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Eben Lazarus

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mihir Gandhi & Niels Joachim Gormsen & Eben Lazarus, 2023. "Forward Return Expectations," NBER Working Papers 31687, National Bureau of Economic Research, Inc.

    Cited by:

    1. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    2. Paul Schmidt-Engelbertz & Kaushik Vasudevan, 2024. "Speculating on Higher Order Beliefs," CESifo Working Paper Series 11217, CESifo.

  2. Ned Augenblick & Eben Lazarus & Michael Thaler, 2021. "Overinference from Weak Signals and Underinference from Strong Signals," Papers 2109.09871, arXiv.org, revised Jun 2024.

    Cited by:

    1. Thomas Graeber & Shakked Noy & Christopher Roth, 2025. "The Transmission of Reliable and Unreliable Information," ECONtribute Discussion Papers Series 371, University of Bonn and University of Cologne, Germany.
    2. Mel Win Khaw & Ziang Li & Michael Woodford, 2022. "Cognitive Imprecision and Stake-Dependent Risk Attitudes," CESifo Working Paper Series 9923, CESifo.
    3. Luca Braghieri, 2023. "Biased Decoding and the Foundations of Communication," CESifo Working Paper Series 10432, CESifo.
    4. Kenneth Chan & Gary Charness & Chetan Dave & J. Lucas Reddinger, 2024. "On Prior Confidence and Belief Updating," Papers 2412.10662, arXiv.org, revised May 2025.
    5. Charlotte Cordes & Jana Friedrichsen & Simeon Schudy, 2023. "Motivated Procrastination," Rationality and Competition Discussion Paper Series 471, CRC TRR 190 Rationality and Competition.
    6. Barahona, Ricardo & Cassella, Stefano & Jansen, Kristy A.E. & Pezone, Vincenzo, 2026. "Do teams alleviate or exacerbate overreaction in beliefs?," Journal of Financial Economics, Elsevier, vol. 176(C).
    7. Philipp Denter & Boris Ginzburg, 2024. "Troll Farms," Papers 2411.03241, arXiv.org, revised May 2026.
    8. Larry G Epstein & Kaushil Patel, 2024. "Identifying Heterogeneous Decision Rules From Choices When Menus Are Unobserved," Papers 2405.09500, arXiv.org.
    9. Yongheng Hu, 2025. "How Big Data Dilutes Cognitive Resources, Interferes with Rational Decision-making and Affects Wealth Distribution ?," Papers 2508.20435, arXiv.org, revised Aug 2025.

Articles

  1. Ned Augenblick & Eben Lazarus & Michael Thaler, 2025. "Overinference from Weak Signals and Underinference from Strong Signals," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 140(1), pages 335-401.
    See citations under working paper version above.
  2. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.

    Cited by:

