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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: Indexed cover-to-cover
Documents Indexed: 4,244 Publications (since 1973)
References Indexed: 4,174 Publications with 141,716 References.
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Authors

72 Phillips, Peter Charles Bonest
46 Lee, Lung-Fei
44 Linton, Oliver Bruce
35 Pesaran, M. Hashem
32 Li, Qi
32 Taylor, A. M. Robert
31 Robinson, Peter Michael
30 Gourieroux, Christian
28 Ghysels, Eric
27 Hsiao, Cheng
27 White, Halbert Lynn jun.
26 Baltagi, Badi H.
26 Bollerslev, Tim
26 Gallant, A. Ronald
26 Granger, Clive William John
26 Park, Joon Y.
26 Su, Liangjun
25 Dufour, Jean-Marie
25 Renault, Eric
24 Zellner, Arnold
23 Aït-Sahalia, Yacine
23 Koop, Gary
22 Chen, Songnian
22 McAleer, Michael
22 Tauchen, George E.
21 Chen, Xiaohong
21 Swanson, Norman Rasmus
21 van Dijk, Herman K.
20 Monfort, Alain
20 Newey, Whitney Kent
19 Andrews, Donald Wilfrid Kao
19 Chib, Siddhartha
19 Gao, Jiti
19 Horowitz, Joel L.
18 Hausman, Jerry Allen
18 Hendry, David F.
18 Lewbel, Arthur
18 Perron, Pierre
18 Timmermann, Allan G.
18 Xiao, Zhijie
17 Corradi, Valentina
17 Geweke, John F.
17 Inoue, Atsushi
16 Hidalgo, Javier
16 Judge, George G.
16 Leybourne, Stephen J.
16 Maasoumi, Esfandiar
16 Steel, Mark F. J.
16 Todorov, Viktor
15 Bai, Jushan
15 Barnett, William A.
15 Hall, Alastair R.
15 Hallin, Marc
15 Hong, Han
15 King, Maxwell Leslie
15 Koopman, Siem Jan
15 Lütkepohl, Helmut
15 Powell, James L.
15 Simar, Léopold
14 Cai, Zongwu
14 Diebold, Francis X.
14 Engle, Robert Fry
14 Fan, Yanqin
14 Heckman, James Joseph
14 Hu, Yingyao
14 Johansen, Søren Glud
14 Kapetanios, George
14 Kumbhakar, Subal Chandra
14 Manski, Charles F.
14 Mykland, Per Aslak
14 Ng, Serena
14 Sentana, Enrique
14 Smith, Richard J.
14 Sun, Yixiao
14 Whang, Yoon-Jae
14 Wooldridge, Jeffrey M.
13 Boswijk, H. Peter
13 Chernozhukov, Victor
13 Delgado, Miguel Ángel
13 Hansen, Bruce E.
13 Hong, Yongmiao
13 Kohn, Robert J.
13 Lee, Sokbae
13 Li, Tong
13 Magnus, Jan R.
13 Prucha, Ingmar R.
13 Shephard, Neil
13 Velasco, Carlos I. Hoyos
13 Zakoïan, Jean-Michel
12 Andersen, Torben G.
12 Elliott, Graham
12 Fan, Jianqing
12 Florens, Jean-Pierre
12 Francq, Christian
12 Kristensen, Dennis
12 Kuan, Chung-Ming
12 Nielsen, Morten Ørregaard
12 Poirier, Dale J.
12 Slottje, Daniel J.
12 Stock, James H.
...and 3,374 more Authors

Publications by Year

Citations contained in zbMATH Open

3,512 Publications have been cited 47,867 times in 20,127 Documents Cited by Year
Generalized autoregressive conditional heteroscedasticity. Zbl 0616.62119
Bollerslev, Tim
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
381
1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
Ichimura, Hidehiko
324
1993
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.
297
1992
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
Baillie, Richard T.
292
1996
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
Aigner, Dennis; Lovell, C. A. Knox; Schmidt, Peter
262
1977
Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
Baillie, Richard T.; Bollerslev, Tim; Mikkelsen, Hans Ole
226
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.
