Journal of Business & Economic Statistics

2011 - 2019

Continuation of Journal of Business & Economic Statistics.

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

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Volume 37, issue 3, 2019

Nonignorable Attrition in Multi-Period Panels With Refreshment Samples pp. 377-390

Pierre Hoonhout and Geert Ridder

Changing Macroeconomic Dynamics at the Zero Lower Bound pp. 391-404

Philip Liu, Konstantinos Theodoridis, Haroon Mumtaz and Francesco Zanetti

Modeling Endogenous Mobility in Earnings Determination pp. 405-418

John Abowd, Kevin L. McKinney and Ian M. Schmutte

Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence pp. 419-435

Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss

Macroeconomic Uncertainty Through the Lens of Professional Forecasters pp. 436-446

Soojin Jo and Rodrigo Sekkel

Why High-Order Polynomials Should Not Be Used in Regression Discontinuity Designs pp. 447-456

Andrew Gelman and Guido Imbens

Permutation Tests for Comparing Inequality Measures pp. 457-470

Jean-Marie Dufour, Emmanuel Flachaire and Lynda Khalaf

Collective Labor Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach pp. 471-483

Hans Bloemen

Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models pp. 484-495

Rocio Alvarez, Maximo Camacho and Manuel Ruiz

Testing Censoring Point Independence pp. 496-505

Brigham R. Frandsen

Multiple Regression Model Averaging and the Focused Information Criterion With an Application to Portfolio Choice pp. 506-516

Filip Klimenka and James Lewis Wolter

Model Averaging for Prediction With Fragmentary Data pp. 517-527

Fang Fang, Wei Lan, Jingjing Tong and Jun Shao

A Bootstrap Stationarity Test for Predictive Regression Invalidity pp. 528-541

Iliyan Georgiev, David Harvey, Stephen J. Leybourne and Robert Taylor

Bank Business Models at Zero Interest Rates pp. 542-555

Andre Lucas, Julia Schaumburg and Bernd Schwaab

Semiparametric Smooth Coefficient Stochastic Frontier Model With Panel Data pp. 556-572

Feng Yao, Fan Zhang and Subal C. Kumbhakar

Volume 37, issue 2, 2019

Unobservable Selection and Coefficient Stability: Theory and Evidence pp. 187-204

Emily Oster

Poorly Measured Confounders are More Useful on the Left than on the Right pp. 205-216

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

Giuseppe De Luca, Jan R. Magnus and Franco Peracchi

Testing Missing at Random Using Instrumental Variables pp. 223-234

Christoph Breunig

Homothetic Efficiency: Theory and Applications pp. 235-247

Jan Heufer and Per Hjertstrand

M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold pp. 248-259

Lili Tan and Yichong Zhang

Nonparametric Panel Estimation of Labor Supply pp. 260-274

Gaosheng Ju, Li Gan and Qi Li

Goodness-of-Fit Test in Multivariate Jump Diffusion Models pp. 275-287

Shulin Zhang, Qian M. Zhou, Dongming Zhu and Peter X.-K. Song

Behavioral Heterogeneity in U.S. Inflation Dynamics pp. 288-300

Adriana Cornea-Madeira, Cars Hommes and Domenico Massaro

Statistical Inference for a Relative Risk Measure pp. 301-311

Yi He, Yanxi Hou, Liang Peng and Jiliang Sheng

Rank Tests at Jump Events pp. 312-321

Jia Li, Viktor Todorov, George Tauchen and Huidi Lin

Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models pp. 322-333

Wolfgang Härdle and Li-Shan Huang

Sieve Estimation of Time-Varying Panel Data Models With Latent Structures pp. 334-349

Liangjun Su, Xia Wang and Sainan Jin

Inequality Constrained State-Space Models pp. 350-362

Hang Qian

Large Dynamic Covariance Matrices pp. 363-375

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

Tingting Cheng, Jiti Gao and Xibin Zhang

System Estimation of Panel Data Models Under Long-Range Dependence pp. 13-26

Yunus Emre Ergemen

Adaptive Shrinkage in Bayesian Vector Autoregressive Models pp. 27-39

Florian Huber and Martin Feldkircher

Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models pp. 40-53

Lore Dirick, Tony Bellotti, Gerda Claeskens and Bart Baesens

Estimation and Inference of Distributional Partial Effects: Theory and Application pp. 54-66

Shu Shen

Too Connected to Fail? Inferring Network Ties From Price Co-Movements pp. 67-80

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

John M. Clapp, Stephen Ross and Tingyu Zhou

Functional Autoregression for Sparsely Sampled Data pp. 97-109

Daniel R. Kowal, David S. Matteson and David Ruppert

Perceived Inflation Persistence pp. 110-120

Monica Jain

Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution pp. 121-133

James W. Taylor

On the Identification of Fractionally Cointegrated VAR Models With the Condition pp. 134-146

Federico Carlini and Paolo Santucci de Magistris

A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection pp. 147-157

Wei Lan and Lilun Du

Inferences for a Partially Varying Coefficient Model With Endogenous Regressors pp. 158-170

Zongwu Cai, Ying Fang, Ming Lin and Jia Su

Regression Discontinuity Designs With Sample Selection pp. 171-186

Yingying Dong

Volume 36, issue 4, 2018

HAR Inference: Recommendations for Practice pp. 541-559

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

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

Ulrich K. Müller

Comment pp. 565-568

Yixiao Sun

Comment on "HAR Inference: Recommendations for Practice" pp. 569-573

Timothy J. Vogelsang

HAR Inference: Recommendations for Practice Rejoinder pp. 574-575

Eben Lazarus, Daniel Lewis, James H. Stock and Mark W. Watson

Moment Component Analysis: An Illustration With International Stock Markets pp. 576-598

Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger

Volatility-Related Exchange Traded Assets: An Econometric Investigation pp. 599-614

Javier Mencía and Enrique Sentana

Testing Conditional Mean Independence Under Symmetry pp. 615-627

Tao Chen, Yuanyuan Ji, Yahong Zhou and Pingfang Zhu

Optimal Forecasts from Markov Switching Models pp. 628-642

Tom Boot and Andreas Pick

New HEAVY Models for Fat-Tailed Realized Covariances and Returns pp. 643-657

Anne Opschoor, Pawel Janus, Andre Lucas and Dick van Dijk

Minimum Distance Estimation of Search Costs Using Price Distribution pp. 658-671

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

James E. Pustejovsky and Elizabeth Tipton

Poisson-Driven Stationary Markov Models pp. 684-694

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

Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco and Pascal Bondon

Semiparametric Analysis of Network Formation pp. 705-713

Koen Jochmans

Can Business Owners Form Accurate Counterfactuals? Eliciting Treatment and Control Beliefs About Their Outcomes in the Alternative Treatment Status pp. 714-722

David McKenzie

Volume 36, issue 3, 2018

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited pp. 371-387

Joshua Angrist, Oscar Jorda and Guido Kuersteiner

Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective pp. 388-399

Qingliang (Michael) Fan and Wei Zhong

A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs pp. 400-410

Seojeong Lee

The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability pp. 411-425

Junye Li and Gabriele Zinna

Asymptotic Inference for Performance Fees and the Predictability of Asset Returns pp. 426-437

Michael McCracken and Giorgio Valente

A Unified Approach to Estimating and Testing Income Distributions With Grouped Data pp. 438-455

Yi-Ting Chen

Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models pp. 456-470

Yi Yang, Wei Qian and Hui Zou

Stockouts and Restocking: Monitoring the Retailer from the Supplier’s Perspective pp. 471-482

Peter Stüttgen, Peter Boatwright and Joseph B. Kadane

On Estimation of Hurst Parameter Under Noisy Observations pp. 483-492

Guangying Liu and Bing-Yi Jing

Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels pp. 493-504

Donald Robertson, Vasilis Sarafidis and Joakim Westerlund

Eliciting Subjective Survival Curves: Lessons from Partial Identification pp. 505-515

Luc Bissonnette and J. de Bresser

Scanner Data Price Indexes: Addressing Some Unresolved Issues pp. 516-522

Daniel Melser

Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea pp. 523-537

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

Dong Hwan Oh and Andrew J. Patton

Restrictions on Risk Prices in Dynamic Term Structure Models pp. 196-211

Michael Bauer

Single-Index-Based CoVaR With Very High-Dimensional Covariates pp. 212-226

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

Wayne-Roy Gayle and Natalia Khorunzhina

The Changing Transmission of Uncertainty Shocks in the U.S pp. 239-252

Haroon Mumtaz and Konstantinos Theodoridis

Bayesian Inference for Assessing Effects of Email Marketing Campaigns pp. 253-266

Jiexing Wu, Kate J. Li and Jun S. Liu

A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank pp. 267-277

Chew Chua and Sarantis Tsiaplias

Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments pp. 278-287

P. Richard Hahn, Jingyu He and Hedibert Lopes

Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities pp. 288-308

George Milunovich and Minxian Yang

On the Use of GLS Demeaning in Panel Unit Root Testing pp. 309-320

Joakim Westerlund

Measuring Nonlinear Granger Causality in Mean pp. 321-333

Xiaojun Song and Abderrahim Taamouti

Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models pp. 334-345

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

Lucio Barabesi, Andrea Cerasa, Andrea Cerioli and Domenico Perrotta

Covariance Matrix Estimation via Network Structure pp. 359-369

Wei Lan, Zheng Fang, Hansheng Wang and Chih-Ling Tsai

Volume 36, issue 1, 2018

Simple Estimators for Invertible Index Models pp. 1-10

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

S. Khan and E. Tamer

Comment on “Simple Estimators for Invertible Index Models” pp. 16-17

Jack Porter

A Comment on “Simple Estimators for Invertible Index Models” pp. 18-21

Andres Aradillas-Lopez

Rejoinder for “Simple Estimators for Invertible Index Models” pp. 22-23

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

Mehmet Caner, Xu Han and Yoonseok Lee

Pseudo Panel Data Models With Cohort Interactive Effects pp. 47-61

Artūras Juodis

Max-Linear Competing Factor Models pp. 62-74

Qiurong Cui and Zhengjun Zhang

Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation pp. 75-87

Lancelot F. James, Gernot Müller and Zhiyuan Zhang

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models pp. 88-100

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

Roberto Casarin, Domenico Sartore and Marco Tronzano

Confidence Bands for ROC Curves With Serially Dependent Data pp. 115-130

Kajal Lahiri and Liu Yang

Combined Density Nowcasting in an Uncertain Economic Environment pp. 131-145

Knut Are Aastveit, Francesco Ravazzolo and Herman van Dijk

Robust Inference for Inverse Stochastic Dominance pp. 146-159

Francesco Andreoli

Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data pp. 160-172

Tadao Hoshino

Integrated-Quantile-Based Estimation for First-Price Auction Models pp. 173-180

Yao Luo and Yuanyuan Wan