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

Raffaella Giacomini, Toru Kitagawa and Matthew Read

Comments on “Narrative Restrictions and Proxies” by Giacomini, Kitagawa, and Read pp. 1426-1428

Juan Rubio-Ramírez

Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies” pp. 1429-1433

Lutz Kilian

Discussion of “Narrative Restrictions and Proxies” by Raffaella Giacomini, Toru Kitagawa, and Matthew Read pp. 1434-1437

Mikkel Plagborg-Møller

Narrative Restrictions and Proxies: Rejoinder pp. 1438-1441

Raffaella Giacomini, Toru Kitagawa and Matthew Read

Hedging With Linear Regressions and Neural Networks pp. 1442-1454

Johannes Ruf and Weiguan Wang

Nonparametric Specification Testing of Conditional Asset Pricing Models pp. 1455-1469

Francisco Peñaranda, Juan M. Rodríguez-Poo and Stefan Sperlich

High-Dimensional Mixed-Frequency IV Regression pp. 1470-1483

Andrii Babii

Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling pp. 1484-1497

Hang Qian

Efficient Estimation for Models With Nonlinear Heteroscedasticity pp. 1498-1508

Zhanxiong Xu and Zhibiao Zhao

Fast Bayesian Record Linkage With Record-Specific Disagreement Parameters pp. 1509-1522

Thomas Stringham

Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency pp. 1523-1537

Haozhe Zhang and Yehua Li

Using Triples to Assess Symmetry Under Weak Dependence pp. 1538-1551

Zacharias Psaradakis and Marián Vávra

Multiple Testing and the Distributional Effects of Accountability Incentives in Education pp. 1552-1568

Steven Lehrer, R. Vincent Pohl and Kyungchul Song

Efficient Covariate Balancing for the Local Average Treatment Effect pp. 1569-1582

Phillip Heiler

A Unified Framework for Estimation in Lognormal Models pp. 1583-1595

Fengqing Zhang and Jiangtao Gou

Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds pp. 1596-1616

Sébastien Fries

Inward and Outward Network Influence Analysis pp. 1617-1628

Yujia Wu, Wei Lan, Tao Zou and Chih-Ling Tsai

Collaborative Filtering With Awareness of Social Networks pp. 1629-1641

Xianshi Yu, Ting Li, Ningchen Ying and Bing-Yi Jing

Interpretable Sparse Proximate Factors for Large Dimensions pp. 1642-1664

Markus Pelger and Ruoxuan Xiong

A Synthetic Regression Model for Large Portfolio Allocation pp. 1665-1677

Gaorong Li, Lei Huang, Jin Yang and Wenyang Zhang

Scalable Bayesian Estimation in the Multinomial Probit Model pp. 1678-1690

Rubén Loaiza-Maya and Didier Nibbering

A Note on Distributed Quantile Regression by Pilot Sampling and One-Step Updating pp. 1691-1700

Rui Pan, Tunan Ren, Baishan Guo, Feng Li, Guodong Li and Hansheng Wang

LATE With Missing or Mismeasured Treatment pp. 1701-1717

Rossella Calvi, Arthur Lewbel and Denni Tommasi

Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures pp. 1718-1731

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

Baoluo Sun and Zhiqiang Tan

Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors* pp. 1745-1758

Ovidijus Stauskas and Joakim Westerlund

Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data pp. 1759-1771

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

Maddalena Cavicchioli

Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients pp. 1784-1802

Xuan Liang, Jiti Gao and Xiaodong Gong

Inference in Games Without Equilibrium Restriction: An Application to Restaurant Competition in Opening Hours pp. 1803-1816

Erhao Xie

A Unified Framework for Specification Tests of Continuous Treatment Effect Models pp. 1817-1830

Wei Huang, Oliver Linton and Zheng Zhang

Transformed Estimation for Panel Interactive Effects Models pp. 1831-1848

Cheng Hsiao, Zhentao Shi and Qiankun Zhou

Posterior Average Effects pp. 1849-1862

Stéphane Bonhomme and Martin Weidner

Local Composite Quantile Regression for Regression Discontinuity pp. 1863-1875

Xiao Huang and Zhaoguo Zhan

Asymptotically Valid Bootstrap Inference for Proxy SVARs pp. 1876-1891

Carsten Jentsch and Kurt G. Lunsford

Feature Screening for Massive Data Analysis by Subsampling pp. 1892-1903

Xuening Zhu, Rui Pan, Shuyuan Wu and Hansheng Wang

Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models pp. 1904-1918

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

Sofia Anyfantaki, Esfandiar Maasoumi, Jue Ren and Nikolas Topaloglou

Quasi-Experimental Evaluation of Alternative Sample Selection Corrections pp. 950-964

