# zbMATH — the first resource for mathematics

## 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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#### 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
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#### Fields

 4,041 Statistics (62-XX) 1,117 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 217 Numerical analysis (65-XX) 186 Probability theory and stochastic processes (60-XX) 102 General and overarching topics; collections (00-XX) 55 Operations research, mathematical programming (90-XX) 18 History and biography (01-XX) 15 Systems theory; control (93-XX) 12 Geophysics (86-XX) 9 Linear and multilinear algebra; matrix theory (15-XX) 9 Biology and other natural sciences (92-XX) 7 Computer science (68-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)

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3,399 Publications have been cited 44,443 times in 18,799 Documents Cited by Year
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A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
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Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
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Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
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Understanding spurious regressions in econometrics. Zbl 0602.62098
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Testing for unit roots in heterogeneous panels. Zbl 1041.62075
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High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
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Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
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Long memory and regime switching. Zbl 1040.62109
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Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
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Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
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Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
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Alternative models for stock price dynamics. Zbl 1043.62087
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Spurious regressions in econometrics. Zbl 0319.62072
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Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
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The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
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1998
Polyhedral cone-ratio DEA models with an illustrative application to large commercials banks. Zbl 0712.90015
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1990
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
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1990
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
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1991
Consistent model specification tests. Zbl 0549.62076
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1982
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599
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2011
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
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2002
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
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1996
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
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2007
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
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1995
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
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1996
Simultaneous equations models in applied search theory. Zbl 0578.62099
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Generalized method of moments specification testing. Zbl 0606.62132
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1985
Forecasting the term structure of government bond yields. Zbl 1337.62324
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2006
Estimation and comparison of multiple change-point models. Zbl 1045.62510
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1998
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
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2004
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
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2002
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
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1996
An MCMC approach to classical estimation. Zbl 1043.62022
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2003
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
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1982
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
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2002
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
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2007
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
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Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
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1997
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
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2000
On the asymptotic distribution of the Moran $$I$$ test stastistic with applications. Zbl 1002.62019
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Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
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1993
Dynamic linear models with Markov-switching. Zbl 0795.62104
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1994
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
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Tobit models: A survey. Zbl 0539.62121
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On leverage in a stochastic volatility model. Zbl 1335.91116
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A Markov model for switching regressions. Zbl 0294.62087
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Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
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1995
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
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Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
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2001
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
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Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
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Estimation of copula-based semiparametric time series models. Zbl 1337.62201
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2006
Econometric specification of stochastic discount factor models. Zbl 1420.91461
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Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
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2011
Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089
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1996
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
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1981
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
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1985
A generalization of the beta distribution with applications. Zbl 0813.62011
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1995
The wild bootstrap, tamed at last. Zbl 1418.62183
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2008
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
2006
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
2010
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
2003
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
2007
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
2004
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2011
Current developments in time series modelling. Zbl 0667.62068
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1988
GMM estimation with cross sectional dependence. Zbl 0944.62117
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1999
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
1997
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
2007
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
2003
Augmented GARCH$$(p,q)$$ process and its diffusion limit. Zbl 0898.62141
Duan, Jin-Chuan
1997
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
1997
Bayes inference in regression models with ARMA$$(p,q)$$ errors. Zbl 0807.62065
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1994
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series. Zbl 0854.62084
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1996
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
2010
Estimating the COVID-19 infection rate: anatomy of an inference problem. Zbl 1464.62464
Manski, Charles F.; Molinari, Francesca
2021
Overlap in observational studies with high-dimensional covariates. Zbl 07327178
D&rsquo;Amour, Alexander; Ding, Peng; Feller, Avi; Lei, Lihua; Sekhon, Jasjeet
2021
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. Zbl 07327195
Fan, Jianqing; Ke, Yuan; Liao, Yuan
2021
Tail risk and return predictability for the Japanese equity market. Zbl 07327198
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
2021
Limit theorems for network dependent random variables. Zbl 07343295
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul
2021
Consumer panic in the COVID-19 pandemic. Zbl 1464.62509
Keane, Michael; Neal, Timothy
2021
Heterogeneous structural breaks in panel data models. Zbl 1464.62519
Okui, Ryo; Wang, Wendun
2021
Detecting granular time series in large panels. Zbl 1464.62497
Brownlees, Christian; Mesters, Geert
2021
ExpectHill estimation, extreme risk and heavy tails. Zbl 1464.62279
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles
2021
Inference in time series models using smoothed-clustered standard errors. Zbl 07376510
Rho, Seunghwa; Vogelsang, Timothy J.
