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Journal of Econometrics

1973 - 2022

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

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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