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 33, issue 4, 2015

Cross-Correlation Matrices for Tests of Independence and Causality Between Two Multivariate Time Series pp. 459-473

Michael W. Robbins and Thomas J. Fisher

Identification and Inference With Many Invalid Instruments pp. 474-484

Michal Kolesár, Raj Chetty, John Friedman, Edward Glaeser and Guido Imbens

Estimating Conditional Average Treatment Effects pp. 485-505

Jason Abrevaya, Yu-Chin Hsu and Robert Lieli

A Covariate Selection Criterion for Estimation of Treatment Effects pp. 506-522

Xun Lu

Bounds on Treatment Effects in the Presence of Sample Selection and Noncompliance: The Wage Effects of Job Corps pp. 523-540

Xuan Chen and Carlos A. Flores

Adaptive Modeling Procedure Selection by Data Perturbation pp. 541-551

Yongli Zhang and Xiaotong Shen

A New Pearson-Type QMLE for Conditionally Heteroscedastic Models pp. 552-565

Ke Zhu and Wai Keung Li

Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts pp. 566-578

Chang-Jin Kim and Jaeho Kim

Estimating the Parameters of Stochastic Volatility Models Using Option Price Data pp. 579-594

Stan Hurn, K. A. Lindsay and A. J. McClelland

Simulation-Based Density Estimation for Time Series Using Covariate Data pp. 595-606

Yin Liao and John Stachurski

Volume 33, issue 3, 2015

Frequentist Evaluation of Small DSGE Models pp. 307-322

Gunnar Bårdsen and Luca Fanelli

Decomposing the Composition Effect: The Role of Covariates in Determining Between-Group Differences in Economic Outcomes pp. 323-337

Christoph Rothe

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach pp. 338-351

Christiane Baumeister and Lutz Kilian

Modeling Bimodal Discrete Data Using Conway-Maxwell-Poisson Mixture Models pp. 352-365

Pragya Sur, Galit Shmueli, Smarajit Bose and Paromita Dubey

Real-Time Forecasting With a Mixed-Frequency VAR pp. 366-380

Frank Schorfheide and Dongho Song

Sparse and Stable Portfolio Selection With Parameter Uncertainty pp. 381-392

Jiahan Li

Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints pp. 393-402

Tae Hwy Lee, Yundong Tu and Aman Ullah

Minimum Distance Estimation of Possibly Noninvertible Moving Average Models pp. 403-417

Nikolay Gospodinov and Serena Ng

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment pp. 418-429

Julian Thimme and Clemens Völkert

Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem pp. 430-443

Joakim Westerlund

Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors pp. 444-457

Yeonwoo Rho and Xiaofeng Shao

Volume 33, issue 2, 2015

Semiparametric Conditional Quantile Estimation Through Copula-Based Multivariate Models pp. 167-178

