddhartha 109 1998 An MCMC approach to classical estimation. Zbl 1043.62022Chernozhukov, Victor; Hong, Han 107 2003 Formulation and estimation of dynamic models using panel data. Zbl 0487.62099Anderson, T. W.; Hsiao, Cheng 105 1982 Jackknife model averaging. Zbl 1441.62721Hansen, Bruce E.; Racine, Jeffrey S. 105 2012 Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626Ding, Zhuanxin; Granger, Clive W. J. 105 1996 Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. 104 2004 Benchmark priors for Bayesian model averaging. Zbl 1091.62507Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J. 102 2001 Nonparametric frontier estimation: A robust approach. Zbl 1051.62116Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold 101 2002 Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010Chib, Siddhartha 100 1996 On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019Kelejian, Harry H.; Prucha, Ingmar R. 98 2001 Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. 97 1996 Generalized method of moments specification testing. Zbl 0606.62132Newey, Whitney K. 97 1985 Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James 97 2002 Simultaneous equations models in applied search theory. Zbl 0578.62099Lancaster, Tony 94 1985 A Markov model for switching regressions. Zbl 0294.62087Goldfeld, Stephen M.; Quandt, Richard E. 93 1973 Dynamic linear models with Markov-switching. Zbl 0795.62104Kim, Chang-Jin 93 1994 Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063Ahn, Hyungtaik; Powell, James L. 92 1993 Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306Cai, Zongwu 92 2007 Tobit models: A survey. Zbl 0539.62121Amemiya, Takeshi 88 1984 A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031Li, Qi; Wang, Suojin 88 1998 Nonparametric risk management and implied risk aversion. Zbl 0952.62091Aït-Sahalia, Yacine; Lo, Andrew W. 87 2000 Exact and superlative index numbers. Zbl 0387.90046Diewert, W. E. 87 1976 Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047Härdle, W.; Tsybakov, A. 87 1997 Estimation of copula-based semiparametric time series models. Zbl 1337.62201Chen, Xiaohong; Fan, Yanqin 87 2006 Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830Patton, Andrew J. 86 2011 GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476Lee, Lung-fei 86 2007 On leverage in a stochastic volatility model. Zbl 1335.91116Yu, Jun 85 2005 Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911Zhang, Lan 84 2011 Econometric specification of stochastic discount factor models. Zbl 1420.91461Gourieroux, C.; Monfort, A. 84 2007 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425Chen, Xiaohong; Fan, Yanqin 84 2006 Least squares model averaging by Mallows criterion. Zbl 1431.62291Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua 83 2010 Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636Kelejian, Harry H.; Prucha, Ingmar R. 83 2010 Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062Racine, Jeff; Li, Qi 81 2004 Testing for a unit root in panels with dynamic factors. Zbl 1282.62201Moon, Hyungsik Roger; Perron, Benoit 80 2004 Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104Pesaran, M. Hashem; Smith, Ron 79 1995 The wild bootstrap, tamed at last. Zbl 1418.62183Davidson, Russell; Flachaire, Emmanuel 79 2008 Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096Singleton, Kenneth J. 78 2001 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517Gonçalves, Sıĺvia; Kilian, Lutz 78 2004 A generalization of the beta distribution with applications. Zbl 0813.62011McDonald, James B.; Xu, Yexiao J. 77 1995 Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485Xiu, Dacheng 77 2010 Multivariate regression models for panel data. Zbl 0512.62115Chamberlain, Gary 76 1982 Global optimization of statistical functions with simulated annealing. Zbl 0789.62095Goffe, William L.; Ferrier, Gary D.; Rogers, John 76 1994 Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi 76 2007 On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096Gallant, A. Ronald 74 1981 Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094Tauchen, George 74 1985 Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Zbl 0766.62055Lee, Tae-Hwy; White, Halbert; Granger, Clive W. J. 74 1993 The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122Jones, Christopher S. 73 2003 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Zbl 1431.62472Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark 73 2010 Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089Sin, Chor-Yiu; White, Halbert 73 1996 Predicting volatility: getting the most out of return data sampled at different frequencies. Zbl 1337.62363Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen 72 2006 Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103Perron, Pierre 70 1997 GMM estimation with cross sectional dependence. Zbl 0944.62117Conley, T. G. 70 1999 Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles 70 2003 Testing for structural change in conditional models. Zbl 1122.62326Hansen, Bruce E. 69 2000 The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397Gourieroux, C.; Jasiak, J.; Sufana, R. 69 2009 Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656Corsi, Fulvio; Pirino, Davide; Renò, Roberto 69 2010 Projected estimation for large-dimensional matrix factor models. Zbl 07538797Yu, Long; He, Yong; Kong, Xinbing; Zhang, Xinsheng 3 2022 Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. Zbl 07491160Asai, Manabu; Chang, Chia-Lin; McAleer, Michael 3 2022 Measuring news sentiment. Zbl 07538778Shapiro, Adam Hale; Sudhof, Moritz; Wilson, Daniel J. 2 2022 Robust likelihood estimation of dynamic panel data models. Zbl 07471884Alvarez, Javier; Arellano, Manuel 2 2022 Design-based analysis in difference-in-differences settings with staggered adoption. Zbl 07471885Athey, Susan; Imbens, Guido W. 2 2022 Factor models with local factors – determining the number of relevant factors. 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Zbl 1464.62509Keane, Michael; Neal, Timothy 1 2021 Estimation of Covid-19 prevalence from serology tests: a partial identification approach. Zbl 1464.62476Toulis, Panos 1 2021 Editorial: Celebrating 40 years of panel data analysis: past, present and future. Zbl 1471.00028 1 2021 Second-order corrected likelihood for nonlinear panel models with fixed effects. Zbl 1464.62500Dhaene, Geert; Sun, Yutao 1 2021 Identifying latent group structures in nonlinear panels. Zbl 1464.62522Wang, Wuyi; Su, Liangjun 1 2021 On the robustness of the pooled CCE estimator. Zbl 1464.62507Juodis, Artūras; Karabiyik, Hande; Westerlund, Joakim 1 2021 Detecting granular time series in large panels. Zbl 1464.62497Brownlees, Christian; Mesters, Geert 1 2021 Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit. Zbl 1464.62510Khalaf, Lynda; Kichian, Maral; Saunders, Charles J.; Voia, Marcel 1 2021 Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables. 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