## 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
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### Fields

 4,125 Statistics (62-XX) 1,143 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 217 Numerical analysis (65-XX) 194 Probability theory and stochastic processes (60-XX) 110 General and overarching topics; collections (00-XX) 56 Operations research, mathematical programming (90-XX) 18 History and biography (01-XX) 16 Systems theory; control (93-XX) 12 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)

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3,512 Publications have been cited 47,867 times in 20,127 Documents Cited by Year
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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
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1992
Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Zbl 0816.62079
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1993
ARCH modeling in finance. A review of the theory and empirical evidence. Zbl 0825.90057
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1992
Long memory processes and fractional integration in econometrics. Zbl 0854.62099
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1996
Formulation and estimation of stochastic frontier production function models. Zbl 0366.90026
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Fractionally integrated generalized autoregressive conditional heteroskedasticity. Zbl 0865.62085
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1996
Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Zbl 0582.90007
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1985
Least absolute deviations estimation for the censored regression model. Zbl 0571.62100
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Stationarity of GARCH processes and of some nonnegative time series. Zbl 0746.62087
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1992
Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108
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A consistent test of functional form via nonparametric estimation techniques. Zbl 0865.62030
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1996
ARCH models as diffusion approximations. Zbl 0719.60089
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Convergence rates and asymptotic normality for series estimators. Zbl 0873.62049
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Initial conditions and moment restrictions in dynamic panel data models. Zbl 0943.62112
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1998
Analysis of time series subject to changes in regime. Zbl 0723.62050
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1990
Another look at the instrumental variable estimation of error-components models. Zbl 0831.62099
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1995
Autoregressive conditional heteroskedasticity and changes in regime. Zbl 0825.62950
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Censored regression quantiles. Zbl 0605.62139
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1986
Nonparametric regression using Bayesian variable selection. Zbl 0864.62025
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1996
High dimensional covariance matrix estimation using a factor model. Zbl 1429.62185
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Seasonal integration and cointegration. Zbl 0709.62102
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1990
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
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2003
Understanding spurious regressions in econometrics. Zbl 0602.62098
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1986
Asymptotic efficiency in estimation with conditional moment restrictions. Zbl 0618.62040
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1987
Maximum score estimation of the stochastic utility model of choice. Zbl 0307.62068
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1975
Long memory and regime switching. Zbl 1040.62109
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2001
Post-’87 crash fears in the S&P 500 futures option market. Zbl 0942.62118
Bates, David S.
2000
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator. Zbl 0567.62096
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1985
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
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.
1990
Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator. Zbl 0638.62063
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1987
Spurious regressions in econometrics. Zbl 0319.62072
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1974
The detection and estimation of long memory in stochastic volatility. Zbl 0905.62116
Breidt, F. Jay; Crato, Nuno; de Lima, Pedro
1998
Recent developments in DEA. The mathematical programming approach to frontier analysis. Zbl 0716.90015
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1990
Consistent model specification tests. Zbl 0549.62076
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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
2011
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Zbl 0734.62070
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1991
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
2002
Modeling and pricing long memory in stock market volatility. Zbl 0960.62560
Bollerslev, Tim; Mikkelsen, Hans Ole
1996
Estimation and inference in two-stage, semi-parametric models of production processes. Zbl 1418.62535
Simar, Léopold; Wilson, Paul W.
2007
Estimation and comparison of multiple change-point models. Zbl 1045.62510
Chib, Siddhartha
1998
Efficient estimation of models for dynamic panel data. Zbl 0831.62094
Ahn, Seung C.; Schmidt, Peter
1995
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
2006
Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626
Ding, Zhuanxin; Granger, Clive W. J.
1996
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
2007
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Zbl 1328.91254
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E.
2004
Nonparametric frontier estimation: A robust approach. Zbl 1051.62116
Cazals, Catherine; Florens, Jean-Pierre; Simar, Léopold
2002
An MCMC approach to classical estimation. Zbl 1043.62022
Chernozhukov, Victor; Hong, Han
2003
Calculating posterior distributions and modal estimates in Markov mixture models. Zbl 0864.62010
Chib, Siddhartha
1996
Formulation and estimation of dynamic models using panel data. Zbl 0487.62099
Anderson, T. W.; Hsiao, Cheng
1982
Simultaneous equations models in applied search theory. Zbl 0578.62099
Lancaster, Tony
1985
Generalized method of moments specification testing. Zbl 0606.62132
Newey, Whitney K.
1985
Benchmark priors for Bayesian model averaging. Zbl 1091.62507
Fernández, Carmen; Ley, Eduardo; Steel, Mark F. J.
