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Content
2018, Volume 206, Issue 2
- 515-530 Semiparametric estimation of panel data models without monotonicity or separability
by Chen, Songnian & Wang, Xi
- 531-553 A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
by Cai, Zongwu & Chen, Linna & Fang, Ying
- 554-573 Identifying latent grouped patterns in panel data models with interactive fixed effects
by Su, Liangjun & Ju, Gaosheng
- 574-612 Quasi maximum likelihood analysis of high dimensional constrained factor models
by Li, Kunpeng & Li, Qi & Lu, Lina
- 613-644 Estimation of random coefficients logit demand models with interactive fixed effects
by Moon, Hyungsik Roger & Shum, Matthew & Weidner, Martin
- 645-673 Panel models with interactive effects
by Hsiao, Cheng
2018, Volume 206, Issue 1
- 1-38 Partial identification and inference in censored quantile regression
by Fan, Yanqin & Liu, Ruixuan
- 39-56 Best subset binary prediction
by Chen, Le-Yu & Lee, Sokbae
- 57-82 Confidence regions for entries of a large precision matrix
by Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao
- 83-102 Nonparametric identification of the distribution of random coefficients in binary response static games of complete information
by Dunker, Fabian & Hoderlein, Stefan & Kaido, Hiroaki & Sherman, Robert
- 103-142 Efficient asymptotic variance reduction when estimating volatility in high frequency data
by Clinet, Simon & Potiron, Yoann
- 143-166 Comparing distributions by multiple testing across quantiles or CDF values
by Goldman, Matt & Kaplan, David M.
- 167-186 Portfolio optimization based on stochastic dominance and empirical likelihood
by Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios
- 187-225 Simultaneous multiple change-point and factor analysis for high-dimensional time series
by Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr
- 226-257 A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
by Lam, Clifford & Feng, Phoenix
- 258-278 A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes
by Xu, Ke-Li
2018, Volume 205, Issue 2
- 303-335 Nonparametric estimation of first-price auctions with risk-averse bidders
by Zincenko, Federico
- 336-362 Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
by Christensen, Kim & Hounyo, Ulrich & Podolskij, Mark
- 363-380 Robust and efficient estimation for the treatment effect in causal inference and missing data problems
by Lin, Huazhen & Zhou, Fanyin & Wang, Qiuxia & Zhou, Ling & Qin, Jing
- 381-401 Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
by Francq, Christian & Zakoïan, Jean-Michel
- 402-422 Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
by Hillier, Grant & Martellosio, Federico
- 423-447 Unified M-estimation of fixed-effects spatial dynamic models with short panels
by Yang, Zhenlin
- 448-469 Bounds on treatment effects on transitions
by Vikström, Johan & Ridder, Geert & Weidner, Martin
- 470-487 Stochastic tail index model for high frequency financial data with Bayesian analysis
by Mao, Guangyu & Zhang, Zhengjun
- 488-507 A consistent bootstrap procedure for the maximum score estimator
by Patra, Rohit Kumar & Seijo, Emilio & Sen, Bodhisattva
- 508-525 Inference on the tail process with application to financial time series modeling
by Davis, Richard A. & Drees, Holger & Segers, Johan & Warchoł, Michał
2018, Volume 205, Issue 1
- 6-33 A two-step indirect inference approach to estimate the long-run risk asset pricing model
by Grammig, Joachim & Küchlin, Eva-Maria
- 34-54 Penalized indirect inference
by Blasques, Francisco & Duplinskiy, Artem
- 55-75 Indirect Inference with endogenously missing exogenous variables
by Chaudhuri, Saraswata & Frazier, David T. & Renault, Eric
- 76-111 The asymptotic properties of GMM and indirect inference under second-order identification
by Dovonon, Prosper & Hall, Alastair R.
- 112-139 The ABC of simulation estimation with auxiliary statistics
by Forneron, Jean-Jacques & Ng, Serena
- 140-155 Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
by Ronald Gallant, A. & Tauchen, George
- 156-176 New distribution theory for the estimation of structural break point in mean
by Jiang, Liang & Wang, Xiaohu & Yu, Jun
- 177-203 Generalized indirect inference for discrete choice models
by Bruins, Marianne & Duffy, James A. & Keane, Michael P. & Smith, Anthony A.
