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Journal of Business & Economic Statistics

2011 - 2020

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 38, issue 4, 2020

Transparency in Structural Research pp. 711-722 Downloads
Isaiah Andrews, Matthew Gentzkow and Jesse Shapiro
Discussion of “Transparency in Structural Research” by Isaiah Andrews, Matthew Gentzkow, and Jesse Shapiro pp. 723-725 Downloads
Stéphane Bonhomme
Thoughts on “Transparency in Structural Research” pp. 726-727 Downloads
Christopher Taber
Discussion on “ Transparency in Structural Research” by I. Andrews, M. Gentkow and J. Shapiro pp. 728-730 Downloads
Elie Tamer
Rejoinder pp. 731-731 Downloads
Isaiah Andrews, Matthew Gentzkow and Jesse Shapiro
Partial Identification of Economic Mobility: With an Application to the United States pp. 732-753 Downloads
Daniel Millimet, Hao Li and Punarjit Roychowdhury
Nonparametric Estimation of Search Costs for Differentiated Products: Evidence from Medigap pp. 754-770 Downloads
Haizhen Lin and Matthijs Wildenbeest
Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework pp. 771-783 Downloads
Siddhartha Chib and Xiaming Zeng
A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test pp. 784-795 Downloads
Jeffrey Racine and Ingrid Van Keilegom
Comparing Possibly Misspecified Forecasts pp. 796-809 Downloads
Andrew Patton
Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model pp. 810-825 Downloads
Adam McCloskey
Treatment Effects With Heterogeneous Externalities pp. 826-838 Downloads
Tiziano Arduini, Eleonora Patacchini and Edoardo Rainone
Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations pp. 839-855 Downloads
Yuta Yamauchi and Yasuhiro Omori
A Stochastic Volatility Model With Realized Measures for Option Pricing pp. 856-871 Downloads
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri
Bayesian Forecasting of Many Count-Valued Time Series pp. 872-887 Downloads
Lindsay R. Berry and Mike West
Matching Using Sufficient Dimension Reduction for Causal Inference pp. 888-900 Downloads
Wei Luo and Yeying Zhu
Bounds on Average and Quantile Treatment Effects on Duration Outcomes Under Censoring, Selection, and Noncompliance pp. 901-920 Downloads
German Blanco, Xuan Chen, Carlos A. Flores and Alfonso Flores-Lagunes
Forecast Error Variance Decompositions with Local Projections pp. 921-933 Downloads
Yuriy Gorodnichenko and Byoungchan Lee
Minimum Contrast Empirical Likelihood Inference of Discontinuity in Density* pp. 934-950 Downloads
Jun Ma, Hugo Jales and Zhengfei Yu
Editorial Collaborators pp. 951-954 Downloads
The Editors

Volume 38, issue 3, 2020

Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition pp. 487-501 Downloads
Wei Lin, Jianhua Z. Huang and Tucker McElroy
Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects pp. 502-515 Downloads
Gordon Anderson, Thierry Post and Yoon-Jae Whang
Stationary Points for Parametric Stochastic Frontier Models pp. 516-526 Downloads
William Horrace and Ian A. Wright
Implications of Return Predictability for Consumption Dynamics and Asset Pricing pp. 527-541 Downloads
Carlo Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Term Structures of Inflation Expectations and Real Interest Rates pp. 542-553 Downloads
S. Boragan Aruoba
Heterogeneity and Unemployment Dynamics pp. 554-569 Downloads
Hie Joo Ahn and James D. Hamilton
A New Class of Change Point Test Statistics of Rényi Type pp. 570-579 Downloads
Lajos Horvath, Curtis Miller and Gregory Rice
A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity pp. 580-592 Downloads
Eelco Kappe, Wayne S. DeSarbo and Marcelo C. Medeiros
External Validity in Fuzzy Regression Discontinuity Designs pp. 593-612 Downloads
Marinho Bertanha and Guido Imbens
The Promise and Pitfalls of Differences-in-Differences: Reflections on 16 and Pregnant and Other Applications pp. 613-620 Downloads
Ariella Kahn-Lang and Kevin Lang
Empirical likelihood for high frequency data pp. 621-632 Downloads
Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle pp. 633-646 Downloads
John Ameriks, Gábor Kézdi, Minjoon Lee and Matthew Shapiro
Dynamic Vector Mode Regression pp. 647-661 Downloads
Gordon C. R. Kemp, Paulo Parente and João Santos Silva
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets pp. 662-678 Downloads
Torben Andersen, Nicola Fusari and Viktor Todorov
Local Parametric Estimation in High Frequency Data pp. 679-692 Downloads
Yoann Potiron and Per Mykland
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model pp. 693-710 Downloads
Clifford Lam and Pedro C.L. Souza

