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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: Indexed cover-to-cover
Documents Indexed: 4,161 Publications (since 1973)
References Indexed: 4,093 Publications with 138,244 References.
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224, No. 1 (2021)
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Authors

70 Phillips, Peter Charles Bonest
46 Lee, Lung-Fei
42 Linton, Oliver Bruce
35 Pesaran, M. Hashem
32 Li, Qi
31 Robinson, Peter Michael
30 Gourieroux, Christian
30 Taylor, A. M. Robert
28 Ghysels, Eric
27 White, Halbert Lynn jun.
26 Granger, Clive William John
26 Hsiao, Cheng
26 Park, Joon Y.
26 Su, Liangjun
25 Baltagi, Badi H.
25 Bollerslev, Tim
25 Dufour, Jean-Marie
25 Renault, Eric
24 Gallant, A. Ronald
23 Aït-Sahalia, Yacine
23 Koop, Gary
23 Zellner, Arnold
22 Chen, Songnian
21 McAleer, Michael
21 Swanson, Norman Rasmus
21 van Dijk, Herman K.
20 Chen, Xiaohong
20 Monfort, Alain
20 Tauchen, George E.
19 Andrews, Donald Wilfrid Kao
19 Chib, Siddhartha
19 Horowitz, Joel L.
19 Newey, Whitney Kent
18 Gao, Jiti
18 Hausman, Jerry Allen
18 Hendry, David F.
18 Perron, Pierre
17 Corradi, Valentina
17 Geweke, John F.
17 Inoue, Atsushi
17 Lewbel, Arthur
17 Xiao, Zhijie
16 Judge, George G.
16 Leybourne, Stephen J.
16 Maasoumi, Esfandiar
16 Steel, Mark F. J.
16 Timmermann, Allan G.
15 Bai, Jushan
15 Barnett, William A.
15 Hall, Alastair R.
15 Hallin, Marc
15 King, Maxwell Leslie
15 Lütkepohl, Helmut
15 Powell, James L.
15 Simar, Léopold
15 Todorov, Viktor
14 Diebold, Francis X.
14 Engle, Robert Fry
14 Fan, Yanqin
14 Heckman, James Joseph
14 Hong, Han
14 Johansen, Søren Glud
14 Kumbhakar, Subal C.
14 Mykland, Per Aslak
14 Ng, Serena
14 Sentana, Enrique
14 Smith, Richard J.
14 Sun, Yixiao
14 Whang, Yoon-Jae
14 Wooldridge, Jeffrey M.
13 Boswijk, H. Peter
13 Cai, Zongwu
13 Chernozhukov, Victor
13 Delgado, Miguel Ángel
13 Hansen, Bruce E.
13 Hidalgo, Javier
13 Hong, Yongmiao
13 Hu, Yingyao
13 Kapetanios, George
13 Kohn, Robert J.
13 Koopman, Siem Jan
13 Lee, Sokbae
13 Li, Tong
13 Magnus, Jan R.
13 Manski, Charles F.
13 Prucha, Ingmar R.
13 Shephard, Neil
13 Velasco, Carlos I. Hoyos
12 Elliott, Graham
12 Fan, Jianqing
12 Florens, Jean-Pierre
12 Kristensen, Dennis
12 Kuan, Chung-Ming
12 Nielsen, Morten Ørregaard
12 Poirier, Dale J.
12 Slottje, Daniel J.
12 Teräsvirta, Timo
12 Zakoïan, Jean-Michel
11 Andersen, Torben G.
11 Anderson, Theodore Wilbur jun.
...and 3,318 more Authors

Publications by Year

Citations contained in zbMATH Open

3,399 Publications have been cited 44,443 times in 18,799 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
358
1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
Ichimura, Hidehiko
305
1993
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
289
1992
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
Baillie, Richard T.
270
1996
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter
256
1977
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
214
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.
211
1985
Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
Bougerol, Philippe; Picard, Nico
194
1992
Least absolute deviations estimation for the censored regression model. Zbl 0571.62100
Powell, James L.
