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Journal of Business & Economic Statistics

2011 - 2025

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 42, issue 4, 2024

Imputation of Counterfactual Outcomes when the Errors are Predictable pp. 1107-1122 Downloads
Sílvia Gonçalves and Serena Ng
On “Imputation of Counterfactual Outcomes when the Errors are Predictable”: Discussions on Misspecification and Suggestions of Sensitivity Analyses pp. 1123-1127 Downloads
Luis A. F. Alvarez and Bruno Ferman
Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng pp. 1128-1132 Downloads
Marcelo C. Medeiros
On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV pp. 1133-1136 Downloads
Yuya Sasaki
Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng pp. 1137-1139 Downloads
Kaspar Wüthrich
Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder pp. 1140-1142 Downloads
Sílvia Gonçalves and Serena Ng
Unconditional Quantile Regression for Streaming Datasets pp. 1143-1154 Downloads
Rong Jiang and Keming Yu
Linking Frequentist and Bayesian Change-Point Methods pp. 1155-1168 Downloads
David Ardia, Arnaud Dufays and Carlos Ordás Criado
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects pp. 1169-1184 Downloads
Yiqiu Cao, Sainan Jin, Xun Lu and Liangjun Su
Nonparametric Identification and Inference of First-Price Auctions with Heterogeneous Bidders pp. 1185-1194 Downloads
Zheng Li
Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses pp. 1195-1209 Downloads
Xuexin Wang
Model Checking in Partially Linear Spatial Autoregressive Models pp. 1210-1222 Downloads
Zixin Yang, Xiaojun Song and Jihai Yu
Noncommon Breaks pp. 1223-1237 Downloads
Simon C. Smith
Dynamic Realized Minimum Variance Portfolio Models pp. 1238-1249 Downloads
Donggyu Kim and Minseog Oh
Detecting Multiple Level Shifts in Bounded Time Series pp. 1250-1263 Downloads
Josep Lluís Carrion-i-Silvestre and María Dolores Gadea
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects pp. 1264-1275 Downloads
Zhenhao Gong and Min Seong Kim
The Block-Correlated Pseudo Marginal Sampler for State Space Models pp. 1276-1288 Downloads
David Gunawan, Pratiti Chatterjee and Robert Kohn
Testing for Equivalence of Pre-Trends in Difference-in-Differences Estimation pp. 1289-1301 Downloads
Holger Dette and Martin Schumann
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model pp. 1302-1317 Downloads
Todd Clark, Florian Huber, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer
Identification and Auto-Debiased Machine Learning for Outcome-Conditioned Average Structural Derivatives pp. 1318-1330 Downloads
Zequn Jin, Lihua Lin and Zhengyu Zhang
Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence pp. 1331-1343 Downloads
Lajos Horvath, Piotr Kokoszka and Shanglin Lu
Maximum-Subsampling Test of Equal Predictive Ability pp. 1344-1355 Downloads
Wei Lan, Bo Lei, Long Feng and Chih-Ling Tsai
Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets pp. 1356-1366 Downloads
Huifang Ma, Long Feng, Zhaojun Wang and Jigang Bao
Testing Quantile Forecast Optimality pp. 1367-1378 Downloads
Jack Fosten, Daniel Gutknecht and Marc-Oliver Pohle
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators pp. 1379-1388 Downloads
Mehmet Caner and Kfir Eliaz
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median pp. 1389-1402 Downloads
Piotr Fryzlewicz

