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

- Jianqing Fan, Bai Jiang and Qiang Sun
- Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity pp. 20-38

- Tomohiro Ando, Jushan Bai and Kunpeng Li
- Parsimony inducing priors for large scale state–space models pp. 39-61

- 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

- Andriy Norets and Justinas Pelenis
- Posterior-based Wald-type statistics for hypothesis testing pp. 83-113

- Xiaobin Liu, Yong Li, Jun Yu and Tao Zeng
- Real-time Bayesian learning and bond return predictability pp. 114-130

- Runqing Wan, Andras Fulop and Junye Li
- Bayesian nonparametric learning of how skill is distributed across the mutual fund industry pp. 131-153

- Mark Fisher and Mark J. Jensen
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models pp. 154-182

- Katerina Petrova
- Factor investing: A Bayesian hierarchical approach pp. 183-200

- Guanhao Feng and Jingyu He
- Affine arbitrage-free yield net models with application to the euro debt crisis pp. 201-220

- Zhiwu Hong, Linlin Niu and Chen Zhang
Volume 229, issue 2, 2022
- Semiparametric model averaging prediction for dichotomous response pp. 219-245

- Fang Fang, Jialiang Li and Xiaochao Xia
- On improvability of model selection by model averaging pp. 246-262

- Jingfu Peng and Yuhong Yang
- Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect pp. 263-275

- Tadao Hoshino
- A doubly corrected robust variance estimator for linear GMM pp. 276-298

- Jungbin Hwang, Byunghoon Kang and Seojeong Lee
- Nonparametric estimation of the random coefficients model: An elastic net approach pp. 299-321

- Florian Heiss, Stephan Hetzenecker and Maximilian Osterhaus
- On LASSO for predictive regression pp. 322-349

- Ji Hyung Lee, Zhentao Shi and Zhan Gao
- Transformations and moment conditions for dynamic fixed effects logit models pp. 350-362

- Yoshitsugu Kitazawa
- Testing the eigenvalue structure of spot and integrated covariance pp. 363-395

- Prosper Dovonon, Abderrahim Taamouti and Julian Williams
- Spurious functional-coefficient regression models and robust inference with marginal integration pp. 396-421

- Yundong Tu and Ying Wang
- Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps pp. 422-451

- Yingying Li, Guangying Liu and Zhiyuan Zhang
Volume 229, issue 1, 2022
- Asymptotic properties of correlation-based principal component analysis pp. 1-18

- Jungjun Choi and Xiye Yang
- An incidental parameters free inference approach for panels with common shocks pp. 19-54

- Artūras Juodis and Vasilis Sarafidis
- Estimation and inference in heterogeneous spatial panels with a multifactor error structure pp. 55-79

- Jia Chen, Yongcheol Shin and Chaowen Zheng
- Factor models with local factors — Determining the number of relevant factors pp. 80-102

- Simon Freyaldenhoven
- Factor models with many assets: Strong factors, weak factors, and the two-pass procedure pp. 103-126

- Stanislav Anatolyev and Anna Mikusheva
- Functional time series approach to analyzing asset returns co-movements pp. 127-151

- Patrick W. Saart and Yingcun Xia
- High-dimensional test for alpha in linear factor pricing models with sparse alternatives pp. 152-175

- Long Feng, Wei Lan, Binghui Liu and Yanyuan Ma
- Kotlarski with a factor loading pp. 176-179

- Arthur Lewbel
- Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions pp. 180-200

- Fa Wang
- Projected estimation for large-dimensional matrix factor models pp. 201-217

- 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

- Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle and Yegor Klochkov
- Measuring news sentiment pp. 221-243

- Adam Hale Shapiro, Moritz Sudhof and Daniel J. Wilson
- An explainable attention network for fraud detection in claims management pp. 244-258

- Helmut Farbmacher, Leander Löw and Martin Spindler
- Can we measure inflation expectations using Twitter? pp. 259-277

- Cristina Angelico, Juri Marcucci, Marcello Miccoli and Filippo Quarta
- Instrument-free identification and estimation of differentiated products models using cost data pp. 278-301

