EconPapers    
Economics at your fingertips  
 

Journal of Econometrics

1973 - 2022

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 230, issue 1, 2022

Bayesian factor-adjusted sparse regression pp. 3-19 Downloads
Jianqing Fan, Bai Jiang and Qiang Sun
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity pp. 20-38 Downloads
Tomohiro Ando, Jushan Bai and Kunpeng Li
Parsimony inducing priors for large scale state–space models pp. 39-61 Downloads
Hedibert F. Lopes, Robert E. McCulloch and Ruey S. Tsay
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity pp. 62-82 Downloads
Andriy Norets and Justinas Pelenis
Posterior-based Wald-type statistics for hypothesis testing pp. 83-113 Downloads
Xiaobin Liu, Yong Li, Jun Yu and Tao Zeng
Real-time Bayesian learning and bond return predictability pp. 114-130 Downloads
Runqing Wan, Andras Fulop and Junye Li
Bayesian nonparametric learning of how skill is distributed across the mutual fund industry pp. 131-153 Downloads
Mark Fisher and Mark J. Jensen
Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models pp. 154-182 Downloads
Katerina Petrova
Factor investing: A Bayesian hierarchical approach pp. 183-200 Downloads
Guanhao Feng and Jingyu He
Affine arbitrage-free yield net models with application to the euro debt crisis pp. 201-220 Downloads
Zhiwu Hong, Linlin Niu and Chen Zhang

Volume 229, issue 2, 2022

Semiparametric model averaging prediction for dichotomous response pp. 219-245 Downloads
Fang Fang, Jialiang Li and Xiaochao Xia
On improvability of model selection by model averaging pp. 246-262 Downloads
Jingfu Peng and Yuhong Yang
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect pp. 263-275 Downloads
Tadao Hoshino
A doubly corrected robust variance estimator for linear GMM pp. 276-298 Downloads
Jungbin Hwang, Byunghoon Kang and Seojeong Lee
Nonparametric estimation of the random coefficients model: An elastic net approach pp. 299-321 Downloads
Florian Heiss, Stephan Hetzenecker and Maximilian Osterhaus
On LASSO for predictive regression pp. 322-349 Downloads
Ji Hyung Lee, Zhentao Shi and Zhan Gao
Transformations and moment conditions for dynamic fixed effects logit models pp. 350-362 Downloads
Yoshitsugu Kitazawa
Testing the eigenvalue structure of spot and integrated covariance pp. 363-395 Downloads
Prosper Dovonon, Abderrahim Taamouti and Julian Williams
Spurious functional-coefficient regression models and robust inference with marginal integration pp. 396-421 Downloads
Yundong Tu and Ying Wang
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps pp. 422-451 Downloads
Yingying Li, Guangying Liu and Zhiyuan Zhang

Volume 229, issue 1, 2022

Asymptotic properties of correlation-based principal component analysis pp. 1-18 Downloads
Jungjun Choi and Xiye Yang
An incidental parameters free inference approach for panels with common shocks pp. 19-54 Downloads
Artūras Juodis and Vasilis Sarafidis
Estimation and inference in heterogeneous spatial panels with a multifactor error structure pp. 55-79 Downloads
Jia Chen, Yongcheol Shin and Chaowen Zheng
Factor models with local factors — Determining the number of relevant factors pp. 80-102 Downloads
Simon Freyaldenhoven
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure pp. 103-126 Downloads
Stanislav Anatolyev and Anna Mikusheva
Functional time series approach to analyzing asset returns co-movements pp. 127-151 Downloads
Patrick W. Saart and Yingcun Xia
High-dimensional test for alpha in linear factor pricing models with sparse alternatives pp. 152-175 Downloads
Long Feng, Wei Lan, Binghui Liu and Yanyuan Ma
Kotlarski with a factor loading pp. 176-179 Downloads
Arthur Lewbel
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions pp. 180-200 Downloads
Fa Wang
Projected estimation for large-dimensional matrix factor models pp. 201-217 Downloads
Long Yu, Yong He, Xinbing Kong and Xinsheng Zhang

