Journal of Business & Economic Statistics

2011 - 2025

Continuation of Journal of Business & Economic Statistics.

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

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Volume 38, issue 4, 2020

Transparency in Structural Research pp. 711-722

Isaiah Andrews, Matthew Gentzkow and Jesse Shapiro

Discussion of “Transparency in Structural Research” by Isaiah Andrews, Matthew Gentzkow, and Jesse Shapiro pp. 723-725

Stéphane Bonhomme

Thoughts on “Transparency in Structural Research” pp. 726-727

Christopher Taber

Discussion on “ Transparency in Structural Research” by I. Andrews, M. Gentkow and J. Shapiro pp. 728-730

Elie Tamer

Rejoinder pp. 731-731

Isaiah Andrews, Matthew Gentzkow and Jesse Shapiro

Partial Identification of Economic Mobility: With an Application to the United States pp. 732-753

Daniel Millimet, Hao Li and Punarjit Roychowdhury

Nonparametric Estimation of Search Costs for Differentiated Products: Evidence from Medigap pp. 754-770

Haizhen Lin and Matthijs Wildenbeest

Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework pp. 771-783

Siddhartha Chib and Xiaming Zeng

A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test pp. 784-795

Jeffrey Racine and Ingrid Van Keilegom

Comparing Possibly Misspecified Forecasts pp. 796-809

Andrew Patton

Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model pp. 810-825

Adam McCloskey

Treatment Effects With Heterogeneous Externalities pp. 826-838

Tiziano Arduini, Eleonora Patacchini and Edoardo Rainone

Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations pp. 839-855

Yuta Yamauchi and Yasuhiro Omori

A Stochastic Volatility Model With Realized Measures for Option Pricing pp. 856-871

Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Bayesian Forecasting of Many Count-Valued Time Series pp. 872-887

Lindsay R. Berry and Mike West

Matching Using Sufficient Dimension Reduction for Causal Inference pp. 888-900

Wei Luo and Yeying Zhu

Bounds on Average and Quantile Treatment Effects on Duration Outcomes Under Censoring, Selection, and Noncompliance pp. 901-920

German Blanco, Xuan Chen, Carlos A. Flores and Alfonso Flores-Lagunes

Forecast Error Variance Decompositions with Local Projections pp. 921-933

Yuriy Gorodnichenko and Byoungchan Lee

Minimum Contrast Empirical Likelihood Inference of Discontinuity in Density* pp. 934-950

Jun Ma, Hugo Jales and Zhengfei Yu

Editorial Collaborators pp. 951-954

The Editors

Volume 38, issue 3, 2020

Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition pp. 487-501

Wei Lin, Jianhua Z. Huang and Tucker McElroy

Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects pp. 502-515

Gordon Anderson, Thierry Post and Yoon-Jae Whang

Stationary Points for Parametric Stochastic Frontier Models pp. 516-526

William Horrace and Ian Wright

Implications of Return Predictability for Consumption Dynamics and Asset Pricing pp. 527-541

Carlo Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang

Term Structures of Inflation Expectations and Real Interest Rates pp. 542-553

S. Boragan Aruoba

Heterogeneity and Unemployment Dynamics pp. 554-569

Hie Joo Ahn and James D. Hamilton

A New Class of Change Point Test Statistics of Rényi Type pp. 570-579

Lajos Horvath, Curtis Miller and Gregory Rice

A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity pp. 580-592

Eelco Kappe, Wayne S. DeSarbo and Marcelo Medeiros

External Validity in Fuzzy Regression Discontinuity Designs pp. 593-612

Marinho Bertanha and Guido Imbens

The Promise and Pitfalls of Differences-in-Differences: Reflections on 16 and Pregnant and Other Applications pp. 613-620