187
1984
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
Granger, C. W. J.
184
1980
A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
Zheng, John Xu
159
1996
ARCH models as diffusion approximations. Zbl 0719.60089
Nelson, Daniel B.
156
1990
Analysis of time series subject to changes in regime. Zbl 0723.62050
Hamilton, James D.
154
1990
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
Hamilton, James D.; Susmel, Raul
153
1994
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
Smith, Michael; Kohn, Robert
147
1996
Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
Blundell, Richard; Bond, Stephen
147
1998
Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
Newey, Whitney K.
147
1997
Censored regression quantiles. Zbl 0605.62139
Powell, James L.
146
1986
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
Arellano, Manuel; Bover, Olympia
146
1995
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
144
1990
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
142
1986
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
140
2003
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
Fan, Jianqing; Fan, Yingying; Lv, Jinchi
139
2008
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
Chamberlain, Gary
137
1987
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
135
2001
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
Manski, Charles F.
135
1975
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
131
2000
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
Manski, Charles F.
127
1985
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
121
2003
Spurious regressions in econometrics. Zbl 0319.62072
Granger, C. W. J.; Newbold, P.
121
1974
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
Han, Aaron K.
119
1987
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
119
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.
119
1990
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
Seiford, Lawrence M.; Thrall, Robert M.
117
1990
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
Robinson, P. M.
116
1991
Consistent model specification tests. Zbl 0549.62076
Bierens, Herman J.
115
1982
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
109
2011
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
106
2002
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
103
1996
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
97
2007
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
95
1995
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
94
1996
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
93
1985
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
92
1985
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
92
2006
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
91
1998
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
91
2004
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
91
2002
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
Chib, Siddhartha
89
1996
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
88
2003
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
88
1982
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
87
2002
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
86
2007
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
83
2001
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
81
1996
Exact and superlative index numbers. Zbl 0387.90046
Diewert, W. E.
80
1976
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
80
2007
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
Härdle, W.; Tsybakov, A.
79
1997
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
79
2000
On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
78
2001
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
77
1993
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
77
1994
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
76
1998
Tobit models: A survey. Zbl 0539.62121
Amemiya, Takeshi
76
1984
On leverage in a stochastic volatility model. Zbl 1335.91116
Yu, Jun
76
2005
A Markov model for switching regressions. Zbl 0294.62087
Goldfeld, Stephen M.; Quandt, Richard E.
75
1973
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
73
1995
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
Goffe, William L.; Ferrier, Gary D.; Rogers, John
73
1994
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
73
2012
Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
Singleton, Kenneth J.
72
2001
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
72
2004
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
72
2011
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
71
2006
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
71
2007
Multivariate regression models for panel data. Zbl 0512.62115
Chamberlain, Gary
70
1982
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
70
2004
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.
69
1993
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
Patton, Andrew J.
69
2011
Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089
Sin, Chor-Yiu; White, Halbert
68
1996
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
Gallant, A. Ronald
68
1981
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
Tauchen, George
67
1985
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
67
1995
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
67
2008
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
67
2006
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
66
2010
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
65
2003
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
65
2007
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
65
2004
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
65
2011
Current developments in time series modelling. Zbl 0667.62068
Priestley, M. B.
64
1988
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
64
1999
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
64
1997
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
64
2007
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
63
2003
Augmented GARCH\((p,q)\) process and its diffusion limit. Zbl 0898.62141
Duan, Jin-Chuan
63
1997
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
62
1997
Bayes inference in regression models with ARMA\((p,q)\) errors. Zbl 0807.62065
Chib, Siddhartha; Greenberg, Edward
62
1994
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series. Zbl 0854.62084
Hosking, Jonathan R. M.
