Content
January 2024, Volume 42, Issue 1
- 1-1 Associate Editors
by The Editors - 1-13 Assessing Sensitivity to Unconfoundedness: Estimation and Inference
by Matthew A. Masten & Alexandre Poirier & Linqi Zhang - 14-25 Identification of a Triangular Two Equation System Without Instruments
by Arthur Lewbel & Susanne M. Schennach & Linqi Zhang - 26-35 Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models
by Wu Wang & Zhongyi Zhu - 36-48 Covariance Model with General Linear Structure and Divergent Parameters
by Xinyan Fan & Wei Lan & Tao Zou & Chih-Ling Tsai - 49-63 Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse
by Yimeng Ren & Xuening Zhu & Xiaoling Lu & Guanyu Hu - 64-75 Likelihood Ratio Tests for Lorenz Dominance
by Shen-Da Chang & Philip E. Cheng & Michelle Liou - 76-94 Identification of Time-Varying Factor Models
by Ying Lun Cheung - 95-108 Estimation of a Structural Break Point in Linear Regression Models
by Yaein Baek - 109-121 Getting the ROC into Sync
by Liu Yang & Kajal Lahiri & Adrian Pagan - 122-134 Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
by Sium Bodha Hannadige & Jiti Gao & Mervyn J. Silvapulle & Param Silvapulle - 135-146 Bayesian Nonparametric Panel Markov-Switching GARCH Models
by Roberto Casarin & Mauro Costantini & Anthony Osuntuyi - 147-159 Two-Sample Testing for Tail Copulas with an Application to Equity Indices
by Sami Umut Can & John H. J. Einmahl & Roger J. A. Laeven - 160-173 Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
by Jungbin Hwang & Gonzalo Valdés - 174-186 Optimal Subsampling Bootstrap for Massive Data
by Yingying Ma & Chenlei Leng & Hansheng Wang - 187-196 Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
by Xinyu Zhang & Huihang Liu & Yizheng Wei & Yanyuan Ma - 197-214 Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
by Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek - 215-228 On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
by Xinyu Zhang & Dong Li & Howell Tong - 229-242 On Bivariate Time-Varying Price Staleness
by Haibin Zhu & Zhi Liu - 243-256 Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators
by Xu Guo & Runze Li & Jingyuan Liu & Mudong Zeng - 257-271 A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection
by Long Feng & Binghui Liu & Yanyuan Ma - 272-285 Probabilistic Forecast Reconciliation under the Gaussian Framework
by Shanika L. Wickramasuriya - 286-297 High-Dimensional Censored Regression via the Penalized Tobit Likelihood
by Tate Jacobson & Hui Zou - 298-309 Two-Directional Simultaneous Inference for High-Dimensional Models
by Wei Liu & Huazhen Lin & Jin Liu & Shurong Zheng - 310-321 Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
by Jiti Gao & Bin Peng & Yayi Yan - 322-334 Matrix Factor Analysis: From Least Squares to Iterative Projection
by Yong He & Xinbing Kong & Long Yu & Xinsheng Zhang & Changwei Zhao - 335-346 A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior
by Zhongfang He
October 2023, Volume 41, Issue 4
- 1011-1029 Risk Preference Types, Limited Consideration, and Welfare
by Levon Barseghyan & Francesca Molinari - 1030-1034 Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)
by Matias D. Cattaneo & Xinwei Ma & Yusufcan Masatlioglu - 1035-1038 Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari
by Cristina Gualdani - 1039-1041 Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari
by Elisabeth Honka - 1042-1045 Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare”
by Julie Holland Mortimer - 1046-1049 Rejoinder
by Levon Barseghyan & Francesca Molinari - 1050-1064 Spatial Correlation Robust Inference in Linear Regression and Panel Models
by Ulrich K. Müller & Mark W. Watson - 1065-1076 Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