Robert Garlick and Joshua Hyman

Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables pp. 965-979

Alexander Chudik and Georgios Georgiadis

Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models pp. 980-994

Guochang Wang, Ke Zhu and Xiaofeng Shao

Measuring Social Interaction Effects When Instruments Are Weak pp. 995-1006

Stephen L. Ross and Zhentao Shi

Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting pp. 1007-1019

Kashif Yousuf and Yang Feng

Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders pp. 1020-1033

Jayeeta Bhattacharya, Nathalie Gimenes and Emmanuel Guerre

Nonparametric Instrumental Regression With Right Censored Duration Outcomes pp. 1034-1045

Jad Beyhum, Jean-Pierre Florens and Ingrid Van Keilegom

Multiway Cluster Robust Double/Debiased Machine Learning pp. 1046-1056

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

Sander Barendse and Andrew J. Patton

A Two-Step Method for Testing Many Moment Inequalities pp. 1070-1080

Yuehao Bai, Andres Santos and Azeem Shaikh

Quantile Correlation-based Variable Selection pp. 1081-1093

Wenlu Tang, Jinhan Xie, Yuanyuan Lin and Niansheng Tang

Machine Learning Time Series Regressions With an Application to Nowcasting pp. 1094-1106

Andrii Babii, Eric Ghysels and Jonas Striaukas

Testing for Common Trends in Nonstationary Large Datasets pp. 1107-1122

Matteo Barigozzi and Lorenzo Trapani

Estimation and Inference for Multi-Kink Quantile Regression pp. 1123-1139

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

Jean-Marie Dufour and Denis Pelletier

Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data pp. 1153-1167

Min Seong Kim

Transformation Models in High Dimensions pp. 1168-1178

Sven Klaassen, Jannis Kueck and Martin Spindler

Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices pp. 1179-1190

Gianluca Frasso and Paul H.C. Eilers

The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation pp. 1191-1203

Artūras Juodis and Simon Reese

High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions pp. 1204-1215

Xin Chen, Jia Zhang and Wang Zhou

The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic pp. 1216-1233

Marc Chan and Simon S. Kwok

High-Dimensional Interaction Detection With False Sign Rate Control pp. 1234-1245

Daoji Li, Yinfei Kong, Yingying Fan and Jinchi Lv

Binary Conditional Forecasts pp. 1246-1258

Michael W. McCracken, Joseph T. McGillicuddy and Michael T. Owyang

Local Polynomial Order in Regression Discontinuity Designs pp. 1259-1267

Zhuan Pei, David S. Lee, David Card and Andrea Weber

Heteroscedastic Proxy Vector Autoregressions pp. 1268-1281

Helmut Lütkepohl and Thore Schlaak

Imputations for High Missing Rate Data in Covariates Via Semi-supervised Learning Approach pp. 1282-1290

Wei Lan, Xuerong Chen, Tao Zou and Chih-Ling Tsai

SVARs Identification Through Bounds on the Forecast Error Variance pp. 1291-1301

Alessio Volpicella

Synthetic Control Estimation Beyond Comparative Case Studies: Does the Minimum Wage Reduce Employment? pp. 1302-1314

David Powell

State-Varying Factor Models of Large Dimensions pp. 1315-1333

Markus Pelger and Ruoxuan Xiong

Quasi-Bayesian Inference for Production Frontiers pp. 1334-1345

Xiaobin Liu, Thomas Tao Yang and Yichong Zhang

Realized Quantiles* pp. 1346-1361

Timo Dimitriadis and Roxana Halbleib

Standard Synthetic Control Methods: The Case of Using All Preintervention Outcomes Together With Covariates pp. 1362-1376

