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Journal of Econometrics

1973 - 2019

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

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Volume 210, issue 1, 2019

Sequentially adaptive Bayesian learning algorithms for inference and optimization pp. 4-25 Downloads
John Geweke and Garland Durham
Tempered particle filtering pp. 26-44 Downloads
Edward Herbst and Frank Schorfheide
Importance sampling from posterior distributions using copula-like approximations pp. 45-57 Downloads
Petros Dellaportas and Mike Tsionas
Modeling systemic risk with Markov Switching Graphical SUR models pp. 58-74 Downloads
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
Achieving shrinkage in a time-varying parameter model framework pp. 75-97 Downloads
Angela Bitto and Frühwirth-Schnatter, Sylvia
Sparse Bayesian time-varying covariance estimation in many dimensions pp. 98-115 Downloads
Gregor Kastner
Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification pp. 116-134 Downloads
Sylvia Kaufmann and Christian Schumacher
Bayesian compressed vector autoregressions pp. 135-154 Downloads
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
Dynamic Bayesian predictive synthesis in time series forecasting pp. 155-169 Downloads
Kenichiro McAlinn and Mike West
Forecast density combinations of dynamic models and data driven portfolio strategies pp. 170-186 Downloads
N. Baştürk, A. Borowska, S. Grassi, L. Hoogerheide and H.K. van Dijk
Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors pp. 187-202 Downloads
Mark Fisher and Mark Jensen
The value of news for economic developments pp. 203-218 Downloads
Vegard H. Larsen and Leif A. Thorsrud

Volume 209, issue 2, 2019

Portal nodes screening for large scale social networks pp. 145-157 Downloads
Xuening Zhu, Xiangyu Chang, Runze Li and Hansheng Wang
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book pp. 158-184 Downloads
Markus Bibinger, Christopher Neely and Lars Winkelmann
Weak σ-convergence: Theory and applications pp. 185-207 Downloads
Jianning Kong, Peter C.B. Phillips and Donggyu Sul
Random coefficient continuous systems: Testing for extreme sample path behavior pp. 208-237 Downloads
Yubo Tao, Peter C.B. Phillips and Jun Yu
Priors about observables in vector autoregressions pp. 238-255 Downloads
Marek Jarociński and Albert Marcet
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion pp. 256-288 Downloads
Nian Yang, Nan Chen and Xiangwei Wan
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book pp. 289-337 Downloads
Simon Clinet and Yoann Potiron
Testing for randomness in a random coefficient autoregression model pp. 338-352 Downloads
Lajos Horvath and Lorenzo Trapani
Functional GARCH models: The quasi-likelihood approach and its applications pp. 353-375 Downloads
Clément Cerovecki, Christian Francq, Siegfried Hörmann and Jean-Michel Zakoïan
Identifying the effect of a mis-classified, binary, endogenous regressor pp. 376-390 Downloads
Francis J. DiTraglia and García-Jimeno, Camilo
Forecasting using random subspace methods pp. 391-406 Downloads
Tom Boot and Didier Nibbering

Volume 209, issue 1, 2019

Quantile regression for duration models with time-varying regressors pp. 1-17 Downloads
Songnian Chen
Nearly weighted risk minimal unbiased estimation pp. 18-34 Downloads
Ulrich K. Müller and Yulong Wang
Model averaging based on leave-subject-out cross-validation for vector autoregressions pp. 35-60 Downloads
Jun Liao, Xianpeng Zong, Xinyu Zhang and Guohua Zou
Structured volatility matrix estimation for non-synchronized high-frequency financial data pp. 61-78 Downloads
Jianqing Fan and Donggyu Kim
New results on the identification of stochastic bargaining models pp. 79-93 Downloads
Antonio Merlo and Xun Tang
The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification pp. 94-113 Downloads
Chuhui Li, Donald Poskitt and Xueyan Zhao
Bayesian estimation of dynamic asset pricing models with informative observations pp. 114-138 Downloads
Andras Fulop and Junye Li

