Journal of Econometrics Short Title: J. Econom. Publisher: Elsevier (North-Holland), Amsterdam ISSN: 0304-4076 Online: https://www.sciencedirect.com/journal/journal-of-econometrics/issues Comments: Journal; Indexed cover-to-cover Documents Indexed: 4,691 Publications (since 1973) References Indexed: 4,608 Publications with 162,712 References. all top 5 Latest Issues 239, No. 2 (2024) 239, No. 1 (2024) 238, No. 2 (2024) 238, No. 1 (2024) 237, No. 2, Part C (2023) 237, No. 2, Part B (2023) 237, No. 2, Part A (2023) 237, No. 1 (2023) 236, No. 2 (2023) 236, No. 1 (2023) 235, No. 2 (2023) 235, No. 1 (2023) 234, No. 2 (2023) 234, No. 1 (2023) 234, Suppl. 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Hashem 34 Taylor, A. M. Robert 33 Li, Qi 32 Robinson, Peter Michael 31 Gourieroux, Christian 31 Su, Liangjun 30 Bollerslev, Tim 29 Ghysels, Eric 28 Gallant, A. Ronald 28 Hsiao, Cheng 27 White, Halbert Lynn jun. 26 Baltagi, Badi H. 26 Dufour, Jean-Marie 26 Granger, Clive William John 26 Park, Joon Y. 26 Renault, Eric 25 Aït-Sahalia, Yacine 25 Chen, Songnian 25 Gao, Jiti 25 Koop, Gary 24 Zellner, Arnold 22 Chen, Xiaohong 22 McAleer, Michael 22 Swanson, Norman Rasmus 22 Tauchen, George E. 22 van Dijk, Herman K. 22 Yu, Jun 21 Timmermann, Allan G. 20 Bai, Jushan 20 Diebold, Francis Xavier 20 Lewbel, Arthur 20 Monfort, Alain 20 Newey, Whitney Kent 20 Todorov, Viktor 19 Andrews, Donald Wilfrid Kao 19 Chib, Siddhartha 19 Hendry, David F. 19 Horowitz, Joel Lawrence 19 Inoue, Atsushi 19 Koopman, Siem Jan 19 Xiao, Zhijie 18 Corradi, Valentina 18 Fan, Yanqin 18 Hausman, Jerry Allen 18 Ng, Serena 18 Perron, Pierre 17 Andersen, Torben G. 17 Geweke, John F. 17 Hong, Yongmiao 17 Hu, Yingyao 16 Cai, Zongwu 16 Fan, Jianqing 16 Hallin, Marc 16 Hidalgo, Javier 16 Judge, George G. 16 Leybourne, Stephen J. 16 Maasoumi, Esfandiar 16 Manski, Charles F. 16 Powell, James L. 16 Steel, Mark F. J. 16 Whang, Yoon-Jae 15 Barnett, William Arnold 15 Francq, Christian 15 Hall, Alastair R. 15 Hong, Han 15 King, Maxwell Leslie 15 Lütkepohl, Helmut 15 Mykland, Per Aslak 15 Sasaki, Yuya 15 Sentana, Enrique 15 Simar, Léopold 15 Sun, Yixiao 15 Wooldridge, Jeffrey M. 14 Engle, Robert Fry 14 Florens, Jean-Pierre 14 Heckman, James Joseph 14 Johansen, Søren Glud 14 Kapetanios, George 14 Kumbhakar, Subal Chandra 14 Lee, Sokbae 14 Li, Tong 14 Magnus, Jan R. 14 Nielsen, Morten Ørregaard 14 Patton, Andrew J. 14 Prucha, Ingmar R. 14 Shephard, Neil 14 Smith, Richard J. 13 Boswijk, H. Peter 13 Chernozhukov, Victor 13 Delgado, Miguel Ángel 13 Hansen, Bruce E. 13 Kohn, Robert J. 13 Shin, Yongcheol 13 Teräsvirta, Timo 13 Velasco, Carlos 13 Zakoïan, Jean-Michel ...and 3,864 more Authors all top 5 Fields 4,565 Statistics (62-XX) 1,581 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 217 Numerical analysis (65-XX) 195 Probability theory and stochastic processes (60-XX) 117 General and overarching topics; collections (00-XX) 56 Operations research, mathematical programming (90-XX) 20 History and biography (01-XX) 16 Systems theory; control (93-XX) 13 Geophysics (86-XX) 9 Linear and multilinear algebra; matrix theory (15-XX) 9 Computer science (68-XX) 9 Biology and other natural sciences (92-XX) 5 Functional analysis (46-XX) 4 Information and communication theory, circuits (94-XX) 3 Combinatorics (05-XX) 3 Real functions (26-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-XX) 1 Functions of a complex variable (30-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 3,908 Publications have been cited 59,844 times in 23,832 Documents Cited by ▼ Year ▼ Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119 Bollerslev, Tim 1,720 1986 Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? Zbl 0871.62100 Kwiatkowski, Denis; Phillips, Peter C. B.; Schmidt, Peter; Shin, Yongcheol 447 1992 Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079 Ichimura, Hidehiko 375 1993 Long memory processes and fractional integration in econometrics. Zbl 0854.62099 Baillie, Richard T. 336 1996 Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026 Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter 318 1977 ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057 Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F. 