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 35, issue 4, 2017

Risk Measure Inference pp. 499-512

Christophe Hurlin, Sébastien Laurent, Rogier Quaedvlieg and Stephan Smeekes

The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility pp. 513-527

Philip L. H. Yu, W. K. Li and F. C. Ng

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates pp. 528-542

Ke Zhu, Wai Keung Li and Philip L. H. Yu

Estimation of Some Nonlinear Panel Data Models With Both Time-Varying and Time-Invariant Explanatory Variables pp. 543-558

Bo E. Honoré and Michaela Kesina

Root- Consistent Estimation of a Panel Data Binary Response Model With Unknown Correlated Random Effects pp. 559-571

Songnian Chen, Jichun Si, Hanghui Zhang and Yahong Zhou

Specification Test for Spatial Autoregressive Models pp. 572-584

Liangjun Su and Xi Qu

A Class of Non-Gaussian State Space Models With Exact Likelihood Inference pp. 585-597

Drew Creal

Parameter Estimation Robust to Low-Frequency Contamination pp. 598-610

Adam McCloskey and Jonathan B. Hill

Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy pp. 611-625

Tucker McElroy

Editorial Collaborators pp. 642-645

The Editors

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 35, issue 3, 2017

Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy pp. 349-358

Pedro H. C. Sant’Anna

LM Test of Neglected Correlated Random Effects and Its Application pp. 359-370

Jinyong Hahn, Hyungsik Moon and Connan Snider

An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves pp. 371-388

Ying Chen and Bo Li

Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets pp. 389-406

Michael Clements and Ana Galvão

Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy pp. 407-419

Donald Poskitt and Wenying Yao

Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision pp. 420-433

Michael Clements

Diffusion Indexes With Sparse Loadings pp. 434-451

Johannes Tang Kristensen

Identifying Structural Models of Committee Decisions With Heterogeneous Tastes and Ideological Bias pp. 452-469

Yonghong An and Xun Tang

Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts pp. 470-485

Fabian Krüger, Todd Clark and Francesco Ravazzolo

Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices pp. 486-498

Tao Zou and Song Chen

Volume 35, issue 2, 2017

Guest Editors’ Introduction: Regime Switching and Threshold Models pp. 159-161

Kung-Sik Chan, Bruce Hansen and Allan Timmermann

Autoregressive Moving Average Infinite Hidden Markov-Switching Models pp. 162-182

Luc Bauwens, Jean-François Carpantier and Arnaud Dufays

Forecasting Macroeconomic Variables Under Model Instability pp. 183-201

Davide Pettenuzzo and Allan Timmermann

Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model pp. 202-217

Jesus Gonzalo and Jean-Yves Pitarakis

Testing for Threshold Diffusion pp. 218-227

Fei Su and Kung-Sik Chan

Regression Kink With an Unknown Threshold pp. 228-240

Bruce Hansen

Is There a Jump in the Transition? pp. 241-249

Young-Joo Kim and Myung Hwan Seo

Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models pp. 250-264

Laurent Callot, Mehmet Caner, Anders Kock and Juan Andres Riquelme

Status Traps pp. 265-287

Steven Durlauf, Andros Kourtellos and Chih Ming Tan

A New Class of Bivariate Threshold Cointegration Models pp. 288-305

Biqing Cai, Jiti Gao and Dag Tjøstheim

On Mixture Double Autoregressive Time Series Models pp. 306-317

Guodong Li, Qianqian Zhu, Zhao Liu and Wai Keung Li

Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models pp. 318-333

Yaxing Yang and Shiqing Ling

Threshold Estimation via Group Orthogonal Greedy Algorithm pp. 334-345

Ngai Hang Chan, Ching-Kang Ing, Yuanbo Li and Chun Yip Yau

Volume 35, issue 1, 2017

Unobserved Heterogeneity in Income Dynamics: An Empirical Bayes Perspective pp. 1-16

Jiaying Gu and Roger Koenker

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling pp. 17-28

Joshua Chan

Uniform Test for Predictive Regression With AR Errors pp. 29-39

Chenxue Li, Deyuan Li and Liang Peng

Semiparametric Estimation of Risk–Return Relationships pp. 40-52

Juan Carlos Escanciano, Juan Carlos Pardo-Fernández and Ingrid Van Keilegom

Bootstrap Prediction Intervals for Factor Models pp. 53-69

Silvia Goncalves, Benoit Perron and Antoine Djogbenou

Confidence Corridors for Multivariate Generalized Quantile Regression pp. 70-85

Shih-Kang Chao, Katharina Proksch, Holger Dette and Wolfgang Härdle

Efficient Augmented Inverse Probability Weighted Estimation in Missing Data Problems pp. 86-97

Jing Qin, Biao Zhang and Denis H.Y. Leung

Nonparametric Inference for Time-Varying Coefficient Quantile Regression pp. 98-109

Weichi Wu and Zhou Zhou

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section pp. 110-129

Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo

Estimating Spatial Autocorrelation With Sampled Network Data pp. 130-138

Jing Zhou, Yundong Tu, Yuxin Chen and Hansheng Wang

Modeling Dependence in High Dimensions With Factor Copulas pp. 139-154

Dong Hwan Oh and Andrew Patton

Volume 34, issue 4, 2016

Special Issue on Big Data pp. 487-488

Jushan Bai, Jianqing Fan and Ruey Tsay

Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data pp. 489-503

Jianqing Fan, Alex Furger and Dacheng Xiu

Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice pp. 504-518

Asger Lunde, Neil Shephard and Kevin Sheppard

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? pp. 519-535

Jianqing Fan, Michael B. Imerman and Wei Dai

Default Correlations and Large-Portfolio Credit Analysis pp. 536-546

Jin-Chuan Duan and Weimin Miao

Modeling Multivariate Volatilities via Latent Common Factors pp. 564-573

Weiming Li, Jing Gao, Kunpeng Li and Qiwei Yao

FRED-MD: A Monthly Database for Macroeconomic Research pp. 574-589

Michael McCracken and Serena Ng

Inference in High-Dimensional Panel Models With an Application to Gun Control pp. 590-605

