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Journal of Business & Economic Statistics

2011 - 2019

Continuation of Journal of Business & Economic Statistics.

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

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

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Volume 37, issue 3, 2019

Nonignorable Attrition in Multi-Period Panels With Refreshment Samples pp. 377-390 Downloads
Pierre Hoonhout and Geert Ridder
Changing Macroeconomic Dynamics at the Zero Lower Bound pp. 391-404 Downloads
Philip Liu, Konstantinos Theodoridis, Haroon Mumtaz and Francesco Zanetti
Modeling Endogenous Mobility in Earnings Determination pp. 405-418 Downloads
John Abowd, Kevin L. McKinney and Ian M. Schmutte
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence pp. 419-435 Downloads
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
Macroeconomic Uncertainty Through the Lens of Professional Forecasters pp. 436-446 Downloads
Soojin Jo and Rodrigo Sekkel
Why High-Order Polynomials Should Not Be Used in Regression Discontinuity Designs pp. 447-456 Downloads
Andrew Gelman and Guido Imbens
Permutation Tests for Comparing Inequality Measures pp. 457-470 Downloads
Jean-Marie Dufour, Emmanuel Flachaire and Lynda Khalaf
Collective Labor Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach pp. 471-483 Downloads
Hans Bloemen
Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models pp. 484-495 Downloads
Rocio Alvarez, Maximo Camacho and Manuel Ruiz
Testing Censoring Point Independence pp. 496-505 Downloads
Brigham R. Frandsen
Multiple Regression Model Averaging and the Focused Information Criterion With an Application to Portfolio Choice pp. 506-516 Downloads
Filip Klimenka and James Lewis Wolter
Model Averaging for Prediction With Fragmentary Data pp. 517-527 Downloads
Fang Fang, Wei Lan, Jingjing Tong and Jun Shao
A Bootstrap Stationarity Test for Predictive Regression Invalidity pp. 528-541 Downloads
Iliyan Georgiev, David Harvey, Stephen J. Leybourne and Robert Taylor
Bank Business Models at Zero Interest Rates pp. 542-555 Downloads
Andre Lucas, Julia Schaumburg and Bernd Schwaab
Semiparametric Smooth Coefficient Stochastic Frontier Model With Panel Data pp. 556-572 Downloads
Feng Yao, Fan Zhang and Subal C. Kumbhakar

Volume 37, issue 2, 2019

Unobservable Selection and Coefficient Stability: Theory and Evidence pp. 187-204 Downloads
Emily Oster
Poorly Measured Confounders are More Useful on the Left than on the Right pp. 205-216 Downloads
Zhuan Pei, Jörn-Steffen Pischke and Hannes Schwandt
Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right” pp. 217-222 Downloads
Giuseppe De Luca, Jan R. Magnus and Franco Peracchi
Testing Missing at Random Using Instrumental Variables pp. 223-234 Downloads
Christoph Breunig
Homothetic Efficiency: Theory and Applications pp. 235-247 Downloads
Jan Heufer and Per Hjertstrand
M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold pp. 248-259 Downloads
Lili Tan and Yichong Zhang
Nonparametric Panel Estimation of Labor Supply pp. 260-274 Downloads
Gaosheng Ju, Li Gan and Qi Li
Goodness-of-Fit Test in Multivariate Jump Diffusion Models pp. 275-287 Downloads
Shulin Zhang, Qian M. Zhou, Dongming Zhu and Peter X.-K. Song
Behavioral Heterogeneity in U.S. Inflation Dynamics pp. 288-300 Downloads
Adriana Cornea-Madeira, Cars Hommes and Domenico Massaro
Statistical Inference for a Relative Risk Measure pp. 301-311 Downloads
Yi He, Yanxi Hou, Liang Peng and Jiliang Sheng
Rank Tests at Jump Events pp. 312-321 Downloads
Jia Li, Viktor Todorov, George Tauchen and Huidi Lin
Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models pp. 322-333 Downloads
Wolfgang Härdle and Li-Shan Huang
Sieve Estimation of Time-Varying Panel Data Models With Latent Structures pp. 334-349 Downloads
Liangjun Su, Xia Wang and Sainan Jin
Inequality Constrained State-Space Models pp. 350-362 Downloads
Hang Qian
Large Dynamic Covariance Matrices pp. 363-375 Downloads
Robert F. Engle, Olivier Ledoit and Michael Wolf