312 1992 Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085 Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole 258 1996 Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Zbl 0582.90007 Charnes, A.; Cooper, W. W.; Golany, B.; Seiford, L.; Stutz, J. 246 1985 Least absolute deviations estimation for the censored regression model. Zbl 0571.62100 Powell, James L. 224 1984 Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087 Bougerol, Philippe; Picard, Nico 216 1992 Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108 Granger, C. W. J. 203 1980 A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030 Zheng, John Xu 195 1996 High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185 Fan, Jianqing; Fan, Yingying; Lv, Jinchi 195 2008 Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112 Blundell, Richard; Bond, Stephen 192 1998 Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099 Arellano, Manuel; Bover, Olympia 190 1995 Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049 Newey, Whitney K. 188 1997 Censored regression quantiles. Zbl 0605.62139 Powell, James L. 187 1986 Analysis of time series subject to changes in regime. Zbl 0723.62050 Hamilton, James D. 182 1990 ARCH models as diffusion approximations. Zbl 0719.60089 Nelson, Daniel B. 181 1990 Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950 Hamilton, James D.; Susmel, Raul 179 1994 Testing for unit roots in heterogeneous panels. Zbl 1041.62075 Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol 170 2003 Nonparametric regression using Bayesian variable selection. Zbl 0864.62025 Smith, Michael; Kohn, Robert 167 1996 Seasonal integration and cointegration. Zbl 0709.62102 Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. 159 1990 Long memory and regime switching. Zbl 1040.62109 Diebold, Francis X.; Inoue, Atsushi 158 2001 Understanding spurious regressions in econometrics. Zbl 0602.62098 Phillips, P. C. B. 158 1986 Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040 Chamberlain, Gary 157 1987 Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118 Bates, David S. 156 2000 Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068 Manski, Charles F. 156 1975 Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096 Manski, Charles F. 155 1985 Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063 Han, Aaron K. 148 1987 Alternative models for stock price dynamics. Zbl 1043.62087 Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George 143 2003 The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116 Breidt, F. Jay; Crato, Nuno; de Lima, Pedro 142 1998 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 142 2011 Consistent model specification tests. Zbl 0549.62076 Bierens, Herman J. 138 1982 Jackknife model averaging. Zbl 1441.62721 Hansen, Bruce E.; Racine, Jeffrey S. 138 2012 Spurious regressions in econometrics. Zbl 0319.62072 Granger, C. W. J.; Newbold, P. 136 1974 Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539 Chib, Siddhartha; Nardari, Federico; Shephard, Neil 136 2002 Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535 Simar, Léopold; Wilson, Paul W. 134 2007 Limit theory for moderate deviations from a unit root. Zbl 1418.62348 Phillips, Peter C. B.; Magdalinos, Tassos 131 2007 Polyhedral cone-ratio DEA models with an illustrative application to large commercials banks. Zbl 0712.90015 Charnes, A.; Cooper, W. W.; Huang, Z. M.; Sun, D. B. 130 1990 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070 Robinson, P. M. 129 1991 Modeling and pricing long memory in stock market volatility. Zbl 0960.62560 Bollerslev, Tim; Mikkelsen, Hans Ole 129 1996 An MCMC approach to classical estimation. Zbl 1043.62022 Chernozhukov, Victor; Hong, Han 127 2003 Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015 Seiford, Lawrence M.; Thrall, Robert M. 125 1990 Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254 Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. 121 2004 Estimation and comparison of multiple change-point models. Zbl 1045.62510 Chib, Siddhartha 120 1998 Efficient estimation of models for dynamic panel data. Zbl 0831.62094 Ahn, Seung C.; Schmidt, Peter 119 1995 Benchmark priors for Bayesian model averaging. Zbl 1091.62507 Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J. 119 2001 Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086 Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. 