by Danny Klinenberg - 1077-1089 Identification of SVAR Models by Combining Sign Restrictions With External Instruments
by Robin Braun & Ralf Brüggemann - 1090-1100 Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis
by Danning Li & Arun Srinivasan & Qian Chen & Lingzhou Xue - 1101-1115 Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors
by Xuehu Zhu & Qiming Zhang & Lixing Zhu & Jun Zhang & Luoyao Yu - 1116-1131 Bagged Pretested Portfolio Selection
by Ekaterina Kazak & Winfried Pohlmeier - 1132-1142 LASSO for Stochastic Frontier Models with Many Efficient Firms
by William C. Horrace & Hyunseok Jung & Yoonseok Lee - 1143-1156 Procurements with Bidder Asymmetry in Cost and Risk-Aversion
by Gaurab Aryal & Hanna Charankevich & Seungwon Jeong & Dong-Hyuk Kim - 1157-1172 Nonparametric Prediction Distribution from Resolution-Wise Regression with Heterogeneous Data
by Jialu Li & Wan Zhang & Peiyao Wang & Qizhai Li & Kai Zhang & Yufeng Liu - 1173-1187 Nonparametric Option Pricing with Generalized Entropic Estimators
by Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison - 1188-1202 When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
by Laurent Ferrara & Anna Simoni - 1203-1214 Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering
by Alexander Henzi - 1215-1227 Overnight GARCH-Itô Volatility Models
by Donggyu Kim & Minseok Shin & Yazhen Wang - 1228-1237 A Scalable Frequentist Model Averaging Method
by Rong Zhu & Haiying Wang & Xinyu Zhang & Hua Liang - 1238-1250 Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models
by Xiaoyu Zhang & Di Wang & Heng Lian & Guodong Li - 1251-1261 Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
by Jeffrey S. Racine & Qi Li & Dalei Yu & Li Zheng - 1262-1273 Testing Stability in Functional Event Observations with an Application to IPO Performance
by Lajos Horváth & Zhenya Liu & Gregory Rice & Shixuan Wang & Yaosong Zhan - 1274-1287 Extremal Dependence-Based Specification Testing of Time Series
by Yannick Hoga - 1288-1299 Corporate Probability of Default: A Single-Index Hazard Model Approach
by Shaobo Li & Shaonan Tian & Yan Yu & Xiaorui Zhu & Heng Lian - 1300-1314 Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
by Lajos Horváth & Lorenzo Trapani - 1315-1327 Generalized Covariance Estimator
by Christian Gourieroux & Joann Jasiak - 1328-1340 Teacher-to-Classroom Assignment and Student Achievement
by Bryan S. Graham & Geert Ridder & Petra Thiemann & Gema Zamarro - 1341-1351 Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
by Markku Lanne & Keyan Liu & Jani Luoto - 1352-1363 Fast Variational Bayes Methods for Multinomial Probit Models
by Rubén Loaiza-Maya & Didier Nibbering - 1364-1376 Spectral Estimation of Large Stochastic Blockmodels with Discrete Nodal Covariates
by Angelo Mele & Lingxin Hao & Joshua Cape & Carey E. Priebe - 1377-1390 From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference
by Huijuan Ma & Jing Qin & Yong Zhou - 1391-1403 Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs
by Léopold Simar & Paul W. Wilson
July 2023, Volume 41, Issue 3
- 653-666 Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
by Yiannis Karavias & Paresh Kumar Narayan & Joakim Westerlund - 667-682 Using Survey Information for Improving the Density Nowcasting of U.S. GDP
by Cem Çakmakl i & Hamza Demircan - 683-694 Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
by Sílvia Gonçalves & Ulrich Hounyo & Andrew J. Patton & Kevin Sheppard - 695-707 Identification and Estimation of Multinomial Choice Models with Latent Special Covariates
by Nail Kashaev - 708-719 Forecasting with Economic News
by Luca Barbaglia & Sergio Consoli & Sebastiano Manzan - 720-736 Panel Data Quantile Regression for Treatment Effect Models
