Journal of Business & Economic Statistics

2011 - 2026

Continuation of Journal of Business & Economic Statistics.

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

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Volume 44, issue 1, 2026

Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution pp. 1-12

Haoze Hou, Wei Huang and Zheng Zhang

Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach pp. 13-23

Heather M. Anderson, Jiti Gao, Farshid Vahid, Wei Wei and Yang Yang

Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach pp. 24-38

Ying Chen, Maria Grith and Hannah L. H. Lai

Common Components Structural VARs pp. 39-52

Mario Forni, Luca Gambetti, Marco Lippi and Luca Sala

Nonparametric Causal Inference with Functional Covariates pp. 53-66

Daisuke Kurisu, Taisuke Otsu and Mengshan Xu

Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments pp. 67-79

Kyle Colangelo and Ying-Ying Lee

Estimating State Price Densities Implied by American Options pp. 80-93

Zhongjun Qu and Guang Zhang

GLHT for High-Dimensional Covariance Matrices: A Normal-Reference Approach pp. 94-105

Jingyi Wang, Tianming Zhu and Jin-Ting Zhang

Factor Modeling for High-Dimensional Functional Time Series pp. 106-119

Shaojun Guo, Xinghao Qiao, Qingsong Wang and Zihan Wang

The Effects of Temporal Aggregation on MIDAS Regressions pp. 120-133

Luís Martins and Paulo Teles

Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity pp. 134-147

Wenxin Huang, Liangjun Su and Yiru Wang

Cluster GARCH pp. 148-161

Chen Tong, Peter Reinhard Hansen and Ilya Archakov

A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network pp. 162-176

Zongwu Cai, Xiyuan Liu and Liangjun Su

Selection Bias Adjustment by Functional Transfer Learning via Reproducing Kernel Hilbert Space pp. 177-187

Zhonglei Wang, Xiaojun Mao, Jae Kwang Kim and Hengfang Wang

Inference in Semiparametric Formation Models for Directed Networks pp. 188-202

Lianqiang Qu, Lu Chen, Ting Yan and Yuguo Chen

Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action pp. 203-214

Chao Wang, Stefan Weiergraeber and Ruli Xiao

How Important Is Selection into Full-Time and Part-Time Employment? A New Panel Data Sample Selection Model for Estimating Wage Profiles pp. 215-226

Jim Been, Marike Knoef and Heike Vethaak

Regressions under Adverse Conditions pp. 227-241

Timo Dimitriadis and Yannick Hoga

Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory pp. 242-254

Tobias Hartl

Change-Point Detection for Object-Valued Time Series pp. 255-269

Yi Zhang, Changbo Zhu and Xiaofeng Shao

Panel Quantile GARCH Models under Homogeneity pp. 270-281

Qianqian Zhu, Wenyu Li, Wenyang Zhang and Guodong Li

Local Predictability in High Dimensions pp. 282-296

Philipp Adämmer, Sven Lehmann and Rainer Alexander Schüssler

Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions pp. 297-308

Guðmundur Stefán Guðmundsson

Dynamic Conditional Correlations with Partial Information Pooling pp. 309-320

Bram van Os and Dick van Dijk

Social Interactions with Endogeneity pp. 321-333

Zhongjian Lin and Xun Tang

Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience pp. 334-347

Alexander Mayer and Michael Massmann

Uniform Inference on High-Dimensional Spatial Panel Networks pp. 348-359

Victor Chernozhukov, Chen Huang and Weining Wang

Drift Bursts in Pure Jumps: Detection and Application to Bitcoin pp. 360-371

Aleksey Kolokolov

Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector pp. 372-382

Sung Hoon Choi and Donggyu Kim

Inflation Measurement with High-Frequency Data pp. 383-396

Kevin J. Fox, Peter Levell and Martin O’Connell

Volume 43, issue 4, 2025

Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly pp. 737-754

Michal Kolesár and Mikkel Plagborg-Moller

Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly” pp. 755-760

Sílvia Gonçalves, Ana María Herrera and Elena Pesavento

Discussion of “Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly” pp. 761-765

Edward P. Herbst and Benjamin K. Johannsen

Comment: Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly pp. 766-769

Òscar Jordà

Nonlinearity in Dynamic Causal Effects: Making the Bad into the Good, and the Good into the Great? pp. 770-777

Toru Kitagawa, Weining Wang and Mengshan Xu

Rejoinder pp. 778-781

Michal Kolesár and Mikkel Plagborg-Moller

Rerandomization and Covariate Adjustment in Split-Plot Designs pp. 782-793

Wenqi Shi, Anqi Zhao and Hanzhong Liu

Efficient Importance Variational Approximations for State Space Models pp. 794-806

Rubén Loaiza-Maya and Didier Nibbering

Testing for Asset Price Bubbles Using Options Data pp. 807-821

Nicola Fusari, Robert Jarrow and Sujan Lamichhane

Estimation and Inference for Extreme Continuous Treatment Effects pp. 822-834

Wei Huang, Shuo Li and Liuhua Peng

Positive-Definite Converging Kernel Estimation of Long-Run Variance pp. 835-849

Xu Liu and Kin Wai Chan

Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise pp. 850-861

Maria Elvira Mancino, Tommaso Mariotti and Giacomo Toscano

A Revealed Preference Approach to Identification and Inference in Producer-Consumer Models pp. 862-871

