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Journal of Business & Economic Statistics

2011 - 2024

Continuation of Journal of Business & Economic Statistics.

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

From Taylor & Francis Journals
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Volume 42, issue 1, 2024

Associate Editors pp. i-i Downloads
The Editors
Assessing Sensitivity to Unconfoundedness: Estimation and Inference pp. 1-13 Downloads
Matthew A. Masten, Alexandre Poirier and Linqi Zhang
Identification of a Triangular Two Equation System Without Instruments pp. 14-25 Downloads
Arthur Lewbel, Susanne M. Schennach and Linqi Zhang
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models pp. 26-35 Downloads
Wu Wang and Zhongyi Zhu
Covariance Model with General Linear Structure and Divergent Parameters pp. 36-48 Downloads
Xinyan Fan, Wei Lan, Tao Zou and Chih-Ling Tsai
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse pp. 49-63 Downloads
Yimeng Ren, Xuening Zhu, Xiaoling Lu and Guanyu Hu
Likelihood Ratio Tests for Lorenz Dominance pp. 64-75 Downloads
Shen-Da Chang, Philip E. Cheng and Michelle Liou
Identification of Time-Varying Factor Models pp. 76-94 Downloads
Ying Lun Cheung
Estimation of a Structural Break Point in Linear Regression Models pp. 95-108 Downloads
Yaein Baek
Getting the ROC into Sync pp. 109-121 Downloads
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 Downloads
Sium Bodha Hannadige, Jiti Gao, Mervyn J. Silvapulle and Param Silvapulle
Bayesian Nonparametric Panel Markov-Switching GARCH Models pp. 135-146 Downloads
Roberto Casarin, Mauro Costantini and Anthony Osuntuyi
Two-Sample Testing for Tail Copulas with an Application to Equity Indices pp. 147-159 Downloads
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 Downloads
Jungbin Hwang and Gonzalo Valdés
Optimal Subsampling Bootstrap for Massive Data pp. 174-186 Downloads
Yingying Ma, Chenlei Leng and Hansheng Wang
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters pp. 187-196 Downloads
Xinyu Zhang, Huihang Liu, Yizheng Wei and Yanyuan Ma
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary pp. 197-214 Downloads
Giuseppe Cavaliere, Indeewara Perera and Anders Rahbek
On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models pp. 215-228 Downloads
Xinyu Zhang, Dong Li and Howell Tong
On Bivariate Time-Varying Price Staleness pp. 229-242 Downloads
Haibin Zhu and Zhi Liu
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators pp. 243-256 Downloads
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 Downloads
Long Feng, Binghui Liu and Yanyuan Ma
Probabilistic Forecast Reconciliation under the Gaussian Framework pp. 272-285 Downloads
Shanika L. Wickramasuriya
High-Dimensional Censored Regression via the Penalized Tobit Likelihood pp. 286-297 Downloads
Tate Jacobson and Hui Zou
Two-Directional Simultaneous Inference for High-Dimensional Models pp. 298-309 Downloads
Wei Liu, Huazhen Lin, Jin Liu and Shurong Zheng
Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models pp. 310-321 Downloads
Jiti Gao, Bin Peng and Yayi Yan
Matrix Factor Analysis: From Least Squares to Iterative Projection pp. 322-334 Downloads
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 Downloads
Zhongfang He

