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 39, issue 4, 2021

Text Selection pp. 859-879

Bryan Kelly, Asaf Manela and Alan Moreira

Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira pp. 880-882

Markus Pelger

Discussion on “Text Selection” pp. 883-887

Xiaofei Xu, Ying Chen and Steven Kou

A Discussion of “Text Selection” pp. 888-891

Nitish Ranjan Sinha

Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets pp. 892-906

Zifeng Zhao

Testing the Multivariate Regular Variation Model pp. 907-919

John H. J. Einmahl, Fan Yang and Chen Zhou

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics pp. 920-936

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo

Measuring Granger Causality in Quantiles pp. 937-952

Xiaojun Song and Abderrahim Taamouti

Threshold Regression With a Threshold Boundary pp. 953-971

Ping Yu and Xiaodong Fan

Generic Conditions for Forecast Dominance pp. 972-983

Fabian Krüger and Johanna F. Ziegel

Inference in Additively Separable Models With a High-Dimensional Set of Conditioning Variables pp. 984-1000

Damian Kozbur

Discerning Solution Concepts for Discrete Games pp. 1001-1014

Nail Kashaev and Bruno Salcedo

Generalized Jump Regressions for Local Moments pp. 1015-1025

Tim Bollerslev, Jia Li and Leonardo Salim Saker Chaves

Randomization Tests for Equality in Dependence Structure pp. 1026-1037

Juwon Seo

A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models pp. 1038-1053

Francis J. DiTraglia and Camilo García-Jimeno

Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model pp. 1054-1065

Davide Delle Monache, Ivan Petrella and Fabrizio Venditti

Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings pp. 1066-1079

Anne Opschoor, Andre Lucas, István Barra and Dick van Dijk

Correction pp. 1080-1080

The Editors

Volume 39, issue 3, 2021

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model pp. 605-621

Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso

Dynamic Two Stage Modeling for Category-Level and Brand-Level Purchases Using Potential Outcome Approach With Bayes Inference pp. 622-635

Kei Miyazaki, Takahiro Hoshino and Ulf Böckenholt

What Happens After an Investment Spike—Investment Events and Firm Performance pp. 636-651

Michał Gradzewicz

Fitting Vast Dimensional Time-Varying Covariance Models pp. 652-668

Cavit Pakel, Neil Shephard, Kevin Sheppard and Robert Engle

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models pp. 669-683

Florian Huber, Gary Koop and Luca Onorante

Unified Tests for a Dynamic Predictive Regression pp. 684-699

Bingduo Yang, Xiaohui Liu, Liang Peng and Zongwu Cai

Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure pp. 700-711

Chaohua Dong, Jiti Gao and Bin Peng

Bayesian Inference for Regression Copulas pp. 712-728

Michael Stanley Smith and Nadja Klein

Multidimensional Economic Dispersion Index and Application pp. 729-740

Yifan Xia, Ling Zhang and Iris L. Li

Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data pp. 741-756

Degui Li, Qi Li and Zheng Li

Dynamic Semiparametric Factor Model With Structural Breaks pp. 757-771

Likai Chen, Weining Wang and Wei Biao Wu

A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments pp. 772-782

Sascha Alexander Keweloh

Incorporating Graphical Structure of Predictors in Sparse Quantile Regression pp. 783-792

Zhanfeng Wang, Xianhui Liu, Wenlu Tang and Yuanyuan Lin

Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths pp. 793-806

Xiye Yang

An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data pp. 807-815

Long Feng, Binghui Liu and Yanyuan Ma

Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes pp. 816-832

Pedro H. C. Sant’Anna

A Correction for Regression Discontinuity Designs With Group-Specific Mismeasurement of the Running Variable pp. 833-848

Otavio Bartalotti, Quentin Brummet and Steven Dieterle

Who is the Key Player? A Network Analysis of Juvenile Delinquency pp. 849-857

Lung-Fei Lee, Xiaodong Liu, Eleonora Patacchini and Yves Zenou

Volume 39, issue 2, 2021

Semiparametric Estimation of First-Price Auction Models pp. 373-385

Gaurab Aryal, Maria Gabrielli and Quang Vuong

Homogeneity Pursuit in Single Index Models based Panel Data Analysis pp. 386-401

Heng Lian, Xinghao Qiao and Wenyang Zhang

Identification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions pp. 402-421

Geoffrey Dunbar, Arthur Lewbel and Krishna Pendakur

A Framework for Separating Individual-Level Treatment Effects From Spillover Effects pp. 422-436