61
1996
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
61
2010
Estimating the COVID-19 infection rate: anatomy of an inference problem. Zbl 1464.62464
Manski, Charles F.; Molinari, Francesca
2
2021
Overlap in observational studies with high-dimensional covariates. Zbl 07327178
D’Amour, Alexander; Ding, Peng; Feller, Avi; Lei, Lihua; Sekhon, Jasjeet
1
2021
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. Zbl 07327195
Fan, Jianqing; Ke, Yuan; Liao, Yuan
1
2021
Tail risk and return predictability for the Japanese equity market. Zbl 07327198
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
1
2021
Limit theorems for network dependent random variables. Zbl 07343295
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul
1
2021
Consumer panic in the COVID-19 pandemic. Zbl 1464.62509
Keane, Michael; Neal, Timothy
1
2021
Heterogeneous structural breaks in panel data models. Zbl 1464.62519
Okui, Ryo; Wang, Wendun
1
2021
Detecting granular time series in large panels. Zbl 1464.62497
Brownlees, Christian; Mesters, Geert
1
2021
ExpectHill estimation, extreme risk and heavy tails. Zbl 1464.62279
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles
1
2021
Inference in time series models using smoothed-clustered standard errors. Zbl 07376510
Rho, Seunghwa; Vogelsang, Timothy J.
1
2021
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
3
2020
Factor-adjusted regularized model selection. Zbl 1456.62114
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng
3
2020
The term structure of equity and variance risk premia. Zbl 1464.91072
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano
2
2020
High-dimensional minimum variance portfolio estimation based on high-frequency data. Zbl 1456.62242
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
2
2020
Testing the impossible: identifying exclusion restrictions. Zbl 1464.62513
Kiviet, Jan F.
1
2020
Generic results for establishing the asymptotic size of confidence sets and tests. Zbl 1464.62489
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik
1
2020
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. Zbl 1464.62384
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji
1
2020
Efficient estimation of heterogeneous coefficients in panel data models with common shocks. Zbl 1456.62294
Li, Kunpeng; Cui, Guowei; Lu, Lina
1
2020
Unobserved heterogeneity in auctions under restricted stochastic dominance. Zbl 1456.91055
Luo, Yao
1
2020
Option market trading activity and the estimation of the pricing kernel: a Bayesian approach. Zbl 1456.62241
Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; Sala, Carlo
1
2020
Identifying dynamic discrete choice models off short panels. Zbl 1456.62267
Arcidiacono, Peter; Miller, Robert A.
1
2020
Issues in the estimation of mis-specified models of fractionally integrated processes. Zbl 1456.62212
Martin, Gael M.; Nadarajah, K.; Poskitt, D. S.
1
2020
Multivariate spatial autoregressive model for large scale social networks. Zbl 1456.62229
Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng
1
2020
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. Zbl 1456.62274
Botosaru, Irene
1
2020
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models. Zbl 1456.62102
Fan, Jianqing; Feng, Yang; Xia, Lucy
1
2020
Regression discontinuity design with many thresholds. Zbl 1456.62268
Bertanha, Marinho
1
2020
Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures. Zbl 1456.62291
Kim, Dukpa; Oka, Tatsushi; Estrada, Francisco; Perron, Pierre
1
2020
Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. Zbl 1456.62265
Pretis, Felix
1
2020
Nonparametric filtering of conditional state-price densities. Zbl 1456.62244
Dalderop, Jeroen
1
2020
A goodness-of-fit test for copulas based on martingale transformation. Zbl 1456.62086
Lu, Xiaohui; Zheng, Xu
1
2020
Non-standard inference for augmented double autoregressive models with null volatility coefficients. Zbl 1456.62198
Jiang, Feiyu; Li, Dong; Zhu, Ke
1
2020
Threshold factor models for high-dimensional time series. Zbl 1456.62210
Liu, Xialu; Chen, Rong
1
2020
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
1
2020
Estimation for double-nonlinear cointegration. Zbl 1456.62209
Lin, Yingqian; Tu, Yundong; Yao, Qiwei
1
2020
Large-dimensional factor modeling based on high-frequency observations. Zbl 1452.62786