by Takuya Ishihara - 737-751 Testing for Unobserved Heterogeneity via k-means Clustering
by Andrew J. Patton & Brian M. Weller - 752-764 Structural Breaks in Grouped Heterogeneity
by Simon C. Smith - 765-777 Combining p-values for Multivariate Predictive Ability Testing
by Lars Spreng & Giovanni Urga - 778-790 Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
by Yousef Kaddoura & Joakim Westerlund - 791-805 Culling the Herd of Moments with Penalized Empirical Likelihood
by Jinyuan Chang & Zhentao Shi & Jia Zhang - 806-818 Network Gradient Descent Algorithm for Decentralized Federated Learning
by Shuyuan Wu & Danyang Huang & Hansheng Wang - 819-832 Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
by Carlos Velasco - 833-845 Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
by Gustav Alfelt & Taras Bodnar & Farrukh Javed & Joanna Tyrcha - 846-861 Detection of Multiple Structural Breaks in Large Covariance Matrices
by Yu-Ning Li & Degui Li & Piotr Fryzlewicz - 862-875 A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
by Guowei Cui & Kazuhiko Hayakawa & Shuichi Nagata & Takashi Yamagata - 876-889 Tail Risk Inference via Expectiles in Heavy-Tailed Time Series
by Anthony C. Davison & Simone A. Padoan & Gilles Stupfler - 890-905 Large Hybrid Time-Varying Parameter VARs
by Joshua C. C. Chan - 906-914 Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation
by Harold D. Chiang & Bing Yang Tan - 915-926 Covariate-Assisted Community Detection in Multi-Layer Networks
by Shirong Xu & Yaoming Zhen & Junhui Wang - 927-938 Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities
by Joel L. Horowitz & Sokbae Lee - 939-956 Estimation of Leverage Effect: Kernel Function and Efficiency
by Xiye Yang - 957-967 Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates
by Dongxiao Han & Jian Huang & Yuanyuan Lin & Lei Liu & Lianqiang Qu & Liuquan Sun - 968-982 News-Driven Uncertainty Fluctuations
by Dongho Song & Jenny Tang - 983-994 Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
by Tomohiro Ando & Jushan Bai - 995-1009 Can a Machine Correct Option Pricing Models?
by Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang
April 2023, Volume 41, Issue 2
- 283-297 -Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model
by Zhewen Pan & Jianhui Xie - 298-308 Dynamic Score-Driven Independent Component Analysis
by Christian M. Hafner & Helmut Herwartz - 309-320 No-Crossing Single-Index Quantile Regression Curve Estimation
by Rong Jiang & Keming Yu - 321-338 Identification-Robust Inference With Simulation-Based Pseudo-Matching
by Bertille Antoine & Lynda Khalaf & Maral Kichian & Zhenjiang Lin - 339-348 Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
by Yuya Sasaki & Yulong Wang - 349-363 Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
by Laura Liu - 364-376 On Testing Equal Conditional Predictive Ability Under Measurement Error
by Yannick Hoga & Timo Dimitriadis - 377-387 Multi-Threshold Structural Equation Model
by Jingli Wang & Jialiang Li - 388-398 Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States
by Jingfei Zhang & Biao Cai & Xuening Zhu & Hansheng Wang & Ganggang Xu & Yongtao Guan - 399-413 A Novel Estimation Method in Generalized Single Index Models
by Dixin Zhang & Yulin Wang & Hua Liang - 414-428 A Statistical Recurrent Stochastic Volatility Model for Stock Markets
by Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & Robert Kohn - 429-439 Bayesian Dynamic Tensor Regression
by Monica Billio & Roberto Casarin & Matteo Iacopini & Sylvia Kaufmann - 440-452 Predicting the Global Minimum Variance Portfolio
by Laura Reh & Fabian Krüger & Roman Liesenfeld - 453-466 Testing for Trend Specifications in Panel Data Models
by Jilin Wu & Xiaojun Song & Zhijie Xiao - 467-481 Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference
by Yukitoshi Matsushita & Taisuke Otsu & Keisuke Takahata - 482-496 Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
by Matteo Iacopini & Francesco Ravazzolo & Luca Rossini - 497-508 Locally Stationary Multiplicative Volatility Modeling
by Christopher Walsh & Michael Vogt - 509-522 Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
by Wenxin Huang & Liangjun Su & Yuan Zhuang - 523-537 Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
by Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk - 538-549 Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
by Ilze Kalnina - 550-562 QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
by Lung-Fei Lee & Chao Yang & Jihai Yu - 563-577 Reconciled Estimates of Monthly GDP in the United States
by Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon - 578-592 Skilled Mutual Fund Selection: False Discovery Control Under Dependence
by Lijia Wang & Xu Han & Xin Tong - 593-607 Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects
by Kerem Tuzcuoglu - 608-623 Simultaneous Spatial Panel Data Models with Common Shocks
by Lina Lu - 624-635 Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design
by Yuanyuan Lin & Jinhan Xie & Ruijian Han & Niansheng Tang - 636-649 Circularly Projected Common Factors for Grouped Data
by Mingjing Chen - 650-652 Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models
by The Editors
December 2022, Volume 41, Issue 1
- 1-11 Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data
by Robert Moffitt & John Abowd & Christopher Bollinger & Michael Carr & Charles Hokayem & Kevin McKinney & Emily Wiemers & Sisi Zhang & James Ziliak - 12-19 Trends in Earnings Volatility Using Linked Administrative and Survey Data
by James P. Ziliak & Charles Hokayem & Christopher R. Bollinger - 20-25 Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics
by Robert Moffitt & Sisi Zhang - 26-32 Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data
by Michael D. Carr & Robert A. Moffitt & Emily E. Wiemers - 33-39 Male Earnings Volatility in LEHD Before, During, and After the Great Recession
by Kevin L. McKinney & John M. Abowd - 40-52 Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
by Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos - 53-66 Volatility Estimation When the Zero-Process is Nonstationary
by Christian Francq & Genaro Sucarrat - 67-79 Composite Index Construction with Expert Opinion
by Rong Chen & Yuanyuan Ji & Guolin Jiang & Han Xiao & Ruoqing Xie & Pingfang Zhu - 80-96 Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components
by Lai Hung-pin & Subal C. Kumbhakar - 97-110 Optimal Covariate Balancing Conditions in Propensity Score Estimation
by Jianqing Fan & Kosuke Imai & Inbeom Lee & Han Liu & Yang Ning & Xiaolin Yang - 111-125 Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
by Donghang Luo & Ke Zhu & Huan Gong & Dong Li - 126-139 Inference in Sparsity-Induced Weak Factor Models
by Yoshimasa Uematsu & Takashi Yamagata - 140-156 Optimal Shrinkage-Based Portfolio Selection in High Dimensions
by Taras Bodnar & Yarema Okhrin & Nestor Parolya - 157-169 Kernel Averaging Estimators
by Rong Zhu & Xinyu Zhang & Alan T. K. Wan & Guohua Zou - 170-183 Time Series Approach to the Evolution of Networks: Prediction and Estimation
by Anna Bykhovskaya - 184-196 Test for Market Timing Using Daily Fund Returns
by Lei Jiang & Weimin Liu & Liang Peng - 197-212 Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence
by Sonja C. de New & Stefanie Schurer - 213-227 Estimation of Sparsity-Induced Weak Factor Models
by Yoshimasa Uematsu & Takashi Yamagata - 228-240 Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
by Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai - 241-254 Bootstrap Tests for High-Dimensional White-Noise
by Lengyang Wang & Efang Kong & Yingcun Xia - 255-269 Extreme Value Estimation for Heterogeneous Data
by John H. J. Einmahl & Yi He - 270-281 Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
by Jad Beyhum & Eric Gautier
October 2022, Volume 40, Issue 4
- 1415-1425 Narrative Restrictions and Proxies
by Raffaella Giacomini & Toru Kitagawa & Matthew Read - 1426-1428 Comments on “Narrative Restrictions and Proxies” by Giacomini, Kitagawa, and Read
by Juan Rubio-Ramírez - 1429-1433 Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”
by Lutz Kilian - 1434-1437 Discussion of “Narrative Restrictions and Proxies” by Raffaella Giacomini, Toru Kitagawa, and Matthew Read
by Mikkel Plagborg-Møller - 1438-1441 Narrative Restrictions and Proxies: Rejoinder
by Raffaella Giacomini & Toru Kitagawa & Matthew Read - 1442-1454 Hedging With Linear Regressions and Neural Networks
by Johannes Ruf & Weiguan Wang - 1455-1469 Nonparametric Specification Testing of Conditional Asset Pricing Models
by Francisco Peñaranda & Juan M. Rodríguez-Poo & Stefan Sperlich - 1470-1483 High-Dimensional Mixed-Frequency IV Regression
by Andrii Babii - 1484-1497 Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling
by Hang Qian - 1498-1508 Efficient Estimation for Models With Nonlinear Heteroscedasticity
by Zhanxiong Xu & Zhibiao Zhao - 1509-1522 Fast Bayesian Record Linkage With Record-Specific Disagreement Parameters
by Thomas Stringham - 1523-1537 Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency
by Haozhe Zhang & Yehua Li - 1538-1551 Using Triples to Assess Symmetry Under Weak Dependence
by Zacharias Psaradakis & Marián Vávra - 1552-1568 Multiple Testing and the Distributional Effects of Accountability Incentives in Education
by Steven F. Lehrer & R. Vincent Pohl & Kyungchul Song - 1569-1582 Efficient Covariate Balancing for the Local Average Treatment Effect
by Phillip Heiler - 1583-1595 A Unified Framework for Estimation in Lognormal Models
by Fengqing Zhang & Jiangtao Gou - 1596-1616 Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
by Sébastien Fries - 1617-1628 Inward and Outward Network Influence Analysis
by Yujia Wu & Wei Lan & Tao Zou & Chih-Ling Tsai - 1629-1641 Collaborative Filtering With Awareness of Social Networks
by Xianshi Yu & Ting Li & Ningchen Ying & Bing-Yi Jing - 1642-1664 Interpretable Sparse Proximate Factors for Large Dimensions
by Markus Pelger & Ruoxuan Xiong - 1665-1677 A Synthetic Regression Model for Large Portfolio Allocation
by Gaorong Li & Lei Huang & Jin Yang & Wenyang Zhang - 1678-1690 Scalable Bayesian Estimation in the Multinomial Probit Model
by Rubén Loaiza-Maya & Didier Nibbering - 1691-1700 A Note on Distributed Quantile Regression by Pilot Sampling and One-Step Updating
by Rui Pan & Tunan Ren & Baishan Guo & Feng Li & Guodong Li & Hansheng Wang - 1701-1717 LATE With Missing or Mismeasured Treatment
by Rossella Calvi & Arthur Lewbel & Denni Tommasi - 1718-1731 Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures
by Shouxia Wang & Tao Huang & Jinhong You & Ming-Yen Cheng - 1732-1744 High-Dimensional Model-Assisted Inference for Local Average Treatment Effects With Instrumental Variables
by Baoluo Sun & Zhiqiang Tan - 1745-1758 Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors
by Ovidijus Stauskas & Joakim Westerlund - 1759-1771 Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data
by Yujie Liao & Jingyuan Liu & Donna L. Coffman & Runze Li - 1772-1783 Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
by Maddalena Cavicchioli - 1784-1802 Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
by Xuan Liang & Jiti Gao & Xiaodong Gong - 1803-1816 Inference in Games Without Equilibrium Restriction: An Application to Restaurant Competition in Opening Hours