2021
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
2020
Factor-adjusted regularized model selection. Zbl 1456.62114
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng
2020
The term structure of equity and variance risk premia. Zbl 1464.91072
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano
2020
High-dimensional minimum variance portfolio estimation based on high-frequency data. Zbl 1456.62242
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
2020
Testing the impossible: identifying exclusion restrictions. Zbl 1464.62513
Kiviet, Jan F.
2020
Generic results for establishing the asymptotic size of confidence sets and tests. Zbl 1464.62489
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik
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
2020
Efficient estimation of heterogeneous coefficients in panel data models with common shocks. Zbl 1456.62294
Li, Kunpeng; Cui, Guowei; Lu, Lina
2020
Unobserved heterogeneity in auctions under restricted stochastic dominance. Zbl 1456.91055
Luo, Yao
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
2020
Identifying dynamic discrete choice models off short panels. Zbl 1456.62267
Arcidiacono, Peter; Miller, Robert A.
2020
Issues in the estimation of mis-specified models of fractionally integrated processes. Zbl 1456.62212
Martin, Gael M.; Nadarajah, K.; Poskitt, D. S.
2020
Multivariate spatial autoregressive model for large scale social networks. Zbl 1456.62229
Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng
2020
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. Zbl 1456.62274
Botosaru, Irene
2020
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models. Zbl 1456.62102
Fan, Jianqing; Feng, Yang; Xia, Lucy
2020
Regression discontinuity design with many thresholds. Zbl 1456.62268
Bertanha, Marinho
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
2020
Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. Zbl 1456.62265
Pretis, Felix
2020
Nonparametric filtering of conditional state-price densities. Zbl 1456.62244
Dalderop, Jeroen
2020
A goodness-of-fit test for copulas based on martingale transformation. Zbl 1456.62086
Lu, Xiaohui; Zheng, Xu
2020
Non-standard inference for augmented double autoregressive models with null volatility coefficients. Zbl 1456.62198
Jiang, Feiyu; Li, Dong; Zhu, Ke
2020
Threshold factor models for high-dimensional time series. Zbl 1456.62210
Liu, Xialu; Chen, Rong
2020
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
2020
Estimation for double-nonlinear cointegration. Zbl 1456.62209
Lin, Yingqian; Tu, Yundong; Yao, Qiwei
2020
Large-dimensional factor modeling based on high-frequency observations. Zbl 1452.62786
Pelger, Markus
2019
Bayesian compressed vector autoregressions. Zbl 1452.62934
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide
2019
A Hausman test for the presence of market microstructure noise in high frequency data. Zbl 1452.62873
Aït-Sahalia, Yacine; Xiu, Dacheng
2019
Optimum thresholding using mean and conditional mean squared error. Zbl 1452.62762
Figueroa-López, José E.; Mancini, Cecilia
2019
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Zbl 1452.62890
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
2019
Conditional quantile processes based on series or many regressors. Zbl 1456.62067
Belloni, Alexandre; Chernozhukov, Victor; Chetverikov, Denis; Fernández-Val, Iván
2019
Dynamic semiparametric models for expected shortfall (and value-at-risk). Zbl 1452.62785
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui
2019
A closed-form estimator for quantile treatment effects with endogeneity. Zbl 1452.62966
Wüthrich, Kaspar
2019
Asymptotic theory for clustered samples. Zbl 1452.62915
Hansen, Bruce E.; Lee, Seojeong
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
2019
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
2019
Achieving shrinkage in a time-varying parameter model framework. Zbl 1452.62216
Bitto, Angela; Frühwirth-Schnatter, Sylvia
2019
Generalized high-dimensional trace regression via nuclear norm regularization. Zbl 1452.62536
Fan, Jianqing; Gong, Wenyan; Zhu, Ziwei
2019
Asymptotic theory and wild bootstrap inference with clustered errors. Zbl 1452.62902
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A weak law for moments of pairwise stable networks. Zbl 1452.91247
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2019
Robust covariance estimation for approximate factor models. Zbl 1452.62410
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A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
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Factor models for matrix-valued high-dimensional time series. Zbl 1452.62684
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A multiple testing approach to the regularisation of large sample correlation matrices. Zbl 1452.62365
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. Zbl 1452.62754
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Sparse Bayesian time-varying covariance estimation in many dimensions. Zbl 1452.62773
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Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity. Zbl 1456.62073
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2019
Unified inference for nonlinear factor models from panels with fixed and large time span. Zbl 1452.62874
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Rank regularized estimation of approximate factor models. Zbl 1452.62405
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A quasi-Bayesian local likelihood approach to time varying parameter VAR models. Zbl 1452.62672
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Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates. Zbl 1452.62277
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2019
Placebo inference on treatment effects when the number of clusters is small. Zbl 1456.62286
Hagemann, Andreas
2019
Correlated random effects models with unbalanced panels. Zbl 1452.62965
Wooldridge, Jeffrey M.