Volume 37, issue 1, 2019

Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models pp. 1-12 Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
System Estimation of Panel Data Models Under Long-Range Dependence pp. 13-26 Downloads
Yunus Emre Ergemen
Adaptive Shrinkage in Bayesian Vector Autoregressive Models pp. 27-39 Downloads
Florian Huber and Martin Feldkircher
Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models pp. 40-53 Downloads
Lore Dirick, Tony Bellotti, Gerda Claeskens and Bart Baesens
Estimation and Inference of Distributional Partial Effects: Theory and Application pp. 54-66 Downloads
Shu Shen
Too Connected to Fail? Inferring Network Ties From Price Co-Movements pp. 67-80 Downloads
Jakob J. Bosma, Michael Koetter and Michael Wedow
Retail Agglomeration and Competition Externalities: Evidence from Openings and Closings of Multiline Department Stores in the U.S pp. 81-96 Downloads
John M. Clapp, Stephen Ross and Tingyu Zhou
Functional Autoregression for Sparsely Sampled Data pp. 97-109 Downloads
Daniel R. Kowal, David S. Matteson and David Ruppert
Perceived Inflation Persistence pp. 110-120 Downloads
Monica Jain
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution pp. 121-133 Downloads
James W. Taylor
On the Identification of Fractionally Cointegrated VAR Models With the Condition pp. 134-146 Downloads
Federico Carlini and Paolo Santucci de Magistris
A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection pp. 147-157 Downloads
Wei Lan and Lilun Du
Inferences for a Partially Varying Coefficient Model With Endogenous Regressors pp. 158-170 Downloads
Zongwu Cai, Ying Fang, Ming Lin and Jia Su
Regression Discontinuity Designs With Sample Selection pp. 171-186 Downloads
Yingying Dong

Volume 36, issue 4, 2018

HAR Inference: Recommendations for Practice pp. 541-559 Downloads
Eben Lazarus, Daniel Lewis, James H. Stock and Mark W. Watson
Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice” pp. 560-562 Downloads
Kenneth West
Comment on "HAR Inference: Recommendations for Practice" by E. Lazarus, D. J. Lewis, J. H. Stock and M. W. Watson pp. 563-564 Downloads
Ulrich K. Müller
Comment pp. 565-568 Downloads
Yixiao Sun
Comment on "HAR Inference: Recommendations for Practice" pp. 569-573 Downloads
Timothy J. Vogelsang
HAR Inference: Recommendations for Practice Rejoinder pp. 574-575 Downloads
Eben Lazarus, Daniel Lewis, James H. Stock and Mark W. Watson
Moment Component Analysis: An Illustration With International Stock Markets pp. 576-598 Downloads
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
Volatility-Related Exchange Traded Assets: An Econometric Investigation pp. 599-614 Downloads
Javier Mencía and Enrique Sentana
Testing Conditional Mean Independence Under Symmetry pp. 615-627 Downloads
Tao Chen, Yuanyuan Ji, Yahong Zhou and Pingfang Zhu
Optimal Forecasts from Markov Switching Models pp. 628-642 Downloads
Tom Boot and Andreas Pick
New HEAVY Models for Fat-Tailed Realized Covariances and Returns pp. 643-657 Downloads
Anne Opschoor, Pawel Janus, Andre Lucas and Dick van Dijk
Minimum Distance Estimation of Search Costs Using Price Distribution pp. 658-671 Downloads
Fabio Sanches, Daniel Silva Junior and Sorawoot Srisuma
Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models pp. 672-683 Downloads
James E. Pustejovsky and Elizabeth Tipton
Poisson-Driven Stationary Markov Models pp. 684-694 Downloads
Michelle Anzarut, Ramsés H. Mena, Consuelo Nava and Igor Prünster
The Estimation and Testing of the Cointegration Order Based on the Frequency Domain pp. 695-704 Downloads
Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco and Pascal Bondon
Semiparametric Analysis of Network Formation pp. 705-713 Downloads
Koen Jochmans
Can Business Owners Form Accurate Counterfactuals? Eliciting Treatment and Control Beliefs About Their Outcomes in the Alternative Treatment Status pp. 714-722 Downloads
David McKenzie

Volume 36, issue 3, 2018

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited pp. 371-387 Downloads
Joshua Angrist, Oscar Jorda and Guido Kuersteiner
Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective pp. 388-399 Downloads
Qingliang (Michael) Fan and Wei Zhong
A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs pp. 400-410 Downloads
Seojeong Lee
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability pp. 411-425 Downloads
Junye Li and Gabriele Zinna
Asymptotic Inference for Performance Fees and the Predictability of Asset Returns pp. 426-437 Downloads
Michael McCracken and Giorgio Valente
A Unified Approach to Estimating and Testing Income Distributions With Grouped Data pp. 438-455 Downloads
Yi-Ting Chen
Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models pp. 456-470 Downloads
Yi Yang, Wei Qian and Hui Zou
Stockouts and Restocking: Monitoring the Retailer from the Supplier’s Perspective pp. 471-482 Downloads
Peter Stüttgen, Peter Boatwright and Joseph B. Kadane
On Estimation of Hurst Parameter Under Noisy Observations pp. 483-492 Downloads
Guangying Liu and Bing-Yi Jing
Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels pp. 493-504 Downloads
Donald Robertson, Vasilis Sarafidis and Joakim Westerlund
Eliciting Subjective Survival Curves: Lessons from Partial Identification pp. 505-515 Downloads
Luc Bissonnette and J. de Bresser
Scanner Data Price Indexes: Addressing Some Unresolved Issues pp. 516-522 Downloads
Daniel Melser
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea pp. 523-537 Downloads
Jin Seo Cho, Myung-Ho Park and Peter Phillips

