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 36, issue 4, 2018

HAR Inference: Recommendations for Practice pp. 541-559

Eben Lazarus, Daniel Lewis, James H. Stock and Mark W. Watson

Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice” pp. 560-562

Kenneth West

Comment on "HAR Inference: Recommendations for Practice" by E. Lazarus, D. J. Lewis, J. H. Stock and M. W. Watson pp. 563-564

Ulrich K. Müller

Comment pp. 565-568

Yixiao Sun

Comment on "HAR Inference: Recommendations for Practice" pp. 569-573

Timothy Vogelsang

HAR Inference: Recommendations for Practice Rejoinder pp. 574-575

Eben Lazarus, Daniel Lewis, James H. Stock and Mark W. Watson

Moment Component Analysis: An Illustration With International Stock Markets pp. 576-598

Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger

Volatility-Related Exchange Traded Assets: An Econometric Investigation pp. 599-614

Javier Mencia and Enrique Sentana

Testing Conditional Mean Independence Under Symmetry pp. 615-627

Tao Chen, Yuanyuan Ji, Yahong Zhou and Pingfang Zhu

Optimal Forecasts from Markov Switching Models pp. 628-642

Tom Boot and Andreas Pick

New HEAVY Models for Fat-Tailed Realized Covariances and Returns pp. 643-657

Anne Opschoor, Pawel Janus, Andre Lucas and Dick van Dijk

Minimum Distance Estimation of Search Costs Using Price Distribution pp. 658-671

Fabio Sanches, Daniel Silva Junior and Sorawoot Srisuma

Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models pp. 672-683

James Pustejovsky and Elizabeth Tipton

Poisson-Driven Stationary Markov Models pp. 684-694

Michelle Anzarut, Ramsés H. Mena, Consuelo Nava and Igor Prünster

The Estimation and Testing of the Cointegration Order Based on the Frequency Domain pp. 695-704

Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco and Pascal Bondon

Semiparametric Analysis of Network Formation pp. 705-713

Koen Jochmans

Can Business Owners Form Accurate Counterfactuals? Eliciting Treatment and Control Beliefs About Their Outcomes in the Alternative Treatment Status pp. 714-722

David McKenzie

Volume 36, issue 3, 2018

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited pp. 371-387

Joshua Angrist, Oscar Jorda and Guido Kuersteiner

Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective pp. 388-399

Qingliang (Michael) Fan and Wei Zhong

A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs pp. 400-410

Seojeong Lee

The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability pp. 411-425

Junye Li and Gabriele Zinna

Asymptotic Inference for Performance Fees and the Predictability of Asset Returns pp. 426-437

Michael McCracken and Giorgio Valente

A Unified Approach to Estimating and Testing Income Distributions With Grouped Data pp. 438-455

Yi-Ting Chen

Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models pp. 456-470

Yi Yang, Wei Qian and Hui Zou

Stockouts and Restocking: Monitoring the Retailer from the Supplier’s Perspective pp. 471-482

Peter Stüttgen, Peter Boatwright and Joseph B. Kadane

On Estimation of Hurst Parameter Under Noisy Observations pp. 483-492

Guangying Liu and Bing-Yi Jing

Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels pp. 493-504

Donald Robertson, Vasilis Sarafidis and Joakim Westerlund

Eliciting Subjective Survival Curves: Lessons from Partial Identification pp. 505-515

Luc Bissonnette and J. de Bresser

Scanner Data Price Indexes: Addressing Some Unresolved Issues pp. 516-522

Daniel Melser

Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea pp. 523-537

Jin Seo Cho, Myung-Ho Park and Peter Phillips

Volume 36, issue 2, 2018

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads pp. 181-195

Dong Hwan Oh and Andrew Patton

Restrictions on Risk Prices in Dynamic Term Structure Models pp. 196-211

Michael Bauer

Single-Index-Based CoVaR With Very High-Dimensional Covariates pp. 212-226

Yan Fan, Wolfgang Härdle, Weining Wang and Lixing Zhu

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors pp. 227-238

Wayne-Roy Gayle and Natalia Khorunzhina

The Changing Transmission of Uncertainty Shocks in the U.S pp. 239-252

Haroon Mumtaz and Konstantinos Theodoridis

Bayesian Inference for Assessing Effects of Email Marketing Campaigns pp. 253-266

Jiexing Wu, Kate J. Li and Jun S. Liu

A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank pp. 267-277

Chew Chua and Sarantis Tsiaplias

Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments pp. 278-287

P. Richard Hahn, Jingyu He and Hedibert Lopes

Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities pp. 288-308

George Milunovich and Minxian Yang

On the Use of GLS Demeaning in Panel Unit Root Testing pp. 309-320

Joakim Westerlund

Measuring Nonlinear Granger Causality in Mean pp. 321-333

Xiaojun Song and Abderrahim Taamouti

Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models pp. 334-345

Frédérique Fève, Jean-Pierre Florens and Ingrid Van Keilegom

Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud pp. 346-358

Lucio Barabesi, Andrea Cerasa, Andrea Cerioli and Domenico Perrotta

Covariance Matrix Estimation via Network Structure pp. 359-369

Wei Lan, Zheng Fang, Hansheng Wang and Chih-Ling Tsai

Volume 36, issue 1, 2018

Simple Estimators for Invertible Index Models pp. 1-10

Hyungtaik Ahn, Hidehiko Ichimura, James Powell and Paul Ruud

Discussion of “Simple Estimators for Invertible Index Models” by H. Ahn, H. Ichimura, J. Powell, and P. Ruud pp. 11-15

Shakeeb Khan and E. Tamer

Comment on “Simple Estimators for Invertible Index Models” pp. 16-17

Jack Porter

A Comment on “Simple Estimators for Invertible Index Models” pp. 18-21

Andres Aradillas-Lopez

Rejoinder for “Simple Estimators for Invertible Index Models” pp. 22-23

Hyungtaik Ahn, Hidehiko Ichimura, James Powell and Paul Ruud

Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection pp. 24-46

Mehmet Caner, Xu Han and Yoonseok Lee

Pseudo Panel Data Models With Cohort Interactive Effects pp. 47-61

Artūras Juodis

Max-Linear Competing Factor Models pp. 62-74

Qiurong Cui and Zhengjun Zhang

Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation pp. 75-87

Lancelot F. James, Gernot Müller and Zhiyuan Zhang

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models pp. 88-100

Been-Lon Chen, Jiti Gao, Degui Li and Param Silvapulle

A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets pp. 101-114

Roberto Casarin, Domenico Sartore and Marco Tronzano

Confidence Bands for ROC Curves With Serially Dependent Data pp. 115-130

Kajal Lahiri and Liu Yang

Combined Density Nowcasting in an Uncertain Economic Environment pp. 131-145

Knut Are Aastveit, Francesco Ravazzolo and Herman van Dijk

Robust Inference for Inverse Stochastic Dominance pp. 146-159

Francesco Andreoli

Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data pp. 160-172

Tadao Hoshino

Integrated-Quantile-Based Estimation for First-Price Auction Models pp. 173-180

Yao Luo and Yuanyuan Wan