    1. Beckmeyer, Heiner & Meyerhof, Paul, 2025. "The short-duration premium and news announcements," Journal of Banking & Finance, Elsevier, vol. 176(C).
    2. Chen, Shan & Li, Tao, 2025. "A unified duration-based explanation of the value, profitability, and investment anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
    3. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    4. Wenlian Gao, 2024. "Cash flow duration and market reactions to earnings announcements," Review of Quantitative Finance and Accounting, Springer, vol. 63(2), pages 679-714, August.
    5. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    6. Yuichi Fukuta & Akiko Yamane, 2024. "Implied Equity Duration: Lessons from the Japanese Financial Crises," Discussion Papers in Economics and Business 24-08, Osaka University, Graduate School of Economics.
    7. Pujian Yang & Liu Yang, 2025. "Change of the disposition effect and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 26(5), pages 489-505, September.
    8. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    9. Laarits, Toomas & Sammon, Marco, 2025. "The retail habitat," Journal of Financial Economics, Elsevier, vol. 172(C).
    10. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    11. Taussig, Roi D., 2025. "Cash duration, risk, and implications for stock returns," Finance Research Letters, Elsevier, vol. 79(C).
    12. Darmouni, O. & Giesecke, O. & Rodnyansky, R., 2020. "The Bond Lending Channel of Monetary Policy," Cambridge Working Papers in Economics 2049, Faculty of Economics, University of Cambridge.
    13. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    14. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    15. Golez, Benjamin & Koudijs, Peter, 2025. "Equity duration and predictability," Journal of Financial Economics, Elsevier, vol. 172(C).
    16. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    17. Alessandro Sbuelz, 2025. "Equilibrium asset pricing with short rate risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 93-125, June.
    18. Zaremba, Adam & Cakici, Nusret & Demir, Ender & Long, Huaigang, 2022. "When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns," Journal of Financial Stability, Elsevier, vol. 58(C).
    19. Chaudhry, Aditya, 2025. "The impact of prices on analyst cash flow expectations: Reconciling subjective beliefs data with rational discount rate variation," Journal of Financial Economics, Elsevier, vol. 171(C).
    20. Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
    21. Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov, 0. "Coronavirus: Impact on Stock Prices and Growth Expectations," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 574-597.
    22. van Binsbergen, Jules, 2020. "Duration-Based Stock Valuation," CEPR Discussion Papers 14904, Centre for Economic Policy Research.
    23. Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
    24. Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
    25. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    26. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    27. Demirer, Riza & Polat, Onur & Sokhanvar, Amin, 2025. "Do oil price shocks drive systematic risk premia in stock markets? A novel investment application," Research in International Business and Finance, Elsevier, vol. 73(PA).
    28. Zeng, Ming & Zhao, Guihai, 2026. "Expectation-driven term structure of equity and bond yields," Journal of Monetary Economics, Elsevier, vol. 157(C).

  3. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.

    Cited by:

    1. Demetrescu, Matei & Hanck, Christoph & Kruse-Becher, Robinson, 2026. "Robust Fixed-b Inference in the Presence of Time-Varying Volatility," Econometrics and Statistics, Elsevier, vol. 37(C), pages 154-173.
    2. Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
    3. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    4. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
    5. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    6. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    7. Kaicheng Chen & Timothy J. Vogelsang, 2023. "Fixed-b Asymptotics for Panel Models with Two-Way Clustering," Papers 2309.08707, arXiv.org, revised Aug 2024.
    8. Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
    9. Hwang, Taeyoon & Vogelsang, Timothy J., 2024. "Some fixed-b results for regressions with high frequency data over long spans," Journal of Econometrics, Elsevier, vol. 244(2).
    10. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    11. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
    12. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
    13. Koichiro Moriya & Akihiko Noda, 2026. "Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," Papers 2601.21272, arXiv.org, revised Apr 2026.
    14. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
    15. Yang, Jingjing & Vogelsang, Timothy J., 2025. "A bias reduced long run variance estimator with a new first-order kernel," Economics Letters, Elsevier, vol. 252(C).
    16. Timothy J. Vogelsang, 2026. "Testing Hypotheses About Ratios of Linear Trend Slopes in Systems of Equations with a Focus on Tests of Equal Trend Ratios," Papers 2602.23482, arXiv.org.
    17. Ulrich Hounyo & Min Seong Kim, 2025. "Robust Two-Sample Mean Inference under Serial Dependence," Papers 2512.11259, arXiv.org, revised Dec 2025.
    18. Chen, Kaicheng & Vogelsang, Timothy J., 2024. "Fixed-b asymptotics for panel models with two-way clustering," Journal of Econometrics, Elsevier, vol. 244(1).

  4. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018. "HAR Inference: Recommendations for Practice," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 541-559, October.