2001
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
2012
Unit root tests in panel data: asymptotic and finite-sample properties. Zbl 1020.62079
Levin, Andrew; Lin, Chien-Fu; Chu, Chia-Shang James
2002
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
1996
Dynamic linear models with Markov-switching. Zbl 0795.62104
Kim, Chang-Jin
1994
Trending time-varying coefficient time series models with serially correlated errors. Zbl 1418.62306
Cai, Zongwu
2007
A Markov model for switching regressions. Zbl 0294.62087
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1973
On the asymptotic distribution of the Moran $$I$$ test stastistic with applications. Zbl 1002.62019
Kelejian, Harry H.; Prucha, Ingmar R.
2001
Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Zbl 0772.62063
Ahn, Hyungtaik; Powell, James L.
1993
Local polynomial estimators of the volatility function in nonparametric autoregression. Zbl 0904.62047
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1997
Nonparametric risk management and implied risk aversion. Zbl 0952.62091
Aït-Sahalia, Yacine; Lo, Andrew W.
2000
A simple consistent bootstrap test for a parametric regression function. Zbl 0943.62031
Li, Qi; Wang, Suojin
1998
Exact and superlative index numbers. Zbl 0387.90046
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1976
Tobit models: A survey. Zbl 0539.62121
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1984
On leverage in a stochastic volatility model. Zbl 1335.91116
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2005
Estimation of copula-based semiparametric time series models. Zbl 1337.62201
Chen, Xiaohong; Fan, Yanqin
2006
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Zbl 1418.62425
Chen, Xiaohong; Fan, Yanqin
2006
Estimating covariation: Epps effect, microstructure noise. Zbl 1441.62911
Zhang, Lan
2011
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
1995
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
2007
Estimation of affine asset pricing models using the empirical characteristic function. Zbl 0973.62096
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2001
Multivariate regression models for panel data. Zbl 0512.62115
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1982
Global optimization of statistical functions with simulated annealing. Zbl 0789.62095
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1994
Volatility forecast comparison using imperfect volatility proxies. Zbl 1441.62830
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2011
Nonparametric estimation of regression functions with both categorical and continuous data. Zbl 1337.62062
Racine, Jeff; Li, Qi
2004
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models. Zbl 1360.62476
Lee, Lung-fei
2007
Testing for a unit root in panels with dynamic factors. Zbl 1282.62201
Moon, Hyungsik Roger; Perron, Benoit
2004
On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form. Zbl 0454.62096
Gallant, A. Ronald
1981
Quasi-maximum likelihood estimation of volatility with high frequency data. Zbl 1431.62485
Xiu, Dacheng
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.
1993
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
2007
The wild bootstrap, tamed at last. Zbl 1418.62183
Davidson, Russell; Flachaire, Emmanuel
2008
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517
Gonçalves, Sıĺvia; Kilian, Lutz
2004
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Zbl 1431.62636
Kelejian, Harry H.; Prucha, Ingmar R.
2010
A generalization of the beta distribution with applications. Zbl 0813.62011
McDonald, James B.; Xu, Yexiao J.
1995
Least squares model averaging by Mallows criterion. Zbl 1431.62291
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua
2010
Information criteria for selecting possibly misspecified parametric models. Zbl 0843.62089
Sin, Chor-Yiu; White, Halbert
1996
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
Tauchen, George
1985
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
2003
The dynamics of stochastic volatility: evidence from underlying and options markets. Zbl 1016.62122
Jones, Christopher S.
2003
Estimating continuous-time stochastic volatility models of the short-term interest rate. Zbl 0925.62529
Andersen, Torben G.; Lund, Jesper
1997
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
1997
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2011
GMM estimation with cross sectional dependence. Zbl 0944.62117
Conley, T. G.
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
2010
Current developments in time series modelling. Zbl 0667.62068
Priestley, M. B.
1988
Bayes inference in regression models with ARMA$$(p,q)$$ errors. Zbl 0807.62065
Chib, Siddhartha; Greenberg, Edward
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
2022
Estimating the COVID-19 infection rate: anatomy of an inference problem. Zbl 1464.62464
Manski, Charles F.; Molinari, Francesca
2021
Overlap in observational studies with high-dimensional covariates. Zbl 1471.62501
D&rsquo;Amour, Alexander; Ding, Peng; Feller, Avi; Lei, Lihua; Sekhon, Jasjeet
2021
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects. Zbl 07414288
Sun, Liyang; Abraham, Sarah
2021
Difference-in-differences with multiple time periods. Zbl 07414289
Callaway, Brantly; Sant&rsquo;Anna, Pedro H. C.