Volume 41, issue 4, 2023

Risk Preference Types, Limited Consideration, and Welfare pp. 1011-1029 Downloads
Levon Barseghyan and Francesca Molinari
Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023) pp. 1030-1034 Downloads
Matias Cattaneo, Xinwei Ma and Yusufcan Masatlioglu
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari pp. 1035-1038 Downloads
Cristina Gualdani
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari pp. 1039-1041 Downloads
Elisabeth Honka
Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare” pp. 1042-1045 Downloads
Julie Holland Mortimer
Rejoinder pp. 1046-1049 Downloads
Levon Barseghyan and Francesca Molinari
Spatial Correlation Robust Inference in Linear Regression and Panel Models pp. 1050-1064 Downloads
Ulrich K. Müller and Mark W. Watson
Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage pp. 1065-1076 Downloads
Danny Klinenberg
Identification of SVAR Models by Combining Sign Restrictions With External Instruments pp. 1077-1089 Downloads
Robin Braun and Ralf Brüggemann
Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis pp. 1090-1100 Downloads
Danning Li, Arun Srinivasan, Qian Chen and Lingzhou Xue
Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors pp. 1101-1115 Downloads
Xuehu Zhu, Qiming Zhang, Lixing Zhu, Jun Zhang and Luoyao Yu
Bagged Pretested Portfolio Selection pp. 1116-1131 Downloads
Ekaterina Kazak and Winfried Pohlmeier
LASSO for Stochastic Frontier Models with Many Efficient Firms pp. 1132-1142 Downloads
William C. Horrace, Hyunseok Jung and Yoonseok Lee
Procurements with Bidder Asymmetry in Cost and Risk-Aversion pp. 1143-1156 Downloads
Gaurab Aryal, Hanna Charankevich, Seungwon Jeong and Dong-Hyuk Kim
Nonparametric Prediction Distribution from Resolution-Wise Regression with Heterogeneous Data pp. 1157-1172 Downloads
Jialu Li, Wan Zhang, Peiyao Wang, Qizhai Li, Kai Zhang and Yufeng Liu
Nonparametric Option Pricing with Generalized Entropic Estimators pp. 1173-1187 Downloads
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage pp. 1188-1202 Downloads
Laurent Ferrara and Anna Simoni
Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering pp. 1203-1214 Downloads
Alexander Henzi
Overnight GARCH-Itô Volatility Models pp. 1215-1227 Downloads
Donggyu Kim, Minseok Shin and Yazhen Wang
A Scalable Frequentist Model Averaging Method pp. 1228-1237 Downloads
Rong Zhu, Haiying Wang, Xinyu Zhang and Hua Liang
Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models pp. 1238-1250 Downloads
Xiaoyu Zhang, Di Wang, Heng Lian and Guodong Li
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions pp. 1251-1261 Downloads
Jeffrey S. Racine, Qi Li, Dalei Yu and Li Zheng
Testing Stability in Functional Event Observations with an Application to IPO Performance pp. 1262-1273 Downloads
Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang and Yaosong Zhan
Extremal Dependence-Based Specification Testing of Time Series pp. 1274-1287 Downloads
Yannick Hoga
Corporate Probability of Default: A Single-Index Hazard Model Approach pp. 1288-1299 Downloads
Shaobo Li, Shaonan Tian, Yan Yu, Xiaorui Zhu and Heng Lian
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models pp. 1300-1314 Downloads
Lajos Horváth and Lorenzo Trapani
Generalized Covariance Estimator pp. 1315-1327 Downloads
Christian Gourieroux and Joann Jasiak
Teacher-to-Classroom Assignment and Student Achievement pp. 1328-1340 Downloads
Bryan S. Graham, Geert Ridder, Petra Thiemann and Gema Zamarro
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks pp. 1341-1351 Downloads
Markku Lanne, Keyan Liu and Jani Luoto
Fast Variational Bayes Methods for Multinomial Probit Models pp. 1352-1363 Downloads
Rubén Loaiza-Maya and Didier Nibbering
Spectral Estimation of Large Stochastic Blockmodels with Discrete Nodal Covariates pp. 1364-1376 Downloads
Angelo Mele, Lingxin Hao, Joshua Cape and Carey E. Priebe
From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference pp. 1377-1390 Downloads
Huijuan Ma, Jing Qin and Yong Zhou
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs pp. 1391-1403 Downloads
Leopold Simar and Paul W. Wilson