    Cited by:

    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    3. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    4. Sergio Correia & Stephan Luck & Emil Verner, 2025. "Failing Banks," Papers 2506.06082, arXiv.org.
    5. Farmer, Leland E & Nakamura, Emi & Steinsson, Jón, 2024. "Learning about the Long Run," Department of Economics, Working Paper Series qt0tn1s1hp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
    7. Filip Stanek, 2021. "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers wp712, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
    9. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    10. Demetrescu, Matei & Hanck, Christoph & Kruse-Becher, Robinson, 2026. "Robust Fixed-b Inference in the Presence of Time-Varying Volatility," Econometrics and Statistics, Elsevier, vol. 37(C), pages 154-173.
    11. J. Hidalgo & M. Schafgans, 2020. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Papers 2006.14409, arXiv.org.
    12. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    13. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    14. Xu, Zhihao & Hurvich, Clifford M., 2026. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Econometrics and Statistics, Elsevier, vol. 37(C), pages 214-229.
    15. Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023. "Testing the predictive accuracy of COVID-19 forecasts," International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
    16. Mohamed Saleh & Jean Tirole, 2021. "Taxing Identity: Theory and Evidence From Early Islam," Econometrica, Econometric Society, vol. 89(4), pages 1881-1919, July.
    17. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    18. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    19. Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
    20. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora, 2022. "On Robust Inference in Time Series Regression," Papers 2203.04080, arXiv.org, revised May 2024.
    21. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    22. Kolokotrones, Thomas & Stock, James H. & Walker, Christopher D., 2024. "Is Newey–West optimal among first-order kernels?," Journal of Econometrics, Elsevier, vol. 240(2).
    23. Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
    24. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," LSE Research Online Documents on Economics 107426, London School of Economics and Political Science, LSE Library.
    25. Rho, Seunghwa & Vogelsang, Timothy J., 2021. "Inference in time series models using smoothed-clustered standard errors," Journal of Econometrics, Elsevier, vol. 224(1), pages 113-133.
    26. Abhimanyu Gupta & Myung Hwan Seo, 2023. "Robust Inference on Infinite and Growing Dimensional Time‐Series Regression," Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
    27. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    28. Alexander Henzi & Johanna F Ziegel, 2022. "Valid sequential inference on probability forecast performance [A comparison of the ECMWF, MSC, and NCEP global ensemble prediction systems]," Biometrika, Biometrika Trust, vol. 109(3), pages 647-663.
    29. Marc-Oliver Pohle & Tanja Zahn & Sebastian Lerch, 2026. "Uncertainty Quantification in Forecast Comparisons," Papers 2605.03997, arXiv.org.
    30. Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
    31. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    32. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.
    33. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    34. Daniel J. Lewis & Christos Makridis & Karel Mertens, 2019. "Do Monetary Policy Announcements Shift Household Expectations?," Staff Reports 897, Federal Reserve Bank of New York.
    35. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    36. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    37. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    38. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
    39. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    40. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2021. "Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling," Papers 2106.03156, arXiv.org, revised Oct 2021.
    41. Aslanidis, Nektarios & Koursaros, Demetris & Otto, Glenn, 2024. "Asymmetry in inflation persistence under inflation targeting," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
    42. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    43. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
