Arellano, Manuel; Blundell, Richard; Bonhomme, Stéphane; Light, Jack Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence. (English) Zbl 07822342 J. Econom. 240, No. 2, Article ID 105449, 45 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Arellano} et al., J. Econom. 240, No. 2, Article ID 105449, 45 p. (2024; Zbl 07822342) Full Text: DOI
Ai, Chunrong; Sun, Li-Hsien; Zhang, Zheng; Zhu, Liping Testing unconditional and conditional independence via mutual information. (English) Zbl 07822337 J. Econom. 240, No. 2, Article ID 105335, 31 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Ai} et al., J. Econom. 240, No. 2, Article ID 105335, 31 p. (2024; Zbl 07822337) Full Text: DOI
Athey, Susan; Imbens, Guido W.; Metzger, Jonas; Munro, Evan Using Wasserstein generative adversarial networks for the design of Monte Carlo simulations. (English) Zbl 07822333 J. Econom. 240, No. 2, Article ID 105076, 21 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Athey} et al., J. Econom. 240, No. 2, Article ID 105076, 21 p. (2024; Zbl 07822333) Full Text: DOI arXiv
Li, Xingyu; Shen, Yan; Zhou, Qiankun Confidence intervals of treatment effects in panel data models with interactive fixed effects. (English) Zbl 07822317 J. Econom. 240, No. 1, Article ID 105684, 27 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Li} et al., J. Econom. 240, No. 1, Article ID 105684, 27 p. (2024; Zbl 07822317) Full Text: DOI arXiv
Choi, Jungjun; Kwon, Hyukjun; Liao, Yuan Inference for low-rank completion without sample splitting with application to treatment effect estimation. (English) Zbl 07822316 J. Econom. 240, No. 1, Article ID 105682, 23 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Choi} et al., J. Econom. 240, No. 1, Article ID 105682, 23 p. (2024; Zbl 07822316) Full Text: DOI arXiv
Shi, Peng; Zhao, Zifeng Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction. (English) Zbl 07822311 J. Econom. 240, No. 1, Article ID 105676, 18 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Shi} and \textit{Z. Zhao}, J. Econom. 240, No. 1, Article ID 105676, 18 p. (2024; Zbl 07822311) Full Text: DOI arXiv
Hou, Yanxi; Leng, Xuan; Peng, Liang; Zhou, Yinggang Panel quantile regression for extreme risk. (English) Zbl 07822310 J. Econom. 240, No. 1, Article ID 105674, 20 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Hou} et al., J. Econom. 240, No. 1, Article ID 105674, 20 p. (2024; Zbl 07822310) Full Text: DOI
Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi Time-varying multivariate causal processes. (English) Zbl 07822309 J. Econom. 240, No. 1, Article ID 105671, 17 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Gao} et al., J. Econom. 240, No. 1, Article ID 105671, 17 p. (2024; Zbl 07822309) Full Text: DOI arXiv
Chen, Zhao; Cheng, Vivian Xinyi; Liu, Xu Reprint: Hypothesis testing on high dimensional quantile regression. (English) Zbl 07814022 J. Econom. 239, No. 2, Article ID 105651, 18 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Chen} et al., J. Econom. 239, No. 2, Article ID 105651, 18 p. (2024; Zbl 07814022) Full Text: DOI
Guo, Xu; Li, Runze; Liu, Jingyuan; Zeng, Mudong Reprint: Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic. (English) Zbl 07814021 J. Econom. 239, No. 2, Article ID 105650, 13 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Guo} et al., J. Econom. 239, No. 2, Article ID 105650, 13 p. (2024; Zbl 07814021) Full Text: DOI
Wang, Weichen; An, Ran; Zhu, Ziwei Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective. (English) Zbl 07814020 J. Econom. 239, No. 2, Article ID 105633, 29 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{W. Wang} et al., J. Econom. 239, No. 2, Article ID 105633, 29 p. (2024; Zbl 07814020) Full Text: DOI arXiv
Hao, Siteng; Lin, Shu-Chin; Wang, Jane-Ling; Zhong, Qixian Dynamic modeling for multivariate functional and longitudinal data. (English) Zbl 07814018 J. Econom. 239, No. 2, Article ID 105573, 12 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Hao} et al., J. Econom. 239, No. 2, Article ID 105573, 12 p. (2024; Zbl 07814018) Full Text: DOI