223
1985
Least absolute deviations estimation for the censored regression model. Zbl 0571.62100
Powell, James L.
202
1984
Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
Bougerol, Philippe; Picard, Nico
199
1992
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
Granger, C. W. J.
185
1980
A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
Zheng, John Xu
169
1996
ARCH models as diffusion approximations. Zbl 0719.60089
Nelson, Daniel B.
164
1990
Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
Newey, Whitney K.
162
1997
Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
Blundell, Richard; Bond, Stephen
161
1998
Analysis of time series subject to changes in regime. Zbl 0723.62050
Hamilton, James D.
159
1990
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
Arellano, Manuel; Bover, Olympia
158
1995
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
Hamilton, James D.; Susmel, Raul
158
1994
Censored regression quantiles. Zbl 0605.62139
Powell, James L.
156
1986
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
Smith, Michael; Kohn, Robert
154
1996
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
Fan, Jianqing; Fan, Yingying; Lv, Jinchi
152
2008
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
148
1990
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
144
2003
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
143
1986
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
Chamberlain, Gary
143
1987
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
Manski, Charles F.
140
1975
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
139
2001
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
136
2000
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
Manski, Charles F.
135
1985
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
129
2003
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.
125
1990
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
Han, Aaron K.
124
1987
Spurious regressions in econometrics. Zbl 0319.62072
Granger, C. W. J.; Newbold, P.
122
1974
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
121
1998
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
Seiford, Lawrence M.; Thrall, Robert M.
121
1990
Consistent model specification tests. Zbl 0549.62076
Bierens, Herman J.
121
1982
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
120
2011
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
Robinson, P. M.
118
1991
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
114
2002
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
108
1996
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
105
2007
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
103
1998
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
103
1995
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
102
2006
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
100
1996
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
98
2007
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
98
2004
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
97
2002
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
97
2003
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
Chib, Siddhartha
96
1996
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
96
1982
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
94
1985
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
94
1985
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
91
2001
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
91
2012
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
90
2002
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
88
1996
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
88
1994
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
86
2007
A Markov model for switching regressions. Zbl 0294.62087
Goldfeld, Stephen M.; Quandt, Richard E.
84
1973
On the asymptotic distribution of the Moran \(I\) test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
84
2001
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
84
1993
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
Härdle, W.; Tsybakov, A.
83
1997
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
83
2000
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
82
1998
Exact and superlative index numbers. Zbl 0387.90046
Diewert, W. E.
82
1976
Tobit models: A survey. Zbl 0539.62121
Amemiya, Takeshi
81
1984
On leverage in a stochastic volatility model. Zbl 1335.91116
Yu, Jun
81
2005
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
79
2006
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
78
2006
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
77
2011
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
76
1995
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
75
2007
Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
Singleton, Kenneth J.
74
2001
Multivariate regression models for panel data. Zbl 0512.62115
Chamberlain, Gary
74
1982
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
Goffe, William L.; Ferrier, Gary D.; Rogers, John
74
1994
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
Patton, Andrew J.
74
2011
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
73
2004
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
72
2007
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
72
2004
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
Gallant, A. Ronald
72
1981
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
72
2010
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.
71
1993
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
71
2007
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
71
2008
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
71
2004
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
71
2010
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
70
1995
Least squares model averaging by Mallows criterion. Zbl 1431.62291
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua
70
2010
Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089
Sin, Chor-Yiu; White, Halbert
69
1996
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
Tauchen, George
69
1985
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
68
2003
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
68
2003
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
67
1997
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
66
1997
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
66
2011
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
65
1999
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
65
2010
Current developments in time series modelling. Zbl 0667.62068
Priestley, M. B.