    44. Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    45. Stephen Taylor & Ming Fang, 2018. "Unbiased weighted variance and skewness estimators for overlapping returns," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-8, December.
    46. Eugene Dettaa & Endong Wang, 2024. "Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality," Papers 2410.04330, arXiv.org, revised Feb 2026.
    47. Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org, revised Aug 2025.
    48. José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
    49. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    50. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
    51. Yacouba Boubacar Maïnassara & Eugen Ursu, 2023. "Estimating weak periodic vector autoregressive time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(3), pages 958-997, September.
    52. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
    53. Matthieu Picault & Julien Pinter & Thomas Renault, 2022. "Media sentiment on monetary policy: Determinants and relevance for inflation expectations," Post-Print hal-03810447, HAL.
    54. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers 1912.06307, arXiv.org, revised Feb 2021.
    55. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
    56. David T. Frazier & Donald S. Poskitt, 2025. "Sequential Scoring Rule Evaluation for Forecast Method Selection," Papers 2505.09090, arXiv.org.
    57. Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025. "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers 2507.14621, arXiv.org, revised Jul 2025.
    58. Ulrich K. Muller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Papers 2102.09353, arXiv.org.
    59. Minchul Shin & Nathan Schor, 2026. "ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics," Papers 2603.07458, arXiv.org.
    60. Goodell, John W. & Gurdgiev, Constantin & Paltrinieri, Andrea & Piserà, Stefano, 2024. "Do price caps assist monetary authorities to control inflation? Examining the impact of the natural gas price cap on TTF spikes," Energy Economics, Elsevier, vol. 131(C).
    61. Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
    62. Pellatt , Daniel & Sun, Yixiao, 2020. "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series qt19f0d9wz, Department of Economics, UC San Diego.
    63. Hwang, Taeyoon & Vogelsang, Timothy J., 2024. "Some fixed-b results for regressions with high frequency data over long spans," Journal of Econometrics, Elsevier, vol. 244(2).
    64. Jungbin Hwang & Gonzalo Valdés, 2025. "HAR Inference for Quantile Regression in Time Series," Working papers 2025-03, University of Connecticut, Department of Economics, revised Mar 2026.
    65. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    66. Lundin, Erik, 2026. "Who Pays When Generation Fails? Cross-Border Effects of Swedish Nuclear Outages," Working Paper Series 1556, Research Institute of Industrial Economics.
    67. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    68. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
    69. Xu, Ke-Li, 2021. "On the serial correlation in multi-horizon predictive quantile regression," Economics Letters, Elsevier, vol. 200(C).
    70. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    71. Yu, Shuo, 2024. "Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 344060, Agricultural and Applied Economics Association.
    72. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    73. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A New Jackknife Variance Estimator for Time-Series and Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    74. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    75. Ya‐Ming Liu & Chon‐Kit Ao, 2021. "Effect of air pollution on health care expenditure: Evidence from respiratory diseases," Health Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 858-875, April.
    76. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    77. Pellatt, Daniel F. & Sun, Yixiao, 2023. "Asymptotic F test in regressions with observations collected at high frequency over long span," Journal of Econometrics, Elsevier, vol. 235(2), pages 1281-1309.
    78. Xuexin Wang & Yixiao Sun, 2019. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Working Papers 2019-05-24, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    79. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
    80. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