119 1996 Nonparametric frontier estimation: A robust approach. Zbl 1051.62116 Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold 117 2002 Forecasting the term structure of government bond yields. Zbl 1337.62324 Diebold, Francis X.; Li, Canlin 116 2006 On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019 Kelejian, Harry H.; Prucha, Ingmar R. 115 2001 Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079 Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James 113 2002 Dynamic linear models with Markov-switching. Zbl 0795.62104 Kim, Chang-Jin 112 1994 Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830 Patton, Andrew J. 111 2011 Formulation and estimation of dynamic models using panel data. Zbl 0487.62099 Anderson, T. W.; Hsiao, Cheng 109 1982 A Markov model for switching regressions. Zbl 0294.62087 Goldfeld, Stephen M.; Quandt, Richard E. 109 1973 Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626 Ding, Zhuanxin; Granger, Clive W. J. 107 1996 Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306 Cai, Zongwu 107 2007 Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010 Chib, Siddhartha 105 1996 Least squares model averaging by Mallows criterion. Zbl 1431.62291 Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua 105 2010 GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476 Lee, Lung-fei 103 2007 Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636 Kelejian, Harry H.; Prucha, Ingmar R. 99 2010 Generalized method of moments specification testing. Zbl 0606.62132 Newey, Whitney K. 98 1985 On leverage in a stochastic volatility model. Zbl 1335.91116 Yu, Jun 97 2005 Estimation of copula-based semiparametric time series models. Zbl 1337.62201 Chen, Xiaohong; Fan, Yanqin 97 2006 Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911 Zhang, Lan 97 2011 Tobit models: A survey. Zbl 0539.62121 Amemiya, Takeshi 96 1984 Simultaneous equations models in applied search theory. Zbl 0578.62099 Lancaster, Tony 95 1985 Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062 Racine, Jeff; Li, Qi 94 2004 Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063 Ahn, Hyungtaik; Powell, James L. 93 1993 Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207 Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi 92 2007 Nonparametric risk management and implied risk aversion. Zbl 0952.62091 Aït-Sahalia, Yacine; Lo, Andrew W. 92 2000 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425 Chen, Xiaohong; Fan, Yanqin 92 2006 A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031 Li, Qi; Wang, Suojin 90 1998 Testing for a unit root in panels with dynamic factors. Zbl 1282.62201 Moon, Hyungsik Roger; Perron, Benoit 90 2004 Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047 Härdle, W.; Tsybakov, A. 89 1997 Econometric specification of stochastic discount factor models. Zbl 1420.91461 Gourieroux, C.; Monfort, A. 89 2007 Estimation of spatial autoregressive panel data models with fixed effects. Zbl 1431.62643 Lee, Lung-fei; Yu, Jihai 89 2010 Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104 Pesaran, M. Hashem; Smith, Ron 88 1995 Exact and superlative index numbers. Zbl 0387.90046 Diewert, W. E. 87 1976 The wild bootstrap, tamed at last. Zbl 1418.62183 Davidson, Russell; Flachaire, Emmanuel 85 2008 Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485 Xiu, Dacheng 85 2010 On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196 Diebold, Francis X.; Yılmaz, Kamil 84 2014 Multivariate regression models for panel data. Zbl 0512.62115 Chamberlain, Gary 82 1982 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Zbl 1431.62472 Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark 82 2010 A generalization of the beta distribution with applications. Zbl 0813.62011 McDonald, James B.; Xu, Yexiao J. 81 1995 Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096 Singleton, Kenneth J. 81 2001 On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096 Gallant, A. Ronald 81 1981 Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Zbl 0766.62055 Lee, Tae-Hwy; White, Halbert; Granger, Clive W. J. 81 1993 Common breaks in means and variances for panel data. Zbl 1431.62353 Bai, Jushan 81 2010 Global optimization of statistical functions with simulated annealing. Zbl 0789.62095 Goffe, William L.; Ferrier, Gary D.; Rogers, John 80 1994 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517 Gonçalves, Sıĺvia; Kilian, Lutz 80 2004 Threshold bipower variation and the impact of jumps on volatility forecasting. Zbl 1441.62656 Corsi, Fulvio; Pirino, Davide; Renò, Roberto 79 2010 GMM estimation with cross sectional dependence. Zbl 0944.62117 Conley, T. G. 78 1999 Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064 Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles 77 2003 The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397 Gourieroux, C.; Jasiak, J.; Sufana, R. 77 2009 Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577 Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan 77 2011 Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089 Sin, Chor-Yiu; White, Halbert 76 1996 Panel data models with spatially correlated error components. Zbl 1418.62482 Kapoor, Mudit; Kelejian, Harry H.; Prucha, Ingmar R. 76 2007 Smoothed quantile regression with large-scale inference. Zbl 07648718 He, Xuming; Pan, Xiaoou; Tan, Kean Ming; Zhou, Wen-Xin 6 2023 Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. Zbl 07704456 Casini, Alessandro 4 2023 Time series analysis of COVID-19 infection curve: a change-point perspective. Zbl 07633053 Jiang, Feiyu; Zhao, Zifeng; Shao, Xiaofeng 4 2023 Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. 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Zbl 07767698 Vazquez-Bare, Gonzalo 1 2023 Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Zbl 07767718 Gorgi, P.; Koopman, S. J. 1 2023 Evaluating forecast performance with state dependence. Zbl 07767720 Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik 1 2023 CRPS learning. Zbl 07767721 Berrisch, Jonathan; Ziel, Florian 1 2023 Dynamic factor copula models with estimated cluster assignments. Zbl 07767732 Oh, Dong Hwan; Patton, Andrew J. 1 2023 Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. Zbl 07704468 Fiorentini, Gabriele; Sentana, Enrique 1 2023 Uniform inference in linear panel data models with two-dimensional heterogeneity. Zbl 07704470 Lu, Xun; Su, Liangjun 1 2023 Bootstrap specification tests for dynamic conditional distribution models. 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Zbl 07704519 Bai, Jushan; Ng, Serena 1 2023 One-way or two-way factor model for matrix sequences? Zbl 07704523 He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long 1 2023 Policy evaluation during a pandemic. Zbl 07729858 Callaway, Brantly; Li, Tong 1 2023 Nowcasting the output gap. Zbl 07633054 Berger, Tino; Morley, James; Wong, Benjamin 1 2023 Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055 Gourieroux, C.; Jasiak, J. 1 2023 Nowcasting in a pandemic using non-parametric mixed frequency VARs. Zbl 07633056 Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, Michael; Schreiner, Josef 1 2023 How to go viral: a COVID-19 model with endogenously time-varying parameters. Zbl 07633057 Ho, Paul; Lubik, Thomas A.; Matthes, Christian 1 2023 A spatial panel quantile model with unobserved heterogeneity. 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J. 31 Hall, Alastair R. 31 Hendry, David F. 31 Hong, Yongmiao 31 Hušková, Marie 31 You, Jinhong 30 Escanciano, Juan Carlos 30 Gerlach, Richard H. 30 Politis, Dimitris Nicolas 30 Tsionas, Efthymios G. 30 Zhou, Yong 29 Aït-Sahalia, Yacine 29 Bai, Jushan 29 Giraitis, Liudas 29 Koopman, Siem Jan 29 Koul, Hira Lal 29 Park, Joon Y. 29 Rahbek, Anders 29 Rodrigues, Paulo M. M. 29 Sriboonchitta, Songsak 29 Wu, Wei Biao 28 Aue, Alexander 28 Bollerslev, Tim 28 Kohn, Robert J. 28 Lewbel, Arthur ...and 23,178 more Authors all top 5 Cited in 622 Journals 3,833 Journal of Econometrics 1,332 Economics Letters 883 Computational Statistics and Data Analysis 791 Econometric Theory 781 Econometric Reviews 757 Communications in Statistics. 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