64
1988
Bayes inference in regression models with ARMA\((p,q)\) errors. Zbl 0807.62065
Chib, Siddhartha; Greenberg, Edward
64
1994
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”. Zbl 07491170
Carriero, Andrea; Chan, Joshua; Clark, Todd E.; Marcellino, Massimiliano
1
2022
Estimating the COVID-19 infection rate: anatomy of an inference problem. Zbl 1464.62464
Manski, Charles F.; Molinari, Francesca
4
2021
Overlap in observational studies with high-dimensional covariates. Zbl 1471.62501
D’Amour, Alexander; Ding, Peng; Feller, Avi; Lei, Lihua; Sekhon, Jasjeet
3
2021
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects. Zbl 07414288
Sun, Liyang; Abraham, Sarah
2
2021
Difference-in-differences with multiple time periods. Zbl 07414289
Callaway, Brantly; Sant’Anna, Pedro H. C.
2
2021
Bootstrap based probability forecasting in multiplicative error models. Zbl 1464.62391
Perera, Indeewara; Silvapulle, Mervyn J.
2
2021
ExpectHill estimation, extreme risk and heavy tails. Zbl 1464.62279
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles
2
2021
Continuous record Laplace-based inference about the break date in structural change models. Zbl 07376505
Casini, Alessandro; Perron, Pierre
2
2021
Closed-form implied volatility surfaces for stochastic volatility models with jumps. Zbl 1471.91557
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu
2
2021
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models. Zbl 1471.62458
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping
2
2021
Autoregressive models for matrix-valued time series. Zbl 1471.62457
Chen, Rong; Xiao, Han; Yang, Dan
2
2021
Macroeconomic uncertainty prices when beliefs are tenuous. Zbl 1471.91307
Hansen, Lars Peter; Sargent, Thomas J.
2
2021
Inference in structural vector autoregressions identified with an external instrument. Zbl 07414281
Montiel Olea, José L.; Stock, James H.; Watson, Mark W.
1
2021
Inference in Bayesian proxy-SVARs. Zbl 07414282
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, Daniel F.
1
2021
Covariate-adjusted Fisher randomization tests for the average treatment effect. Zbl 07414292
Zhao, Anqi; Ding, Peng
1
2021
Causal impact of masks, policies, behavior on early Covid-19 pandemic in the U.S. Zbl 1464.62428
Chernozhukov, Victor; Kasahara, Hiroyuki; Schrimpf, Paul
1
2021
Identification and estimation of the SEIRD epidemic model for COVID-19. Zbl 1464.92248
Korolev, Ivan
1
2021
Consumer panic in the COVID-19 pandemic. Zbl 1464.62509
Keane, Michael; Neal, Timothy
1
2021
Estimating the fraction of unreported infections in epidemics with a known epicenter: an application to COVID-19. Zbl 1464.62439
Hortaçsu, Ali; Liu, Jiarui; Schwieg, Timothy
1
2021
When will the Covid-19 pandemic peak? Zbl 1464.62456
Li, Shaoran; Linton, Oliver
1
2021
Heterogeneous structural breaks in panel data models. Zbl 1464.62519
Okui, Ryo; Wang, Wendun
1
2021
Detecting granular time series in large panels. Zbl 1464.62497
Brownlees, Christian; Mesters, Geert
1
2021
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables. Zbl 1464.62521
Qu, Xi; Lee, Lung-fei; Yang, Chao
1
2021
Optimal linear instrumental variables approximations. Zbl 1464.62503
Escanciano, Juan Carlos; Li, Wei
1
2021
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: the case of Australia. Zbl 07376500
Iskhakov, Fedor; Keane, Michael
1
2021
Inference in time series models using smoothed-clustered standard errors. Zbl 07376510
Rho, Seunghwa; Vogelsang, Timothy J.
1
2021
Testing high-dimensional covariance matrices under the elliptical distribution and beyond. Zbl 1471.62381
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi
1
2021
Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors. Zbl 1471.62519
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo
1
2021
Missing observations in observation-driven time series models. Zbl 1471.62456
Blasques, F.; Gorgi, P.; Koopman, S. J.
