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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 41, issue 4, 2023

Risk Preference Types, Limited Consideration, and Welfare pp. 1011-1029

Levon Barseghyan and Francesca Molinari

Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023) pp. 1030-1034

Matias Cattaneo, Xinwei Ma and Yusufcan Masatlioglu

Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari pp. 1035-1038

Cristina Gualdani

Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari pp. 1039-1041

Elisabeth Honka

Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare” pp. 1042-1045

Julie Mortimer

Rejoinder pp. 1046-1049

Levon Barseghyan and Francesca Molinari

Spatial Correlation Robust Inference in Linear Regression and Panel Models pp. 1050-1064

Ulrich K. Müller and Mark W. Watson

Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage pp. 1065-1076

Danny Klinenberg

Identification of SVAR Models by Combining Sign Restrictions With External Instruments pp. 1077-1089

Robin Braun and Ralf Brüggemann

Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis pp. 1090-1100

Danning Li, Arun Srinivasan, Qian Chen and Lingzhou Xue

Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors pp. 1101-1115

Xuehu Zhu, Qiming Zhang, Lixing Zhu, Jun Zhang and Luoyao Yu

Bagged Pretested Portfolio Selection pp. 1116-1131

Ekaterina Kazak and Winfried Pohlmeier

LASSO for Stochastic Frontier Models with Many Efficient Firms pp. 1132-1142

William Horrace, Hyunseok Jung and Yoonseok Lee

Procurements with Bidder Asymmetry in Cost and Risk-Aversion pp. 1143-1156

Gaurab Aryal, Hanna Charankevich, Seungwon Jeong and Dong-Hyuk Kim

Nonparametric Prediction Distribution from Resolution-Wise Regression with Heterogeneous Data pp. 1157-1172

Jialu Li, Wan Zhang, Peiyao Wang, Qizhai Li, Kai Zhang and Yufeng Liu

Nonparametric Option Pricing with Generalized Entropic Estimators pp. 1173-1187

Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison

When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage pp. 1188-1202

Laurent Ferrara and Anna Simoni

Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering pp. 1203-1214

Alexander Henzi

Overnight GARCH-Itô Volatility Models pp. 1215-1227

Donggyu Kim, Minseok Shin and Yazhen Wang

A Scalable Frequentist Model Averaging Method pp. 1228-1237

Rong Zhu, Haiying Wang, Xinyu Zhang and Hua Liang

Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models pp. 1238-1250

Xiaoyu Zhang, Di Wang, Heng Lian and Guodong Li

Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions pp. 1251-1261

Jeffrey Racine, Qi Li, Dalei Yu and Li Zheng

Testing Stability in Functional Event Observations with an Application to IPO Performance pp. 1262-1273

Lajos Horvath, Zhenya Liu, Gregory Rice, Shixuan Wang and Yaosong Zhan

Extremal Dependence-Based Specification Testing of Time Series pp. 1274-1287

Yannick Hoga

Corporate Probability of Default: A Single-Index Hazard Model Approach pp. 1288-1299

Shaobo Li, Shaonan Tian, Yan Yu, Xiaorui Zhu and Heng Lian

Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models pp. 1300-1314

Lajos Horvath and Lorenzo Trapani

Generalized Covariance Estimator pp. 1315-1327

Christian Gourieroux and Joann Jasiak

Teacher-to-Classroom Assignment and Student Achievement pp. 1328-1340

Bryan S. Graham, Geert Ridder, Petra Thiemann and Gema Zamarro

Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks pp. 1341-1351

Markku Lanne, Keyan Liu and Jani Luoto

Fast Variational Bayes Methods for Multinomial Probit Models pp. 1352-1363

Rubén Loaiza-Maya and Didier Nibbering

Spectral Estimation of Large Stochastic Blockmodels with Discrete Nodal Covariates pp. 1364-1376

Angelo Mele, Lingxin Hao, Joshua Cape and Carey E. Priebe

From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference pp. 1377-1390

Huijuan Ma, Jing Qin and Yong Zhou

Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs pp. 1391-1403

Leopold Simar and Paul Wilson

Volume 41, issue 3, 2023

Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 pp. 653-666

Yiannis Karavias, Paresh Kumar Narayan and Joakim Westerlund

Using Survey Information for Improving the Density Nowcasting of U.S. GDP pp. 667-682

