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Journal of Business & Economic Statistics

2011 - 2022

Continuation of Journal of Business & Economic Statistics.

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

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Volume 40, issue 4, 2022

Narrative Restrictions and Proxies pp. 1415-1425 Downloads
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Comments on “Narrative Restrictions and Proxies” by Giacomini, Kitagawa, and Read pp. 1426-1428 Downloads
Juan Rubio-Ramírez
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies” pp. 1429-1433 Downloads
Lutz Kilian
Discussion of “Narrative Restrictions and Proxies” by Raffaella Giacomini, Toru Kitagawa, and Matthew Read pp. 1434-1437 Downloads
Mikkel Plagborg-Møller
Narrative Restrictions and Proxies: Rejoinder pp. 1438-1441 Downloads
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Hedging With Linear Regressions and Neural Networks pp. 1442-1454 Downloads
Johannes Ruf and Weiguan Wang
Nonparametric Specification Testing of Conditional Asset Pricing Models pp. 1455-1469 Downloads
Francisco Peñaranda, Juan M. Rodríguez-Poo and Stefan Sperlich
High-Dimensional Mixed-Frequency IV Regression pp. 1470-1483 Downloads
Andrii Babii
Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling pp. 1484-1497 Downloads
Hang Qian
Efficient Estimation for Models With Nonlinear Heteroscedasticity pp. 1498-1508 Downloads
Zhanxiong Xu and Zhibiao Zhao
Fast Bayesian Record Linkage With Record-Specific Disagreement Parameters pp. 1509-1522 Downloads
Thomas Stringham
Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency pp. 1523-1537 Downloads
Haozhe Zhang and Yehua Li
Using Triples to Assess Symmetry Under Weak Dependence pp. 1538-1551 Downloads
Zacharias Psaradakis and Marián Vávra
Multiple Testing and the Distributional Effects of Accountability Incentives in Education pp. 1552-1568 Downloads
Steven Lehrer, R. Vincent Pohl and Kyungchul Song
Efficient Covariate Balancing for the Local Average Treatment Effect pp. 1569-1582 Downloads
Phillip Heiler
A Unified Framework for Estimation in Lognormal Models pp. 1583-1595 Downloads
Fengqing Zhang and Jiangtao Gou
Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds pp. 1596-1616 Downloads
Sébastien Fries
Inward and Outward Network Influence Analysis pp. 1617-1628 Downloads
Yujia Wu, Wei Lan, Tao Zou and Chih-Ling Tsai
Collaborative Filtering With Awareness of Social Networks pp. 1629-1641 Downloads