1
2021
Control variables, discrete instruments, and identification of structural functions. Zbl 1471.62540
Newey, Whitney; Stouli, Sami
1
2021
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. Zbl 1471.62393
Fan, Jianqing; Ke, Yuan; Liao, Yuan
1
2021
Estimation and inference in semiparametric quantile factor models. Zbl 1471.62332
Ma, Shujie; Linton, Oliver; Gao, Jiti
1
2021
Time-varying general dynamic factor models and the measurement of financial connectedness. Zbl 1471.62455
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; von Sachs, Rainer
1
2021
Tail risk and return predictability for the Japanese equity market. Zbl 1471.62490
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
1
2021
High dimensional minimum variance portfolio estimation under statistical factor models. Zbl 1471.62493
Ding, Yi; Li, Yingying; Zheng, Xinghua
1
2021
Limit theorems for network dependent random variables. Zbl 1471.62536
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul
1
2021
Time-varying model averaging. Zbl 1471.62543
Sun, Yuying; Hong, Yongmiao; Lee, Tae-Hwy; Wang, Shouyang; Zhang, Xinyu
1
2021
Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores. Zbl 1471.62336
Heiler, Phillip; Kazak, Ekaterina
1
2021
Doubly robust difference-in-differences estimators. Zbl 1464.62254
Sant’Anna, Pedro H. C.; Zhao, Jun
5
2020
The term structure of equity and variance risk premia. Zbl 1464.91072
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano
4
2020
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
4
2020
Factor-adjusted regularized model selection. Zbl 1456.62114
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng
4
2020
Multivariate spatial autoregressive model for large scale social networks. Zbl 1456.62229
Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng
4
2020
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models. Zbl 1456.62102
Fan, Jianqing; Feng, Yang; Xia, Lucy
3
2020
High-dimensional minimum variance portfolio estimation based on high-frequency data. Zbl 1456.62242
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
3
2020
Ultrahigh dimensional precision matrix estimation via refitted cross validation. Zbl 1456.62106
Wang, Luheng; Chen, Zhao; Wang, Christina Dan; Li, Runze
3
2020
Threshold factor models for high-dimensional time series. Zbl 1456.62210
Liu, Xialu; Chen, Rong
3
2020
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
3
2020
Inference for high-dimensional instrumental variables regression. Zbl 1456.62149
Gold, David; Lederer, Johannes; Tao, Jing
2
2020
Estimation of a multiplicative correlation structure in the large dimensional case. Zbl 1456.62103
Hafner, Christian M.; Linton, Oliver B.; Tang, Haihan
2
2020
Randomization inference for difference-in-differences with few treated clusters. Zbl 1464.62226
MacKinnon, James G.; Webb, Matthew D.
2
2020
Inference on distribution functions under measurement error. Zbl 1456.62057
Adusumilli, Karun; Kurisu, Daisuke; Otsu, Taisuke; Whang, Yoon-Jae
2
2020
Non-standard inference for augmented double autoregressive models with null volatility coefficients. Zbl 1456.62198
Jiang, Feiyu; Li, Dong; Zhu, Ke
2
2020
Sequential monitoring for changes from stationarity to mild non-stationarity. Zbl 1456.62192
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan
2
2020
Deviance information criterion for latent variable models and misspecified models. Zbl 1456.62045
Li, Yong; Yu, Jun; Zeng, Tao
2
2020
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. Zbl 1456.62274
Botosaru, Irene
1
2020
Volatility estimation and jump detection for drift-diffusion processes. Zbl 1456.62251
Laurent, Sébastien; Shi, Shuping
1
2020
Nearest comoment estimation with unobserved factors. Zbl 1456.62112
Boudt, Kris; Cornilly, Dries; Verdonck, Tim
1
2020
Nonlinearities and regimes in conditional correlations with different dynamics. Zbl 1456.62180
Bauwens, Luc; Otranto, Edoardo
1
2020
Spatial dynamic models with intertemporal optimization: specification and estimation. Zbl 1456.62290
Jeong, Hanbat; Lee, Lung-fei
1
2020
Asymptotic F tests under possibly weak identification. Zbl 1456.62211
Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin
1
2020
Regression discontinuity design with many thresholds. Zbl 1456.62268
Bertanha, Marinho
1
2020
Modeling time series when some observations are zero. Zbl 1456.62191
Harvey, Andrew; Ito, Ryoko
1
2020
Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures. Zbl 1456.62291
Kim, Dukpa; Oka, Tatsushi; Estrada, Francisco; Perron, Pierre
1
2020
Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. Zbl 1456.62265
Pretis, Felix
1
2020
Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate. Zbl 1456.62260
Chang, Yoosoon; Kaufmann, Robert K.; Kim, Chang Sik; Miller, J. Isaac; Park, Joon Y.; Park, Sungkeun
1
2020
Point optimal testing with roots that are functionally local to unity. Zbl 1464.62375
Bykhovskaya, Anna; Phillips, Peter C. B.