Volume 228, issue 2, 2022

SONIC: SOcial Network analysis with Influencers and Communities pp. 177-220 Downloads
Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle and Yegor Klochkov
Measuring news sentiment pp. 221-243 Downloads
Adam Hale Shapiro, Moritz Sudhof and Daniel J. Wilson
An explainable attention network for fraud detection in claims management pp. 244-258 Downloads
Helmut Farbmacher, Leander Löw and Martin Spindler
Can we measure inflation expectations using Twitter? pp. 259-277 Downloads
Cristina Angelico, Juri Marcucci, Marcello Miccoli and Filippo Quarta
Instrument-free identification and estimation of differentiated products models using cost data pp. 278-301 Downloads
David P. Byrne, Susumu Imai, Neelam Jain and Vasilis Sarafidis
Infinite Markov pooling of predictive distributions pp. 302-321 Downloads
Xin Jin, John Maheu and Qiao Yang
Latent complementarity in bundles models pp. 322-341 Downloads
Roy Allen and John Rehbeck
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions pp. 342-358 Downloads
Ali Fakih, Paul Makdissi, Walid Marrouch, Rami V. Tabri and Myra Yazbeck
Illuminating economic growth pp. 359-378 Downloads
Yingyao Hu and Jiaxiong Yao
An integrated panel data approach to modelling economic growth pp. 379-397 Downloads
Guohua Feng, Jiti Gao and Bin Peng

Volume 228, issue 1, 2022

High-dimensional linear models with many endogenous variables pp. 4-26 Downloads
Alexandre Belloni, Christian Hansen and Whitney Newey
Nonparametric Bayes subject to overidentified moment conditions pp. 27-38 Downloads
A. Ronald Gallant
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models pp. 39-61 Downloads
Chunrong Ai, Oliver Linton and Zheng Zhang
Bayesian estimation of long-run risk models using sequential Monte Carlo pp. 62-84 Downloads
Andras Fulop, Jeremy Heng, Junye Li and Hening Liu
Constrained estimation using penalization and MCMC pp. 85-106 Downloads
A. Ronald Gallant, Han Hong, Michael Leung and Jessie Li
Robust Bayesian inference in proxy SVARs pp. 107-126 Downloads
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Copula-based time series with filtered nonstationarity pp. 127-155 Downloads
Xiaohong Chen, Zhijie Xiao and Bo Wang
Variation and efficiency of high-frequency betas pp. 156-175 Downloads
Congshan Zhang, Jia Li, Viktor Todorov and George Tauchen

Volume 227, issue 2, 2022

Stationary vine copula models for multivariate time series pp. 305-324 Downloads
Thomas Nagler, Daniel Krüger and Aleksey Min
Maximum likelihood estimation for score-driven models pp. 325-346 Downloads
Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman and Andre Lucas
Semiparametric testing with highly persistent predictors pp. 347-370 Downloads
Bas J.M. Werker and Bo Zhou
Functional coefficient panel modeling with communal smoothing covariates pp. 371-407 Downloads
Peter C.B. Phillips and Ying Wang
Simultaneous inference for time-varying models pp. 408-428 Downloads
Sayar Karmakar, Stefan Richter and Wei Biao Wu
Residual-augmented IVX predictive regression pp. 429-460 Downloads
Matei Demetrescu and Paulo Rodrigues
The drift burst hypothesis pp. 461-497 Downloads
Kim Christensen, Roel Oomen and Roberto Renò
Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” pp. 498-505 Downloads
Mark Bognanni

Volume 227, issue 1, 2022

Goodness-of-fit testing for time series models via distance covariance pp. 4-24 Downloads
Phyllis Wan and Richard A. Davis
Understanding temporal aggregation effects on kurtosis in financial indices pp. 25-46 Downloads
Offer Lieberman and Peter Phillips
Testing the existence of moments for GARCH processes pp. 47-64 Downloads
Christian Francq and Jean-Michel Zakoian
A time-varying parameter model for local explosions pp. 65-84 Downloads
Francisco Blasques, Siem Jan Koopman and Marc Nientker
Testing for episodic predictability in stock returns pp. 85-113 Downloads
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence pp. 114-133 Downloads
Zongwu Cai, Ying Fang and Qiuhua Xu
β in the tails pp. 134-150 Downloads
Federico M. Bandi and Roberto Renò
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management pp. 151-167 Downloads
Mike K.P. So, Thomas W.C. Chan and Amanda M.Y. Chu
Asset selection based on high frequency Sharpe ratio pp. 168-188 Downloads
Christina Dan Wang, Zhao Chen, Yimin Lian and Min Chen
Occupation density estimation for noisy high-frequency data pp. 189-211 Downloads
Congshan Zhang, Jia Li and Tim Bollerslev
Identification of structural multivariate GARCH models pp. 212-227 Downloads
Christian Hafner, Helmut Herwartz and Simone Maxand
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise pp. 228-240 Downloads
Xingfa Zhang, Rongmao Zhang, Yuan Li and Shiqing Ling
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models pp. 241-263 Downloads
Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek
Hybrid quantile estimation for asymmetric power GARCH models pp. 264-284 Downloads
Guochang Wang, Ke Zhu, Guodong Li and Wai Keung Li
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers pp. 285-304 Downloads
Manabu Asai, Chia-Lin Chang and Michael McAleer
Page updated 2022-06-30