Volume 41, issue 3, 2023

Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 pp. 653-666 Downloads
Yiannis Karavias, Paresh Kumar Narayan and Joakim Westerlund
Using Survey Information for Improving the Density Nowcasting of U.S. GDP pp. 667-682 Downloads
Cem Çakmakl i and Hamza Demircan
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models pp. 683-694 Downloads
Sílvia Gonçalves, Ulrich Hounyo, Andrew Patton and Kevin Sheppard
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates pp. 695-707 Downloads
Nail Kashaev
Forecasting with Economic News pp. 708-719 Downloads
Luca Barbaglia, Sergio Consoli and Sebastiano Manzan
Panel Data Quantile Regression for Treatment Effect Models pp. 720-736 Downloads
Takuya Ishihara
Testing for Unobserved Heterogeneity via k-means Clustering pp. 737-751 Downloads
Andrew Patton and Brian M. Weller
Structural Breaks in Grouped Heterogeneity pp. 752-764 Downloads
Simon C. Smith
Combining p-values for Multivariate Predictive Ability Testing pp. 765-777 Downloads
Lars Spreng and Giovanni Urga
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed pp. 778-790 Downloads
Yousef Kaddoura and Joakim Westerlund
Culling the Herd of Moments with Penalized Empirical Likelihood pp. 791-805 Downloads
Jinyuan Chang, Zhentao Shi and Jia Zhang
Network Gradient Descent Algorithm for Decentralized Federated Learning pp. 806-818 Downloads
Shuyuan Wu, Danyang Huang and Hansheng Wang
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics pp. 819-832 Downloads
Carlos Velasco
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices pp. 833-845 Downloads
Gustav Alfelt, Taras Bodnar, Farrukh Javed and Joanna Tyrcha
Detection of Multiple Structural Breaks in Large Covariance Matrices pp. 846-861 Downloads
Yu-Ning Li, Degui Li and Piotr Fryzlewicz
A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data pp. 862-875 Downloads
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata and Takashi Yamagata
Tail Risk Inference via Expectiles in Heavy-Tailed Time Series pp. 876-889 Downloads
Anthony C. Davison, Simone A. Padoan and Gilles Stupfler
Large Hybrid Time-Varying Parameter VARs pp. 890-905 Downloads
Joshua Chan
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation pp. 906-914 Downloads
Harold D. Chiang and Bing Yang Tan
Covariate-Assisted Community Detection in Multi-Layer Networks pp. 915-926 Downloads
Shirong Xu, Yaoming Zhen and Junhui Wang
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities pp. 927-938 Downloads
Joel L. Horowitz and Sokbae (Simon) Lee
Estimation of Leverage Effect: Kernel Function and Efficiency pp. 939-956 Downloads
Xiye Yang
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates pp. 957-967 Downloads
Dongxiao Han, Jian Huang, Yuanyuan Lin, Lei Liu, Lianqiang Qu and Liuquan Sun
News-Driven Uncertainty Fluctuations pp. 968-982 Downloads
Dongho Song and Jenny Tang
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity pp. 983-994 Downloads
Tomohiro Ando and Jushan Bai
Can a Machine Correct Option Pricing Models? pp. 995-1009 Downloads
Caio Almeida, Jianqing Fan, Gustavo Freire and Francesca Tang

Volume 41, issue 2, 2023

-Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model pp. 283-297 Downloads
Zhewen Pan and Jianhui Xie
Dynamic Score-Driven Independent Component Analysis pp. 298-308 Downloads
Christian M. Hafner and Helmut Herwartz
No-Crossing Single-Index Quantile Regression Curve Estimation pp. 309-320 Downloads
Rong Jiang and Keming Yu
Identification-Robust Inference With Simulation-Based Pseudo-Matching pp. 321-338 Downloads
Bertille Antoine, Lynda Khalaf, Maral Kichian and Zhenjiang Lin
Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators pp. 339-348 Downloads
Yuya Sasaki and Yulong Wang
Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective pp. 349-363 Downloads
Laura Liu
On Testing Equal Conditional Predictive Ability Under Measurement Error pp. 364-376 Downloads
Yannick Hoga and Timo Dimitriadis
Multi-Threshold Structural Equation Model pp. 377-387 Downloads
Jingli Wang and Jialiang Li
Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States pp. 388-398 Downloads
Jingfei Zhang, Biao Cai, Xuening Zhu, Hansheng Wang, Ganggang Xu and Yongtao Guan
A Novel Estimation Method in Generalized Single Index Models pp. 399-413 Downloads
Dixin Zhang, Yulin Wang and Hua Liang
A Statistical Recurrent Stochastic Volatility Model for Stock Markets pp. 414-428 Downloads
Trong-Nghia Nguyen, Minh-Ngoc Tran, David Gunawan and Robert Kohn
Bayesian Dynamic Tensor Regression pp. 429-439 Downloads
Monica Billio, Roberto Casarin, Matteo Iacopini and Sylvia Kaufmann
Predicting the Global Minimum Variance Portfolio pp. 440-452 Downloads
Laura Reh, Fabian Krüger and Roman Liesenfeld
Testing for Trend Specifications in Panel Data Models pp. 453-466 Downloads
Jilin Wu, Xiaojun Song and Zhijie Xiao
Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference pp. 467-481 Downloads
Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions pp. 482-496 Downloads
Matteo Iacopini, Francesco Ravazzolo and Luca Rossini
Locally Stationary Multiplicative Volatility Modeling pp. 497-508 Downloads
Christopher Walsh and Michael Vogt
Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso pp. 509-522 Downloads
Wenxin Huang, Liangjun Su and Yuan Zhuang
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil pp. 523-537 Downloads
Knut Are Aastveit, Jamie Cross and Herman K. van Dijk
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas pp. 538-549 Downloads
Ilze Kalnina
QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units pp. 550-562 Downloads
Lung-Fei Lee, Chao Yang and Jihai Yu
Reconciled Estimates of Monthly GDP in the United States pp. 563-577 Downloads
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Skilled Mutual Fund Selection: False Discovery Control Under Dependence pp. 578-592 Downloads
Lijia Wang, Xu Han and Xin Tong
Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects pp. 593-607 Downloads
Kerem Tuzcuoglu
Simultaneous Spatial Panel Data Models with Common Shocks pp. 608-623 Downloads
Lina Lu
Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design pp. 624-635 Downloads
Yuanyuan Lin, Jinhan Xie, Ruijian Han and Niansheng Tang
Circularly Projected Common Factors for Grouped Data pp. 636-649 Downloads
Mingjing Chen
Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models pp. 650-652 Downloads
The Editors

