Journal of Econometrics

1973 - 2025

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

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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 van Dijk

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

Christian Francq and Jean-Michel Zakoian

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 Patton and Rogier Quaedvlieg

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

Christian Hafner, Oliver 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 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

Volume 215, issue 2, 2020

n-prediction of generalized heteroscedastic transformation regression models pp. 305-340

Songnian Chen and Hanghui Zhang

Testing for Stationarity at High Frequency pp. 341-374

Bibo Jiang, Ye Lu and Joon Y. Park

Estimating production functions with robustness against errors in the proxy variables pp. 375-398

Yingyao Hu, Guofang Huang and Yuya Sasaki

Nonparametric identification in index models of link formation pp. 399-413

Wayne Yuan Gao

Estimating permanent price impact via machine learning pp. 414-449

R. Philip

The uniform validity of impulse response inference in autoregressions pp. 450-472

Atsushi Inoue and Lutz Kilian

Identifying dynamic discrete choice models off short panels pp. 473-485

Peter Arcidiacono and Robert A. Miller

Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests pp. 486-516

Xiye Yang

Variance risk: A bird’s eye view pp. 517-535

Fabian Hollstein and Chardin Wese Simen

Dependent microstructure noise and integrated volatility estimation from high-frequency data pp. 536-558

Z. Merrick Li, Roger Laeven and Michel H. Vellekoop

Issues in the estimation of mis-specified models of fractionally integrated processes pp. 559-573

Gael M. Martin, K. Nadarajah and Donald Poskitt

Identification and estimation in panel models with overspecified number of groups pp. 574-590

Ruiqi Liu, Zuofeng Shang, Yonghui Zhang and Qiankun Zhou

Multivariate spatial autoregressive model for large scale social networks pp. 591-606

Xuening Zhu, Danyang Huang, Rui Pan and Hansheng Wang

Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression pp. 607-632

Degui Li, Peter Phillips and Jiti Gao

Volume 215, issue 1, 2020

Inference for local distributions at high sampling frequencies: A bootstrap approach pp. 1-34

Ulrich Hounyo and Rasmus T. Varneskov

Does modeling a structural break improve forecast accuracy? pp. 35-59

Tom Boot and Andreas Pick

Determining individual or time effects in panel data models pp. 60-83

Xun Lu and Liangjun Su

A goodness-of-fit test for copulas based on martingale transformation pp. 84-117

Xiaohui Lu and Xu Zheng

Ultrahigh dimensional precision matrix estimation via refitted cross validation pp. 118-130

Luheng Wang, Zhao Chen, Christina Dan Wang and Runze Li

Inference on distribution functions under measurement error pp. 131-164

Karun Adusumilli, Daisuke Kurisu, Taisuke Otsu and Yoon-Jae Whang

Non-standard inference for augmented double autoregressive models with null volatility coefficients pp. 165-183

Feiyu Jiang, Dong Li and Ke Zhu

Identification and estimation of time-varying nonseparable panel data models without stayers pp. 184-208

Takuya Ishihara

Sequential monitoring for changes from stationarity to mild non-stationarity pp. 209-238

Lajos Horvath, Zhenya Liu, Gregory Rice and Shixuan Wang

Semiparametric estimation of a censored regression model with endogeneity pp. 239-256

Songnian Chen and Qian Wang

Hybrid stochastic local unit roots pp. 257-285

Offer Lieberman and Peter Phillips

Nonparametric identification of discrete choice models with lagged dependent variables pp. 286-304

Benjamin Williams