Charles Gauthier

Small Tuning Parameter Selection for the Debiased Lasso pp. 872-883

Akira Shinkyu and Naoya Sueishi

Precision Least Squares: Estimation and Inference in High-Dimensions pp. 884-896

Luca Margaritella and Rosnel Sessinou

Model Selection for Multivalued-Treatment Policy Learning in Observational Studies pp. 897-909

Yue Fang, Jin Xi and Haitian Xie

Instability of Factor Strength in Asset Returns pp. 910-925

Daniele Massacci

Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models pp. 926-940

F. Blasques, P. Gorgi and S. J. Koopman

Bayesian Inference of Vector Autoregressions with Tensor Decompositions pp. 941-955

Yiyong Luo and Jim E. Griffin

Estimation and Inference for a Semiparametric Time–Varying Panel Data Model pp. 956-967

Fei Liu

Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data pp. 968-978

Ning Fan, Chunming Zhang and Zhengjun Zhang

Leveraging Unlabeled Data for Superior ROC Curve Estimation via a Semiparametric Approach pp. 979-991

Menghua Zhang, Mengjiao Peng and Yong Zhou

Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification pp. 992-1007

Sharada Nia Davidson, Chenghan Hou and Gary Koop

Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring pp. 1008-1020

Jiun-Hua Su

A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market pp. 1021-1033

Qiaoyu Wang and Ximing Wu

Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity pp. 1034-1050

David Kohns and Galina Potjagailo

Sectoral Uncertainty: A Hierarchical-Volatility Approach pp. 1051-1063

Efrem Castelnuovo, Kerem Tuzcuoglu and Luis Uzeda

Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve pp. 1064-1076

Max-Sebastian Dovì

Partially Linear Single-Index Models and Functional Principal Component Analysis of Spatially and Temporally Indexed Point Processes pp. 1077-1091

Kun Huang, Xian Chen, Yongtao Guan and Yehua Li

Multiple-Attribute Lorenz Functions and Gini Indices: A Measure Transportation Approach pp. 1092-1104

Marc Hallin and Gilles Mordant

Factor Network Autoregressions pp. 1105-1118

Matteo Barigozzi, Giuseppe Cavaliere and Graziano Moramarco

Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis pp. 1119-1131

Martin Bruns, Helmut Lütkepohl and James McNeil

Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing pp. 1132-1144

Stefano Grassi and Francesco Violante

Matrix-Factor-Augmented Regression pp. 1145-1157

Xiong Cai, Xinbing Kong, Xinlei Wu and Peng Zhao

Causal Machine Learning for Moderation Effects pp. 1158-1169

Nora Bearth and Michael Lechner

Bayesian Dynamic Matrix Factor Models pp. 1170-1182

Lei Qin, Yinzhi Wang, Yingqiu Zhu and Ben-Chang Shia

Volume 43, issue 3, 2025

Model-Based Co-Clustering in Customer Targeting Utilizing Large-Scale Online Product Rating Networks pp. 495-507

Qian Chen, Amal Agarwal, Duncan K. H. Fong, Wayne S. DeSarbo and Lingzhou Xue

Distinguishing Time-Varying Factor Models pp. 508-519

Zhonghao Fu, Liangjun Su and Xia Wang

An Improved Divide-and-Conquer Approach to Estimating Mean Functional, with Application to Average Treatment Effect Estimation pp. 520-529

Zhengtian Zhu and Liping Zhu

Probabilistic Quantile Factor Analysis pp. 530-543

Dimitris Korobilis and Maximilian Schröder

Design-Based Theory for Lasso Adjustment in Randomized Block Experiments and Rerandomized Experiments pp. 544-555

Ke Zhu, Hanzhong Liu and Yuehan Yang

Endogenous Kink Threshold Regression pp. 556-567

Jianhan Zhang, Chaoyi Chen, Yiguo Sun and Thanasis Stengos

Revisiting Panel Data Binary Choice Models with Lagged Dependent Variables pp. 568-578

Christopher R. Dobronyi, Fu Ouyang and Thomas Tao Yang

Robust Estimation for Threshold Autoregressive Moving-Average Models pp. 579-591

Greta Goracci, Davide Ferrari, Simone Giannerini and Francesco Ravazzolo

Correcting for Misclassified Binary Regressors Using Instrumental Variables pp. 592-602

Steven Haider and Melvin Stephens

An Oracle Inequality for Multivariate Dynamic Quantile Forecasting pp. 603-614

Jordi Llorens-Terrazas

Penalized Sparse Covariance Regression with High Dimensional Covariates pp. 615-626