Volume 41, issue 1, 2022

Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data pp. 1-11 Downloads
Robert Moffitt, John Abowd, Christopher Bollinger, Michael Carr, Charles Hokayem, Kevin McKinney, Emily Wiemers, Sisi Zhang and James Ziliak
Trends in Earnings Volatility Using Linked Administrative and Survey Data pp. 12-19 Downloads
James Ziliak, Charles Hokayem and Christopher R. Bollinger
Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics pp. 20-25 Downloads
Robert Moffitt and Sisi Zhang
Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data pp. 26-32 Downloads
Michael D. Carr, Robert A. Moffitt and Emily E. Wiemers
Male Earnings Volatility in LEHD Before, During, and After the Great Recession pp. 33-39 Downloads
Kevin L. McKinney and John Abowd
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach pp. 40-52 Downloads
Carlos Trucíos, João H. G. Mazzeu, Marc Hallin, Luiz K. Hotta, Pedro L. Valls Pereira and Mauricio Zevallos
Volatility Estimation When the Zero-Process is Nonstationary pp. 53-66 Downloads
Christian Francq and Genaro Sucarrat
Composite Index Construction with Expert Opinion pp. 67-79 Downloads
Rong Chen, Yuanyuan Ji, Guolin Jiang, Han Xiao, Ruoqing Xie and Pingfang Zhu
Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components pp. 80-96 Downloads
Hung-pin Lai and Subal C. Kumbhakar
Optimal Covariate Balancing Conditions in Propensity Score Estimation pp. 97-110 Downloads
Jianqing Fan, Kosuke Imai, Inbeom Lee, Han Liu, Yang Ning and Xiaolin Yang
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models pp. 111-125 Downloads
Donghang Luo, Ke Zhu, Huan Gong and Dong Li
Inference in Sparsity-Induced Weak Factor Models pp. 126-139 Downloads
Yoshimasa Uematsu and Takashi Yamagata
Optimal Shrinkage-Based Portfolio Selection in High Dimensions pp. 140-156 Downloads
Taras Bodnar, Yarema Okhrin and Nestor Parolya
Kernel Averaging Estimators pp. 157-169 Downloads
Rong Zhu, Xinyu Zhang, Alan T. K. Wan and Guohua Zou
Time Series Approach to the Evolution of Networks: Prediction and Estimation pp. 170-183 Downloads
Anna Bykhovskaya
Test for Market Timing Using Daily Fund Returns pp. 184-196 Downloads
Lei Jiang, Weimin Liu and Liang Peng
Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence pp. 197-212 Downloads
Sonja C. de New and Stefanie Schurer
Estimation of Sparsity-Induced Weak Factor Models pp. 213-227 Downloads
Yoshimasa Uematsu and Takashi Yamagata
Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model pp. 228-240 Downloads
Fukang Zhu, Mengya Liu, Shiqing Ling and Zongwu Cai
Bootstrap Tests for High-Dimensional White-Noise pp. 241-254 Downloads
Lengyang Wang, Efang Kong and Yingcun Xia
Extreme Value Estimation for Heterogeneous Data pp. 255-269 Downloads
John H. J. Einmahl and Yi He
Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors pp. 270-281 Downloads
Jad Beyhum and Eric Gautier
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