1
2020
Testing identification strength. Zbl 1464.62490
Antoine, Bertille; Renault, Eric
1
2020
Testing the impossible: identifying exclusion restrictions. Zbl 1464.62513
Kiviet, Jan F.
1
2020
A geometric approach to inference in set-identified entry games. Zbl 1464.62495
Bontemps, Christian; Kumar, Rohit
1
2020
Bootstrapping factor models with cross sectional dependence. Zbl 1464.62318
Gonçalves, Sílvia; Perron, Benoit
1
2020
Generic results for establishing the asymptotic size of confidence sets and tests. Zbl 1464.62489
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik
1
2020
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. Zbl 1464.62384
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji
1
2020
Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids. Zbl 1464.91053
Gimenes, Nathalie; Guerre, Emmanuel
1
2020
Uniform nonparametric inference for time series. Zbl 1464.62386
Li, Jia; Liao, Zhipeng
1
2020
Nonparametric filtering of conditional state-price densities. Zbl 1456.62244
Dalderop, Jeroen
1
2020
On rank estimators in increasing dimensions. Zbl 1456.62142
Fan, Yanqin; Han, Fang; Li, Wei; Zhou, Xiao-Hua
1
2020
Inference in heavy-tailed vector error correction models. Zbl 1456.62216
She, Rui; Ling, Shiqing
1
2020
Robust estimation with many instruments. Zbl 1456.62307
Sølvsten, Mikkel
1
2020
Determining individual or time effects in panel data models. Zbl 1456.62298
Lu, Xun; Su, Liangjun
1
2020
A goodness-of-fit test for copulas based on martingale transformation. Zbl 1456.62086
Lu, Xiaohui; Zheng, Xu
1
2020
Hybrid stochastic local unit roots. Zbl 1456.62206
Lieberman, Offer; Phillips, Peter C. B.
1
2020
A robust procedure to build dynamic factor models with cluster structure. Zbl 1456.62176
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel
1
2020
Testing serial correlations in high-dimensional time series via extreme value theory. Zbl 1456.62222
Tsay, Ruey S.
1
2020
Estimation for double-nonlinear cointegration. Zbl 1456.62209
Lin, Yingqian; Tu, Yundong; Yao, Qiwei
1
2020
Asymptotic theory for near integrated processes driven by tempered linear processes. Zbl 1456.62215
Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B.
1
2020
Two-mode network autoregressive model for large-scale networks. Zbl 1456.62193
Huang, Danyang; Wang, Feifei; Zhu, Xuening; Wang, Hansheng
1
2020
Efficient estimation of heterogeneous coefficients in panel data models with common shocks. Zbl 1456.62294
Li, Kunpeng; Cui, Guowei; Lu, Lina
1
2020
Unobserved heterogeneity in auctions under restricted stochastic dominance. Zbl 1456.91055
Luo, Yao
1
2020
Option market trading activity and the estimation of the pricing kernel: a Bayesian approach. Zbl 1456.62241
Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; Sala, Carlo
1
2020
Estimating permanent price impact via machine learning. Zbl 1456.62304
Philip, R.