- 204-225 Exit dynamics of start-up firms: Structural estimation using indirect inference
by Golombek, Rolf & Raknerud, Arvid
- 226-248 Misspecification of noncausal order in autoregressive processes
by Gourieroux, Christian & Jasiak, Joann
- 249-279 A spectral EM algorithm for dynamic factor models
by Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique
- 280-301 Estimating stable latent factor models by indirect inference
by Calzolari, Giorgio & Halbleib, Roxana
2018, Volume 204, Issue 2
- 131-146 Statistical inference in efficient production with bad inputs and outputs using latent prices and optimal directions
by Atkinson, Scott E. & Primont, Daniel & Tsionas, Mike G.
- 147-158 Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
by Lee, Yoon-Jin & Okui, Ryo & Shintani, Mototsugu
- 159-188 Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach
by Kim, Soohun & Skoulakis, Georgios
- 189-206 Empirical relevance of ambiguity in first-price auctions
by Aryal, Gaurab & Grundl, Serafin & Kim, Dong-Hyuk & Zhu, Yu
- 207-222 Efficient propensity score regression estimators of multivalued treatment effects for the treated
by Lee, Ying-Ying
- 223-247 Asymptotics of Cholesky GARCH models and time-varying conditional betas
by Darolles, Serge & Francq, Christian & Laurent, Sébastien
- 248-267 Testing for jumps and jump intensity path dependence
by Corradi, Valentina & Silvapulle, Mervyn J. & Swanson, Norman R.
- 268-300 Efficient estimation with time-varying information and the New Keynesian Phillips Curve
by Antoine, Bertille & Boldea, Otilia
- 301-319 Testing against constant factor loading matrix with large panel high-frequency data
by Kong, Xin-Bing & Liu, Cheng
2018, Volume 204, Issue 1
- 1-17 Weighted-average least squares estimation of generalized linear models
by De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco
- 18-32 Estimating the integrated volatility using high-frequency data with zero durations
by Liu, Zhi & Kong, Xin-Bing & Jing, Bing-Yi
- 33-53 Filtered likelihood for point processes
by Giesecke, Kay & Schwenkler, Gustavo
- 54-65 Generating univariate fractional integration within a large VAR(1)
by Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien
- 66-85 Testing for common breaks in a multiple equations system
by Oka, Tatsushi & Perron, Pierre
- 86-100 Minimum distance approach to inference with many instruments
by Kolesár, Michal
- 101-118 Testing for parameter instability in predictive regression models
by Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
- 119-130 Uniform confidence bands: Characterization and optimality
by Freyberger, Joachim & Rai, Yoshiyasu
2018, Volume 203, Issue 2
- 187-222 A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
by Li, Yingying & Zhang, Zhiyuan & Li, Yichu
- 223-240 Asymptotic inference about predictive accuracy using high frequency data
by Li, Jia & Patton, Andrew J.
- 241-255 On the choice of test statistic for conditional moment inequalities
by Armstrong, Timothy B.
- 256-266 Testing for self-excitation in jumps
by Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye
- 267-282 Bayesian nonparametric vector autoregressive models
by Kalli, Maria & Griffin, Jim E.
- 283-296 Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics
by Botosaru, Irene & Sasaki, Yuya
- 297-315 Resolution of policy uncertainty and sudden declines in volatility
by Amengual, Dante & Xiu, Dacheng
- 316-327 Delta-method inference for a class of set-identified SVARs
by Gafarov, Bulat & Meier, Matthias & Montiel Olea, José Luis
- 328-343 Identification and estimation of incomplete information games with multiple equilibria
by Xiao, Ruli
- 344-358 Consistent estimation of linear regression models using matched data
by Hirukawa, Masayuki & Prokhorov, Artem
- 359-378 Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
by Sun, Yiguo & Malikov, Emir
2018, Volume 203, Issue 1
- 1-18 Spatial weights matrix selection and model averaging for spatial autoregressive models
by Zhang, Xinyu & Yu, Jihai
- 19-32 A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
by Gallant, A. Ronald & Hong, Han & Khwaja, Ahmed
- 33-49 A multivariate test against spurious long memory
by Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie
- 50-68 Threshold regression with endogeneity
by Yu, Ping & Phillips, Peter C.B.