    81. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
    82. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
    83. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    84. Masahiro Tanaka, 2025. "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers 2503.20249, arXiv.org, revised May 2026.
    85. Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2025. "Fast inference for quantile regression with tens of millions of observations," Journal of Econometrics, Elsevier, vol. 249(PA).
    86. Filip Staněk, 2023. "Optimal out‐of‐sample forecast evaluation under stationarity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2249-2279, December.
    87. David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
    88. Rodrigo Ad~ao & Michal Koles'ar & Eduardo Morales, 2018. "Shift-Share Designs: Theory and Inference," Papers 1806.07928, arXiv.org, revised Aug 2019.
    89. Coroneo, Laura & Iacone, Fabrizio, 2025. "Testing for equal predictive accuracy with strong dependence," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1073-1092.
    90. Koichiro Moriya & Akihiko Noda, 2026. "Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," Papers 2601.21272, arXiv.org, revised Apr 2026.
    91. Liyu Dou, 2024. "Optimal HAR inference," Quantitative Economics, Econometric Society, vol. 15(4), pages 1107-1149, November.
    92. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    93. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.
    94. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    95. Coroneo, Laura & Iacone, Fabrizio & Profumo, Fabio, 2024. "Survey density forecast comparison in small samples," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1486-1504.
    96. Amaze Lusompa, 2023. "Local projections, autocorrelation, and efficiency," Quantitative Economics, Econometric Society, vol. 14(4), pages 1199-1220, November.
    97. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
    98. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    99. Yang, Jingjing & Vogelsang, Timothy J., 2025. "A bias reduced long run variance estimator with a new first-order kernel," Economics Letters, Elsevier, vol. 252(C).
    100. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    101. Marc-Oliver Pohle & Jan-Lukas Wermuth & Christian H. Wei{ss}, 2025. "Asymptotic Inference for Rank Correlations," Papers 2512.14609, arXiv.org, revised Feb 2026.
    102. Daniel J. Lewis, 2025. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects," The Review of Economics and Statistics, MIT Press, vol. 107(4), pages 1086-1103, July.
    103. Doshchyn, Artur, 2025. "Sinking ships: Liquidity constraints and return predictability in recessions," Journal of Monetary Economics, Elsevier, vol. 151(C).
    104. Herbst, Edward P. & Johannsen, Benjamin K., 2024. "Bias in local projections," Journal of Econometrics, Elsevier, vol. 240(1).
    105. Timothy J. Vogelsang, 2026. "Testing Hypotheses About Ratios of Linear Trend Slopes in Systems of Equations with a Focus on Tests of Equal Trend Ratios," Papers 2602.23482, arXiv.org.
    106. Ulrich Hounyo & Min Seong Kim, 2025. "Robust Two-Sample Mean Inference under Serial Dependence," Papers 2512.11259, arXiv.org, revised Dec 2025.
    107. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    108. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Journal of Econometrics, Elsevier, vol. 223(1), pages 125-160.
    109. Ashesh Rambachan & Neil Shephard, 2019. "When do common time series estimands have nonparametric causal meaning?," Papers 1903.01637, arXiv.org, revised Jan 2025.
    110. Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
    111. Baillie, Richard T. & Kapetanios, George & Kim, Kun Ho, 2025. "Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons," Economics Letters, Elsevier, vol. 257(C).
    112. Morales, Eduardo & Adao, Rodrigo & Kolesár, Michal, 2018. "Shift-Share Designs: Theory and Inference," CEPR Discussion Papers 13118, Centre for Economic Policy Research.
    113. Zhipeng Liao & Yan Liu & Zhenzhen Xie, 2024. "Optimal Cross-Sectional Regression," Management Science, INFORMS, vol. 70(11), pages 7911-7942, November.
    114. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
    115. Giselle Montamat & James H. Stock, 2020. "Quasi-experimental estimates of the transient climate response using observational data," Climatic Change, Springer, vol. 160(3), pages 361-371, June.

