Journal of Business & Economic Statistics

2009 - 2025

Continuation of Journal of Business & Economic Statistics.

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

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Volume 43, issue 2, 2025

Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns pp. 269-285

Lin Deng, Michael Stanley Smith and Worapree Maneesoonthorn

Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring pp. 286-297

Haoxuan Wu, Toryn L. J. Schafer and David S. Matteson

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound pp. 298-311

Daan Opschoor and Michel van der Wel

Shapley Curves: A Smoothing Perspective pp. 312-323

Ratmir Miftachov, Georg Keilbar and Wolfgang Karl Härdle

Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods pp. 324-337

Siqi Wei

Tests for Almost Stochastic Dominance pp. 338-350

Amparo Baíllo, Javier Cárcamo and Carlos Mora-Corral

Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability pp. 351-364

Wenfeng He, Xiaoling Mei, Wei Zhong and Huanjun Zhu

Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection pp. 365-377

Olha Bodnar, Taras Bodnar and Vilhelm Niklasson

Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap pp. 378-390

Santiago Pereda-Fernández

Probability of Causation with Sample Selection: A Reanalysis of the Impacts of Jóvenes en Acción on Formality pp. 391-400

Vitor Possebom and Flavio Riva

Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated pp. 401-412

Doosoo Kim and Jeffrey Wooldridge

A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates pp. 413-422

Qingliang Fan, Zijian Guo and Ziwei Mei

Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market pp. 423-438

Christian M. Hafner, Helmut Herwartz and Shu Wang

Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models pp. 439-453

Sainan Xu, Chaofeng Yuan and Jianhua Guo

Robust and Efficient Estimation of Potential Outcome Means Under Random Assignment pp. 454-467

Akanksha Negi and Jeffrey Wooldridge

Systemic Contagion pp. 468-481

Soon Heng Leong

Constrained Polynomial Likelihood pp. 482-493

Caio Almeida, Ricardo Masini and Paul Schneider

Volume 43, issue 1, 2025

Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions pp. 1-13

Andrea Carriero and Alessio Volpicella

Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility pp. 14-26

Fernanda G. B. Mendes, Wagner Barreto-Souza and Sokol Ndreca

Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty pp. 27-43

Niko Hauzenberger, Florian Huber, Massimiliano Marcellino and Nico Petz

A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime pp. 44-54

Savi Virolainen

Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting pp. 55-67

Jonathan B. Hill

Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances pp. 68-80

Jhordano Aguilar Loyo and Tom Boot

Quantile Policy Effects: An Application to U.S. Macroprudential Policy pp. 81-97

Hsin-Yi Lin, Yu-Hsiang Hsiao and Yu-Chin Hsu

Reduced Rank Spatio-Temporal Models pp. 98-109

Dan Pu, Kuangnan Fang, Wei Lan, Jihai Yu and Qingzhao Zhang

Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score pp. 110-121

Shunsuke Imai, Takuya Koriyama, Shouto Yonekura, Shonosuke Sugasawa and Yoshihiko Nishiyama

Panel Data Cointegration Testing with Structural Instabilities pp. 122-133

Anindya Banerjee and Josep Lluís Carrion-i-Silvestre

Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions pp. 134-149

Liana Jacobi, Dan Zhu and Mark Joshi

Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data pp. 150-163

Jiajun Zhang, Chuanmin Zhao and Xi Qu

Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect pp. 164-177

Tymon Słoczyński, S. Derya Uysal and Jeffrey Wooldridge

Detecting Weak Distribution Shifts via Displacement Interpolation pp. 178-190

YoonHaeng Hur and Tengyuan Liang

Trending Time-Varying Coefficient Spatial Panel Data Models pp. 191-203

Hsuan-Yu Chang, Xiaojun Song and Jihai Yu

Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets pp. 204-215

Victor Aguiar and Nail Kashaev

Forecasting Inflation Using Economic Narratives pp. 216-231

Yongmiao Hong, Fuwei Jiang, Lingchao Meng and Bowen Xue

Simultaneous Confidence Intervals for Partially Identified Parameters pp. 232-240

Brigham R. Frandsen and Zachari A. Pond

Estimation of the Local Conditional Tail Average Treatment Effect pp. 241-255

Le-Yu Chen and Yu-Min Yen

Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments pp. 256-268

Kosuke Imai and Michael Lingzhi Li

Volume 42, issue 4, 2024

Imputation of Counterfactual Outcomes when the Errors are Predictable pp. 1107-1122