Volume 42, issue 3, 2024

Inference on Consensus Ranking of Distributions pp. 839-850 Downloads
David Kaplan
Correcting for Endogeneity in Models with Bunching pp. 851-863 Downloads
Carolina Caetano, Gregorio Caetano and Eric Nielsen
Powerful Backtests for Historical Simulation Expected Shortfall Models pp. 864-874 Downloads
Zaichao Du, Pei Pei, Xuhui Wang and Tao Yang
On the Combination of Naive and Mean-Variance Portfolio Strategies pp. 875-889 Downloads
Nathan Lassance, Rodolphe Vanderveken and Frédéric Vrins
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series pp. 890-902 Downloads
Matteo Barigozzi, Haeran Cho and Dom Owens
Modeling Extreme Events: Time-Varying Extreme Tail Shape pp. 903-917 Downloads
Enzo D’Innocenzo, Andre Lucas, Bernd Schwaab and Xin Zhang
Reduced-Rank Envelope Vector Autoregressive Model pp. 918-932 Downloads
S. Yaser Samadi and H. M. Wiranthe B. Herath
A Modified Randomization Test for the Level of Clustering pp. 933-945 Downloads
Yong Cai
Tests for Jumps in Yield Spreads pp. 946-957 Downloads
Lars Winkelmann and Wenying Yao
Double Machine Learning for Sample Selection Models pp. 958-969 Downloads
Michela Bia, Martin Huber and Lukas Laffers
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics pp. 970-983 Downloads
Karsten Reichold and Carsten Jentsch
GDP Solera: The Ideal Vintage Mix pp. 984-997 Downloads
Martín Almuzara, Dante Amengual, Gabriele Fiorentini and Enrique Sentana
Causal Inference Under Outcome-Based Sampling with Monotonicity Assumptions pp. 998-1009 Downloads
Sung Jae Jun and Sokbae (Simon) Lee
Modeling and Forecasting Macroeconomic Downside Risk pp. 1010-1025 Downloads
Davide Delle Monache, Andrea De Polis and Ivan Petrella
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure pp. 1026-1040 Downloads
Xiaorong Yang, Jia Chen, Degui Li and Runze Li
An Empirical Bayes Approach to Controlling the False Discovery Exceedance pp. 1041-1052 Downloads
Pallavi Basu, Luella Fu, Alessio Saretto and Wenguang Sun
Efficient and Robust Estimation of the Generalized LATE Model pp. 1053-1065 Downloads
Haitian Xie
Variational Inference for Large Bayesian Vector Autoregressions pp. 1066-1082 Downloads
Mauro Bernardi, Daniele Bianchi and Nicolas Bianco
A Ridge-Regularized Jackknifed Anderson-Rubin Test pp. 1083-1094 Downloads
Max-Sebastian Dovì, Anders Kock and Sophocles Mavroeidis
An Econometric Analysis of Volatility Discovery pp. 1095-1106 Downloads
Gustavo Fruet Dias, Fotis Papailias and Cristina Scherrer

Volume 42, issue 2, 2024

Introduction to the Special Issue on Statistics of Dynamic Networks pp. 347-348 Downloads
Wolfgang Härdle and Melanie Schienled
Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions pp. 349-366 Downloads
Xiaofei Xu, Ying Chen, Ge Zhang and Thorsten Koch
Dynamic Peer Groups of Arbitrage Characteristics pp. 367-390 Downloads
Shuyi Ge, Shaoran Li and Oliver Linton
Monitoring Network Changes in Social Media pp. 391-406 Downloads
Cathy Yi-Hsuan Chen, Yarema Okhrin and Tengyao Wang
Dynamic Network Quantile Regression Model pp. 407-421 Downloads
Xiu Xu, Weining Wang, Yongcheol Shin and Chaowen Zheng
Large Spillover Networks of Nonstationary Systems pp. 422-436 Downloads
Shi Chen and Melanie Schienle
A Time-Varying Network for Cryptocurrencies pp. 437-456 Downloads
Li Guo, Wolfgang Karl Härdle and Yubo Tao
Testing For Global Covariate Effects in Dynamic Interaction Event Networks pp. 457-468 Downloads
Alexander Kreiss, Enno Mammen and Wolfgang Polonik
Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock pp. 469-484 Downloads
Ye Yang, Osman Doğan and Süleyman Taşp Inar
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability pp. 485-498 Downloads
Tobias Fissler and Yannick Hoga
Bonferroni Type Tests for Return Predictability and the Initial Condition pp. 499-515 Downloads
Sam Astill, David I. Harvey, Stephen J. Leybourne and Robert Taylor
Jumps or Staleness? pp. 516-532 Downloads
Aleksey Kolokolov and Roberto Renò
Estimation and Inference on Time-Varying FAVAR Models pp. 533-547 Downloads
Zhonghao Fu, Liangjun Su and Xia Wang
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models pp. 548-562 Downloads
Dachuan Chen, Chenxu Li, Cheng Yong Tang and Jun Yan
Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments pp. 563-578 Downloads
JoonHwan Cho and Thomas M. Russell
Links and Legibility: Making Sense of Historical U.S. Census Automated Linking Methods pp. 579-590 Downloads
Arkadev Ghosh, Sam Il Myoung Hwang and Munir Squires
Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach pp. 591-602 Downloads
Tadao Hoshino
Neural Networks for Partially Linear Quantile Regression pp. 603-614 Downloads
Qixian Zhong and Jane-Ling Wang
Tie-Break Bootstrap for Nonparametric Rank Statistics pp. 615-627 Downloads
Juwon Seo
Bootstrap Inference for Panel Data Quantile Regression pp. 628-639 Downloads
Antonio Galvao, Thomas Parker and Zhijie Xiao
Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models pp. 640-653 Downloads
Qiang Xia and Xianyang Zhang
Uniform Nonparametric Inference for Spatially Dependent Panel Data pp. 654-664 Downloads
Jia Li, Zhipeng Liao and Wenyu Zhou
A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r* pp. 665-680 Downloads
James Morley, Trung Duc Tran and Benjamin Wong
Asset Pricing via the Conditional Quantile Variational Autoencoder pp. 681-694 Downloads
Xuanling Yang, Zhoufan Zhu, Dong Li and Ke Zhu
Consistent Estimation of Multiple Breakpoints in Dependence Measures pp. 695-706 Downloads
Marvin Borsch, Alexander Mayer and Dominik Wied
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance pp. 707-718 Downloads
Jiyang Ren
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests pp. 719-731 Downloads
Cheuk Hin Cheng and Kin Wai Chan
Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome pp. 732-742 Downloads
Jad Beyhum, Samuele Centorrino, Jean-Pierre Florens and Ingrid Van Keilegom
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects pp. 743-761 Downloads
George Kapetanios, Laura Serlenga and Yongcheol Shin
A Design-Based Perspective on Synthetic Control Methods pp. 762-773 Downloads
Lea Bottmer, Guido W. Imbens, Jann Spiess and Merrill Warnick
Dynamic Autoregressive Liquidity (DArLiQ) pp. 774-785 Downloads
Christian M. Hafner, Oliver Linton and Linqi Wang
Generalized Autoregressive Positive-valued Processes pp. 786-800 Downloads
Bruno Feunou
Generalizing the Results from Social Experiments: Theory and Evidence from India pp. 801-811 Downloads
Michael Gechter
Extreme Changes in Changes pp. 812-824 Downloads
Yuya Sasaki and Yulong Wang
Large Order-Invariant Bayesian VARs with Stochastic Volatility pp. 825-837 Downloads
Joshua Chan, Gary Koop and Xuewen Yu