by Erhao Xie - 1817-1830 A Unified Framework for Specification Tests of Continuous Treatment Effect Models
by Wei Huang & Oliver Linton & Zheng Zhang - 1831-1848 Transformed Estimation for Panel Interactive Effects Models
by Cheng Hsiao & Zhentao Shi & Qiankun Zhou - 1849-1862 Posterior Average Effects
by Stéphane Bonhomme & Martin Weidner - 1863-1875 Local Composite Quantile Regression for Regression Discontinuity
by Xiao Huang & Zhaoguo Zhan - 1876-1891 Asymptotically Valid Bootstrap Inference for Proxy SVARs
by Carsten Jentsch & Kurt G. Lunsford - 1892-1903 Feature Screening for Massive Data Analysis by Subsampling
by Xuening Zhu & Rui Pan & Shuyuan Wu & Hansheng Wang - 1904-1918 Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
by Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante
June 2022, Volume 40, Issue 3
- 937-949 Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
by Sofia Anyfantaki & Esfandiar Maasoumi & Jue Ren & Nikolas Topaloglou - 950-964 Quasi-Experimental Evaluation of Alternative Sample Selection Corrections
by Robert Garlick & Joshua Hyman - 965-979 Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
by Alexander Chudik & Georgios Georgiadis - 980-994 Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
by Guochang Wang & Ke Zhu & Xiaofeng Shao - 995-1006 Measuring Social Interaction Effects When Instruments Are Weak
by Stephen L. Ross & Zhentao Shi - 1007-1019 Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
by Kashif Yousuf & Yang Feng - 1020-1033 Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders
by Jayeeta Bhattacharya & Nathalie Gimenes & Emmanuel Guerre - 1034-1045 Nonparametric Instrumental Regression With Right Censored Duration Outcomes
by Jad Beyhum & Jean-Pierre Florens & Ingrid Van Keilegom - 1046-1056 Multiway Cluster Robust Double/Debiased Machine Learning
by Harold D. Chiang & Kengo Kato & Yukun Ma & Yuya Sasaki - 1057-1069 Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
by Sander Barendse & Andrew J. Patton - 1070-1080 A Two-Step Method for Testing Many Moment Inequalities
by Yuehao Bai & Andres Santos & Azeem M. Shaikh - 1081-1093 Quantile Correlation-based Variable Selection
by Wenlu Tang & Jinhan Xie & Yuanyuan Lin & Niansheng Tang - 1094-1106 Machine Learning Time Series Regressions With an Application to Nowcasting
by Andrii Babii & Eric Ghysels & Jonas Striaukas - 1107-1122 Testing for Common Trends in Nonstationary Large Datasets
by Matteo Barigozzi & Lorenzo Trapani - 1123-1139 Estimation and Inference for Multi-Kink Quantile Regression
by Wei Zhong & Chuang Wan & Wenyang Zhang - 1140-1152 Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
by Jean-Marie Dufour & Denis Pelletier - 1153-1167 Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data
by Min Seong Kim - 1168-1178 Transformation Models in High Dimensions
by Sven Klaassen & Jannis Kueck & Martin Spindler - 1179-1190 Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
by Gianluca Frasso & Paul H.C. Eilers - 1191-1203 The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
by Artūras Juodis & Simon Reese - 1204-1215 High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions
by Xin Chen & Jia Zhang & Wang Zhou - 1216-1233 The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
by Marc K. Chan & Simon S. Kwok - 1234-1245 High-Dimensional Interaction Detection With False Sign Rate Control
by Daoji Li & Yinfei Kong & Yingying Fan & Jinchi Lv - 1246-1258 Binary Conditional Forecasts
by Michael W. McCracken & Joseph T. McGillicuddy & Michael T. Owyang - 1259-1267 Local Polynomial Order in Regression Discontinuity Designs
by Zhuan Pei & David S. Lee & David Card & Andrea Weber