Sílvia Gonçalves and Serena Ng

On “Imputation of Counterfactual Outcomes when the Errors are Predictable”: Discussions on Misspecification and Suggestions of Sensitivity Analyses pp. 1123-1127

Luis A. F. Alvarez and Bruno Ferman

Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng pp. 1128-1132

Marcelo C. Medeiros

On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV pp. 1133-1136

Yuya Sasaki

Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng pp. 1137-1139

Kaspar Wüthrich

Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder pp. 1140-1142

Sílvia Gonçalves and Serena Ng

Unconditional Quantile Regression for Streaming Datasets pp. 1143-1154

Rong Jiang and Keming Yu

Linking Frequentist and Bayesian Change-Point Methods pp. 1155-1168

David Ardia, Arnaud Dufays and Carlos Ordás Criado

Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects pp. 1169-1184

Yiqiu Cao, Sainan Jin, Xun Lu and Liangjun Su

Nonparametric Identification and Inference of First-Price Auctions with Heterogeneous Bidders pp. 1185-1194

Zheng Li

Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses pp. 1195-1209

Xuexin Wang

Model Checking in Partially Linear Spatial Autoregressive Models pp. 1210-1222

Zixin Yang, Xiaojun Song and Jihai Yu

Noncommon Breaks pp. 1223-1237

Simon C. Smith

Dynamic Realized Minimum Variance Portfolio Models pp. 1238-1249

Donggyu Kim and Minseog Oh

Detecting Multiple Level Shifts in Bounded Time Series pp. 1250-1263

Josep Lluís Carrion-i-Silvestre and María Dolores Gadea

Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects pp. 1264-1275

Zhenhao Gong and Min Seong Kim

The Block-Correlated Pseudo Marginal Sampler for State Space Models pp. 1276-1288

David Gunawan, Pratiti Chatterjee and Robert Kohn

Testing for Equivalence of Pre-Trends in Difference-in-Differences Estimation pp. 1289-1301

Holger Dette and Martin Schumann

Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model pp. 1302-1317

Todd Clark, Florian Huber, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer

Identification and Auto-Debiased Machine Learning for Outcome-Conditioned Average Structural Derivatives pp. 1318-1330

Zequn Jin, Lihua Lin and Zhengyu Zhang

Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence pp. 1331-1343

Lajos Horvath, Piotr Kokoszka and Shanglin Lu

Maximum-Subsampling Test of Equal Predictive Ability pp. 1344-1355

Wei Lan, Bo Lei, Long Feng and Chih-Ling Tsai

Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets pp. 1356-1366

Huifang Ma, Long Feng, Zhaojun Wang and Jigang Bao

Testing Quantile Forecast Optimality pp. 1367-1378

Jack Fosten, Daniel Gutknecht and Marc-Oliver Pohle

Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators pp. 1379-1388

Mehmet Caner and Kfir Eliaz

Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median pp. 1389-1402

Piotr Fryzlewicz

Volume 42, issue 3, 2024

Inference on Consensus Ranking of Distributions pp. 839-850

David Kaplan

Correcting for Endogeneity in Models with Bunching pp. 851-863

Carolina Caetano, Gregorio Caetano and Eric Nielsen

Powerful Backtests for Historical Simulation Expected Shortfall Models pp. 864-874

Zaichao Du, Pei Pei, Xuhui Wang and Tao Yang

On the Combination of Naive and Mean-Variance Portfolio Strategies pp. 875-889

Nathan Lassance, Rodolphe Vanderveken and Frédéric Vrins

FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series pp. 890-902

Matteo Barigozzi, Haeran Cho and Dom Owens

Modeling Extreme Events: Time-Varying Extreme Tail Shape pp. 903-917

Enzo D’Innocenzo, Andre Lucas, Bernd Schwaab and Xin Zhang

Reduced-Rank Envelope Vector Autoregressive Model pp. 918-932

S. Yaser Samadi and H. M. Wiranthe B. Herath

A Modified Randomization Test for the Level of Clustering pp. 933-945

Yong Cai

Tests for Jumps in Yield Spreads pp. 946-957

Lars Winkelmann and Wenying Yao

Double Machine Learning for Sample Selection Models pp. 958-969

Michela Bia, Martin Huber and Lukas Laffers

Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics pp. 970-983

Karsten Reichold and Carsten Jentsch

GDP Solera: The Ideal Vintage Mix pp. 984-997

Martín Almuzara, Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Causal Inference Under Outcome-Based Sampling with Monotonicity Assumptions pp. 998-1009