2021
Bootstrap based probability forecasting in multiplicative error models. Zbl 1464.62391
Perera, Indeewara; Silvapulle, Mervyn J.
2021
ExpectHill estimation, extreme risk and heavy tails. Zbl 1464.62279
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles
2021
Continuous record Laplace-based inference about the break date in structural change models. Zbl 07376505
Casini, Alessandro; Perron, Pierre
2021
Closed-form implied volatility surfaces for stochastic volatility models with jumps. Zbl 1471.91557
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu
2021
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models. Zbl 1471.62458
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping
2021
Autoregressive models for matrix-valued time series. Zbl 1471.62457
Chen, Rong; Xiao, Han; Yang, Dan
2021
Macroeconomic uncertainty prices when beliefs are tenuous. Zbl 1471.91307
Hansen, Lars Peter; Sargent, Thomas J.
2021
Inference in structural vector autoregressions identified with an external instrument. Zbl 07414281
Montiel Olea, José L.; Stock, James H.; Watson, Mark W.
2021
Inference in Bayesian proxy-SVARs. Zbl 07414282
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, Daniel F.
2021
Covariate-adjusted Fisher randomization tests for the average treatment effect. Zbl 07414292
Zhao, Anqi; Ding, Peng
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
2021
Identification and estimation of the SEIRD epidemic model for COVID-19. Zbl 1464.92248
Korolev, Ivan
2021
Consumer panic in the COVID-19 pandemic. Zbl 1464.62509
Keane, Michael; Neal, Timothy
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
2021
When will the Covid-19 pandemic peak? Zbl 1464.62456
Li, Shaoran; Linton, Oliver
2021
Heterogeneous structural breaks in panel data models. Zbl 1464.62519
Okui, Ryo; Wang, Wendun
2021
Detecting granular time series in large panels. Zbl 1464.62497
Brownlees, Christian; Mesters, Geert
2021
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables. Zbl 1464.62521
Qu, Xi; Lee, Lung-fei; Yang, Chao
2021
Optimal linear instrumental variables approximations. Zbl 1464.62503
Escanciano, Juan Carlos; Li, Wei
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
2021
Inference in time series models using smoothed-clustered standard errors. Zbl 07376510
Rho, Seunghwa; Vogelsang, Timothy J.
2021
Testing high-dimensional covariance matrices under the elliptical distribution and beyond. Zbl 1471.62381
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi
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
2021
Missing observations in observation-driven time series models. Zbl 1471.62456
Blasques, F.; Gorgi, P.; Koopman, S. J.
2021
Control variables, discrete instruments, and identification of structural functions. Zbl 1471.62540
Newey, Whitney; Stouli, Sami
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
2021
Estimation and inference in semiparametric quantile factor models. Zbl 1471.62332
Ma, Shujie; Linton, Oliver; Gao, Jiti
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
2021
Tail risk and return predictability for the Japanese equity market. Zbl 1471.62490
Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato
2021
High dimensional minimum variance portfolio estimation under statistical factor models. Zbl 1471.62493
Ding, Yi; Li, Yingying; Zheng, Xinghua
2021
Limit theorems for network dependent random variables. Zbl 1471.62536
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul
2021
Time-varying model averaging. Zbl 1471.62543
Sun, Yuying; Hong, Yongmiao; Lee, Tae-Hwy; Wang, Shouyang; Zhang, Xinyu
2021
Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores. Zbl 1471.62336
Heiler, Phillip; Kazak, Ekaterina
2021
Doubly robust difference-in-differences estimators. Zbl 1464.62254
Sant&rsquo;Anna, Pedro H. C.; Zhao, Jun
2020
The term structure of equity and variance risk premia. Zbl 1464.91072
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano
2020
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
2020
Factor-adjusted regularized model selection. Zbl 1456.62114
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng
2020
Multivariate spatial autoregressive model for large scale social networks. Zbl 1456.62229
Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng
2020
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models. Zbl 1456.62102
Fan, Jianqing; Feng, Yang; Xia, Lucy
2020
High-dimensional minimum variance portfolio estimation based on high-frequency data. Zbl 1456.62242
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
2020
Ultrahigh dimensional precision matrix estimation via refitted cross validation. Zbl 1456.62106
Wang, Luheng; Chen, Zhao; Wang, Christina Dan; Li, Runze
2020
Threshold factor models for high-dimensional time series. Zbl 1456.62210
Liu, Xialu; Chen, Rong
2020
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
2020
Inference for high-dimensional instrumental variables regression. Zbl 1456.62149
Gold, David; Lederer, Johannes; Tao, Jing
2020
Estimation of a multiplicative correlation structure in the large dimensional case. Zbl 1456.62103
Hafner, Christian M.; Linton, Oliver B.; Tang, Haihan
2020
Randomization inference for difference-in-differences with few treated clusters. Zbl 1464.62226
MacKinnon, James G.; Webb, Matthew D.