Pelger, Markus
9
2019
Bayesian compressed vector autoregressions. Zbl 1452.62934
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide
7
2019
A Hausman test for the presence of market microstructure noise in high frequency data. Zbl 1452.62873
Aït-Sahalia, Yacine; Xiu, Dacheng
6
2019
Optimum thresholding using mean and conditional mean squared error. Zbl 1452.62762
Figueroa-López, José E.; Mancini, Cecilia
6
2019
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Zbl 1452.62890
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
5
2019
Conditional quantile processes based on series or many regressors. Zbl 1456.62067
Belloni, Alexandre; Chernozhukov, Victor; Chetverikov, Denis; Fernández-Val, Iván
5
2019
Dynamic semiparametric models for expected shortfall (and value-at-risk). Zbl 1452.62785
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui
5
2019
A closed-form estimator for quantile treatment effects with endogeneity. Zbl 1452.62966
Wüthrich, Kaspar
4
2019
Asymptotic theory for clustered samples. Zbl 1452.62915
Hansen, Bruce E.; Lee, Seojeong
4
2019
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. Zbl 1452.62758
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng
4
2019
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
4
2019
Achieving shrinkage in a time-varying parameter model framework. Zbl 1452.62216
Bitto, Angela; Frühwirth-Schnatter, Sylvia
4
2019
Generalized high-dimensional trace regression via nuclear norm regularization. Zbl 1452.62536
Fan, Jianqing; Gong, Wenyan; Zhu, Ziwei
3
2019
Asymptotic theory and wild bootstrap inference with clustered errors. Zbl 1452.62902
Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, Morten Ørregaard
3
2019
A weak law for moments of pairwise stable networks. Zbl 1452.91247
Leung, Michael P.
3
2019
Robust covariance estimation for approximate factor models. Zbl 1452.62410
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao
3
2019
A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang
3
2019
Factor models for matrix-valued high-dimensional time series. Zbl 1452.62684
Wang, Dong; Liu, Xialu; Chen, Rong
3
2019
A multiple testing approach to the regularisation of large sample correlation matrices. Zbl 1452.62365
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa
3
2019
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. Zbl 1452.62754
Clinet, Simon; Potiron, Yoann
3
2019
Sparse Bayesian time-varying covariance estimation in many dimensions. Zbl 1452.62773
Kastner, Gregor
3
2019
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity. Zbl 1456.62073
Linton, Oliver; Xiao, Zhijie
3
2019
Unified inference for nonlinear factor models from panels with fixed and large time span. Zbl 1452.62874
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2
2019
Rank regularized estimation of approximate factor models. Zbl 1452.62405
Bai, Jushan; Ng, Serena
2
2019
A quasi-Bayesian local likelihood approach to time varying parameter VAR models. Zbl 1452.62672
Petrova, Katerina
2
2019
Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates. Zbl 1452.62277
Chen, Xirong; Li, Degui; Li, Qi; Li, Zheng
2
2019
Placebo inference on treatment effects when the number of clusters is small. Zbl 1456.62286
Hagemann, Andreas
2
2019
Correlated random effects models with unbalanced panels. Zbl 1452.62965
Wooldridge, Jeffrey M.
2
2019
Convolution without independence. Zbl 1452.62958
Schennach, Susanne M.
2
2019
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times. Zbl 1452.62782
Mykland, Per A.; Zhang, Lan; Chen, Dachuan
2
2019
Model averaging based on leave-subject-out cross-validation for vector autoregressions. Zbl 1452.62657
Liao, Jun; Zong, Xianpeng; Zhang, Xinyu; Zou, Guohua
2
2019
Identifying the effect of a mis-classified, binary, endogenous regressor. Zbl 1452.62901
DiTraglia, Francis J.; García-Jimeno, Camilo
2
2019
Modeling systemic risk with Markov switching graphical SUR models. Zbl 1452.62743
Bianchi, Daniele; Billio, Monica; Casarin, Roberto; Guidolin, Massimo
2
2019
Dynamic Bayesian predictive synthesis in time series forecasting. Zbl 1452.62697
McAlinn, Kenichiro; West, Mike
2
2019
A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms. Zbl 1456.62302
Orea, Luis; Álvarez, Inmaculada C.
