Journal of Business & Economic Statistics

2011 - 2026

Continuation of Journal of Business & Economic Statistics.

Current editor(s): Eric Sampson, Rong Chen and Shakeeb Khan

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Volume 44, issue 2, 2026

Envelope Matrix Autoregressive Models pp. 397-412

S. Yaser Samadi and Tharindu P. De Alwis

Adaptive Group LASSO for the GARCH-MIDAS Model pp. 413-424

Zhiyuan Pan, Yudong Wang, Juan Huang and Yaojie Zhang

Homogeneity Pursuit in Clustered Data Analysis When Cluster Sizes Are Small pp. 425-436

Yan Sun, Liming Tan, Wenyang Zhang and Zhenyu Zhu

Quasi-Score Matching Estimation for Spatial Autoregressive Model with Random Weights Matrix and Regressors pp. 437-449

Xuan Liang and Tao Zou

Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition pp. 450-464

Xiaoyu Meng and Zhenlin Yang

Seasonal Adjustment of Time Series Observed at Mixed Frequencies Using Singular Value Decomposition with Wavelet Thresholding pp. 465-481

Shiyuan He, Wei Lin, Tucker McElroy and Jianhua Z. Huang

Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models pp. 482-496

Lajos Horváth, Emese Lazar, Zhenya Liu, Shixuan Wang and Xiaohan Xue

The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency pp. 497-510

Junshu Jiang, Jordan Richards, Raphaël Huser and David Bolin

Doubly Robust Uniform Confidence Bands for Group-Time Conditional Average Treatment Effects in Difference-in-Differences pp. 511-523

Shunsuke Imai, Lei Qin and Takahide Yanagi

Extreme Quantile Treatment Effects under Endogeneity pp. 524-536

Yuya Sasaki and Yulong Wang

Random Walk Forecasts of Stationary Processes Have Low Bias pp. 537-546

Kurt G. Lunsford and Kenneth D. West

Theory Coherent Shrinkage of Time-Varying Parameters in VARs pp. 547-559

Andrea Renzetti

A Generalized Poisson-Pseudo Maximum Likelihood Estimator pp. 560-573

Ohyun Kwon, Jangsu Yoon and Yoto V. Yotov

Forecast Selection in Unstable Environments pp. 574-586

Stefan Richter and Ekaterina Smetanina

Time-Varying Group Unobserved Heterogeneity in Finance pp. 587-600

Xuan Leng, Elvira Sojli, Wing Wah Tham and Wendun Wang

Wild Bootstrap Inference with Multiway Clustering and Serially Correlated Time Effects pp. 601-612

Ulrich Hounyo and Jiahao Lin

On Smooth Transition Interval Autoregressive Models pp. 613-625

Kai Yang, Guangting Zhang and Dehui Wang

Double Dynamic Max-Copula Model with Application to Financial Time Series pp. 626-639

Yan Fang, Xiang Xiao, Ping Dong, Gaoang Chen, Jinhong You and Lan Xue

Mitigating Process Distortion While Preserving Accounting Relations in Hierarchical Time Series pp. 640-651

Tucker S. McElroy, Osbert C. Pang and Baoline Chen

High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times pp. 652-664

Dachuan Chen, Haoning Chen, Long Feng and Siyu Xie

Network-Assisted High-Dimensional Factor Model Estimation pp. 665-676

Wanwan Liang, Xinyan Fan, Ben Wu and Bo Zhang

The Factor Structure of Disagreement pp. 677-690

Edward Herbst and Fabian Winkler

An Adaptive Residual-Based Test for Factor Structure pp. 691-702

Yufeng Mao and Yayi Yan

Determination of the Effective Cointegration Rank in High-Dimensional Time-Series Predictive Regressions pp. 703-717

Puyi Fang, Zhaoxing Gao and Ruey S. Tsay

Robust Conditional Kurtosis and the Cross-Section of International Stock Returns pp. 718-730

Ruifeng Liu, Alex Maynard and Ilias Tsiakas

Volume 44, issue 1, 2026

Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution pp. 1-12

Haoze Hou, Wei Huang and Zheng Zhang

Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach pp. 13-23

Heather Anderson, Jiti Gao, Farshid Vahid, Wei Wei and Yang Yang

Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach pp. 24-38

Ying Chen, Maria Grith and Hannah L. H. Lai

Common Components Structural VARs pp. 39-52

Mario Forni, Luca Gambetti, Marco Lippi and Luca Sala

Nonparametric Causal Inference with Functional Covariates pp. 53-66

Daisuke Kurisu, Taisuke Otsu and Mengshan Xu

Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments pp. 67-79

Kyle Colangelo and Ying-Ying Lee

Estimating State Price Densities Implied by American Options pp. 80-93

Zhongjun Qu and Guang Zhang

GLHT for High-Dimensional Covariance Matrices: A Normal-Reference Approach pp. 94-105

Jingyi Wang, Tianming Zhu and Jin-Ting Zhang

Factor Modeling for High-Dimensional Functional Time Series pp. 106-119

Shaojun Guo, Xinghao Qiao, Qingsong Wang and Zihan Wang

The Effects of Temporal Aggregation on MIDAS Regressions pp. 120-133

Luis Martins and Paulo Teles

Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity pp. 134-147

Wenxin Huang, Liangjun Su and Yiru Wang

Cluster GARCH pp. 148-161

Chen Tong, Peter Hansen and Ilya Archakov

A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network pp. 162-176

Zongwu Cai, Xiyuan Liu and Liangjun Su

Selection Bias Adjustment by Functional Transfer Learning via Reproducing Kernel Hilbert Space pp. 177-187

Zhonglei Wang, Xiaojun Mao, Jae Kwang Kim and Hengfang Wang

Inference in Semiparametric Formation Models for Directed Networks pp. 188-202

Lianqiang Qu, Lu Chen, Ting Yan and Yuguo Chen

Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action pp. 203-214

Chao Wang, Stefan Weiergraeber and Ruli Xiao

How Important Is Selection into Full-Time and Part-Time Employment? A New Panel Data Sample Selection Model for Estimating Wage Profiles pp. 215-226

Jim Been, Marike Knoef and Heike Vethaak

Regressions under Adverse Conditions pp. 227-241

Timo Dimitriadis and Yannick Hoga

Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory pp. 242-254

Tobias Hartl

Change-Point Detection for Object-Valued Time Series pp. 255-269

Yi Zhang, Changbo Zhu and Xiaofeng Shao

Panel Quantile GARCH Models under Homogeneity pp. 270-281

Qianqian Zhu, Wenyu Li, Wenyang Zhang and Guodong Li

Local Predictability in High Dimensions pp. 282-296

Philipp Adämmer, Sven Lehmann and Rainer Alexander Schüssler

Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions pp. 297-308

Guðmundur Stefán Guðmundsson

Dynamic Conditional Correlations with Partial Information Pooling pp. 309-320

Bram van Os and Dick van Dijk

Social Interactions with Endogeneity pp. 321-333

Zhongjian Lin and Xun Tang

Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience pp. 334-347

Alexander Mayer and Michael Massmann

Uniform Inference on High-Dimensional Spatial Panel Networks pp. 348-359

Victor Chernozhukov, Chen Huang and Weining Wang

Drift Bursts in Pure Jumps: Detection and Application to Bitcoin pp. 360-371

Aleksey Kolokolov

Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector pp. 372-382

Sung Hoon Choi and Donggyu Kim

Inflation Measurement with High-Frequency Data pp. 383-396

Kevin Fox, Peter Levell and Martin O’Connell