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Convolution without independence. Zbl 1452.62958
Schennach, Susanne M.
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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
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Model averaging based on leave-subject-out cross-validation for vector autoregressions. Zbl 1452.62657
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Identifying the effect of a mis-classified, binary, endogenous regressor. Zbl 1452.62901
DiTraglia, Francis J.; García-Jimeno, Camilo
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Modeling systemic risk with Markov switching graphical SUR models. Zbl 1452.62743
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2019
Dynamic Bayesian predictive synthesis in time series forecasting. Zbl 1452.62697
McAlinn, Kenichiro; West, Mike
2019
A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms. Zbl 1456.62302
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Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models. Zbl 1456.62079
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Bayesian nonparametric sparse VAR models. Zbl 1452.62883
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A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. Zbl 1452.62369
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Large-scale portfolio allocation under transaction costs and model uncertainty. Zbl 1452.62769
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Adaptive hierarchical priors for high-dimensional vector autoregressions. Zbl 1452.62653
Korobilis, Dimitris; Pettenuzzo, Davide
2019
Extreme canonical correlations and high-dimensional cointegration analysis. Zbl 1452.62669
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Network quantile autoregression. Zbl 1452.62688
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2019
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Instrumental variables and the sign of the average treatment effect. Zbl 1452.62946
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2019
Indirect inference with a non-smooth criterion function. Zbl 1452.62906
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Smoothed GMM for quantile models. Zbl 1456.62281
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Partial identification of the treatment effect distribution and its functionals. Zbl 1456.62282
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Predictive quantile regressions under persistence and conditional heteroskedasticity. Zbl 1456.62188
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Edgeworth’s time series model: not AR(1) but same covariance structure. Zbl 1456.62214
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2019
Causal inference by quantile regression kink designs. Zbl 1452.62900
Chiang, Harold D.; Sasaki, Yuya
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Inference on functionals under first order degeneracy. Zbl 1452.62303
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Labour supply and taxation with restricted choices. Zbl 1452.62880
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Robust uniform inference for quantile treatment effects in regression discontinuity designs. Zbl 1452.62342
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The scale of predictability. Zbl 1452.62879
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Daily price limits and destructive market behavior. Zbl 1452.62750
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Tail event driven networks of SIFIs. Zbl 1452.62749
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Residual bootstrap tests in linear models with many regressors. Zbl 1452.62508
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Determination of vector error correction models in high dimensions. Zbl 1452.62941
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2019
GEL estimation and tests of spatial autoregressive models. Zbl 1452.62923
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2019
Corrigendum to “Inference on impulse response functions in structural VAR models”. Zbl 1452.91237
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2019
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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 ...and 17,960 more Authors
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#### Cited in 532 Journals