Cem Çakmakl i and Hamza Demircan

Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models pp. 683-694

Sílvia Gonçalves, Ulrich Hounyo, Andrew Patton and Kevin Sheppard

Identification and Estimation of Multinomial Choice Models with Latent Special Covariates pp. 695-707

Nail Kashaev

Forecasting with Economic News pp. 708-719

Luca Barbaglia, Sergio Consoli and Sebastiano Manzan

Panel Data Quantile Regression for Treatment Effect Models pp. 720-736

Takuya Ishihara

Testing for Unobserved Heterogeneity via k-means Clustering pp. 737-751

Andrew Patton and Brian M. Weller

Structural Breaks in Grouped Heterogeneity pp. 752-764

Simon C. Smith

Combining p-values for Multivariate Predictive Ability Testing pp. 765-777

Lars Spreng and Giovanni Urga

Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed pp. 778-790

Yousef Kaddoura and Joakim Westerlund

Culling the Herd of Moments with Penalized Empirical Likelihood pp. 791-805

Jinyuan Chang, Zhentao Shi and Jia Zhang

Network Gradient Descent Algorithm for Decentralized Federated Learning pp. 806-818

Shuyuan Wu, Danyang Huang and Hansheng Wang

Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics pp. 819-832

Carlos Velasco

Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices pp. 833-845

Gustav Alfelt, Taras Bodnar, Farrukh Javed and Joanna Tyrcha

Detection of Multiple Structural Breaks in Large Covariance Matrices pp. 846-861

Yu-Ning Li, Degui Li and Piotr Fryzlewicz

A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data pp. 862-875

Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata and Takashi Yamagata

Tail Risk Inference via Expectiles in Heavy-Tailed Time Series pp. 876-889

Anthony C. Davison, Simone A. Padoan and Gilles Stupfler

Large Hybrid Time-Varying Parameter VARs pp. 890-905

Joshua Chan

Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation pp. 906-914

Harold D. Chiang and Bing Yang Tan

Covariate-Assisted Community Detection in Multi-Layer Networks pp. 915-926

Shirong Xu, Yaoming Zhen and Junhui Wang

Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities pp. 927-938

Joel L. Horowitz and Sokbae (Simon) Lee

Estimation of Leverage Effect: Kernel Function and Efficiency pp. 939-956

Xiye Yang

Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates pp. 957-967

Dongxiao Han, Jian Huang, Yuanyuan Lin, Lei Liu, Lianqiang Qu and Liuquan Sun

News-Driven Uncertainty Fluctuations pp. 968-982

Dongho Song and Jenny Tang

Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity pp. 983-994

Tomohiro Ando and Jushan Bai

Can a Machine Correct Option Pricing Models? pp. 995-1009

Caio Almeida, Jianqing Fan, Gustavo Freire and Francesca Tang

Volume 41, issue 2, 2023

-Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model pp. 283-297

Zhewen Pan and Jianhui Xie

Dynamic Score-Driven Independent Component Analysis pp. 298-308

Christian M. Hafner and Helmut Herwartz

No-Crossing Single-Index Quantile Regression Curve Estimation pp. 309-320

Rong Jiang and Keming Yu

Identification-Robust Inference With Simulation-Based Pseudo-Matching pp. 321-338

Bertille Antoine, Lynda Khalaf, Maral Kichian and Zhenjiang Lin

Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators pp. 339-348

Yuya Sasaki and Yulong Wang

Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective pp. 349-363

Laura Liu

On Testing Equal Conditional Predictive Ability Under Measurement Error pp. 364-376

Yannick Hoga and Timo Dimitriadis

Multi-Threshold Structural Equation Model pp. 377-387

Jingli Wang and Jialiang Li

Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States pp. 388-398

Jingfei Zhang, Biao Cai, Xuening Zhu, Hansheng Wang, Ganggang Xu and Yongtao Guan

A Novel Estimation Method in Generalized Single Index Models pp. 399-413

Dixin Zhang, Yulin Wang and Hua Liang

A Statistical Recurrent Stochastic Volatility Model for Stock Markets pp. 414-428