Ariella Kahn-Lang and Kevin Lang

Empirical likelihood for high frequency data pp. 621-632

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle pp. 633-646

John Ameriks, Gabor Kezdi, Minjoon Lee and Matthew Shapiro

Dynamic Vector Mode Regression pp. 647-661

Gordon Kemp, Paulo Parente and João Santos Silva

The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets pp. 662-678

Torben Andersen, Nicola Fusari and Viktor Todorov

Local Parametric Estimation in High Frequency Data pp. 679-692

Yoann Potiron and Per Mykland

Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model pp. 693-710

Clifford Lam and Pedro C.L. Souza

Volume 38, issue 2, 2020

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models pp. 229-242

Christian Conrad and Melanie Schienle

A Stochastic Frontier Model with Endogenous Treatment Status and Mediator pp. 243-256

Yi-Ting Chen, Yu-Chin Hsu and Hung-Jen Wang

Flexible Mixture-Amount Models Using Multivariate Gaussian Processes pp. 257-271

Aiste Ruseckaite, Dennis Fok and Peter Goos

Dynamic Effects of Credit Shocks in a Data-Rich Environment pp. 272-284

Jean Boivin, Marc Giannoni and Dalibor Stevanovic

Markov-Switching Three-Pass Regression Filter pp. 285-302

Pierre Guérin, Danilo Leiva-Leon and Massimiliano Marcellino

Identification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching pp. 303-316

Bryan Graham, Guido Imbens and Geert Ridder

A Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing? pp. 317-326

David Jaeger, Theodore J. Joyce and Robert Kaestner

Learning and Index Option Returns pp. 327-339

Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic and George Skiadopoulos

Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models pp. 340-349

Marco Barassi, Lajos Horvath and Yuqian Zhao

Is a Normal Copula the Right Copula? pp. 350-366

Dante Amengual and Enrique Sentana

A New Approach to Identifying the Real Effects of Uncertainty Shocks pp. 367-379

Minchul Shin and Molin Zhong

Detecting Structural Differences in Tail Dependence of Financial Time Series pp. 380-392

Carsten Bormann and Melanie Schienle

Words are the New Numbers: A Newsy Coincident Index of the Business Cycle pp. 393-409

Leif Thorsrud

The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited pp. 410-427

Jérôme Lahaye and Christopher Neely

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes pp. 428-442

Mohammad Pesaran and Ida Johnsson

A Comparison of Two Quantile Models With Endogeneity pp. 443-456

Kaspar Wüthrich

Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data pp. 457-469

Dean Hyslop and Wilbur Townsend

Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula pp. 470-486

Rubén Loaiza-Maya and Michael Smith

Volume 38, issue 1, 2020

Inference in Approximately Sparse Correlated Random Effects Probit Models With Panel Data pp. 1-18

Jeffrey Wooldridge and Ying Zhu

Debiased Inference of Average Partial Effects in Single-Index Models: Comment on Wooldridge and Zhu pp. 19-24

David A. Hirshberg and Stefan Wager

Rejoinder pp. 25-26

Jeffrey Wooldridge and Ying Zhu

Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements pp. 27-42

Peter Hördahl, Eli Remolona and Giorgio Valente

Shape-Constrained Kernel-Weighted Least Squares: Estimating Production Functions for Chilean Manufacturing Industries pp. 43-54

Daisuke Yagi, Yining Chen, Andrew Johnson and Timo Kuosmanen

Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling pp. 55-67

Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek

Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure pp. 68-79

Joshua Chan

Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility pp. 80-92

Chung Eun Lee and Xiaofeng Shao

Identifying Demand Shocks From Production Data pp. 93-106

Carlos Santos

Testing Nowcast Monotonicity with Estimated Factors pp. 107-123

Jack Fosten and Daniel Gutknecht

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models pp. 124-136

Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang

Mixed Marginal Copula Modeling pp. 137-147

David Gunawan, Mohamad Khaled and Robert Kohn

Transformation-Kernel Estimation of Copula Densities pp. 148-164

Kuangyu Wen and Ximing Wu

The Estimation of Compensating Wage Differentials: Lessons From the Deadliest Catch pp. 165-182

Kurt Lavetti

The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators pp. 183-200

Hugo Bodory, Lorenzo Camponovo, Martin Huber and Michael Lechner

Conditional Extremes in Asymmetric Financial Markets pp. 201-213

Natalia Nolde and Jinyuan Zhang

Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets pp. 214-227

Shujie Ma, Wei Lan, Liangjun Su and Chih-Ling Tsai