Wei, Waverly; Zhou, Yuqing; Zheng, Zeyu; Wang, Jingshen Inference on the best policies with many covariates. (English) Zbl 07814016 J. Econom. 239, No. 2, Article ID 105460, 14 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{W. Wei} et al., J. Econom. 239, No. 2, Article ID 105460, 14 p. (2024; Zbl 07814016) Full Text: DOI arXiv
Man, Rebeka; Tan, Kean Ming; Wang, Zian; Zhou, Wen-Xin Retire: robust expectile regression in high dimensions. (English) Zbl 07814015 J. Econom. 239, No. 2, Article ID 105459, 16 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Man} et al., J. Econom. 239, No. 2, Article ID 105459, 16 p. (2024; Zbl 07814015) Full Text: DOI arXiv
Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (English) Zbl 07814014 J. Econom. 239, No. 2, Article ID 105458, 22 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Yu} et al., J. Econom. 239, No. 2, Article ID 105458, 22 p. (2024; Zbl 07814014) Full Text: DOI
Chen, Dachuan; Mykland, Per A.; Zhang, Lan Realized regression with asynchronous and noisy high frequency and high dimensional data. (English) Zbl 07814013 J. Econom. 239, No. 2, Article ID 105446, 20 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Chen} et al., J. Econom. 239, No. 2, Article ID 105446, 20 p. (2024; Zbl 07814013) Full Text: DOI
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; Zaffaroni, Paolo Inferential theory for generalized dynamic factor models. (English) Zbl 07814012 J. Econom. 239, No. 2, Article ID 105422, 41 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Barigozzi} et al., J. Econom. 239, No. 2, Article ID 105422, 41 p. (2024; Zbl 07814012) Full Text: DOI
Zhou, He; Zou, Hui The nonparametric Box-Cox model for high-dimensional regression analysis. (English) Zbl 07814009 J. Econom. 239, No. 2, Article ID 105419, 19 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{H. Zhou} and \textit{H. Zou}, J. Econom. 239, No. 2, Article ID 105419, 19 p. (2024; Zbl 07814009) Full Text: DOI
Zhu, Changbo; Müller, Hans-Georg Spherical autoregressive models, with application to distributional and compositional time series. (English) Zbl 07814008 J. Econom. 239, No. 2, Article ID 105389, 16 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Zhu} and \textit{H.-G. Müller}, J. Econom. 239, No. 2, Article ID 105389, 16 p. (2024; Zbl 07814008) Full Text: DOI arXiv
Petukhina, Alla; Klochkov, Yegor; Härdle, Wolfgang Karl; Zhivotovskiy, Nikita Robustifying Markowitz. (English) Zbl 07814007 J. Econom. 239, No. 2, Article ID 105387, 24 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Petukhina} et al., J. Econom. 239, No. 2, Article ID 105387, 24 p. (2024; Zbl 07814007) Full Text: DOI arXiv
Wan, Runzhe; Li, Yingying; Lu, Wenbin; Song, Rui Mining the factor zoo: estimation of latent factor models with sufficient proxies. (English) Zbl 07814006 J. Econom. 239, No. 2, Article ID 105386, 16 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Wan} et al., J. Econom. 239, No. 2, Article ID 105386, 16 p. (2024; Zbl 07814006) Full Text: DOI arXiv
Chang, Jinyuan; Chen, Cheng; Qiao, Xinghao; Yao, Qiwei An autocovariance-based learning framework for high-dimensional functional time series. (English) Zbl 07814005 J. Econom. 239, No. 2, Article ID 105385, 25 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Chang} et al., J. Econom. 239, No. 2, Article ID 105385, 25 p. (2024; Zbl 07814005) Full Text: DOI arXiv
Jin, Jiashun; Ke, Zheng Tracy; Luo, Shengming Mixed membership estimation for social networks. (English) Zbl 07814004 J. Econom. 239, No. 2, Article ID 105369, 17 p. (2024). MSC: 62-XX 91-XX 62H30 91C20 62P25 PDFBibTeX XMLCite \textit{J. Jin} et al., J. Econom. 239, No. 2, Article ID 105369, 17 p. (2024; Zbl 07814004) Full Text: DOI arXiv
Zhang, Yaowu; Zhou, Yeqing; Zhu, Liping A post-screening diagnostic study for ultrahigh dimensional data. (English) Zbl 07814003 J. Econom. 239, No. 2, Article ID 105354, 13 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Zhang} et al., J. Econom. 239, No. 2, Article ID 105354, 13 p. (2024; Zbl 07814003) Full Text: DOI