Martin Huber and Andreas Steinmayr

Semiparametric GARCH via Bayesian Model Averaging pp. 437-452

Wilson Ye Chen and Richard H. Gerlach

Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk pp. 453-465

Juan Carlos Escanciano and Javier Hualde

The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty pp. 466-481

Haroon Mumtaz and Alberto Musso

Gaussian Processes and Bayesian Moment Estimation pp. 482-492

Jean-Pierre Florens and Anna Simoni

High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms pp. 493-504

Dimitris Korobilis

Wild Bootstrap and Asymptotic Inference With Multiway Clustering pp. 505-519

James MacKinnon, Morten Nielsen and Matthew Webb

A Nodewise Regression Approach to Estimating Large Portfolios pp. 520-531

Laurent Callot, Mehmet Caner, A. Özlem Önder and Esra Ulaşan

Sharp Bounds on Functionals of the Joint Distribution in the Analysis of Treatment Effects pp. 532-546

Thomas M. Russell

The Impact of Food Prices on Conflict Revisited pp. 547-560

Jasmien De Winne and Gert Peersman

Equality-Minded Treatment Choice pp. 561-574

Toru Kitagawa and Aleksey Tetenov

Copula-Based Random Effects Models for Clustered Data pp. 575-588

Santiago Pereda-Fernández

Exponential-Type GARCH Models With Linear-in-Variance Risk Premium pp. 589-603

Christian Hafner and Dimitra Kyriakopoulou

Volume 39, issue 1, 2021

Shrinkage Estimation of Factor Models With Global and Group-Specific Factors pp. 1-17

Xu Han

Disentangling Sources of High Frequency Market Microstructure Noise pp. 18-39

Simon Clinet and Yoann Potiron

Multi-Horizon Forecast Comparison pp. 40-53

Rogier Quaedvlieg

Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure pp. 54-68

Shou-Yung Yin, Chu-An Liu and Chang-Ching Lin

GMM Estimation of Non-Gaussian Structural Vector Autoregression pp. 69-81

Markku Lanne and Jani Luoto

Sequential Text-Term Selection in Vector Space Models pp. 82-97

Feifei Wang, Jingyuan Liu and Hansheng Wang

Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods pp. 98-119

Marcelo Medeiros, Gabriel F. R. Vasconcelos, Álvaro Veiga and Eduardo Zilberman

Spatial Modeling Approach for Dynamic Network Formation and Interactions pp. 120-135

Xiaoyi Han, Chih-Sheng Hsieh and Stanley Iat-Meng Ko

Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data pp. 136-147

Shiqing Ling, Ruey S. Tsay and Yaxing Yang

Testing for Changes in Forecasting Performance pp. 148-165

Pierre Perron and Yohei Yamamoto

Dealing With Endogeneity in Threshold Models Using Copulas pp. 166-178

Dimitris Christopoulos, Peter McAdam and Elias Tzavalis

Regression Analysis with Individual-Specific Patterns of Missing Covariates pp. 179-188

Huazhen Lin, Wei Liu and Wei Lan

Improved Nonparametric Bootstrap Tests of Lorenz Dominance pp. 189-199

Zhenting Sun and Brendan Beare

Measurement Error Without the Proxy Exclusion Restriction pp. 200-216

Karim Chalak and Daniel Kim

From Local to Global: External Validity in a Fertility Natural Experiment pp. 217-243

Rajeev Dehejia, Cristian Pop-Eleches and Cyrus Samii

Exploring Encouragement, Treatment, and Spillover Effects Using Principal Stratification, With Application to a Field Experiment on Teens’ Museum Attendance pp. 244-258

Laura Forastiere, Patrizia Lattarulo, Marco Mariani, Fabrizia Mealli and Laura Razzolini

A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program pp. 259-271

Peter Hansen and Matthias Schmidtblaicher

Causal Interpretations of Black-Box Models pp. 272-281

Qingyuan Zhao and Trevor Hastie

Empirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown Functions pp. 282-293

Jing Tao

Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels pp. 294-306

Ignace De Vos and Gerdie Everaert

Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models pp. 307-324

Gergely Ganics, Atsushi Inoue and Barbara Rossi

Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method pp. 325-337

Shunan Zhao, Ruiqi Liu and Zuofeng Shang

Smoothing Quantile Regressions pp. 338-357

Marcelo Fernandes, Emmanuel Guerre and Eduardo Horta

Multivalued Treatments and Decomposition Analysis: An Application to the WIA Program pp. 358-371

Wallice Ao, Sebastian Calonico and Ying-Ying Lee