Ashok Kaul, Stefan Klößner, Gregor Pfeifer and Manuel Schieler

A Structural Model of Homophily and Clustering in Social Networks pp. 1377-1389

Angelo Mele

The Grid Bootstrap for Continuous Time Models pp. 1390-1402

Yiu Lim Lui, Weilin Xiao and Jun Yu

Estimating Monotone Concave Stochastic Production Frontiers pp. 1403-1414

Mike G. Tsionas

Volume 40, issue 2, 2022

Co-citation and Co-authorship Networks of Statisticians pp. 469-485

Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke and Wanshan Li

Discussion of “Cocitation and Coauthorship Networks of Statisticians” pp. 486-490

Haolei Weng and Yang Feng

Data Come First: Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 491-491

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

Peter W. MacDonald, Elizaveta Levina and Ji Zhu

Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 494-496

Xiaojing Zhu and Eric D. Kolaczyk

Discussion of “Co-citation and Co-authorship Networks of Statisticians” pp. 497-498

Joshua Daniel Loyal and Yuguo Chen

Rejoinder: “Co-citation and Co-authorship Networks of Statisticians” pp. 499-504

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

Xuexin Wang and Yixiao Sun

Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes pp. 522-536

Wen Xu, Yanxi Hou and Deyuan Li

Nonparametric Copula Estimation for Mixed Insurance Claim Data pp. 537-546

Lu Yang

Bayesian Model Averaging for Spatial Autoregressive Models Based on Convex Combinations of Different Types of Connectivity Matrices pp. 547-558

Nicolas Debarsy and James P. LeSage

Dynamic Discrete Mixtures for High-Frequency Prices pp. 559-577

Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris

Network-Based Clustering for Varying Coefficient Panel Data Models pp. 578-594

Youquan Pei, Tao Huang, Heng Peng and Jinhong You

Sequential Scaled Sparse Factor Regression pp. 595-604

Zemin Zheng, Yang Li, Jie Wu and Yuchen Wang

Instrument Validity Tests With Causal Forests pp. 605-614

Helmut Farbmacher, Raphael Guber and Sven Klaassen

Robust Estimation of Additive Boundaries With Quantile Regression and Shape Constraints pp. 615-628

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

Juan Dolado, Heiko Rachinger and Carlos Velasco

Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous pp. 651-663

Wenhao Cui

Nonparametric Estimation and Testing for Positive Quadrant Dependent Bivariate Copula pp. 664-677

Lu Lu and Sujit K. Ghosh

A Stochastic Volatility Model With a General Leverage Specification pp. 678-689

Leopoldo Catania

Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines pp. 690-704

Zifeng Zhao, Peng Shi and Zhengjun Zhang

Nonignorable Missing Data, Single Index Propensity Score and Profile Synthetic Distribution Function pp. 705-717

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

Michela Bia, Alessandra Mattei and Andrea Mercatanti

Analyzing Subjective Well-Being Data with Misclassification pp. 730-743

Ekaterina Oparina and Sorawoot Srisuma

Adaptive Testing for Cointegration With Nonstationary Volatility pp. 744-755

H. Peter Boswijk and Yang Zu

Long Memory Factor Model: On Estimation of Factor Memories pp. 756-769

Ying Lun Cheung

A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data pp. 770-784

Yucheng Sun and Wen Xu

Model Averaging for Nonlinear Regression Models pp. 785-798

Yang Feng, Qingfeng Liu, Qingsong Yao and Guoqing Zhao

Multifrequency-Band Tests for White Noise Under Heteroscedasticity pp. 799-814

Mengya Liu, Fukang Zhu and Ke Zhu

Structural Equation Model Averaging: Methodology and Application pp. 815-828

Loraine Seng and Jialiang Li

Fixed-k Inference for Conditional Extremal Quantiles pp. 829-837

Yuya Sasaki and Yulong Wang

Locally Stationary Quantile Regression for Inflation and Interest Rates pp. 838-851

