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

John Geweke and Garland Durham

Tempered particle filtering pp. 26-44

Edward Herbst and Frank Schorfheide

Importance sampling from posterior distributions using copula-like approximations pp. 45-57

Petros Dellaportas and Mike Tsionas

Modeling systemic risk with Markov Switching Graphical SUR models pp. 58-74

Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin

Achieving shrinkage in a time-varying parameter model framework pp. 75-97

Angela Bitto and Frühwirth-Schnatter, Sylvia

Sparse Bayesian time-varying covariance estimation in many dimensions pp. 98-115

Gregor Kastner

Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification pp. 116-134

Sylvia Kaufmann and Christian Schumacher

Bayesian compressed vector autoregressions pp. 135-154

Gary Koop, Dimitris Korobilis and Davide Pettenuzzo

Dynamic Bayesian predictive synthesis in time series forecasting pp. 155-169

Kenichiro McAlinn and Mike West

Forecast density combinations of dynamic models and data driven portfolio strategies pp. 170-186

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

Mark Fisher and Mark Jensen

The value of news for economic developments pp. 203-218

Vegard H. Larsen and Leif A. Thorsrud

Volume 209, issue 2, 2019

Portal nodes screening for large scale social networks pp. 145-157

Xuening Zhu, Xiangyu Chang, Runze Li and Hansheng Wang

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book pp. 158-184

Markus Bibinger, Christopher Neely and Lars Winkelmann

Weak σ-convergence: Theory and applications pp. 185-207

Jianning Kong, Peter C.B. Phillips and Donggyu Sul

Random coefficient continuous systems: Testing for extreme sample path behavior pp. 208-237

Yubo Tao, Peter C.B. Phillips and Jun Yu

Priors about observables in vector autoregressions pp. 238-255

Marek Jarociński and Albert Marcet

A new delta expansion for multivariate diffusions via the Itô-Taylor expansion pp. 256-288

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

Simon Clinet and Yoann Potiron

Testing for randomness in a random coefficient autoregression model pp. 338-352

Lajos Horvath and Lorenzo Trapani

Functional GARCH models: The quasi-likelihood approach and its applications pp. 353-375

Clément Cerovecki, Christian Francq, Siegfried Hörmann and Jean-Michel Zakoïan

Identifying the effect of a mis-classified, binary, endogenous regressor pp. 376-390

Francis J. DiTraglia and García-Jimeno, Camilo

Forecasting using random subspace methods pp. 391-406

Tom Boot and Didier Nibbering

Volume 209, issue 1, 2019

Quantile regression for duration models with time-varying regressors pp. 1-17

Songnian Chen

Nearly weighted risk minimal unbiased estimation pp. 18-34

Ulrich K. Müller and Yulong Wang

Model averaging based on leave-subject-out cross-validation for vector autoregressions pp. 35-60

Jun Liao, Xianpeng Zong, Xinyu Zhang and Guohua Zou

Structured volatility matrix estimation for non-synchronized high-frequency financial data pp. 61-78

Jianqing Fan and Donggyu Kim

New results on the identification of stochastic bargaining models pp. 79-93

Antonio Merlo and Xun Tang

The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification pp. 94-113

Chuhui Li, Donald Poskitt and Xueyan Zhao

Bayesian estimation of dynamic asset pricing models with informative observations pp. 114-138

Andras Fulop and Junye Li

Volume 208, issue 2, 2019

Testing for structural breaks in factor copula models pp. 324-345

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

Liquan Huang, Umair Khalil and Neşe Yıldız

Residual bootstrap tests in linear models with many regressors pp. 367-394

Patrick Richard

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction pp. 395-417

Donggyu Kim and Jianqing Fan

Determination of vector error correction models in high dimensions pp. 418-441

Chong Liang and Melanie Schienle

Asymptotic properties of the maximum likelihood estimator in regime switching econometric models pp. 442-467

Hiroyuki Kasahara and Katsumi Shimotsu

Testing treatment effect heterogeneity in regression discontinuity designs pp. 468-486

Yu-Chin Hsu and Shu Shen

On the estimation of treatment effects with endogenous misreporting pp. 487-506

Pierre Nguimkeu, Augustine Denteh and Rusty Tchernis

A multiple testing approach to the regularisation of large sample correlation matrices pp. 507-534

Natalia Bailey, M Pesaran and L. Vanessa Smith

Consistent estimation of time-varying loadings in high-dimensional factor models pp. 535-562

Jakob Guldbæk Mikkelsen, Eric Hillebrand and Giovanni Urga

A computationally efficient fixed point approach to dynamic structural demand estimation pp. 563-584

Yutec Sun and Masakazu Ishihara

GEL estimation and tests of spatial autoregressive models pp. 585-612

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

Patrick Gagliardini and Christian Gouriéroux

Alternative tests for correct specification of conditional predictive densities pp. 638-657

Barbara Rossi and Tatevik Sekhposyan

Volume 208, issue 1, 2019

Robust covariance estimation for approximate factor models pp. 5-22

Jianqing Fan, Weichen Wang and Yiqiao Zhong

Large-dimensional factor modeling based on high-frequency observations pp. 23-42

Markus Pelger

Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data pp. 43-79

Chaoxing Dai, Kun Lu and Dacheng Xiu

Estimating the integrated volatility with tick observations pp. 80-100

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

Per A. Mykland, Lan Zhang and Dachuan Chen

The scale of predictability pp. 120-140

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

Xiaohui Liu, Bingduo Yang, Zongwu Cai and Liang Peng

Semiparametric estimation of the bid–ask spread in extended roll models pp. 160-178

Xiaohong Chen, Oliver Linton, Stefan Schneeberger and Yanping Yi

Optimum thresholding using mean and conditional mean squared error pp. 179-210

Figueroa-López, José E. and Cecilia Mancini

Banded spatio-temporal autoregressions pp. 211-230

Zhaoxing Gao, Yingying Ma, Hansheng Wang and Qiwei Yao

Factor models for matrix-valued high-dimensional time series pp. 231-248

Dong Wang, Xialu Liu and Rong Chen

Daily price limits and destructive market behavior pp. 249-264

Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang and Wei Xiong

Climate risks and market efficiency pp. 265-281

Harrison Hong, Frank Weikai Li and Jiangmin Xu

Tail event driven networks of SIFIs pp. 282-298

Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yarema Okhrin

Mark to market value at risk pp. 299-321

Yu Chen, Zhicheng Wang and Zhengjun Zhang