2020
Inference on distribution functions under measurement error. Zbl 1456.62057
Adusumilli, Karun; Kurisu, Daisuke; Otsu, Taisuke; Whang, Yoon-Jae
2020
Non-standard inference for augmented double autoregressive models with null volatility coefficients. Zbl 1456.62198
Jiang, Feiyu; Li, Dong; Zhu, Ke
2020
Sequential monitoring for changes from stationarity to mild non-stationarity. Zbl 1456.62192
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan
2020
Deviance information criterion for latent variable models and misspecified models. Zbl 1456.62045
Li, Yong; Yu, Jun; Zeng, Tao
2020
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. Zbl 1456.62274
Botosaru, Irene
2020
Volatility estimation and jump detection for drift-diffusion processes. Zbl 1456.62251
Laurent, Sébastien; Shi, Shuping
2020
Nearest comoment estimation with unobserved factors. Zbl 1456.62112
Boudt, Kris; Cornilly, Dries; Verdonck, Tim
2020
Nonlinearities and regimes in conditional correlations with different dynamics. Zbl 1456.62180
Bauwens, Luc; Otranto, Edoardo
2020
Spatial dynamic models with intertemporal optimization: specification and estimation. Zbl 1456.62290
Jeong, Hanbat; Lee, Lung-fei
2020
Asymptotic F tests under possibly weak identification. Zbl 1456.62211
Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin
2020
Regression discontinuity design with many thresholds. Zbl 1456.62268
Bertanha, Marinho
2020
Modeling time series when some observations are zero. Zbl 1456.62191
Harvey, Andrew; Ito, Ryoko
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
2020
Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. Zbl 1456.62265
Pretis, Felix
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
2020
Point optimal testing with roots that are functionally local to unity. Zbl 1464.62375
Bykhovskaya, Anna; Phillips, Peter C. B.
2020
Testing identification strength. Zbl 1464.62490
Antoine, Bertille; Renault, Eric
2020
Testing the impossible: identifying exclusion restrictions. Zbl 1464.62513
Kiviet, Jan F.
2020
A geometric approach to inference in set-identified entry games. Zbl 1464.62495
Bontemps, Christian; Kumar, Rohit
2020
Bootstrapping factor models with cross sectional dependence. Zbl 1464.62318
Gonçalves, Sílvia; Perron, Benoit
2020
Generic results for establishing the asymptotic size of confidence sets and tests. Zbl 1464.62489
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik
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
2020
Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids. Zbl 1464.91053
Gimenes, Nathalie; Guerre, Emmanuel
2020
Uniform nonparametric inference for time series. Zbl 1464.62386
Li, Jia; Liao, Zhipeng
2020
Nonparametric filtering of conditional state-price densities. Zbl 1456.62244
Dalderop, Jeroen
2020
On rank estimators in increasing dimensions. Zbl 1456.62142
Fan, Yanqin; Han, Fang; Li, Wei; Zhou, Xiao-Hua
2020
Inference in heavy-tailed vector error correction models. Zbl 1456.62216
She, Rui; Ling, Shiqing
2020
Robust estimation with many instruments. Zbl 1456.62307
Sølvsten, Mikkel
2020
Determining individual or time effects in panel data models. Zbl 1456.62298
Lu, Xun; Su, Liangjun
2020
A goodness-of-fit test for copulas based on martingale transformation. Zbl 1456.62086
Lu, Xiaohui; Zheng, Xu
2020
Hybrid stochastic local unit roots. Zbl 1456.62206
Lieberman, Offer; Phillips, Peter C. B.
2020
A robust procedure to build dynamic factor models with cluster structure. Zbl 1456.62176
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel
2020
Testing serial correlations in high-dimensional time series via extreme value theory. Zbl 1456.62222
Tsay, Ruey S.
2020
Estimation for double-nonlinear cointegration. Zbl 1456.62209
Lin, Yingqian; Tu, Yundong; Yao, Qiwei
2020
Asymptotic theory for near integrated processes driven by tempered linear processes. Zbl 1456.62215
Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B.