2
2019
Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models. Zbl 1456.62079
Zhou, Ling; Lin, Huazhen; Chen, Kani; Liang, Hua
2
2019
Bayesian nonparametric sparse VAR models. Zbl 1452.62883
Billio, Monica; Casarin, Roberto; Rossini, Luca
1
2019
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. Zbl 1452.62369
Chen, Jia; Li, Degui; Linton, Oliver
1
2019
Large-scale portfolio allocation under transaction costs and model uncertainty. Zbl 1452.62769
Hautsch, Nikolaus; Voigt, Stefan
1
2019
Adaptive hierarchical priors for high-dimensional vector autoregressions. Zbl 1452.62653
Korobilis, Dimitris; Pettenuzzo, Davide
1
2019
Extreme canonical correlations and high-dimensional cointegration analysis. Zbl 1452.62669
Onatski, Alexei; Wang, Chen
1
2019
Network quantile autoregression. Zbl 1452.62688
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, Wolfgang Karl
1
2019
On asymptotic size distortions in the random coefficients logit model. Zbl 1452.62931
Ketz, Philipp
1
2019
Instrumental variables and the sign of the average treatment effect. Zbl 1452.62946
Machado, Cecilia; Shaikh, Azeem M.; Vytlacil, Edward J.
1
2019
Indirect inference with a non-smooth criterion function. Zbl 1452.62906
Frazier, David T.; Oka, Tatsushi; Zhu, Dan
1
2019
Smoothed GMM for quantile models. Zbl 1456.62281
de Castro, Luciano; Galvao, Antonio F.; Kaplan, David M.; Liu, Xin
1
2019
Partial identification of the treatment effect distribution and its functionals. Zbl 1456.62282
Firpo, Sergio; Ridder, Geert
1
2019
Predictive quantile regressions under persistence and conditional heteroskedasticity. Zbl 1456.62188
Fan, Rui; Lee, Ji Hyung
1
2019
Edgeworth’s time series model: not AR(1) but same covariance structure. Zbl 1456.62214
Portnoy, Stephen
1
2019
Estimation of longrun variance of continuous time stochastic process using discrete sample. Zbl 1452.62945
Lu, Ye; Park, Joon Y.
1
2019
A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions. Zbl 1452.62659
Liu, Cheng; Sun, Yixiao
1
2019
Causal inference by quantile regression kink designs. Zbl 1452.62900
Chiang, Harold D.; Sasaki, Yuya
1
2019
Inference on functionals under first order degeneracy. Zbl 1452.62303
Chen, Qihui; Fang, Zheng
1
2019
Labour supply and taxation with restricted choices. Zbl 1452.62880
Beffy, Magali; Blundell, Richard; Bozio, Antoine; Laroque, Guy; Tô, Maxime
1
2019
A rank test for the number of factors with high-frequency data. Zbl 1452.62776
Kong, Xin-Bing; Liu, Zhi; Zhou, Wang
1
2019
A time-varying true individual effects model with endogenous regressors. Zbl 1452.62937
Kutlu, Levent; Tran, Kien C.; Tsionas, Mike G.
1
2019
Robust uniform inference for quantile treatment effects in regression discontinuity designs. Zbl 1452.62342
Chiang, Harold D.; Hsu, Yu-Chin; Sasaki, Yuya
1
2019
The scale of predictability. Zbl 1452.62879
Bandi, F. M.; Perron, Benoit; Tamoni, A.; Tebaldi, Claudio
1
2019
Daily price limits and destructive market behavior. Zbl 1452.62750
Chen, Ting; Gao, Zhenyu; He, Jibao; Jiang, Wenxi; Xiong, Wei
1
2019
Tail event driven networks of SIFIs. Zbl 1452.62749
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, Yarema
1
2019
Residual bootstrap tests in linear models with many regressors. Zbl 1452.62508
Richard, Patrick
1
2019
Determination of vector error correction models in high dimensions. Zbl 1452.62941
Liang, Chong; Schienle, Melanie
1
2019
On the estimation of treatment effects with endogenous misreporting. Zbl 1452.62952
Nguimkeu, Pierre; Denteh, Augustine; Tchernis, Rusty
1
2019
Consistent estimation of time-varying loadings in high-dimensional factor models. Zbl 1452.62415
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni
1
2019
GEL estimation and tests of spatial autoregressive models. Zbl 1452.62923
Jin, Fei; Lee, Lung-fei
1
2019
Corrigendum to “Inference on impulse response functions in structural VAR models”. Zbl 1452.91237
Inoue, Atsushi; Kilian, Lutz
1
2019
...and 1363 more Documents
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Cited by 18,060 Authors