Fan, Qingliang; Wu, Ruike; Yang, Yanrong; Zhong, Wei Time-varying minimum variance portfolio. (English) Zbl 07814001 J. Econom. 239, No. 2, Article ID 105339, 16 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Q. Fan} et al., J. Econom. 239, No. 2, Article ID 105339, 16 p. (2024; Zbl 07814001) Full Text: DOI
Liu, Jingyuan; Sun, Ao; Ke, Yuan A generalized knockoff procedure for FDR control in structural change detection. (English) Zbl 07814000 J. Econom. 239, No. 2, Article ID 105331, 17 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Liu} et al., J. Econom. 239, No. 2, Article ID 105331, 17 p. (2024; Zbl 07814000) Full Text: DOI arXiv
Sun, Yan; Wan, Chuang; Zhang, Wenyang; Zhong, Wei A multi-kink quantile regression model with common structure for panel data analysis. (English) Zbl 07813998 J. Econom. 239, No. 2, Article ID 105304, 12 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Econom. 239, No. 2, Article ID 105304, 12 p. (2024; Zbl 07813998) Full Text: DOI
Harvey, Andrew; Hurn, Stan; Palumbo, Dario; Thiele, Stephen Modelling circular time series. (English) Zbl 07813986 J. Econom. 239, No. 1, Article ID 105450, 15 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Harvey} et al., J. Econom. 239, No. 1, Article ID 105450, 15 p. (2024; Zbl 07813986) Full Text: DOI
Friedrich, Marina; Lin, Yicong Sieve bootstrap inference for linear time-varying coefficient models. (English) Zbl 07813984 J. Econom. 239, No. 1, Article ID 105345, 29 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Friedrich} and \textit{Y. Lin}, J. Econom. 239, No. 1, Article ID 105345, 29 p. (2024; Zbl 07813984) Full Text: DOI
Antolín-Díaz, Juan; Drechsel, Thomas; Petrella, Ivan Advances in nowcasting economic activity: the role of heterogeneous dynamics and fat tails. (English) Zbl 07803971 J. Econom. 238, No. 2, Article ID 105634, 25 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Antolín-Díaz} et al., J. Econom. 238, No. 2, Article ID 105634, 25 p. (2024; Zbl 07803971) Full Text: DOI
Lange, Rutger-Jan Bellman filtering and smoothing for state-space models. (English) Zbl 07803970 J. Econom. 238, No. 2, Article ID 105632, 26 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R.-J. Lange}, J. Econom. 238, No. 2, Article ID 105632, 26 p. (2024; Zbl 07803970) Full Text: DOI arXiv
Hong, Yongmiao; Linton, Oliver; McCabe, Brendan; Sun, Jiajing; Wang, Shouyang Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach. (English) Zbl 07803959 J. Econom. 238, No. 2, Article ID 105603, 19 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Hong} et al., J. Econom. 238, No. 2, Article ID 105603, 19 p. (2024; Zbl 07803959) Full Text: DOI
Wei, Bo; Tan, Kean Ming; He, Xuming Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (English) Zbl 07803954 J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Wei} et al., J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024; Zbl 07803954) Full Text: DOI arXiv
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan A residual bootstrap for conditional value-at-risk. (English) Zbl 07803947 J. Econom. 238, No. 2, Article ID 105554, 16 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{E. Beutner} et al., J. Econom. 238, No. 2, Article ID 105554, 16 p. (2024; Zbl 07803947) Full Text: DOI arXiv
Wang, Hongfei; Liu, Binghui; Feng, Long; Ma, Yanyuan Rank-based max-sum tests for mutual independence of high-dimensional random vectors. (English) Zbl 07803943 J. Econom. 238, No. 1, Article ID 105578, 21 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{H. Wang} et al., J. Econom. 238, No. 1, Article ID 105578, 21 p. (2024; Zbl 07803943) Full Text: DOI
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan Maximum likelihood estimation for non-stationary location models with mixture of normal distributions. (English) Zbl 07803941 J. Econom. 238, No. 1, Article ID 105575, 22 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. Blasques} et al., J. Econom. 238, No. 1, Article ID 105575, 22 p. (2024; Zbl 07803941) Full Text: DOI