Xianshi Yu, Ting Li, Ningchen Ying and Bing-Yi Jing
Interpretable Sparse Proximate Factors for Large Dimensions pp. 1642-1664 Downloads
Markus Pelger and Ruoxuan Xiong
A Synthetic Regression Model for Large Portfolio Allocation pp. 1665-1677 Downloads
Gaorong Li, Lei Huang, Jin Yang and Wenyang Zhang
Scalable Bayesian Estimation in the Multinomial Probit Model pp. 1678-1690 Downloads
Rubén Loaiza-Maya and Didier Nibbering
A Note on Distributed Quantile Regression by Pilot Sampling and One-Step Updating pp. 1691-1700 Downloads
Rui Pan, Tunan Ren, Baishan Guo, Feng Li, Guodong Li and Hansheng Wang
LATE With Missing or Mismeasured Treatment pp. 1701-1717 Downloads
Rossella Calvi, Arthur Lewbel and Denni Tommasi
Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures pp. 1718-1731 Downloads
Shouxia Wang, Tao Huang, Jinhong You and Ming-Yen Cheng
High-Dimensional Model-Assisted Inference for Local Average Treatment Effects With Instrumental Variables pp. 1732-1744 Downloads
Baoluo Sun and Zhiqiang Tan
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors* pp. 1745-1758 Downloads
Ovidijus Stauskas and Joakim Westerlund
Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data pp. 1759-1771 Downloads
Yujie Liao, Jingyuan Liu, Donna L. Coffman and Runze Li
Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic pp. 1772-1783 Downloads
Maddalena Cavicchioli
Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients pp. 1784-1802 Downloads
Xuan Liang, Jiti Gao and Xiaodong Gong
Inference in Games Without Equilibrium Restriction: An Application to Restaurant Competition in Opening Hours pp. 1803-1816 Downloads
Erhao Xie
A Unified Framework for Specification Tests of Continuous Treatment Effect Models pp. 1817-1830 Downloads
Wei Huang, Oliver Linton and Zheng Zhang
Transformed Estimation for Panel Interactive Effects Models pp. 1831-1848 Downloads
Cheng Hsiao, Zhentao Shi and Qiankun Zhou
Posterior Average Effects pp. 1849-1862 Downloads
Stéphane Bonhomme and Martin Weidner
Local Composite Quantile Regression for Regression Discontinuity pp. 1863-1875 Downloads
Xiao Huang and Zhaoguo Zhan
Asymptotically Valid Bootstrap Inference for Proxy SVARs pp. 1876-1891 Downloads
Carsten Jentsch and Kurt G. Lunsford
Feature Screening for Massive Data Analysis by Subsampling pp. 1892-1903 Downloads
Xuening Zhu, Rui Pan, Shuyuan Wu and Hansheng Wang
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models pp. 1904-1918 Downloads
Niko Hauzenberger, Florian Huber, Gary Koop and Luca Onorante