Zhuying Xu, Seonjin Kim and Zhibiao Zhao

Risk Analysis via Generalized Pareto Distributions pp. 852-867

Yi He, Liang Peng, Dabao Zhang and Zifeng Zhao

A Robust Generalization of the Rao Test pp. 868-879

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

Fabrizio Iacone, Morten Nielsen and Robert Taylor

Bayesian Approach to Lorenz Curve Using Time Series Grouped Data pp. 897-912

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

Jone Ascorbebeitia, Eva Ferreira and Susan Orbe

The Locally Gaussian Partial Correlation pp. 924-936

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

Artūras Juodis and Vasilis Sarafidis

A Bayesian Quantile Time Series Model for Asset Returns pp. 16-27

Jim E. Griffin and Gelly Mitrodima

Autoregressive Model With Spatial Dependence and Missing Data pp. 28-34

Jing Zhou, Jin Liu, Feifei Wang and Hansheng Wang

Network Competition and Team Chemistry in the NBA pp. 35-49

William Horrace, Hyunseok Jung and Shane Sanders

Adaptive Inference in Heteroscedastic Fractional Time Series Models pp. 50-65

Giuseppe Cavaliere, Morten Nielsen and Robert Taylor

A New Approach to Dating the Reference Cycle pp. 66-81

Maximo Camacho, María Dolores Gadea and Ana Gómez-Loscos

Semiparametric Tail Index Regression pp. 82-95

Rui Li, Chenlei Leng and Jinhong You

High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure pp. 96-110

Yuan Ke, Heng Lian and Wenyang Zhang

Treatment Versus Regime Effects of Carrots and Sticks pp. 111-127

Patrick Arni, Gerard J. van den Berg and Rafael Lalive

Estimating Jump Activity Using Multipower Variation pp. 128-140

Aleksey Kolokolov

Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection pp. 141-151

Zhewen Pan, Xianbo Zhou and Yahong Zhou

Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter pp. 152-168

Josefine Quast and Maik Wolters

A Nonparametric Nonclassical Measurement Error Approach to Estimating Intergenerational Mobility Elasticities pp. 169-185

Yonghong An, Le Wang and Ruli Xiao

In Search of a Job: Forecasting Employment Growth Using Google Trends pp. 186-200

Daniel Borup and Erik Christian Montes Schütte

Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation pp. 201-215

Kin Wai Chan

Community Detection in Partial Correlation Network Models pp. 216-226

Christian Brownlees, Guðmundur Guðmundsson and Gábor Lugosi

Counterfactual Analysis and Inference With Nonstationary Data pp. 227-239

Ricardo Masini and Marcelo C. Medeiros

Counterfactual Treatment Effects: Estimation and Inference pp. 240-255

Yu-Chin Hsu, Tsung-Chih Lai and Robert Lieli

Latent Dirichlet Analysis of Categorical Survey Responses pp. 256-271

Evan Munro and Serena Ng

On the Sources of Information in the Moment Structure of Dynamic Macroeconomic Models pp. 272-284

Nikolay Iskrev

Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model pp. 285-301

Mengheng Li and Marcel Scharth

Large-Dimensional Factor Analysis Without Moment Constraints pp. 302-312

Yong He, Xinbing Kong, Long Yu and Xinsheng Zhang

Estimation of Conditional Average Treatment Effects With High-Dimensional Data pp. 313-327

Qingliang Fan, Yu-Chin Hsu, Robert Lieli and Yichong Zhang

Identification of Structural Vector Autoregressions by Stochastic Volatility pp. 328-341

Dominik Bertsche and Robin Braun

Nonparametric Estimation and Conformal Inference of the Sufficient Forecasting With a Diverging Number of Factors pp. 342-354

Xiufan Yu, Jiawei Yao and Lingzhou Xue

Substitution Bias in Multilateral Methods for CPI Construction pp. 355-369

Walter Diewert and Kevin Fox

Prediction in Locally Stationary Time Series pp. 370-381

Holger Dette and Weichi Wu

Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions pp. 382-397

Matei Demetrescu and Benjamin Hillmann

A Projective Approach to Conditional Independence Test for Dependent Processes pp. 398-407

Yeqing Zhou, Yaowu Zhang and Liping Zhu

Homogeneity and Structure Identification in Semiparametric Factor Models pp. 408-422

Chaohui Guo and Jialiang Li

Can GDP Measurement Be Further Improved? Data Revision and Reconciliation pp. 423-431

Jan Jacobs, Samad Sarferaz, Jan-Egbert Sturm and Simon van Norden

Direct and Indirect Effects based on Changes-in-Changes pp. 432-443

Martin Huber, Mark Schelker and Anthony Strittmatter

Functional Linear Regression: Dependence and Error Contamination pp. 444-457

Cheng Chen, Shaojun Guo and Xinghao Qiao

Modeling Tail Index With Autoregressive Conditional Pareto Model pp. 458-466

Zhouyu Shen, Yu Chen and Ruxin Shi

Correction pp. 467-467

The Editors