Feng, Xingdong; Li, Wenyu; Zhu, Qianqian Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity. (English) Zbl 07803934 J. Econom. 238, No. 1, Article ID 105559, 19 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Feng} et al., J. Econom. 238, No. 1, Article ID 105559, 19 p. (2024; Zbl 07803934) Full Text: DOI
Chen, Xiaohong; Liu, Ying; Ma, Shujie; Zhang, Zheng Causal inference of general treatment effects using neural networks with a diverging number of confounders. (English) Zbl 07803932 J. Econom. 238, No. 1, Article ID 105555, 27 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Chen} et al., J. Econom. 238, No. 1, Article ID 105555, 27 p. (2024; Zbl 07803932) Full Text: DOI arXiv
Bollerslev, Tim; Li, Jia; Li, Qiyuan Optimal nonparametric range-based volatility estimation. (English) Zbl 07803927 J. Econom. 238, No. 1, Article ID 105548, 18 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. Bollerslev} et al., J. Econom. 238, No. 1, Article ID 105548, 18 p. (2024; Zbl 07803927) Full Text: DOI
Wang, Di; Zheng, Yao; Li, Guodong High-dimensional low-rank tensor autoregressive time series modeling. (English) Zbl 07803925 J. Econom. 238, No. 1, Article ID 105544, 19 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Wang} et al., J. Econom. 238, No. 1, Article ID 105544, 19 p. (2024; Zbl 07803925) Full Text: DOI arXiv
Chen, Zhao; Cheng, Vivian Xinyi; Liu, Xu Hypothesis testing on high dimensional quantile regression. (English) Zbl 07803924 J. Econom. 238, No. 1, Article ID 105525, 18 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Chen} et al., J. Econom. 238, No. 1, Article ID 105525, 18 p. (2024; Zbl 07803924) Full Text: DOI
Chen, Jiafeng; Ritzwoller, David M. Semiparametric estimation of long-term treatment effects. (English) Zbl 07767746 J. Econom. 237, No. 2, Part A, Article ID 105545, 18 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Chen} and \textit{D. M. Ritzwoller}, J. Econom. 237, No. 2, Part A, Article ID 105545, 18 p. (2023; Zbl 07767746) Full Text: DOI arXiv
Chen, Bin; Maung, Kenwin Time-varying forecast combination for high-dimensional data. (English) Zbl 07767735 J. Econom. 237, No. 2, Part C, Article ID 105418, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Chen} and \textit{K. Maung}, J. Econom. 237, No. 2, Part C, Article ID 105418, 21 p. (2023; Zbl 07767735) Full Text: DOI arXiv
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier A penalized two-pass regression to predict stock returns with time-varying risk premia. (English) Zbl 07767733 J. Econom. 237, No. 2, Part C, Article ID 105375, 27 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{G. Bakalli} et al., J. Econom. 237, No. 2, Part C, Article ID 105375, 27 p. (2023; Zbl 07767733) Full Text: DOI arXiv
Oh, Dong Hwan; Patton, Andrew J. Dynamic factor copula models with estimated cluster assignments. (English) Zbl 07767732 J. Econom. 237, No. 2, Part C, Article ID 105374, 23 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. H. Oh} and \textit{A. J. Patton}, J. Econom. 237, No. 2, Part C, Article ID 105374, 23 p. (2023; Zbl 07767732) Full Text: DOI
Fan, Rui; Lee, Ji Hyung; Shin, Youngki Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach. (English) Zbl 07767730 J. Econom. 237, No. 2, Part C, Article ID 105372, 19 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Fan} et al., J. Econom. 237, No. 2, Part C, Article ID 105372, 19 p. (2023; Zbl 07767730) Full Text: DOI arXiv
Catania, Leopoldo; Luati, Alessandra Semiparametric modeling of multiple quantiles. (English) Zbl 07767728 J. Econom. 237, No. 2, Part B, Article ID 105365, 16 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Catania} and \textit{A. Luati}, J. Econom. 237, No. 2, Part B, Article ID 105365, 16 p. (2023; Zbl 07767728) Full Text: DOI
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates. (English) Zbl 07767727 J. Econom. 237, No. 2, Part C, Article ID 105321, 25 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. X. Diebold} et al., J. Econom. 237, No. 2, Part C, Article ID 105321, 25 p. (2023; Zbl 07767727) Full Text: DOI arXiv