1
2020
Identifying dynamic discrete choice models off short panels. Zbl 1456.62267
Arcidiacono, Peter; Miller, Robert A.
1
2020
Issues in the estimation of mis-specified models of fractionally integrated processes. Zbl 1456.62212
Martin, Gael M.; Nadarajah, K.; Poskitt, D. S.
1
2020
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Zbl 1452.62890
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
11
2019
Dynamic semiparametric models for expected shortfall (and value-at-risk). Zbl 1452.62785
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui
10
2019
Large-dimensional factor modeling based on high-frequency observations. Zbl 1452.62786
Pelger, Markus
9
2019
Bayesian compressed vector autoregressions. Zbl 1452.62934
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide
9
2019
Generalized high-dimensional trace regression via nuclear norm regularization. Zbl 1452.62536
Fan, Jianqing; Gong, Wenyan; Zhu, Ziwei
8
2019
Achieving shrinkage in a time-varying parameter model framework. Zbl 1452.62216
Bitto, Angela; Frühwirth-Schnatter, Sylvia
8
2019
A Hausman test for the presence of market microstructure noise in high frequency data. Zbl 1452.62873
Aït-Sahalia, Yacine; Xiu, Dacheng
7
2019
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Cited by 19,524 Authors

107 Phillips, Peter Charles Bonest
75 Taylor, A. M. Robert
69 McAleer, Michael
69 Shin, Dongwan
68 Linton, Oliver Bruce
63 Baltagi, Badi H.
61 Horváth, Lajos
60 Lee, Lung-Fei
58 Li, Qi
55 Pesaran, M. Hashem
54 Robinson, Peter Michael
51 Kapetanios, George
49 Dette, Holger
49 Leybourne, Stephen J.
47 Gourieroux, Christian
46 Gao, Jiti
46 Härdle, Wolfgang Karl
46 Su, Liangjun
44 Van Keilegom, Ingrid
43 Hsiao, Cheng
43 Kumbhakar, Subal Chandra
42 Surgailis, Donatas
42 Zhu, Lixing
41 Dufour, Jean-Marie
41 Perron, Pierre
40 Simar, Léopold
40 Tsionas, Mike G.
40 Ullah, Aman
39 Fan, Jianqing
39 Wan, Alan T. K.
37 Franses, Philip Hans
37 Gil-Alana, Luis Alberiko
36 Chen, Xiaohong
36 King, Maxwell Leslie
36 Lee, Sangyeol
35 Cavaliere, Giuseppe
35 Chen, Cathy W. S.
35 Francq, Christian
35 Kokoszka, Piotr S.
35 Zhang, Xinyu
34 Siu, Tak Kuen
33 Bodnar, Taras
33 Cai, Zongwu
33 Lian, Heng
33 Ling, Shiqing
33 Ohtani, Kazuhiro
33 Renault, Eric
33 White, Halbert Lynn jun.
32 Hallin, Marc
32 Harvey, David I.
32 Lütkepohl, Helmut
32 Tjøstheim, Dag B.
32 Xiao, Zhijie
32 Zakoïan, Jean-Michel
31 Ghysels, Eric
31 Hassler, Uwe
31 Koop, Gary
31 Wu, Wei Biao
30 Barnett, William A.
30 Chan, Ngai Hang
30 Chen, Songnian
30 Fan, Yanqin
30 Florens, Jean-Pierre
30 Nadarajah, Saralees
30 Steel, Mark F. J.
30 Zou, Guohua
29 Hendry, David F.
29 Hu, Yingyao
29 Meintanis, Simos G.
29 Nielsen, Morten Ørregaard
29 Park, Joon Y.
29 Todorov, Viktor
29 Tsionas, Efthymios G.
29 Westerlund, Joakim
28 Gerlach, Richard H.
28 Hušková, Marie
28 Peng, Liang
28 You, Jinhong
27 Aït-Sahalia, Yacine
27 Giraitis, Liudas
27 Hall, Alastair R.
27 Koul, Hira Lal
27 Mammen, Enno
27 Politis, Dimitris Nicolas
27 Sriboonchitta, Songsak
27 Tauchen, George E.
26 Aue, Alexander
26 Escanciano, Juan Carlos
26 Li, Degui
26 Saikkonen, Pentti
26 Swanson, Norman Rasmus
26 Velasco, Carlos I. Hoyos
25 Bollerslev, Tim
25 Gallant, A. Ronald
25 Liang, Hua
25 Sun, Yixiao
24 Herwartz, Helmut
24 Horowitz, Joel L.
24 Kohn, Robert J.
24 Koopman, Siem Jan
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Cited in 559 Journals

3,437 Journal of Econometrics
1,266 Economics Letters
839 Computational Statistics and Data Analysis
738 Econometric Theory
633 European Journal of Operational Research