 3,365 Journal of Econometrics 1,249 Economics Letters 812 Computational Statistics and Data Analysis 719 Econometric Theory 594 European Journal of Operational Research 518 Communications in Statistics. Theory and Methods 451 Journal of Time Series Analysis 416 Journal of Statistical Planning and Inference 414 Journal of Economic Dynamics & Control 380 Statistics & Probability Letters 374 Journal of Multivariate Analysis 370 Quantitative Finance 317 Journal of Statistical Computation and Simulation 316 Econometric Reviews 309 The Annals of Statistics 253 Journal of Applied Statistics 236 Communications in Statistics. Simulation and Computation 215 The Econometrics Journal 212 Statistical Papers 176 Journal of the American Statistical Association 176 Electronic Journal of Statistics 155 Computational Statistics 149 Journal of Nonparametric Statistics 143 Annals of the Institute of Statistical Mathematics 132 Insurance Mathematics & Economics 130 Annals of Operations Research 126 Bernoulli 120 International Journal of Theoretical and Applied Finance 119 Statistics 118 Stochastic Processes and their Applications 116 Mathematics and Computers in Simulation 108 Statistics and Computing 104 Scandinavian Journal of Statistics 103 Test 97 Open Economies Review 95 Biometrics 88 Psychometrika 80 Metrika 79 The Canadian Journal of Statistics 79 The Annals of Applied Statistics 78 Statistical Methods and Applications 76 Applied Mathematics and Computation 75 Journal of the Korean Statistical Society 71 AStA. Advances in Statistical Analysis 67 Statistical Science 66 Journal of Computational and Applied Mathematics 61 Computational Economics 57 Journal of Economic Theory 55 Asia-Pacific Financial Markets 55 Journal of Forecasting 55 Journal of Time Series Econometrics 53 Physica A 53 Journal of Econometric Methods 52 Macroeconomic Dynamics 52 Bayesian Analysis 50 Statistica Neerlandica 48 Computers & Operations Research 48 Journal of Systems Science and Complexity 48 Review of Derivatives Research 46 Applied Mathematical Finance 46 Statistical Modelling 46 Annals of Finance 44 International Journal of Systems Science 44 Automatica 44 International Economic Review 44 Mathematical and Computer Modelling 43 Statistical Inference for Stochastic Processes 43 Applied Stochastic Models in Business and Industry 42 Journal of Statistical Theory and Practice 39 The Annals of Applied Probability 39 Journal of the Royal Statistical Society. Series B. Statistical Methodology 38 Acta Mathematicae Applicatae Sinica. English Series 38 Mathematical Finance 38 Science China. Mathematics 37 Theory and Decision 36 Games and Economic Behavior 36 Mathematical Problems in Engineering 33 Applied Mathematical Modelling 32 Chaos, Solitons and Fractals 32 Social Choice and Welfare 32 North American Actuarial Journal 31 Journal of Mathematical Economics 30 Statistical Methodology 29 Computers & Mathematics with Applications 29 Advances in Data Analysis and Classification. ADAC 28 International Journal of Control 28 Extremes 28 Scandinavian Actuarial Journal 27 Linear Algebra and its Applications 27 Australian & New Zealand Journal of Statistics 27 Computational Management Science 26 Entropy 26 Thai Journal of Mathematics 26 Journal of Probability and Statistics 25 Discrete Dynamics in Nature and Society 25 Journal of Economic Growth 25 Methodology and Computing in Applied Probability 24 Lithuanian Mathematical Journal 24 Operations Research 24 CEJOR. Central European Journal of Operations Research ...and 432 more Journals
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#### Cited in 51 Fields

 14,880 Statistics (62-XX) 5,772 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,276 Numerical analysis (65-XX) 2,063 Probability theory and stochastic processes (60-XX) 965 Operations research, mathematical programming (90-XX) 317 Systems theory; control (93-XX) 194 Computer science (68-XX) 183 Biology and other natural sciences (92-XX) 118 Linear and multilinear algebra; matrix theory (15-XX) 103 Information and communication theory, circuits (94-XX) 96 Dynamical systems and ergodic theory (37-XX) 81 Partial differential equations (35-XX) 73 Ordinary differential equations (34-XX) 69 Geophysics (86-XX) 65 Harmonic analysis on Euclidean spaces (42-XX) 62 General and overarching topics; collections (00-XX) 49 History and biography (01-XX) 47 Calculus of variations and optimal control; optimization (49-XX) 39 Combinatorics (05-XX) 36 Real functions (26-XX) 34 Statistical mechanics, structure of matter (82-XX) 33 Approximations and expansions (41-XX) 30 Functional analysis (46-XX) 27 Integral equations (45-XX) 23 Mechanics of deformable solids (74-XX) 21 Special functions (33-XX) 19 Fluid mechanics (76-XX) 16 Mathematical logic and foundations (03-XX) 16 Operator theory (47-XX) 14 Measure and integration (28-XX) 13 Integral transforms, operational calculus (44-XX) 9 Quantum theory (81-XX) 9 Astronomy and astrophysics (85-XX) 8 Number theory (11-XX) 6 Mechanics of particles and systems (70-XX) 5 Difference and functional equations (39-XX) 5 Differential geometry (53-XX) 5 Relativity and gravitational theory (83-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Classical thermodynamics, heat transfer (80-XX) 3 Mathematics education (97-XX) 2 Field theory and polynomials (12-XX) 2 Group theory and generalizations (20-XX) 2 Functions of a complex variable (30-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 General algebraic systems (08-XX) 1 Algebraic geometry (14-XX) 1 Category theory; homological algebra (18-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Optics, electromagnetic theory (78-XX)