Gorgi, P.; Koopman, S. J. Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (English) Zbl 07767718 J. Econom. 237, No. 2, Part B, Article ID 105177, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Gorgi} and \textit{S. J. Koopman}, J. Econom. 237, No. 2, Part B, Article ID 105177, 21 p. (2023; Zbl 07767718) Full Text: DOI
Hetland, Simon; Søndergaard Pedersen, Rasmus; Rahbek, Anders Dynamic conditional eigenvalue GARCH. (English) Zbl 07767716 J. Econom. 237, No. 2, Part B, Article ID 105175, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Hetland} et al., J. Econom. 237, No. 2, Part B, Article ID 105175, 21 p. (2023; Zbl 07767716) Full Text: DOI
Aknouche, Abdelhakim; Francq, Christian Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (English) Zbl 07767715 J. Econom. 237, No. 2, Part B, Article ID 105174, 22 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{C. Francq}, J. Econom. 237, No. 2, Part B, Article ID 105174, 22 p. (2023; Zbl 07767715) Full Text: DOI
Shin, Minseok; Kim, Donggyu; Fan, Jianqing Adaptive robust large volatility matrix estimation based on high-frequency financial data. (English) Zbl 07767708 J. Econom. 237, No. 1, Article ID 105514, 22 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Shin} et al., J. Econom. 237, No. 1, Article ID 105514, 22 p. (2023; Zbl 07767708) Full Text: DOI arXiv
Zhu, Ke A new generalized exponentially weighted moving average quantile model and its statistical inference. (English) Zbl 07767706 J. Econom. 237, No. 1, Article ID 105510, 25 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Zhu}, J. Econom. 237, No. 1, Article ID 105510, 25 p. (2023; Zbl 07767706) Full Text: DOI
Tu, Yundong; Xie, Xinling Penetrating sporadic return predictability. (English) Zbl 07767705 J. Econom. 237, No. 1, Article ID 105509, 27 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Tu} and \textit{X. Xie}, J. Econom. 237, No. 1, Article ID 105509, 27 p. (2023; Zbl 07767705) Full Text: DOI
Caner, Mehmet Generalized linear models with structured sparsity estimators. (English) Zbl 07743050 J. Econom. 236, No. 2, Article ID 105478, 24 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Caner}, J. Econom. 236, No. 2, Article ID 105478, 24 p. (2023; Zbl 07743050) Full Text: DOI arXiv
Lee, Kwangmin; Lee, Jaeyong Post-processed posteriors for sparse covariances. (English) Zbl 07729869 J. Econom. 236, No. 1, Article ID 105475, 12 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Lee} and \textit{J. Lee}, J. Econom. 236, No. 1, Article ID 105475, 12 p. (2023; Zbl 07729869) Full Text: DOI
Li, Dong; Tao, Yuxin; Yang, Yaxing; Zhang, Rongmao Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models. (English) Zbl 07729867 J. Econom. 236, No. 1, Article ID 105471, 19 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Li} et al., J. Econom. 236, No. 1, Article ID 105471, 19 p. (2023; Zbl 07729867) Full Text: DOI
Cross, Jamie L.; Hou, Chenghan; Koop, Gary; Poon, Aubrey Large stochastic volatility in mean VARs. (English) Zbl 07729866 J. Econom. 236, No. 1, Article ID 105469, 24 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. L. Cross} et al., J. Econom. 236, No. 1, Article ID 105469, 24 p. (2023; Zbl 07729866) Full Text: DOI
Chan, Joshua C. C.; Poon, Aubrey; Zhu, Dan High-dimensional conditionally Gaussian state space models with missing data. (English) Zbl 07729865 J. Econom. 236, No. 1, Article ID 105468, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. C. C. Chan} et al., J. Econom. 236, No. 1, Article ID 105468, 21 p. (2023; Zbl 07729865) Full Text: DOI arXiv
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. Tail index estimation in the presence of covariates: stock returns’ tail risk dynamics. (English) Zbl 07704534 J. Econom. 235, No. 2, 2266-2284 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Nicolau} et al., J. Econom. 235, No. 2, 2266--2284 (2023; Zbl 07704534) Full Text: DOI