  5. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018. "HAR Inference: Recommendations for Practice Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 574-575, October.

    Cited by:

    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    3. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    4. Sergio Correia & Stephan Luck & Emil Verner, 2025. "Failing Banks," Papers 2506.06082, arXiv.org.
    5. Farmer, Leland E & Nakamura, Emi & Steinsson, Jón, 2024. "Learning about the Long Run," Department of Economics, Working Paper Series qt0tn1s1hp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Filip Stanek, 2021. "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers wp712, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    7. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
    8. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
    9. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    10. Demetrescu, Matei & Hanck, Christoph & Kruse-Becher, Robinson, 2026. "Robust Fixed-b Inference in the Presence of Time-Varying Volatility," Econometrics and Statistics, Elsevier, vol. 37(C), pages 154-173.
    11. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    12. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    13. Xu, Zhihao & Hurvich, Clifford M., 2026. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Econometrics and Statistics, Elsevier, vol. 37(C), pages 214-229.
    14. Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023. "Testing the predictive accuracy of COVID-19 forecasts," International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
    15. Mohamed Saleh & Jean Tirole, 2021. "Taxing Identity: Theory and Evidence From Early Islam," Econometrica, Econometric Society, vol. 89(4), pages 1881-1919, July.
    16. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    17. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    18. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    19. Kolokotrones, Thomas & Stock, James H. & Walker, Christopher D., 2024. "Is Newey–West optimal among first-order kernels?," Journal of Econometrics, Elsevier, vol. 240(2).
    20. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," LSE Research Online Documents on Economics 107426, London School of Economics and Political Science, LSE Library.
    21. Rho, Seunghwa & Vogelsang, Timothy J., 2021. "Inference in time series models using smoothed-clustered standard errors," Journal of Econometrics, Elsevier, vol. 224(1), pages 113-133.
    22. Abhimanyu Gupta & Myung Hwan Seo, 2023. "Robust Inference on Infinite and Growing Dimensional Time‐Series Regression," Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
    23. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    24. Alexander Henzi & Johanna F Ziegel, 2022. "Valid sequential inference on probability forecast performance [A comparison of the ECMWF, MSC, and NCEP global ensemble prediction systems]," Biometrika, Biometrika Trust, vol. 109(3), pages 647-663.
    25. Marc-Oliver Pohle & Tanja Zahn & Sebastian Lerch, 2026. "Uncertainty Quantification in Forecast Comparisons," Papers 2605.03997, arXiv.org.
    26. Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
    27. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    28. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.
    29. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    30. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    31. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    32. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    33. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
    34. Aslanidis, Nektarios & Koursaros, Demetris & Otto, Glenn, 2024. "Asymmetry in inflation persistence under inflation targeting," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
    35. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
    36. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
    37. Eugene Dettaa & Endong Wang, 2024. "Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality," Papers 2410.04330, arXiv.org, revised Feb 2026.
    38. Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org, revised Aug 2025.
    39. José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
    40. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    41. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
    42. Yacouba Boubacar Maïnassara & Eugen Ursu, 2023. "Estimating weak periodic vector autoregressive time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(3), pages 958-997, September.
    43. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
    44. Matthieu Picault & Julien Pinter & Thomas Renault, 2022. "Media sentiment on monetary policy: Determinants and relevance for inflation expectations," Post-Print hal-03810447, HAL.
    45. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
    46. David T. Frazier & Donald S. Poskitt, 2025. "Sequential Scoring Rule Evaluation for Forecast Method Selection," Papers 2505.09090, arXiv.org.
    47. Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025. "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers 2507.14621, arXiv.org, revised Jul 2025.
    48. Minchul Shin & Nathan Schor, 2026. "ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics," Papers 2603.07458, arXiv.org.
    49. Goodell, John W. & Gurdgiev, Constantin & Paltrinieri, Andrea & Piserà, Stefano, 2024. "Do price caps assist monetary authorities to control inflation? Examining the impact of the natural gas price cap on TTF spikes," Energy Economics, Elsevier, vol. 131(C).
    50. Pellatt , Daniel & Sun, Yixiao, 2020. "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series qt19f0d9wz, Department of Economics, UC San Diego.
    51. Hwang, Taeyoon & Vogelsang, Timothy J., 2024. "Some fixed-b results for regressions with high frequency data over long spans," Journal of Econometrics, Elsevier, vol. 244(2).