Volume 40, issue 3, 2022

Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests pp. 937-949 Downloads
Sofia Anyfantaki, Esfandiar Maasoumi, Jue Ren and Nikolas Topaloglou
Quasi-Experimental Evaluation of Alternative Sample Selection Corrections pp. 950-964 Downloads
Robert Garlick and Joshua Hyman
Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables pp. 965-979 Downloads
Alexander Chudik and Georgios Georgiadis
Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models pp. 980-994 Downloads
Guochang Wang, Ke Zhu and Xiaofeng Shao
Measuring Social Interaction Effects When Instruments Are Weak pp. 995-1006 Downloads
Stephen L. Ross and Zhentao Shi
Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting pp. 1007-1019 Downloads
Kashif Yousuf and Yang Feng
Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders pp. 1020-1033 Downloads
Jayeeta Bhattacharya, Nathalie Gimenes and Emmanuel Guerre
Nonparametric Instrumental Regression With Right Censored Duration Outcomes pp. 1034-1045 Downloads
Jad Beyhum, Jean-Pierre Florens and Ingrid Van Keilegom
Multiway Cluster Robust Double/Debiased Machine Learning pp. 1046-1056 Downloads
Harold D. Chiang, Kengo Kato, Yukun Ma and Yuya Sasaki
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter pp. 1057-1069 Downloads
Sander Barendse and Andrew J. Patton
A Two-Step Method for Testing Many Moment Inequalities pp. 1070-1080 Downloads
Yuehao Bai, Andres Santos and Azeem Shaikh
Quantile Correlation-based Variable Selection pp. 1081-1093 Downloads
Wenlu Tang, Jinhan Xie, Yuanyuan Lin and Niansheng Tang
Machine Learning Time Series Regressions With an Application to Nowcasting pp. 1094-1106 Downloads
Andrii Babii, Eric Ghysels and Jonas Striaukas
Testing for Common Trends in Nonstationary Large Datasets pp. 1107-1122 Downloads
Matteo Barigozzi and Lorenzo Trapani
Estimation and Inference for Multi-Kink Quantile Regression pp. 1123-1139 Downloads
Wei Zhong, Chuang Wan and Wenyang Zhang
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application pp. 1140-1152 Downloads
Jean-Marie Dufour and Denis Pelletier
Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data pp. 1153-1167 Downloads
Min Seong Kim
Transformation Models in High Dimensions pp. 1168-1178 Downloads
Sven Klaassen, Jannis Kueck and Martin Spindler
Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices pp. 1179-1190 Downloads
Gianluca Frasso and Paul H.C. Eilers
The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation pp. 1191-1203 Downloads
Artūras Juodis and Simon Reese
High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions pp. 1204-1215 Downloads
Xin Chen, Jia Zhang and Wang Zhou
The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic pp. 1216-1233 Downloads
Marc Chan and Simon S. Kwok
High-Dimensional Interaction Detection With False Sign Rate Control pp. 1234-1245 Downloads
Daoji Li, Yinfei Kong, Yingying Fan and Jinchi Lv
Binary Conditional Forecasts pp. 1246-1258 Downloads
Michael W. McCracken, Joseph T. McGillicuddy and Michael T. Owyang
Local Polynomial Order in Regression Discontinuity Designs pp. 1259-1267 Downloads
Zhuan Pei, David S. Lee, David Card and Andrea Weber
Heteroscedastic Proxy Vector Autoregressions pp. 1268-1281 Downloads
Helmut Lütkepohl and Thore Schlaak
Imputations for High Missing Rate Data in Covariates Via Semi-supervised Learning Approach pp. 1282-1290 Downloads
Wei Lan, Xuerong Chen, Tao Zou and Chih-Ling Tsai
SVARs Identification Through Bounds on the Forecast Error Variance pp. 1291-1301 Downloads
Alessio Volpicella
Synthetic Control Estimation Beyond Comparative Case Studies: Does the Minimum Wage Reduce Employment? pp. 1302-1314 Downloads
David Powell
State-Varying Factor Models of Large Dimensions pp. 1315-1333 Downloads
Markus Pelger and Ruoxuan Xiong
Quasi-Bayesian Inference for Production Frontiers pp. 1334-1345 Downloads
Xiaobin Liu, Thomas Tao Yang and Yichong Zhang
Realized Quantiles* pp. 1346-1361 Downloads
Timo Dimitriadis and Roxana Halbleib
Standard Synthetic Control Methods: The Case of Using All Preintervention Outcomes Together With Covariates pp. 1362-1376 Downloads
Ashok Kaul, Stefan Klößner, Gregor Pfeifer and Manuel Schieler
A Structural Model of Homophily and Clustering in Social Networks pp. 1377-1389 Downloads
Angelo Mele
The Grid Bootstrap for Continuous Time Models pp. 1390-1402 Downloads
Yiu Lim Lui, Weilin Xiao and Jun Yu
Estimating Monotone Concave Stochastic Production Frontiers pp. 1403-1414 Downloads
Mike G. Tsionas