- David P. Byrne, Susumu Imai, Neelam Jain and Vasilis Sarafidis
- Infinite Markov pooling of predictive distributions pp. 302-321

- Xin Jin, John Maheu and Qiao Yang
- Latent complementarity in bundles models pp. 322-341

- 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

- Ali Fakih, Paul Makdissi, Walid Marrouch, Rami V. Tabri and Myra Yazbeck
- Illuminating economic growth pp. 359-378

- Yingyao Hu and Jiaxiong Yao
- An integrated panel data approach to modelling economic growth pp. 379-397

- Guohua Feng, Jiti Gao and Bin Peng
Volume 228, issue 1, 2022
- High-dimensional linear models with many endogenous variables pp. 4-26

- Alexandre Belloni, Christian Hansen and Whitney Newey
- Nonparametric Bayes subject to overidentified moment conditions pp. 27-38

- A. Ronald Gallant
- Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models pp. 39-61

- Chunrong Ai, Oliver Linton and Zheng Zhang
- Bayesian estimation of long-run risk models using sequential Monte Carlo pp. 62-84

- Andras Fulop, Jeremy Heng, Junye Li and Hening Liu
- Constrained estimation using penalization and MCMC pp. 85-106

- A. Ronald Gallant, Han Hong, Michael Leung and Jessie Li
- Robust Bayesian inference in proxy SVARs pp. 107-126

- Raffaella Giacomini, Toru Kitagawa and Matthew Read
- Copula-based time series with filtered nonstationarity pp. 127-155

- Xiaohong Chen, Zhijie Xiao and Bo Wang
- Variation and efficiency of high-frequency betas pp. 156-175

- 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

- Thomas Nagler, Daniel Krüger and Aleksey Min
- Maximum likelihood estimation for score-driven models pp. 325-346

- Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman and Andre Lucas
- Semiparametric testing with highly persistent predictors pp. 347-370

- Bas J.M. Werker and Bo Zhou
- Functional coefficient panel modeling with communal smoothing covariates pp. 371-407

- Peter C.B. Phillips and Ying Wang
- Simultaneous inference for time-varying models pp. 408-428

- Sayar Karmakar, Stefan Richter and Wei Biao Wu
- Residual-augmented IVX predictive regression pp. 429-460

- Matei Demetrescu and Paulo Rodrigues
- The drift burst hypothesis pp. 461-497

- Kim Christensen, Roel Oomen and Roberto Renò
- Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” pp. 498-505

- Mark Bognanni
Volume 227, issue 1, 2022
- Goodness-of-fit testing for time series models via distance covariance pp. 4-24

- Phyllis Wan and Richard A. Davis
- Understanding temporal aggregation effects on kurtosis in financial indices pp. 25-46

- Offer Lieberman and Peter Phillips
- Testing the existence of moments for GARCH processes pp. 47-64

- Christian Francq and Jean-Michel Zakoian
- A time-varying parameter model for local explosions pp. 65-84

- Francisco Blasques, Siem Jan Koopman and Marc Nientker
- Testing for episodic predictability in stock returns pp. 85-113

- 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

- Zongwu Cai, Ying Fang and Qiuhua Xu
- β in the tails pp. 134-150

- 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

- Mike K.P. So, Thomas W.C. Chan and Amanda M.Y. Chu
- Asset selection based on high frequency Sharpe ratio pp. 168-188

- Christina Dan Wang, Zhao Chen, Yimin Lian and Min Chen
- Occupation density estimation for noisy high-frequency data pp. 189-211

- Congshan Zhang, Jia Li and Tim Bollerslev
- Identification of structural multivariate GARCH models pp. 212-227

- Christian Hafner, Helmut Herwartz and Simone Maxand
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise pp. 228-240

- 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

- Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek
- Hybrid quantile estimation for asymmetric power GARCH models pp. 264-284

- 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

- Manabu Asai, Chia-Lin Chang and Michael McAleer
| |