Hohsuk Noh, Anouar El Ghouch and Ingrid Van Keilegom

Causal Pitfalls in the Decomposition of Wage Gaps pp. 179-191

Martin Huber

Density-Tempered Marginalized Sequential Monte Carlo Samplers pp. 192-202

Jin-Chuan Duan and Andras Fulop

A Combined Approach to the Inference of Conditional Factor Models pp. 203-220

Yan Li, Liangjun Su and Yuewu Xu

Identification and Bayesian Estimation of Dynamic Factor Models pp. 221-240

Jushan Bai and Peng Wang

Fractional Cointegration Rank Estimation pp. 241-254

Katarzyna Łasak and Carlos Velasco

Interest Rates and Money in the Measurement of Monetary Policy pp. 255-269

Michael Belongia and Peter Ireland

Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments pp. 270-281

Malte Knüppel

A New Linear Estimator for Gaussian Dynamic Term Structure Models pp. 282-295

Antonio Diez de los Rios

Inference for Local Autocorrelations in Locally Stationary Models pp. 296-306

Zhibiao Zhao

Volume 33, issue 1, 2015

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests pp. 1-1

Francis Diebold

Comment pp. 9-11

Atsushi Inoue

Comment pp. 12-13

Jonathan Wright

Comment pp. 13-17

Lutz Kilian

Comment pp. 17-21

Peter Hansen and Allan Timmermann

Comment pp. 22-24

Andrew Patton

Rejoinder pp. 24-24

Francis Diebold

Booms, Busts, and Normal Times in the Housing Market pp. 25-45

Luca Agnello, Vitor Castro and Ricardo Sousa

Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance pp. 46-53

Quentin Giai Gianetto and Hamdi Raïssi

Goodness of Fit: An Axiomatic Approach pp. 54-67

Frank Cowell, Russell Davidson and Emmanuel Flachaire

Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices pp. 68-75

Katja Ignatieva, Paulo Rodrigues and Norman Seeger

Testing the Diagonality of a Large Covariance Matrix in a Regression Setting pp. 76-86

Wei Lan, Ronghua Luo, Chih-Ling Tsai, Hansheng Wang and Yunhong Yang

Implied Volatility Spreads and Expected Market Returns pp. 87-101

Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas

Flexible Modeling of Dependence in Volatility Processes pp. 102-113

Maria Kalli and Jim Griffin

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models pp. 114-127

Siem Jan Koopman, Andre Lucas and Marcel Scharth

Smooth Tests of Copula Specifications pp. 128-143

Juan Lin and Ximing Wu

Forecasting the Distribution of Economic Variables in a Data-Rich Environment pp. 144-164

Sebastiano Manzan

Volume 32, issue 4, 2014

Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences pp. 483-500

Lucia Alessi, Eric Ghysels, Luca Onorante, Richard Peach and Simon Potter

Comment pp. 500-504

Geoff Kenny

Comment pp. 504-506

Chiara Scotti

Comment pp. 506-509

Kirstin Hubrich and Simone Manganelli

Comment pp. 510-514

Barbara Rossi

Rejoinder pp. 514-515

Lucia Alessi, Eric Ghysels, Luca Onorante, Richard Peach and Simon Potter

Identification and Efficient Estimation of Simultaneous Equations Network Models pp. 516-536

Xiaodong Liu

Testing the Martingale Hypothesis pp. 537-554

Peter Phillips and Sainan Jin

Additive Nonparametric Regression in the Presence of Endogenous Regressors pp. 555-575

Deniz Ozabaci, Daniel Henderson and Liangjun Su

A Varying-Coefficient Expectile Model for Estimating Value at Risk pp. 576-592

Shangyu Xie, Yong Zhou and Alan T. K. Wan

A Realized Stochastic Volatility Model With Box-Cox Transformation pp. 593-605

Tingguo Zheng and Tao Song

Volume 32, issue 3, 2014

HAC Corrections for Strongly Autocorrelated Time Series pp. 311-322

Ulrich K. Müller

Comment pp. 322-323

Nicholas Kiefer

Comment pp. 324-329

Matias Cattaneo and Richard Crump

Comment pp. 330-334

Yixiao Sun

Comment pp. 334-338

Timothy Vogelsang

Rejoinder pp. 338-340

Ulrich K. Müller

Scanner Data and the Treatment of Quality Change in Nonrevisable Price Indexes pp. 341-358

Jan de Haan and Frances Krsinich

Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators pp. 359-374

Mehmet Caner and Xu Han

Multiple Imputation of Missing or Faulty Values Under Linear Constraints pp. 375-386

Hang J. Kim, Jerome P. Reiter, Quanli Wang, Lawrence H. Cox and Alan F. Karr

A Nonparametric Test of the Predictive Regression Model pp. 387-394

Ted Juhl

Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT pp. 395-415

Stephen G. Donald, Yu-Chin Hsu and Robert Lieli

Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates pp. 416-429

Heejoon Han and Dennis Kristensen

Market-Based Credit Ratings pp. 430-444

Drew Creal, Robert B. Gramacy and Ruey S. Tsay

Varying Naïve Bayes Models With Applications to Classification of Chinese Text Documents pp. 445-456