104 Phillips, Peter Charles Bonest
72 Taylor, A. M. Robert
66 McAleer, Michael
65 Shin, Dongwan
62 Linton, Oliver Bruce
61 Baltagi, Badi H.
57 Horváth, Lajos
57 Lee, Lung-Fei
56 Li, Qi
54 Pesaran, M. Hashem
54 Robinson, Peter Michael
49 Kapetanios, George
48 Leybourne, Stephen J.
46 Dette, Holger
46 Gourieroux, Christian
43 Su, Liangjun
42 Härdle, Wolfgang Karl
42 Kumbhakar, Subal C.
42 Surgailis, Donatas
42 Zhu, Lixing
41 Gao, Jiti
40 Van Keilegom, Ingrid
39 Hsiao, Cheng
39 Perron, Pierre
38 Dufour, Jean-Marie
38 Simar, Léopold
37 Franses, Philip Hans
37 Gil-Alana, Luis Alberiko
37 Ullah, Aman
36 Fan, Jianqing
36 King, Maxwell Leslie
35 Chen, Xiaohong
35 Tsionas, Mike G.
35 Wan, Alan T. K.
34 Chen, Cathy W. S.
34 Kokoszka, Piotr S.
33 Cavaliere, Giuseppe
33 Francq, Christian
33 Lee, Sangyeol
33 Siu, Tak Kuen
33 White, Halbert Lynn jun.
32 Ohtani, Kazuhiro
32 Renault, Eric
31 Ghysels, Eric
31 Hallin, Marc
31 Harvey, David I.
31 Koop, Gary
31 Lian, Heng
31 Ling, Shiqing
31 Lütkepohl, Helmut
30 Bodnar, Taras
30 Fan, Yanqin
30 Steel, Mark F. J.
30 Tjøstheim, Dag B.
30 Wu, Wei Biao
30 Zakoïan, Jean-Michel
30 Zhang, Xinyu
29 Barnett, William A.
29 Cai, Zongwu
29 Chan, Ngai Hang
29 Chen, Songnian
29 Florens, Jean-Pierre
29 Hassler, Uwe
29 Tsionas, Efthymios G.
29 Zou, Guohua
28 Hendry, David F.
28 Nadarajah, Saralees
28 Nielsen, Morten Ørregaard
28 Park, Joon Y.
28 Todorov, Viktor
28 Xiao, Zhijie
28 You, Jinhong
27 Gerlach, Richard H.
27 Hall, Alastair R.
27 Hu, Yingyao
27 Sriboonchitta, Songsak
27 Westerlund, Joakim
26 Aït-Sahalia, Yacine
26 Aue, Alexander
26 Koul, Hira Lal
26 Mammen, Enno
26 Meintanis, Simos G.
26 Peng, Liang
26 Swanson, Norman Rasmus
26 Tauchen, George E.
26 Velasco, Carlos I. Hoyos
25 Giraitis, Liudas
25 Li, Degui
25 Saikkonen, Pentti
24 Escanciano, Juan Carlos
24 Horowitz, Joel L.
24 Hušková, Marie
24 Politis, Dimitris Nicolas
24 Sun, Yixiao
24 Zellner, Arnold
23 Andrews, Donald Wilfrid Kao
23 Bollerslev, Tim
23 Chib, Siddhartha
23 Corradi, Valentina
23 Gallant, A. Ronald
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