Roth, Jonathan; Sant’Anna, Pedro H. C.; Bilinski, Alyssa; Poe, John What’s trending in difference-in-differences? A synthesis of the recent econometrics literature. (English) Zbl 07704532 J. Econom. 235, No. 2, 2218-2244 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Roth} et al., J. Econom. 235, No. 2, 2218--2244 (2023; Zbl 07704532) Full Text: DOI arXiv
Blasques, Francisco; Nientker, Marc Stochastic properties of nonlinear locally-nonstationary filters. (English) Zbl 07704527 J. Econom. 235, No. 2, 2082-2095 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. Blasques} and \textit{M. Nientker}, J. Econom. 235, No. 2, 2082--2095 (2023; Zbl 07704527) Full Text: DOI
Su, Liangjun; Wang, Wuyi; Xu, Xingbai Identifying latent group structures in spatial dynamic panels. (English) Zbl 07704522 J. Econom. 235, No. 2, 1955-1980 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Su} et al., J. Econom. 235, No. 2, 1955--1980 (2023; Zbl 07704522) Full Text: DOI
Choi, Sung Hoon; Kim, Donggyu Large volatility matrix analysis using global and national factor models. (English) Zbl 07704520 J. Econom. 235, No. 2, 1917-1933 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. H. Choi} and \textit{D. Kim}, J. Econom. 235, No. 2, 1917--1933 (2023; Zbl 07704520) Full Text: DOI arXiv
Ma, Chenchen; Tu, Yundong Shrinkage estimation of multiple threshold factor models. (English) Zbl 07704518 J. Econom. 235, No. 2, 1876-1892 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Ma} and \textit{Y. Tu}, J. Econom. 235, No. 2, 1876--1892 (2023; Zbl 07704518) Full Text: DOI
Semenova, Vira Debiased machine learning of set-identified linear models. (English) Zbl 07704512 J. Econom. 235, No. 2, 1725-1746 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{V. Semenova}, J. Econom. 235, No. 2, 1725--1746 (2023; Zbl 07704512) Full Text: DOI arXiv
Firpo, Sergio; Galvao, Antonio F.; Parker, Thomas Uniform inference for value functions. (English) Zbl 07704510 J. Econom. 235, No. 2, 1680-1699 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Firpo} et al., J. Econom. 235, No. 2, 1680--1699 (2023; Zbl 07704510) Full Text: DOI arXiv
Gao, Jiti; Liu, Fei; Peng, Bin; Yan, Yayi Binary response models for heterogeneous panel data with interactive fixed effects. (English) Zbl 07704509 J. Econom. 235, No. 2, 1654-1679 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Gao} et al., J. Econom. 235, No. 2, 1654--1679 (2023; Zbl 07704509) Full Text: DOI arXiv
Boot, Tom Joint inference based on Stein-type averaging estimators in the linear regression model. (English) Zbl 07704505 J. Econom. 235, No. 2, 1542-1563 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. Boot}, J. Econom. 235, No. 2, 1542--1563 (2023; Zbl 07704505) Full Text: DOI
Ergemen, Yunus Emre Parametric estimation of long memory in factor models. (English) Zbl 07704502 J. Econom. 235, No. 2, 1483-1499 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. E. Ergemen}, J. Econom. 235, No. 2, 1483--1499 (2023; Zbl 07704502) Full Text: DOI
Mehrabani, Ali Estimation and identification of latent group structures in panel data. (English) Zbl 07704501 J. Econom. 235, No. 2, 1464-1482 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Mehrabani}, J. Econom. 235, No. 2, 1464--1482 (2023; Zbl 07704501) Full Text: DOI
Cai, Zongwu; Juhl, Ted The distribution of rolling regression estimators. (English) Zbl 07704500 J. Econom. 235, No. 2, 1447-1463 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Cai} and \textit{T. Juhl}, J. Econom. 235, No. 2, 1447--1463 (2023; Zbl 07704500) Full Text: DOI
Chan, Joshua C. C. Comparing stochastic volatility specifications for large Bayesian VARs. (English) Zbl 07704499 J. Econom. 235, No. 2, 1419-1446 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. C. C. Chan}, J. Econom. 235, No. 2, 1419--1446 (2023; Zbl 07704499) Full Text: DOI arXiv
Chen, Song Xi; Guo, Bin; Qiu, Yumou Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding. (English) Zbl 07704495 J. Econom. 235, No. 2, 1337-1354 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. X. Chen} et al., J. Econom. 235, No. 2, 1337--1354 (2023; Zbl 07704495) Full Text: DOI