Volume 208, issue 2, 2019

Testing for structural breaks in factor copula models pp. 324-345 Downloads
Hans Manner, Florian Stark and Dominik Wied
Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables pp. 346-366 Downloads
Liquan Huang, Umair Khalil and Neşe Yıldız
Residual bootstrap tests in linear models with many regressors pp. 367-394 Downloads
Patrick Richard
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction pp. 395-417 Downloads
Donggyu Kim and Jianqing Fan
Determination of vector error correction models in high dimensions pp. 418-441 Downloads
Chong Liang and Melanie Schienle
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models pp. 442-467 Downloads
Hiroyuki Kasahara and Katsumi Shimotsu
Testing treatment effect heterogeneity in regression discontinuity designs pp. 468-486 Downloads
Yu-Chin Hsu and Shu Shen
On the estimation of treatment effects with endogenous misreporting pp. 487-506 Downloads
Pierre Nguimkeu, Augustine Denteh and Rusty Tchernis
A multiple testing approach to the regularisation of large sample correlation matrices pp. 507-534 Downloads
Natalia Bailey, M Pesaran and L. Vanessa Smith
Consistent estimation of time-varying loadings in high-dimensional factor models pp. 535-562 Downloads
Jakob Guldbæk Mikkelsen, Eric Hillebrand and Giovanni Urga
A computationally efficient fixed point approach to dynamic structural demand estimation pp. 563-584 Downloads
Yutec Sun and Masakazu Ishihara
GEL estimation and tests of spatial autoregressive models pp. 585-612 Downloads
Fei Jin and Lung-Fei Lee
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects pp. 613-637 Downloads
Patrick Gagliardini and Christian Gouriéroux
Alternative tests for correct specification of conditional predictive densities pp. 638-657 Downloads
Barbara Rossi and Tatevik Sekhposyan

Volume 208, issue 1, 2019

Robust covariance estimation for approximate factor models pp. 5-22 Downloads
Jianqing Fan, Weichen Wang and Yiqiao Zhong
Large-dimensional factor modeling based on high-frequency observations pp. 23-42 Downloads
Markus Pelger
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data pp. 43-79 Downloads
Chaoxing Dai, Kun Lu and Dacheng Xiu
Estimating the integrated volatility with tick observations pp. 80-100 Downloads
Jean Jacod, Yingying Li and Xinghua Zheng
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times pp. 101-119 Downloads
Per A. Mykland, Lan Zhang and Dachuan Chen
The scale of predictability pp. 120-140 Downloads
F.M. Bandi, B. Perron, A. Tamoni and C. Tebaldi
A unified test for predictability of asset returns regardless of properties of predicting variables pp. 141-159 Downloads
Xiaohui Liu, Bingduo Yang, Zongwu Cai and Liang Peng
Semiparametric estimation of the bid–ask spread in extended roll models pp. 160-178 Downloads
Xiaohong Chen, Oliver Linton, Stefan Schneeberger and Yanping Yi
Optimum thresholding using mean and conditional mean squared error pp. 179-210 Downloads
Figueroa-López, José E. and Cecilia Mancini
Banded spatio-temporal autoregressions pp. 211-230 Downloads
Zhaoxing Gao, Yingying Ma, Hansheng Wang and Qiwei Yao
Factor models for matrix-valued high-dimensional time series pp. 231-248 Downloads
Dong Wang, Xialu Liu and Rong Chen
Daily price limits and destructive market behavior pp. 249-264 Downloads
Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang and Wei Xiong
Climate risks and market efficiency pp. 265-281 Downloads
Harrison Hong, Frank Weikai Li and Jiangmin Xu
Tail event driven networks of SIFIs pp. 282-298 Downloads
Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yarema Okhrin
Mark to market value at risk pp. 299-321 Downloads
Yu Chen, Zhicheng Wang and Zhengjun Zhang
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