Sung Jae Jun and Sokbae (Simon) Lee

Modeling and Forecasting Macroeconomic Downside Risk pp. 1010-1025

Davide Delle Monache, Andrea De Polis and Ivan Petrella

Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure pp. 1026-1040

Xiaorong Yang, Jia Chen, Degui Li and Runze Li

An Empirical Bayes Approach to Controlling the False Discovery Exceedance pp. 1041-1052

Pallavi Basu, Luella Fu, Alessio Saretto and Wenguang Sun

Efficient and Robust Estimation of the Generalized LATE Model pp. 1053-1065

Haitian Xie

Variational Inference for Large Bayesian Vector Autoregressions pp. 1066-1082

Mauro Bernardi, Daniele Bianchi and Nicolas Bianco

A Ridge-Regularized Jackknifed Anderson-Rubin Test pp. 1083-1094

Max-Sebastian Dovì, Anders Kock and Sophocles Mavroeidis

An Econometric Analysis of Volatility Discovery pp. 1095-1106

Gustavo Fruet Dias, Fotis Papailias and Cristina Scherrer

Volume 42, issue 2, 2024

Introduction to the Special Issue on Statistics of Dynamic Networks pp. 347-348

Wolfgang Härdle and Melanie Schienled

Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions pp. 349-366

Xiaofei Xu, Ying Chen, Ge Zhang and Thorsten Koch

Dynamic Peer Groups of Arbitrage Characteristics pp. 367-390

Shuyi Ge, Shaoran Li and Oliver Linton

Monitoring Network Changes in Social Media pp. 391-406

Cathy Yi-Hsuan Chen, Yarema Okhrin and Tengyao Wang

Dynamic Network Quantile Regression Model pp. 407-421

Xiu Xu, Weining Wang, Yongcheol Shin and Chaowen Zheng

Large Spillover Networks of Nonstationary Systems pp. 422-436

Shi Chen and Melanie Schienle

A Time-Varying Network for Cryptocurrencies pp. 437-456

Li Guo, Wolfgang Karl Härdle and Yubo Tao

Testing For Global Covariate Effects in Dynamic Interaction Event Networks pp. 457-468

Alexander Kreiss, Enno Mammen and Wolfgang Polonik

Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock pp. 469-484

Ye Yang, Osman Doğan and Süleyman Taşp Inar

Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability pp. 485-498

Tobias Fissler and Yannick Hoga

Bonferroni Type Tests for Return Predictability and the Initial Condition pp. 499-515

Sam Astill, David I. Harvey, Stephen J. Leybourne and Robert Taylor

Jumps or Staleness? pp. 516-532

Aleksey Kolokolov and Roberto Renò

Estimation and Inference on Time-Varying FAVAR Models pp. 533-547

Zhonghao Fu, Liangjun Su and Xia Wang

The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models pp. 548-562

Dachuan Chen, Chenxu Li, Cheng Yong Tang and Jun Yan

Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments pp. 563-578

JoonHwan Cho and Thomas M. Russell

Links and Legibility: Making Sense of Historical U.S. Census Automated Linking Methods pp. 579-590

