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
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Volume 31, issue 4, 2013

Modeling the Conditional Distribution of Daily Stock Index Returns: An Alternative Bayesian Semiparametric Model pp. 371-383

Maria Kalli, Stephen G. Walker and Paul Damien

A Point Decision for Partially Identified Auction Models pp. 384-397

Gaurab Aryal and Dong-Hyuk Kim

Quantifying Consumer Perception of a Financially Distressed Company pp. 398-411

Robert Hammond

Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions pp. 412-425

Christian Francq and Jean-Michel Zakoian

Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models pp. 426-437

Juan Carlos Escanciano, Ignacio Lobato and Lin Zhu

Long-Run Identification in a Fractionally Integrated System pp. 438-450

Rolf Tschernig, Enzo Weber and Roland Weigand

Likelihood-Based Estimation of Dynamic Panels With Predetermined Regressors pp. 451-472

Enrique Moral-Benito

Constrained Regression for Interval-Valued Data pp. 473-490

Gloria Gonzalez-Rivera and Wei Lin

Factor-Augmented VARMA Models With Macroeconomic Applications pp. 491-506

Jean-Marie Dufour and Dalibor Stevanović

Estimation and Inference of Discontinuity in Density pp. 507-524

Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita

Uniform Inference in Predictive Regression Models pp. 525-533

Willa W. Chen, Rohit S. Deo and Yanping Yi

Partial Identification of Local Average Treatment Effects With an Invalid Instrument pp. 534-545

Carlos A. Flores and Alfonso Flores-Lagunes

Long-Horizon Return Regressions With Historical Volatility and Other Long-Memory Variables pp. 546-559

Natalia Sizova

Volume 31, issue 3, 2013

Social Networks and the Identification of Peer Effects pp. 253-264

Paul Goldsmith-Pinkham and Guido Imbens

Comment pp. 264-266

Yann Bramoullé

Comment pp. 266-270

Bryan Graham

Comment pp. 270-273

Matthew Jackson

Comment pp. 273-275

Charles Manski

Comment pp. 275-275

Bruce Sacerdote

Comment pp. 276-279

Brendan Kline and Elie Tamer

Rejoinder pp. 279-281

Paul Goldsmith-Pinkham and Guido Imbens

Dynamic Conditional Correlation: On Properties and Estimation pp. 282-299

Gian Piero Aielli

On Identification of Bayesian DSGE Models pp. 300-314

Gary Koop, Mohammad Pesaran and Ronald Smith

Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects pp. 315-330

Jia Chen, Jiti Gao and Degui Li

Realized Volatility Forecasting in the Presence of Time-Varying Noise pp. 331-345

Federico M. Bandi, Jeffrey R. Russell and Chen Yang

Unconditional Quantile Treatment Effects Under Endogeneity pp. 346-357

Markus Frölich and Blaise Melly

A Robust Test for Weak Instruments pp. 358-369

José Luis Montiel Olea and Carolin Pflueger

Volume 31, issue 2, 2013

Arriving in Time: Estimation of English Auctions With a Stochastic Number of Bidders pp. 125-135

José J. Canals-Cerdá and Jason Pearcy

Structural Dynamic Factor Analysis Using Prior Information From Macroeconomic Theory pp. 136-150

Gregor Bäurle

Bayesian Analysis of Latent Threshold Dynamic Models pp. 151-164

Jouchi Nakajima and Mike West

Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence pp. 165-183

Nikolaus Hautsch and Mark Podolskij

Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling pp. 184-207

Liangjun Su, Irina Murtazashvili and Aman Ullah

Nonparametric Testing for Asymmetric Information pp. 208-225

Liangjun Su and Martin Spindler

Search With Dirichlet Priors: Estimation and Implications for Consumer Demand pp. 226-239