Volume 40, issue 2, 2022

Co-citation and Co-authorship Networks of Statisticians pp. 469-485 Downloads
Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke and Wanshan Li
Discussion of “Cocitation and Coauthorship Networks of Statisticians” pp. 486-490 Downloads
Haolei Weng and Yang Feng
Data Come First: Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 491-491 Downloads
David Donoho
Discussion of “Co-citation and Co-authorship Networks of Statisticians” by Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke, and Wanshan Li pp. 492-493 Downloads
Peter W. MacDonald, Elizaveta Levina and Ji Zhu
Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 494-496 Downloads
Xiaojing Zhu and Eric D. Kolaczyk
Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 497-498 Downloads
Joshua Daniel Loyal and Yuguo Chen
Rejoinder: “Co-citation and Co-authorship Networks of Statisticians” pp. 499-504 Downloads
Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke and Wanshan Li
A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations pp. 505-521 Downloads
Xuexin Wang and Yixiao Sun
Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes pp. 522-536 Downloads
Wen Xu, Yanxi Hou and Deyuan Li
Nonparametric Copula Estimation for Mixed Insurance Claim Data pp. 537-546 Downloads
Lu Yang
Bayesian Model Averaging for Spatial Autoregressive Models Based on Convex Combinations of Different Types of Connectivity Matrices pp. 547-558 Downloads
Nicolas Debarsy and James P. LeSage
Dynamic Discrete Mixtures for High-Frequency Prices pp. 559-577 Downloads
Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris
Network-Based Clustering for Varying Coefficient Panel Data Models pp. 578-594 Downloads
Youquan Pei, Tao Huang, Heng Peng and Jinhong You
Sequential Scaled Sparse Factor Regression pp. 595-604 Downloads
Zemin Zheng, Yang Li, Jie Wu and Yuchen Wang
Instrument Validity Tests With Causal Forests pp. 605-614 Downloads
Helmut Farbmacher, Raphael Guber and Sven Klaassen
Robust Estimation of Additive Boundaries With Quantile Regression and Shape Constraints pp. 615-628 Downloads
Yan Fang, Lan Xue, Carlos Martins-Filho and Lijian Yang
LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series pp. 629-650 Downloads
Juan Dolado, Heiko Rachinger and Carlos Velasco
Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous pp. 651-663 Downloads
Wenhao Cui
Nonparametric Estimation and Testing for Positive Quadrant Dependent Bivariate Copula pp. 664-677 Downloads
Lu Lu and Sujit K. Ghosh
A Stochastic Volatility Model With a General Leverage Specification pp. 678-689 Downloads
Leopoldo Catania
Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines pp. 690-704 Downloads
Zifeng Zhao, Peng Shi and Zhengjun Zhang
Nonignorable Missing Data, Single Index Propensity Score and Profile Synthetic Distribution Function pp. 705-717 Downloads
Xuerong Chen, Denis Heng-Yan Leung and Jing Qin
Assessing Causal Effects in a Longitudinal Observational Study With “Truncated” Outcomes Due to Unemployment and Nonignorable Missing Data pp. 718-729 Downloads
Michela Bia, Alessandra Mattei and Andrea Mercatanti
Analyzing Subjective Well-Being Data with Misclassification pp. 730-743 Downloads
Ekaterina Oparina and Sorawoot Srisuma
Adaptive Testing for Cointegration With Nonstationary Volatility pp. 744-755 Downloads
H. Peter Boswijk and Yang Zu
Long Memory Factor Model: On Estimation of Factor Memories pp. 756-769 Downloads
Ying Lun Cheung
A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data pp. 770-784 Downloads
Yucheng Sun and Wen Xu
Model Averaging for Nonlinear Regression Models pp. 785-798 Downloads
Yang Feng, Qingfeng Liu, Qingsong Yao and Guoqing Zhao
Multifrequency-Band Tests for White Noise Under Heteroscedasticity pp. 799-814 Downloads
Mengya Liu, Fukang Zhu and Ke Zhu
Structural Equation Model Averaging: Methodology and Application pp. 815-828 Downloads
Loraine Seng and Jialiang Li
Fixed-k Inference for Conditional Extremal Quantiles pp. 829-837 Downloads
Yuya Sasaki and Yulong Wang
Locally Stationary Quantile Regression for Inflation and Interest Rates pp. 838-851 Downloads
Zhuying Xu, Seonjin Kim and Zhibiao Zhao
Risk Analysis via Generalized Pareto Distributions pp. 852-867 Downloads
Yi He, Liang Peng, Dabao Zhang and Zifeng Zhao
A Robust Generalization of the Rao Test pp. 868-879 Downloads
Ayanendranath Basu, Abhik Ghosh, Nirian Martin and Leandro Pardo
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks pp. 880-896 Downloads
Fabrizio Iacone, Morten Nielsen and Robert Taylor
Bayesian Approach to Lorenz Curve Using Time Series Grouped Data pp. 897-912 Downloads
Genya Kobayashi, Yuta Yamauchi, Kazuhiko Kakamu, Yuki Kawakubo and Shonosuke Sugasawa
The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach pp. 913-923 Downloads
Jone Ascorbebeitia, Eva Ferreira and Susan Orbe
The Locally Gaussian Partial Correlation pp. 924-936 Downloads
Håkon Otneim and Dag Tjøstheim