Guoyu Guan, Jianhua Guo and Hansheng Wang

On the Estimation of Integrated Volatility With Jumps and Microstructure Noise pp. 457-467

Bing-Yi Jing, Zhi Liu and Xin-Bing Kong

Bayesian Nonparametric Instrumental Variables Regression Based on Penalized Splines and Dirichlet Process Mixtures pp. 468-482

Manuel Wiesenfarth, Carlos Hisgen, Thomas Kneib and Carmen Cadarso-Suarez

Volume 32, issue 2, 2014

Principal Volatility Component Analysis pp. 153-164

Yu-Pin Hu and Ruey S. Tsay

Comment pp. 165-166

Qiwei Yao

Comment pp. 165-165

Shiqing Ling

Comment pp. 166-167

Philip L. H. Yu and Guodong Li

Comment pp. 168-171

Elena Andreou and Eric Ghysels

Comment pp. 171-172

Juergen Franke

Comment pp. 173-174

Wolfgang Härdle and Weining Wang

Comment pp. 174-175

Michael McAleer

Rejoinder pp. 176-177

Yu-Pin Hu and Ruey S. Tsay

Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods pp. 178-191

Jianqing Fan, Lei Qi and Dacheng Xiu

Comment pp. 191-193

Beth Andrews

Comment pp. 193-198

Gabriele Fiorentini and Enrique Sentana

Comment pp. 198-201

Christian Francq and Jean-Michel Zakoian

Comment pp. 201-201

Qiwei Yao

Comment pp. 202-203

Shiqing Ling and Ke Zhu

Rejoinder pp. 204-205

Jianqing Fan, Lei Qi and Dacheng Xiu

Forecast Uncertainty- Ex Ante and Ex Post: U.S. Inflation and Output Growth pp. 206-216

Michael Clements

Modeling Conditional Covariances With Economic Information Instruments pp. 217-236

H. J. Turtle and Kainan Wang

Feature Screening for Ultrahigh Dimensional Categorical Data With Applications pp. 237-244

Danyang Huang, Runze Li and Hansheng Wang

Tenure Profiles and Efficient Separation in a Stochastic Productivity Model pp. 245-258

Ioan Sebastian Buhai and C. N. Teulings

Estimating Mixture of Gaussian Processes by Kernel Smoothing pp. 259-270

Mian Huang, Runze Li, Hansheng Wang and Weixin Yao

Conditional Euro Area Sovereign Default Risk pp. 271-284

Andre Lucas, Bernd Schwaab and Xin Zhang

Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and T are Large pp. 285-309

Antonio Galvao and Kengo Kato

Volume 32, issue 1, 2014

Consistent Nonparametric Tests for Lorenz Dominance pp. 1-13

Garry Barrett, Stephen G. Donald and Debopam Bhattacharya

From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence, and Visit Behavior pp. 14-29

Anastasios Panagiotelis, Michael Smith and Peter Danaher

Adaptive Elastic Net for Generalized Methods of Moments pp. 30-47

Mehmet Caner and Hao Helen Zhang

Nowcasting GDP in Real Time: A Density Combination Approach pp. 48-68

Knut Are Aastveit, Karsten R. Gerdrup, Anne Sofie Jore and Leif Thorsrud

Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations pp. 69-87

Cristina Amado and Timo Teräsvirta

Moment-Implied Densities: Properties and Applications pp. 88-111

Eric Ghysels and Fangfang Wang

Heteroscedasticity Robust Panel Unit Root Tests pp. 112-135

Joakim Westerlund

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? pp. 136-151

Jens Christensen, Jose Lopez and Glenn Rudebusch