- 69-79 Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
by Kim, Donggyu & Kong, Xin-Bing & Li, Cui-Xia & Wang, Yazhen
- 80-95 Autoregressive spatial spectral estimates
by Gupta, Abhimanyu
- 96-112 Sieve maximum likelihood estimation of the spatial autoregressive Tobit model
by Xu, Xingbai & Lee, Lung-fei
- 113-128 Identification and estimation of nonseparable single-index models in panel data with correlated random effects
by Čížek, Pavel & Lei, Jinghua
- 129-142 Extremal quantile regressions for selection models and the black–white wage gap
by D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong
- 143-168 Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
by Caner, Mehmet & Kock, Anders Bredahl
- 169-185 Nonparametric specification testing via the trinity of tests
by Gupta, Abhimanyu
2018, Volume 202, Issue 2
- 125-147 Estimation and inference of dynamic structural factor models with over-identifying restrictions
by Han, Xu
- 148-160 Nonparametric identification and estimation of sample selection models under symmetry
by Chen, Songnian & Zhou, Yahong & Ji, Yuanyuan
- 161-177 Consistent inference in fixed-effects stochastic frontier models
by Belotti, Federico & Ilardi, Giuseppe
- 178-195 Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
by Hwang, Eunju & Shin, Dong Wan
- 196-213 Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments
by Zhu, Ying
- 214-229 The cointegrated vector autoregressive model with general deterministic terms
by Johansen, Søren & Nielsen, Morten Ørregaard
- 230-244 Efficient estimation and computation for the generalised additive models with unknown link function
by Lin, Huazhen & Pan, Lixian & Lv, Shaogao & Zhang, Wenyang
- 245-267 Nonparametric testing for smooth structural changes in panel data models
by Chen, Bin & Huang, Liquan
- 268-285 Nonparametric estimation in case of endogenous selection
by Breunig, Christoph & Mammen, Enno & Simoni, Anna
- 286-305 Nonparametric fixed effects model for panel data with locally stationary regressors
by Pei, Youquan & Huang, Tao & You, Jinhong
2018, Volume 202, Issue 1
- 1-17 The ZD-GARCH model: A new way to study heteroscedasticity
by Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing
- 18-44 Testing for mutually exciting jumps and financial flights in high frequency data
by Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye
- 45-56 Pythagorean generalization of testing the equality of two symmetric positive definite matrices
by Cho, Jin Seo & Phillips, Peter C.B.
- 57-74 Exponentially tilted likelihood inference on growing dimensional unconditional moment models
by Tang, Niansheng & Yan, Xiaodong & Zhao, Puying
- 75-91 Estimation and forecasting in vector autoregressive moving average models for rich datasets
by Dias, Gustavo Fruet & Kapetanios, George
- 92-107 Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
by Gupta, Abhimanyu & Robinson, Peter M.
- 108-123 Robust linear static panel data models using ε-contamination
by Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy
2017, Volume 201, Issue 2
- 176-197 Double instrumental variable estimation of interaction models with big data
by Gagliardini, Patrick & Gouriéroux, Christian
- 198-211 Bayesian estimation of state space models using moment conditions
by Gallant, A. Ronald & Giacomini, Raffaella & Ragusa, Giuseppe
- 212-227 Efficient two-step estimation via targeting
by Frazier, David T. & Renault, Eric
- 228-236 A discrete model for bootstrap iteration
by Davidson, Russell
- 237-248 Nonparametric estimation of non-exchangeable latent-variable models
by Bonhomme, Stéphane & Jochmans, Koen & Robin, Jean-Marc
- 249-268 Rationalization and identification of binary games with correlated types
by Liu, Nianqing & Vuong, Quang & Xu, Haiqing
- 269-291 Functional linear regression with functional response
by Benatia, David & Carrasco, Marine & Florens, Jean-Pierre
- 292-306 Sufficient forecasting using factor models
by Fan, Jianqing & Xue, Lingzhou & Yao, Jiawei
- 307-321 Generalized dynamic factor models and volatilities: estimation and forecasting
by Barigozzi, Matteo & Hallin, Marc
- 322-332 Real-time forecast evaluation of DSGE models with stochastic volatility
by Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul
- 333-347 Scenario generation for long run interest rate risk assessment
by Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil
- 348-366 Staying at zero with affine processes: An application to term structure modelling
by Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume
- 367-383 Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
by Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten
- 384-399 Using principal component analysis to estimate a high dimensional factor model with high-frequency data
by Aït-Sahalia, Yacine & Xiu, Dacheng
- 400-416 Inference in continuous systems with mildly explosive regressors
by Chen, Ye & Phillips, Peter C.B. & Yu, Jun
- 417-432 Mixed-scale jump regressions with bootstrap inference
by Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui
2017, Volume 201, Issue 1
- 1-18 Regression discontinuity with categorical outcomes
by Xu, Ke-Li
- 19-42 Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
by Shephard, Neil & Xiu, Dacheng
- 43-71 Bootstrapping the GMM overidentification test under first-order underidentification
by Dovonon, Prosper & Gonçalves, Sílvia
- 72-94 Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach
by Racine, Jeffrey S. & Li, Kevin
- 95-107 Direct instrumental nonparametric estimation of inverse regression functions
by Krief, Jerome M.