Arkadev Ghosh, Sam Il Myoung Hwang and Munir Squires

Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach pp. 591-602

Tadao Hoshino

Neural Networks for Partially Linear Quantile Regression pp. 603-614

Qixian Zhong and Jane-Ling Wang

Tie-Break Bootstrap for Nonparametric Rank Statistics pp. 615-627

Juwon Seo

Bootstrap Inference for Panel Data Quantile Regression pp. 628-639

Antonio Galvao, Thomas Parker and Zhijie Xiao

Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models pp. 640-653

Qiang Xia and Xianyang Zhang

Uniform Nonparametric Inference for Spatially Dependent Panel Data pp. 654-664

Jia Li, Zhipeng Liao and Wenyu Zhou

A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r* pp. 665-680

James Morley, Trung Duc Tran and Benjamin Wong

Asset Pricing via the Conditional Quantile Variational Autoencoder pp. 681-694

Xuanling Yang, Zhoufan Zhu, Dong Li and Ke Zhu

Consistent Estimation of Multiple Breakpoints in Dependence Measures pp. 695-706

Marvin Borsch, Alexander Mayer and Dominik Wied

Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance pp. 707-718

Jiyang Ren

A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests pp. 719-731

Cheuk Hin Cheng and Kin Wai Chan

Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome pp. 732-742

Jad Beyhum, Samuele Centorrino, Jean-Pierre Florens and Ingrid Van Keilegom

An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects pp. 743-761

George Kapetanios, Laura Serlenga and Yongcheol Shin

A Design-Based Perspective on Synthetic Control Methods pp. 762-773

Lea Bottmer, Guido W. Imbens, Jann Spiess and Merrill Warnick

Dynamic Autoregressive Liquidity (DArLiQ) pp. 774-785

Christian M. Hafner, Oliver Linton and Linqi Wang

Generalized Autoregressive Positive-valued Processes pp. 786-800

Bruno Feunou

Generalizing the Results from Social Experiments: Theory and Evidence from India pp. 801-811

Michael Gechter

Extreme Changes in Changes pp. 812-824

Yuya Sasaki and Yulong Wang

Large Order-Invariant Bayesian VARs with Stochastic Volatility pp. 825-837

Joshua Chan, Gary Koop and Xuewen Yu

Volume 42, issue 1, 2024

Associate Editors pp. i-i

The Editors

Assessing Sensitivity to Unconfoundedness: Estimation and Inference pp. 1-13

Matthew Masten, Alexandre Poirier and Linqi Zhang

Identification of a Triangular Two Equation System Without Instruments pp. 14-25

Arthur Lewbel, Susanne Schennach and Linqi Zhang

Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models pp. 26-35

Wu Wang and Zhongyi Zhu

Covariance Model with General Linear Structure and Divergent Parameters pp. 36-48

Xinyan Fan, Wei Lan, Tao Zou and Chih-Ling Tsai

Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse pp. 49-63

Yimeng Ren, Xuening Zhu, Xiaoling Lu and Guanyu Hu

Likelihood Ratio Tests for Lorenz Dominance pp. 64-75

Shen-Da Chang, Philip E. Cheng and Michelle Liou

Identification of Time-Varying Factor Models pp. 76-94

Ying Lun Cheung

Estimation of a Structural Break Point in Linear Regression Models pp. 95-108

Yaein Baek

Getting the ROC into Sync pp. 109-121

Liu Yang, Kajal Lahiri and Adrian Pagan

Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors pp. 122-134

Sium Bodha Hannadige, Jiti Gao, Mervyn J. Silvapulle and Param Silvapulle

Bayesian Nonparametric Panel Markov-Switching GARCH Models pp. 135-146

Roberto Casarin, Mauro Costantini and Anthony Osuntuyi

Two-Sample Testing for Tail Copulas with an Application to Equity Indices pp. 147-159

Sami Umut Can, John H. J. Einmahl and Roger Laeven

Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence pp. 160-173

Jungbin Hwang and Gonzalo Valdés

Optimal Subsampling Bootstrap for Massive Data pp. 174-186

Yingying Ma, Chenlei Leng and Hansheng Wang

Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters pp. 187-196

Xinyu Zhang, Huihang Liu, Yizheng Wei and Yanyuan Ma

Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary pp. 197-214

Giuseppe Cavaliere, Indeewara Perera and Anders Rahbek

On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models pp. 215-228

Xinyu Zhang, Dong Li and Howell Tong

On Bivariate Time-Varying Price Staleness pp. 229-242

Haibin Zhu and Zhi Liu

Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators pp. 243-256

Xu Guo, Runze Li, Jingyuan Liu and Mudong Zeng

A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection pp. 257-271

Long Feng, Binghui Liu and Yanyuan Ma

Probabilistic Forecast Reconciliation under the Gaussian Framework pp. 272-285

Shanika L. Wickramasuriya

High-Dimensional Censored Regression via the Penalized Tobit Likelihood pp. 286-297

Tate Jacobson and Hui Zou

Two-Directional Simultaneous Inference for High-Dimensional Models pp. 298-309

Wei Liu, Huazhen Lin, Jin Liu and Shurong Zheng

Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models pp. 310-321

Jiti Gao, Bin Peng and Yayi Yan

Matrix Factor Analysis: From Least Squares to Iterative Projection pp. 322-334

Yong He, Xinbing Kong, Long Yu, Xinsheng Zhang and Changwei Zhao

A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior pp. 335-346

Zhongfang He