Yuan Gao, Zhiyuan Zhang, Zhanrui Cai, Xuening Zhu, Tao Zou and Hansheng Wang

Inference in Experiments with Matched Pairs and Imperfect Compliance pp. 627-642

Yuehao Bai, Hongchang Guo, Azeem Shaikh and Max Tabord-Meehan

Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments pp. 643-656

David I. Harvey, Stephen J. Leybourne and Yang Zu

Group Sparse β-Model for Network pp. 657-668

Zhonghan Wang and Junlong Zhao

A Neural Phillips Curve and a Deep Output Gap pp. 669-683

Philippe Goulet Coulombe

Combining Instrumental Variable Estimators for a Panel Data Model with Factors pp. 684-695

Matthew Harding, Carlos Lamarche and Chris Muris

An Adaptive Kernel-Based Structural Change Test for Copulas pp. 696-709

Xiaohui Lu and Yahong Zhou

Calibrated Equilibrium Estimation and Double Selection for High-dimensional Partially Linear Measurement Error Models pp. 710-722

Jingxuan Luo, Gaorong Li, Heng Peng and Lili Yue

Another Look at Dependence: The Most Predictable Aspects of Time Series pp. 723-736

Tommaso Proietti

Volume 43, issue 2, 2025

Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns pp. 269-285

Lin Deng, Michael Stanley Smith and Worapree Maneesoonthorn

Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring pp. 286-297

Haoxuan Wu, Toryn L. J. Schafer and David S. Matteson

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound pp. 298-311

Daan Opschoor and Michel van der Wel

Shapley Curves: A Smoothing Perspective pp. 312-323

Ratmir Miftachov, Georg Keilbar and Wolfgang Karl Härdle

Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods pp. 324-337

Siqi Wei

Tests for Almost Stochastic Dominance pp. 338-350

Amparo Baíllo, Javier Cárcamo and Carlos Mora-Corral

Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability pp. 351-364

Wenfeng He, Xiaoling Mei, Wei Zhong and Huanjun Zhu

Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection pp. 365-377

Olha Bodnar, Taras Bodnar and Vilhelm Niklasson

Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap pp. 378-390

Santiago Pereda-Fernández

Probability of Causation with Sample Selection: A Reanalysis of the Impacts of Jóvenes en Acción on Formality pp. 391-400

Vitor Possebom and Flavio Riva

Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated pp. 401-412

Doosoo Kim and Jeffrey Wooldridge

A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates pp. 413-422

Qingliang Fan, Zijian Guo and Ziwei Mei

Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market pp. 423-438

Christian M. Hafner, Helmut Herwartz and Shu Wang

Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models pp. 439-453

Sainan Xu, Chaofeng Yuan and Jianhua Guo

Robust and Efficient Estimation of Potential Outcome Means Under Random Assignment pp. 454-467

Akanksha Negi and Jeffrey Wooldridge

Systemic Contagion pp. 468-481

Soon Heng Leong

Constrained Polynomial Likelihood pp. 482-493

Caio Almeida, Ricardo Masini and Paul Schneider

Volume 43, issue 1, 2025

Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions pp. 1-13

Andrea Carriero and Alessio Volpicella

Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility pp. 14-26

Fernanda G. B. Mendes, Wagner Barreto-Souza and Sokol Ndreca

Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty pp. 27-43

Niko Hauzenberger, Florian Huber, Massimiliano Marcellino and Nico Petz

A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime pp. 44-54

Savi Virolainen

Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting pp. 55-67

Jonathan B. Hill

Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances pp. 68-80

Jhordano Aguilar Loyo and Tom Boot

Quantile Policy Effects: An Application to U.S. Macroprudential Policy pp. 81-97

Hsin-Yi Lin, Yu-Hsiang Hsiao and Yu-Chin Hsu

Reduced Rank Spatio-Temporal Models pp. 98-109

Dan Pu, Kuangnan Fang, Wei Lan, Jihai Yu and Qingzhao Zhang

Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score pp. 110-121

Shunsuke Imai, Takuya Koriyama, Shouto Yonekura, Shonosuke Sugasawa and Yoshihiko Nishiyama

Panel Data Cointegration Testing with Structural Instabilities pp. 122-133

Anindya Banerjee and Josep Lluís Carrion-i-Silvestre

Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions pp. 134-149

Liana Jacobi, Dan Zhu and Mark Joshi

Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data pp. 150-163

Jiajun Zhang, Chuanmin Zhao and Xi Qu

Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect pp. 164-177

Tymon Słoczyński, S. Derya Uysal and Jeffrey Wooldridge

Detecting Weak Distribution Shifts via Displacement Interpolation pp. 178-190

YoonHaeng Hur and Tengyuan Liang

Trending Time-Varying Coefficient Spatial Panel Data Models pp. 191-203

Hsuan-Yu Chang, Xiaojun Song and Jihai Yu

Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets pp. 204-215

Victor Aguiar and Nail Kashaev

Forecasting Inflation Using Economic Narratives pp. 216-231

Yongmiao Hong, Fuwei Jiang, Lingchao Meng and Bowen Xue

Simultaneous Confidence Intervals for Partially Identified Parameters pp. 232-240

Brigham R. Frandsen and Zachari A. Pond

Estimation of the Local Conditional Tail Average Treatment Effect pp. 241-255

Le-Yu Chen and Yu-Min Yen

Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments pp. 256-268

Kosuke Imai and Michael Lingzhi Li