Volume 40, issue 1, 2022

A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors pp. 1-15 Downloads
Artūras Juodis and Vasilis Sarafidis
A Bayesian Quantile Time Series Model for Asset Returns pp. 16-27 Downloads
Jim E. Griffin and Gelly Mitrodima
Autoregressive Model With Spatial Dependence and Missing Data pp. 28-34 Downloads
Jing Zhou, Jin Liu, Feifei Wang and Hansheng Wang
Network Competition and Team Chemistry in the NBA pp. 35-49 Downloads
William Horrace, Hyunseok Jung and Shane Sanders
Adaptive Inference in Heteroscedastic Fractional Time Series Models pp. 50-65 Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
A New Approach to Dating the Reference Cycle pp. 66-81 Downloads
Maximo Camacho, María Dolores Gadea and Ana Gómez-Loscos
Semiparametric Tail Index Regression pp. 82-95 Downloads
Rui Li, Chenlei Leng and Jinhong You
High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure pp. 96-110 Downloads
Yuan Ke, Heng Lian and Wenyang Zhang
Treatment Versus Regime Effects of Carrots and Sticks pp. 111-127 Downloads
Patrick Arni, Gerard J. van den Berg and Rafael Lalive
Estimating Jump Activity Using Multipower Variation pp. 128-140 Downloads
Aleksey Kolokolov
Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection pp. 141-151 Downloads
Zhewen Pan, Xianbo Zhou and Yahong Zhou
Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter pp. 152-168 Downloads
Josefine Quast and Maik Wolters
A Nonparametric Nonclassical Measurement Error Approach to Estimating Intergenerational Mobility Elasticities pp. 169-185 Downloads
Yonghong An, Le Wang and Ruli Xiao
In Search of a Job: Forecasting Employment Growth Using Google Trends pp. 186-200 Downloads
Daniel Borup and Erik Christian Montes Schütte
Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation pp. 201-215 Downloads
Kin Wai Chan
Community Detection in Partial Correlation Network Models pp. 216-226 Downloads
Christian Brownlees, Guðmundur Guðmundsson and Gábor Lugosi
Counterfactual Analysis and Inference With Nonstationary Data pp. 227-239 Downloads
Ricardo Masini and Marcelo C. Medeiros
Counterfactual Treatment Effects: Estimation and Inference pp. 240-255 Downloads
Yu-Chin Hsu, Tsung-Chih Lai and Robert Lieli
Latent Dirichlet Analysis of Categorical Survey Responses pp. 256-271 Downloads
Evan Munro and Serena Ng
On the Sources of Information in the Moment Structure of Dynamic Macroeconomic Models pp. 272-284 Downloads
Nikolay Iskrev
Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model pp. 285-301 Downloads
Mengheng Li and Marcel Scharth
Large-Dimensional Factor Analysis Without Moment Constraints pp. 302-312 Downloads
Yong He, Xinbing Kong, Long Yu and Xinsheng Zhang
Estimation of Conditional Average Treatment Effects With High-Dimensional Data pp. 313-327 Downloads
Qingliang Fan, Yu-Chin Hsu, Robert Lieli and Yichong Zhang
Identification of Structural Vector Autoregressions by Stochastic Volatility pp. 328-341 Downloads
Dominik Bertsche and Robin Braun
Nonparametric Estimation and Conformal Inference of the Sufficient Forecasting With a Diverging Number of Factors pp. 342-354 Downloads
Xiufan Yu, Jiawei Yao and Lingzhou Xue
Substitution Bias in Multilateral Methods for CPI Construction pp. 355-369 Downloads
Walter Diewert and Kevin Fox
Prediction in Locally Stationary Time Series pp. 370-381 Downloads
Holger Dette and Weichi Wu
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions pp. 382-397 Downloads
Matei Demetrescu and Benjamin Hillmann
A Projective Approach to Conditional Independence Test for Dependent Processes pp. 398-407 Downloads
Yeqing Zhou, Yaowu Zhang and Liping Zhu
Homogeneity and Structure Identification in Semiparametric Factor Models pp. 408-422 Downloads
Chaohui Guo and Jialiang Li
Can GDP Measurement Be Further Improved? Data Revision and Reconciliation pp. 423-431 Downloads
Jan Jacobs, Samad Sarferaz, Jan-Egbert Sturm and Simon van Norden
Direct and Indirect Effects based on Changes-in-Changes pp. 432-443 Downloads
Martin Huber, Mark Schelker and Anthony Strittmatter
Functional Linear Regression: Dependence and Error Contamination pp. 444-457 Downloads
Cheng Chen, Shaojun Guo and Xinghao Qiao
Modeling Tail Index With Autoregressive Conditional Pareto Model pp. 458-466 Downloads
Zhouyu Shen, Yu Chen and Ruxin Shi
Correction pp. 467-467 Downloads
The Editors
Page updated 2022-12-06