2020
Two-mode network autoregressive model for large-scale networks. Zbl 1456.62193
Huang, Danyang; Wang, Feifei; Zhu, Xuening; Wang, Hansheng
2020
Efficient estimation of heterogeneous coefficients in panel data models with common shocks. Zbl 1456.62294
Li, Kunpeng; Cui, Guowei; Lu, Lina
2020
Unobserved heterogeneity in auctions under restricted stochastic dominance. Zbl 1456.91055
Luo, Yao
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
2020
Estimating permanent price impact via machine learning. Zbl 1456.62304
Philip, R.
2020
Identifying dynamic discrete choice models off short panels. Zbl 1456.62267
Arcidiacono, Peter; Miller, Robert A.
2020
Issues in the estimation of mis-specified models of fractionally integrated processes. Zbl 1456.62212
Martin, Gael M.; Nadarajah, K.; Poskitt, D. S.
2020
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Zbl 1452.62890
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
2019
Dynamic semiparametric models for expected shortfall (and value-at-risk). Zbl 1452.62785
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui
2019
Large-dimensional factor modeling based on high-frequency observations. Zbl 1452.62786
Pelger, Markus
2019
Bayesian compressed vector autoregressions. Zbl 1452.62934
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide
2019
Generalized high-dimensional trace regression via nuclear norm regularization. Zbl 1452.62536
Fan, Jianqing; Gong, Wenyan; Zhu, Ziwei
2019
Achieving shrinkage in a time-varying parameter model framework. Zbl 1452.62216
Bitto, Angela; Frühwirth-Schnatter, Sylvia
2019
A Hausman test for the presence of market microstructure noise in high frequency data. Zbl 1452.62873
Aït-Sahalia, Yacine; Xiu, Dacheng
2019
...and 1389 more Documents
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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 ...and 19,424 more Authors
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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 475 Journal of Economic Dynamics & Control 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 340 The Annals of Statistics 314 Journal of Applied Statistics 241 Statistical Papers 239 Communications in Statistics. Simulation and Computation 215 The Econometrics Journal 200 Electronic Journal of Statistics 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 53 Journal of Systems Science and Complexity 52 Macroeconomic Dynamics 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 44 International Economic Review 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 37 Journal of Computational and Graphical Statistics 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 ...and 459 more Journals
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### Cited in 52 Fields

 15,834 Statistics (62-XX) 6,166 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,337 Numerical analysis (65-XX) 2,206 Probability theory and stochastic processes (60-XX) 1,033 Operations research, mathematical programming (90-XX) 335 Systems theory; control (93-XX) 222 Computer science (68-XX) 195 Biology and other natural sciences (92-XX) 126 Linear and multilinear algebra; matrix theory (15-XX) 113 Information and communication theory, circuits (94-XX) 110 Dynamical systems and ergodic theory (37-XX) 91 Partial differential equations (35-XX) 86 Ordinary differential equations (34-XX) 75 Geophysics (86-XX) 71 Harmonic analysis on Euclidean spaces (42-XX) 64 General and overarching topics; collections (00-XX) 57 Statistical mechanics, structure of matter (82-XX) 51 Calculus of variations and optimal control; optimization (49-XX) 49 History and biography (01-XX) 43 Combinatorics (05-XX) 37 Real functions (26-XX) 37 Approximations and expansions (41-XX) 31 Functional analysis (46-XX) 30 Integral equations (45-XX) 24 Special functions (33-XX) 23 Mechanics of deformable solids (74-XX) 22 Fluid mechanics (76-XX) 19 Operator theory (47-XX) 17 Mathematical logic and foundations (03-XX) 14 Measure and integration (28-XX) 14 Integral transforms, operational calculus (44-XX) 12 Number theory (11-XX) 11 Quantum theory (81-XX) 10 Astronomy and astrophysics (85-XX) 7 Relativity and gravitational theory (83-XX) 6 Difference and functional equations (39-XX) 6 Mechanics of particles and systems (70-XX) 6 Mathematics education (97-XX) 5 Differential geometry (53-XX) 5 Global analysis, analysis on manifolds (58-XX) 4 Classical thermodynamics, heat transfer (80-XX) 3 Functions of a complex variable (30-XX) 2 Field theory and polynomials (12-XX) 2 Group theory and generalizations (20-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 General algebraic systems (08-XX) 1 Algebraic geometry (14-XX) 1 Category theory; homological algebra (18-XX) 1 Sequences, series, summability (40-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Optics, electromagnetic theory (78-XX)