    52. Jungbin Hwang & Gonzalo Valdés, 2025. "HAR Inference for Quantile Regression in Time Series," Working papers 2025-03, University of Connecticut, Department of Economics, revised Mar 2026.
    53. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    54. Lundin, Erik, 2026. "Who Pays When Generation Fails? Cross-Border Effects of Swedish Nuclear Outages," Working Paper Series 1556, Research Institute of Industrial Economics.
    55. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    56. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
    57. Xu, Ke-Li, 2021. "On the serial correlation in multi-horizon predictive quantile regression," Economics Letters, Elsevier, vol. 200(C).
    58. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    59. Yu, Shuo, 2024. "Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 344060, Agricultural and Applied Economics Association.
    60. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    61. Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020. "Asymptotic F tests under possibly weak identification," Journal of Econometrics, Elsevier, vol. 218(1), pages 140-177.
    62. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A New Jackknife Variance Estimator for Time-Series and Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    63. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    64. Ya‐Ming Liu & Chon‐Kit Ao, 2021. "Effect of air pollution on health care expenditure: Evidence from respiratory diseases," Health Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 858-875, April.
    65. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    66. Pellatt, Daniel F. & Sun, Yixiao, 2023. "Asymptotic F test in regressions with observations collected at high frequency over long span," Journal of Econometrics, Elsevier, vol. 235(2), pages 1281-1309.
    67. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
    68. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
    69. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
    70. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
    71. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    72. Masahiro Tanaka, 2025. "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers 2503.20249, arXiv.org, revised May 2026.
    73. Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2025. "Fast inference for quantile regression with tens of millions of observations," Journal of Econometrics, Elsevier, vol. 249(PA).
    74. Filip Staněk, 2023. "Optimal out‐of‐sample forecast evaluation under stationarity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2249-2279, December.
    75. David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
    76. Coroneo, Laura & Iacone, Fabrizio, 2025. "Testing for equal predictive accuracy with strong dependence," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1073-1092.
    77. Koichiro Moriya & Akihiko Noda, 2026. "Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," Papers 2601.21272, arXiv.org, revised Apr 2026.
    78. Liyu Dou, 2024. "Optimal HAR inference," Quantitative Economics, Econometric Society, vol. 15(4), pages 1107-1149, November.
    79. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    80. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.
    81. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    82. Coroneo, Laura & Iacone, Fabrizio & Profumo, Fabio, 2024. "Survey density forecast comparison in small samples," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1486-1504.
    83. Amaze Lusompa, 2023. "Local projections, autocorrelation, and efficiency," Quantitative Economics, Econometric Society, vol. 14(4), pages 1199-1220, November.
    84. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    85. Yang, Jingjing & Vogelsang, Timothy J., 2025. "A bias reduced long run variance estimator with a new first-order kernel," Economics Letters, Elsevier, vol. 252(C).
    86. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    87. Marc-Oliver Pohle & Jan-Lukas Wermuth & Christian H. Wei{ss}, 2025. "Asymptotic Inference for Rank Correlations," Papers 2512.14609, arXiv.org, revised Feb 2026.
    88. Daniel J. Lewis, 2025. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects," The Review of Economics and Statistics, MIT Press, vol. 107(4), pages 1086-1103, July.
    89. Doshchyn, Artur, 2025. "Sinking ships: Liquidity constraints and return predictability in recessions," Journal of Monetary Economics, Elsevier, vol. 151(C).
    90. Herbst, Edward P. & Johannsen, Benjamin K., 2024. "Bias in local projections," Journal of Econometrics, Elsevier, vol. 240(1).
    91. Timothy J. Vogelsang, 2026. "Testing Hypotheses About Ratios of Linear Trend Slopes in Systems of Equations with a Focus on Tests of Equal Trend Ratios," Papers 2602.23482, arXiv.org.
    92. Ulrich Hounyo & Min Seong Kim, 2025. "Robust Two-Sample Mean Inference under Serial Dependence," Papers 2512.11259, arXiv.org, revised Dec 2025.
    93. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Journal of Econometrics, Elsevier, vol. 223(1), pages 125-160.
    94. Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
    95. Baillie, Richard T. & Kapetanios, George & Kim, Kun Ho, 2025. "Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons," Economics Letters, Elsevier, vol. 257(C).
    96. Zhipeng Liao & Yan Liu & Zhenzhen Xie, 2024. "Optimal Cross-Sectional Regression," Management Science, INFORMS, vol. 70(11), pages 7911-7942, November.
    97. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
    98. Giselle Montamat & James H. Stock, 2020. "Quasi-experimental estimates of the transient climate response using observational data," Climatic Change, Springer, vol. 160(3), pages 361-371, June.

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