Chen, Elynn Y.; Fan, Jianqing; Zhu, Xuening Community network auto-regression for high-dimensional time series. (English) Zbl 07704491 J. Econom. 235, No. 2, 1239-1256 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{E. Y. Chen} et al., J. Econom. 235, No. 2, 1239--1256 (2023; Zbl 07704491) Full Text: DOI arXiv
Schumann, Martin; Severini, Thomas A.; Tripathi, Gautam The role of score and information bias in panel data likelihoods. (English) Zbl 07704490 J. Econom. 235, No. 2, 1215-1238 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Schumann} et al., J. Econom. 235, No. 2, 1215--1238 (2023; Zbl 07704490) Full Text: DOI
Adamek, Robert; Smeekes, Stephan; Wilms, Ines Lasso inference for high-dimensional time series. (English) Zbl 07704486 J. Econom. 235, No. 2, 1114-1143 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Adamek} et al., J. Econom. 235, No. 2, 1114--1143 (2023; Zbl 07704486) Full Text: DOI arXiv
Lee, Ji Hyung; Park, Byoung G. Nonparametric identification and estimation of the extended Roy model. (English) Zbl 07704485 J. Econom. 235, No. 2, 1087-1113 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. H. Lee} and \textit{B. G. Park}, J. Econom. 235, No. 2, 1087--1113 (2023; Zbl 07704485) Full Text: DOI
Chang, Jinyuan; Jiang, Qing; Shao, Xiaofeng Testing the martingale difference hypothesis in high dimension. (English) Zbl 07704481 J. Econom. 235, No. 2, 972-1000 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Chang} et al., J. Econom. 235, No. 2, 972--1000 (2023; Zbl 07704481) Full Text: DOI arXiv
Perera, Indeewara; Silvapulle, Mervyn J. Bootstrap specification tests for dynamic conditional distribution models. (English) Zbl 07704480 J. Econom. 235, No. 2, 949-971 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{I. Perera} and \textit{M. J. Silvapulle}, J. Econom. 235, No. 2, 949--971 (2023; Zbl 07704480) Full Text: DOI
Gallant, A. Ronald Variance-covariance from a metropolis chain on a curved, singular manifold. (English) Zbl 07704475 J. Econom. 235, No. 2, 843-861 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. R. Gallant}, J. Econom. 235, No. 2, 843--861 (2023; Zbl 07704475) Full Text: DOI
Ge, Shuyi; Li, Shaoran; Linton, Oliver News-implied linkages and local dependency in the equity market. (English) Zbl 07704473 J. Econom. 235, No. 2, 779-815 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Ge} et al., J. Econom. 235, No. 2, 779--815 (2023; Zbl 07704473) Full Text: DOI
Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen A GMM approach to estimate the roughness of stochastic volatility. (English) Zbl 07704472 J. Econom. 235, No. 2, 745-778 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. E. Bolko} et al., J. Econom. 235, No. 2, 745--778 (2023; Zbl 07704472) Full Text: DOI arXiv
Yu, Tao; Li, Pengfei; Chen, Baojiang; Yuan, Ao; Qin, Jing Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model. (English) Zbl 07704460 J. Econom. 235, No. 2, 454-469 (2023). MSC: 62G05 62J05 PDFBibTeX XMLCite \textit{T. Yu} et al., J. Econom. 235, No. 2, 454--469 (2023; Zbl 07704460) Full Text: DOI arXiv
Caner, Mehmet; Medeiros, Marcelo; Vasconcelos, Gabriel F. R. Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models. (English) Zbl 07704457 J. Econom. 235, No. 2, 393-417 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Caner} et al., J. Econom. 235, No. 2, 393--417 (2023; Zbl 07704457) Full Text: DOI arXiv
Guo, Xu; Li, Runze; Liu, Jingyuan; Zeng, Mudong Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic. (English) Zbl 07693702 J. Econom. 235, No. 1, 166-179 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Guo} et al., J. Econom. 235, No. 1, 166--179 (2023; Zbl 07693702) Full Text: DOI arXiv
Gribisch, Bastian; Hartkopf, Jan Patrick Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model. (English) Zbl 07693697 J. Econom. 235, No. 1, 43-64 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Gribisch} and \textit{J. P. Hartkopf}, J. Econom. 235, No. 1, 43--64 (2023; Zbl 07693697) Full Text: DOI
