Journal of Econometrics

1973 - 2020

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

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Volume 218, issue 1, 2020

Estimating latent asset-pricing factors pp. 1-31

Martin Lettau and Markus Pelger

Statistical inferences for price staleness pp. 32-81

Aleksey Kolokolov, Giulia Livieri and Davide Pirino

Spatial dynamic models with intertemporal optimization: Specification and estimation pp. 82-104

Hanbat Jeong and Lung-fei Lee

Reducing the state space dimension in a large TVP-VAR pp. 105-118

Joshua Chan, Eric Eisenstat and Rodney Strachan

A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models pp. 119-139

Jianqing Fan, Yang Feng and Lucy Xia

Asymptotic F tests under possibly weak identification pp. 140-177

Julián Martínez-Iriarte, Yixiao Sun and Xuexin Wang

On the unbiased asymptotic normality of quantile regression with fixed effects pp. 178-215

Antonio F. Galvao, Jiaying Gu and Stanislav Volgushev

Regression discontinuity design with many thresholds pp. 216-241

Marinho Bertanha

Volume 217, issue 2, 2020

Liquidity and volatility in the U.S. Treasury market pp. 207-229

Giang Nguyen, Robert Engle, Michael Fleming and Eric Ghysels

The leverage effect puzzle revisited: Identification in discrete time pp. 230-258

Hyojin Han, Stanislav Khrapov and Eric Renault

Volatility estimation and jump detection for drift–diffusion processes pp. 259-290

Sébastien Laurent and Shuping Shi

Spanning tests for Markowitz stochastic dominance pp. 291-311

Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou

Dynamics of variance risk premia: A new model for disentangling the price of risk pp. 312-334

Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

Partially censored posterior for robust and efficient risk evaluation pp. 335-355

Agnieszka Borowska, Lennart Hoogerheide, Siem Jan Koopman and Herman K. van Dijk

Virtual Historical Simulation for estimating the conditional VaR of large portfolios pp. 356-380

Christian Francq and Jean-Michel Zakoïan

Nearest comoment estimation with unobserved factors pp. 381-397

Kris Boudt, Dries Cornilly and Tim Verdonck

Flexible multivariate Hill estimators pp. 398-410

Yves Dominicy, Matias Heikkilä, Pauliina Ilmonen and David Veredas

Multivariate leverage effects and realized semicovariance GARCH models pp. 411-430

Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg

Estimation of a multiplicative correlation structure in the large dimensional case pp. 431-470

Christian Hafner, Oliver B. Linton and Haihan Tang

Incorporating overnight and intraday returns into multivariate GARCH volatility models pp. 471-495

Geert Dhaene and Jianbin Wu

Nonlinearities and regimes in conditional correlations with different dynamics pp. 496-522

Luc Bauwens and Edoardo Otranto

Volume 217, issue 1, 2020

Estimating derivatives of function-valued parameters in a class of moment condition models pp. 1-19

Christoph Rothe and Dominik Wied

High frequency traders and the price process pp. 20-45

Yacine Ait-Sahalia and Celso Brunetti

Relevant parameter changes in structural break models pp. 46-78

Arnaud Dufays and Jeroen V.K. Rombouts

Inference for high-dimensional instrumental variables regression pp. 79-111

David Gold, Johannes Lederer and Jing Tao

Nonparametric analysis of a duration model with stochastic unobserved heterogeneity pp. 112-139

Irene Botosaru

Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data pp. 140-160

Marcus Chambers

Posterior distribution of nondifferentiable functions pp. 161-175

Toru Kitagawa, José Luis Montiel Olea, Jonathan Payne and Amilcar Velez Salamanca

A coupled component DCS-EGARCH model for intraday and overnight volatility pp. 176-201

Oliver Linton and Jianbin Wu

Volume 216, issue 2, 2020

Efficient estimation of heterogeneous coefficients in panel data models with common shocks pp. 327-353

Kunpeng Li, Guowei Cui and Lina Lu

Unobserved heterogeneity in auctions under restricted stochastic dominance pp. 354-374

Yao Luo

Adaptive inference on pure spatial models pp. 375-393

Jungyoon Lee and Peter M. Robinson

Counterfactual prediction in complete information games: Point prediction under partial identification pp. 394-429

Sung Jae Jun and Joris Pinkse

Option market trading activity and the estimation of the pricing kernel: A Bayesian approach pp. 430-449

Giovanni Barone-Adesi, Nicola Fusari, Antonietta Mira and Carlo Sala

Deviance information criterion for latent variable models and misspecified models pp. 450-493

Yong Li, Jun Yu and Tao Zeng

The dynamic factor network model with an application to international trade pp. 494-515

Falk Bräuning and Siem Jan Koopman

Survey weighted estimating equation inference with nuisance functionals pp. 516-536

Puying Zhao, David Haziza and Changbao Wu

Volume 216, issue 1, 2020

Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals pp. 4-34

Matteo Barigozzi and Marc Hallin

A robust procedure to build dynamic factor models with cluster structure pp. 35-52

Andrés M. Alonso, Pedro Galeano and Daniel Peña

Threshold factor models for high-dimensional time series pp. 53-70

Xialu Liu and Rong Chen

Factor-adjusted regularized model selection pp. 71-85

Jianqing Fan, Yuan Ke and Kaizheng Wang

High-frequency factor models and regressions pp. 86-105

Yacine Ait-Sahalia, Ilze Kalnina and Dacheng Xiu

Testing serial correlations in high-dimensional time series via extreme value theory pp. 106-117

Ruey S. Tsay

Variable selection for high-dimensional regression models with time series and heteroscedastic errors pp. 118-136

Hai-Tang Chiou, Meihui Guo and Ching-Kang Ing

Dynamic conditional angular correlation pp. 137-150

Riad Jarjour and Kung-Sik Chan

Twisted probabilities, uncertainty, and prices pp. 151-174

Lars Peter Hansen, Bálint Szőke, Lloyd S. Han and Thomas Sargent

Estimation for double-nonlinear cointegration pp. 175-191

Yingqian Lin, Yundong Tu and Qiwei Yao

Asymptotic theory for near integrated processes driven by tempered linear processes pp. 192-202

Farzad Sabzikar, Qiying Wang and Peter Phillips

Two-mode network autoregressive model for large-scale networks pp. 203-219

Danyang Huang, Feifei Wang, Xuening Zhu and Hansheng Wang

Inference for the degree distributions of preferential attachment networks with zero-degree nodes pp. 220-234

N.H. Chan, Simon K.C. Cheung and Samuel P.S. Wong

Robust causality test of infinite variance processes pp. 235-245

Fumiya Akashi, Masanobu Taniguchi and Anna Clara Monti

Noncausal vector AR processes with application to economic time series pp. 246-267

Richard A. Davis and Li Song

Double machine learning with gradient boosting and its application to the Big N audit quality effect pp. 268-283

Jui-Chung Yang, Hui-Ching Chuang and Chung-Ming Kuan

Pairwise local Fisher and naive Bayes: Improving two standard discriminants pp. 284-304

Håkon Otneim, Martin Jullum and Dag Tjøstheim

Multiscale clustering of nonparametric regression curves pp. 305-325

Michael Vogt and Oliver Linton