- 108-126 Nonparametric estimation and inference under shape restrictions
by Horowitz, Joel L. & Lee, Sokbae
- 127-143 On high frequency estimation of the frictionless price: The use of observed liquidity variables
by Chaker, Selma
- 144-169 The triangular model with random coefficients
by Hoderlein, Stefan & Holzmann, Hajo & Meister, Alexander
2017, Volume 200, Issue 2
- 154-168 The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics
by Hu, Yingyao
- 169-180 Consistent estimation of linear panel data models with measurement error
by Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom
- 181-193 Simulated minimum distance estimation of dynamic models with errors-in-variables
by Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena
- 194-206 Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models
by Garcia, Tanya P. & Ma, Yanyuan
- 207-222 Identification of additive and polynomial models of mismeasured regressors without instruments
by Ben-Moshe, Dan & D’Haultfœuille, Xavier & Lewbel, Arthur
- 223-237 Understanding the effect of measurement error on quantile regressions
by Chesher, Andrew
- 238-250 Instrumental variable estimation of nonlinear models with nonclassical measurement error using control variables
by Hahn, Jinyong & Ridder, Geert
- 251-259 Many IVs estimation of dynamic panel regression models with measurement error
by Lee, Nayoung & Moon, Hyungsik Roger & Zhou, Qiankun
- 260-281 Regression discontinuity design with continuous measurement error in the running variable
by Davezies, Laurent & Le Barbanchon, Thomas
- 282-294 Bayesian moment-based inference in a regression model with misclassification error
by Bollinger, Christopher R. & van Hasselt, Martijn
- 295-311 Misclassification in binary choice models
by Meyer, Bruce D. & Mittag, Nikolas
- 312-325 Semiparametric identification of the bid–ask spread in extended Roll models
by Chen, Xiaohong & Linton, Oliver & Yi, Yanping
- 326-343 Identification of first-price auctions with non-equilibrium beliefs: A measurement error approach
by An, Yonghong
- 344-362 Counting rotten apples: Student achievement and score manipulation in Italian elementary Schools
by Battistin, Erich & De Nadai, Michele & Vuri, Daniela
- 363-377 Modeling heaped duration data: An application to neonatal mortality
by Arulampalam, Wiji & Corradi, Valentina & Gutknecht, Daniel
- 378-389 The precision of subjective data and the explanatory power of economic models
by Drerup, Tilman & Enke, Benjamin & von Gaudecker, Hans-Martin
2017, Volume 200, Issue 1
- 1-16 Tests of additional conditional moment restrictions
by Parente, Paulo M.D.C. & Smith, Richard J.
- 17-35 Bonferroni-based size-correction for nonstandard testing problems
by McCloskey, Adam
- 36-47 Adaptive estimation of continuous-time regression models using high-frequency data
by Li, Jia & Todorov, Viktor & Tauchen, George
- 48-58 Injectivity of a class of integral operators with compactly supported kernels
by Hu, Yingyao & Schennach, Susanne M. & Shiu, Ji-Liang
- 59-78 Inferences in panel data with interactive effects using large covariance matrices
by Bai, Jushan & Liao, Yuan
- 79-103 Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
by Chen, Richard Y. & Mykland, Per A.
- 104-117 Specification testing for nonlinear multivariate cointegrating regressions
by Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying
- 118-134 Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
by Gourieroux, Christian & Jasiak, Joann
- 135-149 New goodness-of-fit diagnostics for conditional discrete response models
by Kheifets, Igor & Velasco, Carlos
2017, Volume 199, Issue 2
- 96-116 Structural inference from reduced forms with many instruments
by Phillips, Peter C.B. & Gao, Wayne Yuan
- 117-130 What can we learn about the racial gap in the presence of sample selection?
by Maasoumi, Esfandiar & Wang, Le
- 131-140 Endogenous environmental variables in stochastic frontier models
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter
- 141-155 Missing data, imputation, and endogeneity
by McDonough, Ian K. & Millimet, Daniel L.
- 156-172 Estimating labor force joiners and leavers using a heterogeneity augmented two-tier stochastic frontier
by Das, Tirthatanmoy & Polachek, Solomon W.