Volume 38, issue 2, 2020

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models pp. 229-242 Downloads
Christian Conrad and Melanie Schienle
A Stochastic Frontier Model with Endogenous Treatment Status and Mediator pp. 243-256 Downloads
Yi-Ting Chen, Yu-Chin Hsu and Hung-Jen Wang
Flexible Mixture-Amount Models Using Multivariate Gaussian Processes pp. 257-271 Downloads
Aiste Ruseckaite, Dennis Fok and Peter Goos
Dynamic Effects of Credit Shocks in a Data-Rich Environment pp. 272-284 Downloads
Jean Boivin, Marc P. Giannoni and Dalibor Stevanovic
Markov-Switching Three-Pass Regression Filter pp. 285-302 Downloads
Pierre Guérin, Danilo Leiva-Leon and Massimiliano Marcellino
Identification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching pp. 303-316 Downloads
Bryan Graham, Guido Imbens and Geert Ridder
A Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing? pp. 317-326 Downloads
David Jaeger, Theodore J. Joyce and Robert Kaestner
Learning and Index Option Returns pp. 327-339 Downloads
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic and George Skiadopoulos
Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models pp. 340-349 Downloads
Marco Barassi, Lajos Horvath and Yuqian Zhao
Is a Normal Copula the Right Copula? pp. 350-366 Downloads
Dante Amengual and Enrique Sentana
A New Approach to Identifying the Real Effects of Uncertainty Shocks pp. 367-379 Downloads
Minchul Shin and Molin Zhong
Detecting Structural Differences in Tail Dependence of Financial Time Series pp. 380-392 Downloads
Carsten Bormann and Melanie Schienle
Words are the New Numbers: A Newsy Coincident Index of the Business Cycle pp. 393-409 Downloads
Leif Thorsrud
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited pp. 410-427 Downloads
Jérôme Lahaye and Christopher Neely
Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes pp. 428-442 Downloads
M Pesaran and Ida Johnsson
A Comparison of Two Quantile Models With Endogeneity pp. 443-456 Downloads
Kaspar Wüthrich
Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data pp. 457-469 Downloads
Dean Hyslop and Wilbur Townsend
Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula pp. 470-486 Downloads
Rubén Loaiza-Maya and Michael Smith

Volume 38, issue 1, 2020

Inference in Approximately Sparse Correlated Random Effects Probit Models With Panel Data pp. 1-18 Downloads
Jeffrey M. Wooldridge and Ying Zhu
Debiased Inference of Average Partial Effects in Single-Index Models: Comment on Wooldridge and Zhu pp. 19-24 Downloads
David A. Hirshberg and Stefan Wager
Rejoinder pp. 25-26 Downloads
Jeffrey M. Wooldridge and Ying Zhu
Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements pp. 27-42 Downloads
Peter Hördahl, Eli Remolona and Giorgio Valente
Shape-Constrained Kernel-Weighted Least Squares: Estimating Production Functions for Chilean Manufacturing Industries pp. 43-54 Downloads
Daisuke Yagi, Yining Chen, Andrew Johnson and Timo Kuosmanen
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling pp. 55-67 Downloads
Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek
Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure pp. 68-79 Downloads
Joshua Chan
Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility pp. 80-92 Downloads
Chung Eun Lee and Xiaofeng Shao
Identifying Demand Shocks From Production Data pp. 93-106 Downloads
Carlos Santos
Testing Nowcast Monotonicity with Estimated Factors pp. 107-123 Downloads
Jack Fosten and Daniel Gutknecht
Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models pp. 124-136 Downloads
Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang
Mixed Marginal Copula Modeling pp. 137-147 Downloads
David Gunawan, Mohamad Khaled and Robert Kohn
Transformation-Kernel Estimation of Copula Densities pp. 148-164 Downloads
Kuangyu Wen and Ximing Wu
The Estimation of Compensating Wage Differentials: Lessons From the Deadliest Catch pp. 165-182 Downloads
Kurt Lavetti
The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators pp. 183-200 Downloads
Hugo Bodory, Lorenzo Camponovo, Martin Huber and Michael Lechner
Conditional Extremes in Asymmetric Financial Markets pp. 201-213 Downloads
Natalia Nolde and Jinyuan Zhang
Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets pp. 214-227 Downloads
Shujie Ma, Wei Lan, Liangjun Su and Chih-Ling Tsai
Page updated 2020-11-29