Sergei Koulayev

Should Macroeconomic Forecasters Use Daily Financial Data and How? pp. 240-251

Elena Andreou, Eric Ghysels and Andros Kourtellos

Volume 31, issue 1, 2013

Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance pp. 1-15

Christopher Bennett and Ričardas Zitikis

Conditional Stochastic Dominance Testing pp. 16-28

Miguel Delgado and Juan Carlos Escanciano

Real-Time Inflation Forecasting in a Changing World pp. 29-44

Jan Groen, Richard Paap and Francesco Ravazzolo

Markov-Switching MIDAS Models pp. 45-56

Pierre Guérin and Massimiliano Marcellino

Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions pp. 57-65

Qi Li, Juan Lin and Jeffrey Racine

Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach pp. 66-77

Sermin Gungor and Richard Luger

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries pp. 78-93

Lutz Kilian and Robert Vigfusson

A New Model of Trend Inflation pp. 94-106

Joshua Chan, Gary Koop and Simon Potter

Beyond Stochastic Volatility and Jumps in Returns and Volatility pp. 107-121

Garland Durham and Yang-Ho Park

Volume 30, issue 4, 2012

Generalized Shrinkage Methods for Forecasting Using Many Predictors pp. 481-493

James H. Stock and Mark Watson

Further Results on the Limiting Distribution of GMM Sample Moment Conditions pp. 494-504

Nikolay Gospodinov, Raymond Kan and Cesare Robotti

Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments pp. 505-520

Emma Iglesias and Garry Phillips

Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 pp. 521-532

Siem Jan Koopman, Andre Lucas and Bernd Schwaab

Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach pp. 533-545

Yiu-kuen Tse and Thomas Tao Yang

Measuring Segregation When Units are Small: A Parametric Approach pp. 546-553

Roland Rathelot

Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models pp. 554-562

Michael Clements and Ana Galvão

Inference for Income Distributions Using Grouped Data pp. 563-575

Gholamreza Hajargasht, William Griffiths, Joseph Brice, D.S. Prasada Rao and Duangkamon Chotikapanich

A Stochastic Volatility Model With Conditional Skewness* pp. 576-591

Bruno Feunou and Roméo Tédongap

Volume 30, issue 3, 2012

Semiparametric Estimation of Additive Quantile Regression Models by Two-Fold Penalty pp. 337-350

Heng Lian

Why Frequency Matters for Unit Root Testing in Financial Time Series pp. 351-357

H. Peter Boswijk and Franc Klaassen

Time Varying Dimension Models pp. 358-367

Joshua Chan, Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling pp. 368-380

Fulvio Corsi and Roberto Renò

Tests of Short Memory With Thick-Tailed Errors pp. 381-390

Christine Amsler and Peter Schmidt

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies pp. 391-403

John Maheu, Thomas McCurdy and Yong Song

The Trace Restriction: An Alternative Identification Strategy for the Bayesian Multinomial Probit Model pp. 404-410

Lane F. Burgette and Erik V. Nordheim

Modeling Employment Dynamics With State Dependence and Unobserved Heterogeneity pp. 411-431

Victoria Prowse

Out-of-Sample Forecast Tests Robust to the Choice of Window Size pp. 432-453

Barbara Rossi and Atsushi Inoue

Correcting Estimation Bias in Dynamic Term Structure Models pp. 454-467

Michael Bauer, Glenn Rudebusch and Jing Cynthia Wu

Job Durations With Worker- and Firm-Specific Effects: MCMC Estimation With Longitudinal Employer--Employee Data pp. 468-480

Guillaume Horny, Rute Mendes and Gerard van den Berg

Volume 30, issue 2, 2011

Price Transmission in the EU Wholesale Petroleum Markets pp. 165-172

Szymon Wlazlowski, Monica Giulietti, Jane Binner and Costas Milas

A State Space Approach to Extracting the Signal From Uncertain Data pp. 173-180

Alastair Cunningham, Jana Eklund, Chris Jeffery, George Kapetanios and Vincent Labhard

VAR Estimation and Forecasting When Data Are Subject to Revision pp. 181-190

N Kishor and Evan Koenig

Measurement Error in Earnings Data: Using a Mixture Model Approach to Combine Survey and Register Data pp. 191-201

Erik Meijer, Susann Rohwedder and Tom Wansbeek

A Balanced System of U.S. Industry Accounts and Distribution of the Aggregate Statistical Discrepancy by Industry pp. 202-211

Baoline Chen

Dynamic Equicorrelation pp. 212-228

Robert Engle and Bryan Kelly

Regime-Specific Predictability in Predictive Regressions pp. 229-241

Jesus Gonzalo and Jean-Yves Pitarakis

Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests pp. 242-255

Ana-Maria Dumitru and Giovanni Urga

Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator pp. 256-264

Matei Demetrescu and Christoph Hanck

Flexible Bivariate Count Data Regression Models pp. 265-274

Shiferaw Gurmu and John Elder

Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality pp. 275-287

Taoufik Bouezmarni, Jeroen V.K. Rombouts and Abderrahim Taamouti

Testing Predictive Ability and Power Robustification pp. 288-296

Kyungchul Song

The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach pp. 297-311

Olesya Grishchenko and Marco Rossi

Habit Persistence and Teen Sex: Could Increased Access to Contraception Have Unintended Consequences for Teen Pregnancies? pp. 312-325