Jiang, Liang; Phillips, Peter C. B.; Tao, Yubo; Zhang, Yichong Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations. (English) Zbl 07693693 J. Econom. 234, No. 2, 758-776 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Jiang} et al., J. Econom. 234, No. 2, 758--776 (2023; Zbl 07693693) Full Text: DOI arXiv
Kim, Dongwoo Partially identifying competing risks models: an application to the war on cancer. (English) Zbl 07693684 J. Econom. 234, No. 2, 536-564 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Kim}, J. Econom. 234, No. 2, 536--564 (2023; Zbl 07693684) Full Text: DOI
Shi, Zhentao; Huang, Jingyi Forward-selected panel data approach for program evaluation. (English) Zbl 07693683 J. Econom. 234, No. 2, 512-535 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Shi} and \textit{J. Huang}, J. Econom. 234, No. 2, 512--535 (2023; Zbl 07693683) Full Text: DOI arXiv
Sasaki, Yuya; Ura, Takuya Estimation and inference for policy relevant treatment effects. (English) Zbl 07693680 J. Econom. 234, No. 2, 394-450 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Sasaki} and \textit{T. Ura}, J. Econom. 234, No. 2, 394--450 (2023; Zbl 07693680) Full Text: DOI arXiv
Krampe, J.; Paparoditis, E.; Trenkler, C. Structural inference in sparse high-dimensional vector autoregressions. (English) Zbl 07674658 J. Econom. 234, No. 1, 276-300 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Krampe} et al., J. Econom. 234, No. 1, 276--300 (2023; Zbl 07674658) Full Text: DOI arXiv
He, Yi; Jaidee, Sombut; Gao, Jiti Most powerful test against a sequence of high dimensional local alternatives. (English) Zbl 07674653 J. Econom. 234, No. 1, 151-177 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. He} et al., J. Econom. 234, No. 1, 151--177 (2023; Zbl 07674653) Full Text: DOI
Li, Yong; Wang, Nianling; Yu, Jun Improved marginal likelihood estimation via power posteriors and importance sampling. (English) Zbl 07674648 J. Econom. 234, No. 1, 28-52 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Li} et al., J. Econom. 234, No. 1, 28--52 (2023; Zbl 07674648) Full Text: DOI
Bollerslev, Tim The story of GARCH: a personal odyssey. (English) Zbl 07674641 J. Econom. 234, Suppl., 96-100 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. Bollerslev}, J. Econom. 234, 96--100 (2023; Zbl 07674641) Full Text: DOI
Xiong, Ruoxuan; Pelger, Markus Large dimensional latent factor modeling with missing observations and applications to causal inference. (English) Zbl 07659421 J. Econom. 233, No. 1, 271-301 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Xiong} and \textit{M. Pelger}, J. Econom. 233, No. 1, 271--301 (2023; Zbl 07659421) Full Text: DOI arXiv
Guo, Xiao; Chen, Yu; Tang, Cheng Yong Information criteria for latent factor models: a study on factor pervasiveness and adaptivity. (English) Zbl 07659419 J. Econom. 233, No. 1, 237-250 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Guo} et al., J. Econom. 233, No. 1, 237--250 (2023; Zbl 07659419) Full Text: DOI
Ma, Chenchen; Tu, Yundong Group fused Lasso for large factor models with multiple structural breaks. (English) Zbl 07659415 J. Econom. 233, No. 1, 132-154 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Ma} and \textit{Y. Tu}, J. Econom. 233, No. 1, 132--154 (2023; Zbl 07659415) Full Text: DOI
Lumsdaine, Robin L.; Okui, Ryo; Wang, Wendun Estimation of panel group structure models with structural breaks in group memberships and coefficients. (English) Zbl 07659411 J. Econom. 233, No. 1, 45-65 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. L. Lumsdaine} et al., J. Econom. 233, No. 1, 45--65 (2023; Zbl 07659411) Full Text: DOI
Leng, Xuan; Chen, Heng; Wang, Wendun Multi-dimensional latent group structures with heterogeneous distributions. (English) Zbl 07659409 J. Econom. 233, No. 1, 1-21 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Leng} et al., J. Econom. 233, No. 1, 1--21 (2023; Zbl 07659409) Full Text: DOI