Volume 36, issue 2, 2018

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads pp. 181-195 Downloads
Dong Hwan Oh and Andrew J. Patton
Restrictions on Risk Prices in Dynamic Term Structure Models pp. 196-211 Downloads
Michael Bauer
Single-Index-Based CoVaR With Very High-Dimensional Covariates pp. 212-226 Downloads
Yan Fan, Wolfgang Härdle, Weining Wang and Lixing Zhu
Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors pp. 227-238 Downloads
Wayne-Roy Gayle and Natalia Khorunzhina
The Changing Transmission of Uncertainty Shocks in the U.S pp. 239-252 Downloads
Haroon Mumtaz and Konstantinos Theodoridis
Bayesian Inference for Assessing Effects of Email Marketing Campaigns pp. 253-266 Downloads
Jiexing Wu, Kate J. Li and Jun S. Liu
A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank pp. 267-277 Downloads
Chew Chua and Sarantis Tsiaplias
Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments pp. 278-287 Downloads
P. Richard Hahn, Jingyu He and Hedibert Lopes
Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities pp. 288-308 Downloads
George Milunovich and Minxian Yang
On the Use of GLS Demeaning in Panel Unit Root Testing pp. 309-320 Downloads
Joakim Westerlund
Measuring Nonlinear Granger Causality in Mean pp. 321-333 Downloads
Xiaojun Song and Abderrahim Taamouti
Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models pp. 334-345 Downloads
Frédérique Fève, Jean-Pierre Florens and Ingrid Van Keilegom
Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud pp. 346-358 Downloads
Lucio Barabesi, Andrea Cerasa, Andrea Cerioli and Domenico Perrotta
Covariance Matrix Estimation via Network Structure pp. 359-369 Downloads
Wei Lan, Zheng Fang, Hansheng Wang and Chih-Ling Tsai

Volume 36, issue 1, 2018

Simple Estimators for Invertible Index Models pp. 1-10 Downloads
Hyungtaik Ahn, Hidehiko Ichimura, James L. Powell and Paul Ruud
Discussion of “Simple Estimators for Invertible Index Models” by H. Ahn, H. Ichimura, J. Powell, and P. Ruud pp. 11-15 Downloads
S. Khan and E. Tamer
Comment on “Simple Estimators for Invertible Index Models” pp. 16-17 Downloads
Jack Porter
A Comment on “Simple Estimators for Invertible Index Models” pp. 18-21 Downloads
Andres Aradillas-Lopez
Rejoinder for “Simple Estimators for Invertible Index Models” pp. 22-23 Downloads
Hyungtaik Ahn, Hidehiko Ichimura, James L. Powell and Paul Ruud
Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection pp. 24-46 Downloads
Mehmet Caner, Xu Han and Yoonseok Lee
Pseudo Panel Data Models With Cohort Interactive Effects pp. 47-61 Downloads
Artūras Juodis
Max-Linear Competing Factor Models pp. 62-74 Downloads
Qiurong Cui and Zhengjun Zhang
Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation pp. 75-87 Downloads
Lancelot F. James, Gernot Müller and Zhiyuan Zhang
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models pp. 88-100 Downloads
Been-Lon Chen, Jiti Gao, Degui Li and Param Silvapulle
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets pp. 101-114 Downloads
Roberto Casarin, Domenico Sartore and Marco Tronzano
Confidence Bands for ROC Curves With Serially Dependent Data pp. 115-130 Downloads
Kajal Lahiri and Liu Yang
Combined Density Nowcasting in an Uncertain Economic Environment pp. 131-145 Downloads
Knut Are Aastveit, Francesco Ravazzolo and Herman van Dijk
Robust Inference for Inverse Stochastic Dominance pp. 146-159 Downloads
Francesco Andreoli
Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data pp. 160-172 Downloads
Tadao Hoshino
Integrated-Quantile-Based Estimation for First-Price Auction Models pp. 173-180 Downloads
Yao Luo and Yuanyuan Wan
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