Volume 42, issue 1, 2024

Associate Editors pp. i-i Downloads
The Editors
Assessing Sensitivity to Unconfoundedness: Estimation and Inference pp. 1-13 Downloads
Matthew Masten, Alexandre Poirier and Linqi Zhang
Identification of a Triangular Two Equation System Without Instruments pp. 14-25 Downloads
Arthur Lewbel, Susanne Schennach and Linqi Zhang
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models pp. 26-35 Downloads
Wu Wang and Zhongyi Zhu
Covariance Model with General Linear Structure and Divergent Parameters pp. 36-48 Downloads
Xinyan Fan, Wei Lan, Tao Zou and Chih-Ling Tsai
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse pp. 49-63 Downloads
Yimeng Ren, Xuening Zhu, Xiaoling Lu and Guanyu Hu
Likelihood Ratio Tests for Lorenz Dominance pp. 64-75 Downloads
Shen-Da Chang, Philip E. Cheng and Michelle Liou
Identification of Time-Varying Factor Models pp. 76-94 Downloads
Ying Lun Cheung
Estimation of a Structural Break Point in Linear Regression Models pp. 95-108 Downloads
Yaein Baek
Getting the ROC into Sync pp. 109-121 Downloads
Liu Yang, Kajal Lahiri and Adrian Pagan
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors pp. 122-134 Downloads
Sium Bodha Hannadige, Jiti Gao, Mervyn J. Silvapulle and Param Silvapulle
Bayesian Nonparametric Panel Markov-Switching GARCH Models pp. 135-146 Downloads
Roberto Casarin, Mauro Costantini and Anthony Osuntuyi
Two-Sample Testing for Tail Copulas with an Application to Equity Indices pp. 147-159 Downloads
Sami Umut Can, John H. J. Einmahl and Roger Laeven
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence pp. 160-173 Downloads
Jungbin Hwang and Gonzalo Valdés
Optimal Subsampling Bootstrap for Massive Data pp. 174-186 Downloads
Yingying Ma, Chenlei Leng and Hansheng Wang
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters pp. 187-196 Downloads
Xinyu Zhang, Huihang Liu, Yizheng Wei and Yanyuan Ma
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary pp. 197-214 Downloads
Giuseppe Cavaliere, Indeewara Perera and Anders Rahbek
On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models pp. 215-228 Downloads
Xinyu Zhang, Dong Li and Howell Tong
On Bivariate Time-Varying Price Staleness pp. 229-242 Downloads
Haibin Zhu and Zhi Liu
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators pp. 243-256 Downloads
Xu Guo, Runze Li, Jingyuan Liu and Mudong Zeng
A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection pp. 257-271 Downloads
Long Feng, Binghui Liu and Yanyuan Ma
Probabilistic Forecast Reconciliation under the Gaussian Framework pp. 272-285 Downloads
Shanika L. Wickramasuriya
High-Dimensional Censored Regression via the Penalized Tobit Likelihood pp. 286-297 Downloads
Tate Jacobson and Hui Zou
Two-Directional Simultaneous Inference for High-Dimensional Models pp. 298-309 Downloads
Wei Liu, Huazhen Lin, Jin Liu and Shurong Zheng
Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models pp. 310-321 Downloads
Jiti Gao, Bin Peng and Yayi Yan
Matrix Factor Analysis: From Least Squares to Iterative Projection pp. 322-334 Downloads
Yong He, Xinbing Kong, Long Yu, Xinsheng Zhang and Changwei Zhao
A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior pp. 335-346 Downloads
Zhongfang He
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