583 Communications in Statistics. Theory and Methods
488 Econometric Reviews
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451 Journal of Time Series Analysis
430 Journal of Statistical Planning and Inference
395 Journal of Multivariate Analysis
393 Statistics & Probability Letters
389 Quantitative Finance
354 Journal of Statistical Computation and Simulation
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241 Statistical Papers
239 Communications in Statistics. Simulation and Computation
215 The Econometrics Journal
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176 Journal of the American Statistical Association
170 Computational Statistics
153 Annals of Operations Research
153 Journal of Nonparametric Statistics
152 Annals of the Institute of Statistical Mathematics
139 Insurance Mathematics & Economics
136 Bernoulli
124 Statistics
123 International Journal of Theoretical and Applied Finance
122 Stochastic Processes and their Applications
121 Mathematics and Computers in Simulation
116 Statistics and Computing
109 Test
104 Scandinavian Journal of Statistics
103 Open Economies Review
97 Journal of the Korean Statistical Society
95 Psychometrika
95 Biometrics
92 The Annals of Applied Statistics
89 Statistical Methods and Applications
87 Metrika
79 The Canadian Journal of Statistics
79 Applied Mathematics and Computation
79 AStA. Advances in Statistical Analysis
75 Statistical Science
74 Physica A
72 Journal of Computational and Applied Mathematics
63 Bayesian Analysis
62 Journal of Economic Theory
61 Computational Economics
59 Journal of Econometric Methods
56 Journal of Time Series Econometrics
55 Asia-Pacific Financial Markets
55 Journal of Forecasting
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51 Journal of Statistical Theory and Practice
50 Statistica Neerlandica
49 Computers & Operations Research
49 Review of Derivatives Research
48 Applied Mathematical Finance
47 Statistical Modelling
47 Annals of Finance
46 Automatica
45 Chaos, Solitons and Fractals
44 International Journal of Systems Science
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44 Mathematical and Computer Modelling
44 Statistical Inference for Stochastic Processes
44 Science China. Mathematics
43 Applied Stochastic Models in Business and Industry
42 The Annals of Applied Probability
42 North American Actuarial Journal
40 Games and Economic Behavior
39 Acta Mathematicae Applicatae Sinica. English Series
39 Statistica Sinica
39 Journal of the Royal Statistical Society. Series B. Statistical Methodology
38 Mathematical Finance
37 Theory and Decision
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36 Social Choice and Welfare
36 Mathematical Problems in Engineering
34 Applied Mathematical Modelling
32 Journal of Mathematical Economics
32 Brazilian Journal of Probability and Statistics
30 International Journal of Control
30 Computational Management Science
30 Statistical Methodology
29 Computers & Mathematics with Applications
29 Discrete Dynamics in Nature and Society
29 Extremes
29 Scandinavian Actuarial Journal
28 Operations Research
28 Methodology and Computing in Applied Probability
28 Journal of Machine Learning Research (JMLR)
28 Advances in Data Analysis and Classification. ADAC
27 Linear Algebra and its Applications
27 Australian & New Zealand Journal of Statistics
26 CEJOR. Central European Journal of Operations Research
26 Entropy
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Cited in 52 Fields

15,834 Statistics (62-XX)
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