Trong-Nghia Nguyen, Minh-Ngoc Tran, David Gunawan and Robert Kohn

Bayesian Dynamic Tensor Regression pp. 429-439

Monica Billio, Roberto Casarin, Matteo Iacopini and Sylvia Kaufmann

Predicting the Global Minimum Variance Portfolio pp. 440-452

Laura Reh, Fabian Krüger and Roman Liesenfeld

Testing for Trend Specifications in Panel Data Models pp. 453-466

Jilin Wu, Xiaojun Song and Zhijie Xiao

Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference pp. 467-481

Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata

Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions pp. 482-496

Matteo Iacopini, Francesco Ravazzolo and Luca Rossini

Locally Stationary Multiplicative Volatility Modeling pp. 497-508

Christopher Walsh and Michael Vogt

Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso pp. 509-522

Wenxin Huang, Liangjun Su and Yuan Zhuang

Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil pp. 523-537

Knut Are Aastveit, Jamie Cross and Herman van Dijk

Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas pp. 538-549

Ilze Kalnina

QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units pp. 550-562

Lung-Fei Lee, Chao Yang and Jihai Yu

Reconciled Estimates of Monthly GDP in the United States pp. 563-577

Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon

Skilled Mutual Fund Selection: False Discovery Control Under Dependence pp. 578-592

Lijia Wang, Xu Han and Xin Tong

Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects pp. 593-607

Kerem Tuzcuoglu

Simultaneous Spatial Panel Data Models with Common Shocks pp. 608-623

Lina Lu

Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design pp. 624-635

Yuanyuan Lin, Jinhan Xie, Ruijian Han and Niansheng Tang

Circularly Projected Common Factors for Grouped Data pp. 636-649

Mingjing Chen

Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models pp. 650-652

The Editors

Volume 41, issue 1, 2022

Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data pp. 1-11

Robert Moffitt, John Abowd, Christopher Bollinger, Michael Carr, Charles Hokayem, Kevin McKinney, Emily Wiemers, Sisi Zhang and James Ziliak

Trends in Earnings Volatility Using Linked Administrative and Survey Data pp. 12-19

James Ziliak, Charles Hokayem and Christopher Bollinger

Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics pp. 20-25

Robert Moffitt and Sisi Zhang

Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data pp. 26-32

Michael D. Carr, Robert A. Moffitt and Emily E. Wiemers

Male Earnings Volatility in LEHD Before, During, and After the Great Recession pp. 33-39

Kevin L. McKinney and John Abowd

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach pp. 40-52

Carlos Trucíos, João H. G. Mazzeu, Marc Hallin, Luiz Hotta, Pedro Valls Pereira and Mauricio Zevallos

Volatility Estimation When the Zero-Process is Nonstationary pp. 53-66

Christian Francq and Genaro Sucarrat

Composite Index Construction with Expert Opinion pp. 67-79

Rong Chen, Yuanyuan Ji, Guolin Jiang, Han Xiao, Ruoqing Xie and Pingfang Zhu

Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components pp. 80-96

Hung-pin Lai and Subal Kumbhakar

Optimal Covariate Balancing Conditions in Propensity Score Estimation pp. 97-110

Jianqing Fan, Kosuke Imai, Inbeom Lee, Han Liu, Yang Ning and Xiaolin Yang

Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models pp. 111-125

Donghang Luo, Ke Zhu, Huan Gong and Dong Li

Inference in Sparsity-Induced Weak Factor Models pp. 126-139

Yoshimasa Uematsu and Takashi Yamagata

Optimal Shrinkage-Based Portfolio Selection in High Dimensions pp. 140-156

Taras Bodnar, Yarema Okhrin and Nestor Parolya

Kernel Averaging Estimators pp. 157-169

Rong Zhu, Xinyu Zhang, Alan T. K. Wan and Guohua Zou

Time Series Approach to the Evolution of Networks: Prediction and Estimation pp. 170-183

Anna Bykhovskaya

Test for Market Timing Using Daily Fund Returns pp. 184-196

Lei Jiang, Weimin Liu and Liang Peng

Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence pp. 197-212

Sonja C. de New and Stefanie Schurer

Estimation of Sparsity-Induced Weak Factor Models pp. 213-227

Yoshimasa Uematsu and Takashi Yamagata

Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model pp. 228-240

Fukang Zhu, Mengya Liu, Shiqing Ling and Zongwu Cai

Bootstrap Tests for High-Dimensional White-Noise pp. 241-254

Lengyang Wang, Efang Kong and Yingcun Xia

Extreme Value Estimation for Heterogeneous Data pp. 255-269

John H. J. Einmahl and Yi He

Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors pp. 270-281

Jad Beyhum and Eric Gautier