Alexandre Belloni, Victor Chernozhukov, Christian Hansen and Damian Kozbur

Post-Selection Inference for Generalized Linear Models With Many Controls pp. 606-619

Alexandre Belloni, Victor Chernozhukov and Ying Wei

Estimation and Inference of FAVAR Models pp. 620-641

Jushan Bai, Kunpeng Li and Lina Lu

Bayesian Analysis of Spatial Panel Autoregressive Models With Time-Varying Endogenous Spatial Weight Matrices, Common Factors, and Random Coefficients pp. 642-660

Xiaoyi Han and Lung-Fei Lee

A Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation pp. 661-672

Matt Taddy, Matt Gardner, Liyun Chen and David Draper

Some Methods for Analyzing Big Dependent Data pp. 673-688

Ruey S. Tsay

Editorial Collaborators pp. 689-692

The Editors

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 34, issue 3, 2016

In-Sample Inference and Forecasting in Misspecified Factor Models pp. 313-338

Marine Carrasco and Barbara Rossi

Comment pp. 339-341

James H. Stock

Comment pp. 342-344

Domenico Giannone

Comment pp. 345-347

Xu Cheng and Bruce Hansen

Comment pp. 348-353

Norman Swanson

Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models pp. 353-356

Marine Carrasco and Barbara Rossi

Maximum-Entropy Prior Uncertainty and Correlation of Statistical Economic Data pp. 357-367

João D. F. Rodrigues

A Statistical Model for Social Network Labeling pp. 368-374

Danyang Huang, Jun Yin, Tao Shi and Hansheng Wang

Common Drifting Volatility in Large Bayesian VARs pp. 375-390

Andrea Carriero, Todd Clark and Massimiliano Marcellino

The Risk of a Mortality Catastrophe pp. 391-405

Daniel Bauer and Florian Kramer

Using the Bootstrap to Test for Symmetry Under Unknown Dependence pp. 406-415

Zacharias Psaradakis

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence pp. 416-434

Michael Smith and Shaun Vahey

Testing Hypotheses in Nonparametric Models of Production pp. 435-456

Alois Kneip, Leopold Simar and Paul Wilson

Measuring Social Tension from Income Class Segregation pp. 457-471

Yoonseok Lee and Donggyun Shin

Unspanned Macroeconomic Factors in the Yield Curve pp. 472-485

Laura Coroneo, Domenico Giannone and Michele Modugno

Volume 34, issue 2, 2016

Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances pp. 161-175

Sermin Gungor and Richard Luger

Identification of the Direction of a Causal Effect by Instrumental Variables pp. 176-184

Brendan Kline

Weak Identification in Fuzzy Regression Discontinuity Designs pp. 185-196

Donna Feir, Thomas Lemieux and Vadim Marmer

Sample Selection and Treatment Effect Estimation of Lender of Last Resort Policies pp. 197-212

Angela Vossmeyer

Detecting Variance Change-Points for Blocked Time Series and Dependent Panel Data pp. 213-226

Minya Xu, Ping-Shou Zhong and Wei Wang

Identification of Unknown Common Factors: Leaders and Followers pp. 227-239

Jason Parker and Donggyu Sul

A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion pp. 240-253

Bertrand Candelon and Sessi Tokpavi

Modeling the Dependence of Conditional Correlations on Market Volatility pp. 254-268

Luc Bauwens and Edoardo Otranto

Exponential GARCH Modeling With Realized Measures of Volatility pp. 269-287

Peter Hansen and Zhuo Huang

Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST) pp. 288-301

Bryan Graham, Cristine Pinto and Daniel Egel

Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach pp. 302-311

Sung Jae Jun, Yoonseok Lee and Youngki Shin

Volume 34, issue 1, 2016

Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices pp. 1-22

Rasmus Tangsgaard Varneskov

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models pp. 23-41

Eric Hillebrand and Marcelo Medeiros

Single-Variable Threshold Effects in Ordered Response Models With an Application to Estimating the Income-Happiness Gradient pp. 42-52

Andrew Hodge and Sriram Shankar

Temporal Disaggregation: Methods, Information Loss, and Diagnostics pp. 53-61

Duk B. Jun, Jihwan Moon and Sungho Park

Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields? pp. 62-67

Melody Lo and Yong Bao

On a Threshold Double Autoregressive Model pp. 68-80

Dong Li, Shiqing Ling and Rongmao Zhang

Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series pp. 81-106

Yohei Yamamoto

Censored Quantile Instrumental Variable Estimates of the Price Elasticity of Expenditure on Medical Care pp. 107-117

Amanda Kowalski

Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility pp. 118-127

Massimiliano Marcellino, Mario Porqueddu and Fabrizio Venditti

Graphical Network Models for International Financial Flows pp. 128-138

Paolo Giudici and A. Spelta

The Finite Sample Performance of Estimators for Mediation Analysis Under Sequential Conditional Independence pp. 139-160

Martin Huber, Michael Lechner and Giovanni Mellace