Peter Arcidiacono, Ahmed Khwaja and Lijing Ouyang

Real-Time Forecasts of the Real Price of Oil pp. 326-336

Christiane Baumeister and Lutz Kilian

Volume 30, issue 1, 2011

Forecast Rationality Tests Based on Multi-Horizon Bounds pp. 1-17

Andrew Patton and Allan Timmermann

Forecast Rationality Tests Based on Multi-Horizon Bounds pp. 1-17

Andrew Patton and Allan Timmermann

Comment pp. 17-20

Dean Croushore

Comment pp. 17-20

Dean Croushore

Comment pp. 20-25

Kajal Lahiri

Comment pp. 20-25

Kajal Lahiri

Comment pp. 25-29

Barbara Rossi

Comment pp. 25-29

Barbara Rossi

Comment pp. 30-33

Lennart Hoogerheide, Francesco Ravazzolo and Herman van Dijk

Comment pp. 30-33

Lennart Hoogerheide, Francesco Ravazzolo and Herman van Dijk

Comment pp. 34-35

Kenneth West

Comment pp. 34-35

Kenneth West

Rejoinder pp. 36-40

Andrew Patton and Allan Timmermann

One for All and All for One: Regression Checks With Many Regressors pp. 41-52

Pascal Lavergne and Valentin Patilea

One for All and All for One: Regression Checks With Many Regressors pp. 41-52

Pascal Lavergne and Valentin Patilea

Reality Checks and Comparisons of Nested Predictive Models pp. 53-66

Todd Clark and Michael McCracken

Reality Checks and Comparisons of Nested Predictive Models pp. 53-66

Todd Clark and Michael McCracken

Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models pp. 67-80

Arthur Lewbel

Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models pp. 67-80

Arthur Lewbel

Medicare Health Plan Choices of the Elderly: A Choice-With-Screening Model pp. 81-93

Qian Li and Pravin Trivedi

Medicare Health Plan Choices of the Elderly: A Choice-With-Screening Model pp. 81-93

Qian Li and Pravin Trivedi

Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise pp. 94-108

Ingmar Nolte and Valeri Voev

Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise pp. 94-108

Ingmar Nolte and Valeri Voev

The Factor--Spline--GARCH Model for High and Low Frequency Correlations pp. 109-124

Jose Rangel and Robert Engle

The Factor–Spline–GARCH Model for High and Low Frequency Correlations pp. 109-124

José Rangel and Robert Engle

Flexible Approximation of Subjective Expectations Using Probability Questions pp. 125-131

Charles Bellemare, Luc Bissonnette and Sabine Kröger

Flexible Approximation of Subjective Expectations Using Probability Questions pp. 125-131

Charles Bellemare, Luc Bissonnette and Sabine Kröger

Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold pp. 132-142

Xinyu Zhang, Alan T. K. Wan and Sherry Z. Zhou

Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold pp. 132-142

Xinyu Zhang, Alan Wan and Sherry Zhou

Do the Consumer Price Index's Utilities Adjustments for Owners’ Equivalent Rent Distort Inflation Measurement? pp. 143-148

Randal Verbrugge

Do the Consumer Price Index's Utilities Adjustments for Owners’ Equivalent Rent Distort Inflation Measurement? pp. 143-148

Randal Verbrugge

Beyond Incentives: Do Schools Use Accountability Rewards Productively? pp. 149-163

Marigee Bacolod, John DiNardo and Mireille Jacobson

Beyond Incentives: Do Schools Use Accountability Rewards Productively? pp. 149-163

Marigee Bacolod, John DiNardo and Mireille Jacobson

Multivariate Stochastic Volatility via Wishart Processes: A Comment pp. 164-164

Wolfgang Rinnergschwentner, Gottfried Tappeiner and Janette Walde

Multivariate Stochastic Volatility via Wishart Processes: A Comment pp. 164-164

Wolfgang Rinnergschwentner, Gottfried Tappeiner and Janette Walde