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

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