- 173-183 Inverting the indirect—The ellipse and the boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares
by Hirschberg, Joe & Lye, Jenny
- 184-201 Determinants of firm-level domestic sales and exports with spillovers: Evidence from China
by Baltagi, Badi H. & Egger, Peter H. & Kesina, Michaela
- 202-212 Realized stochastic volatility with general asymmetry and long memory
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael
- 213-220 Examples of L2-complete and boundedly-complete distributions
by Andrews, Donald W.K.
- 221-231 Maximum entropy estimation of income distributions from Basmann’s weighted geometric mean measure
by Ryu, Hang K. & Slottje, Daniel J.
2017, Volume 199, Issue 1
- 1-11 Long memory, fractional integration, and cross-sectional aggregation
by Haldrup, Niels & Vera Valdés, J. Eduardo
- 12-34 Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
by Malikov, Emir & Sun, Yiguo
- 35-48 Minimum distance from independence estimation of nonseparable instrumental variables models
by Torgovitsky, Alexander
- 49-62 A unifying theory of tests of rank
by Al-Sadoon, Majid M.
- 63-73 Identification in a generalization of bivariate probit models with dummy endogenous regressors
by Han, Sukjin & Vytlacil, Edward J.
- 74-92 Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
by Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo
2017, Volume 198, Issue 2
- 189-208 Higher-order properties of approximate estimators
by Kristensen, Dennis & Salanié, Bernard
- 209-230 A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models
by Halunga, Andreea G. & Orme, Chris D. & Yamagata, Takashi
- 231-252 Tests of equal accuracy for nested models with estimated factors
by Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit
- 253-270 Testing for prospect and Markowitz stochastic dominance efficiency
by Arvanitis, Stelios & Topaloglou, Nikolas
- 271-276 Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
by Mosconi, Rocco & Paruolo, Paolo
- 277-295 Asymptotic F and t tests in an efficient GMM setting
by Hwang, Jungbin & Sun, Yixiao
2017, Volume 198, Issue 1
- 1-9 Learning can generate long memory
by Chevillon, Guillaume & Mavroeidis, Sophocles
- 10-28 A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
by Hounyo, Ulrich & Varneskov, Rasmus T.
- 29-40 A simple consistent test of conditional symmetry in symmetrically trimmed tobit models
by Chen, Tao & Tripathi, Gautam
- 41-64 Evidence of randomisation bias in a large-scale social experiment: The case of ERA
by Sianesi, Barbara
- 65-83 Social interactions under incomplete information with heterogeneous expectations
by Yang, Chao & Lee, Lung-fei
- 84-101 On time-varying factor models: Estimation and testing
by Su, Liangjun & Wang, Xia
- 102-121 Fixed-effects dynamic spatial panel data models and impulse response analysis
by Li, Kunpeng
- 122-145 Chasing volatility
by Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo
- 146-164 Measurement errors in quantile regression models
by Firpo, Sergio & Galvao, Antonio F. & Song, Suyong
- 165-188 Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert
2017, Volume 197, Issue 2
- 173-201 QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices
by Qu, Xi & Lee, Lung-fei & Yu, Jihai
- 202-217 Testing identifying assumptions in nonseparable panel data models
by Ghanem, Dalia
- 218-244 Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
by Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard
- 245-272 Inference from high-frequency data: A subsampling approach
by Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B.
- 273-283 Bayesian mode regression using mixtures of triangular densities
by Ho, Chi-san & Damien, Paul & Walker, Stephen
- 284-297 Testing for non-correlation between price and volatility jumps
by Jacod, Jean & Klüppelberg, Claudia & Müller, Gernot
- 298-322 A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
by Kim, Min Seong & Sun, Yixiao & Yang, Jingjing
- 323-347 Spatial dynamic panel data models with interactive fixed effects
by Shi, Wei & Lee, Lung-fei
- 348-367 Fitting a two phase threshold multiplicative error model
by Perera, Indeewara & Koul, Hira L.
- 368-381 Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
by Yang, Yaxing & Ling, Shiqing
2017, Volume 197, Issue 1
- 1-19 Resurrecting weighted least squares
by Romano, Joseph P. & Wolf, Michael
- 20-41 Estimation of integrated quadratic covariation with endogenous sampling times
by Potiron, Yoann & Mykland, Per A.
- 42-59 Partial identification of functionals of the joint distribution of “potential outcomes”
by Fan, Yanqin & Guerre, Emmanuel & Zhu, Dongming
- 60-64 On the role of the rank condition in CCE estimation of factor-augmented panel regressions
by Karabiyik, Hande & Reese, Simon & Westerlund, Joakim
- 65-75 Estimation of average treatment effects with panel data: Asymptotic theory and implementation
by Li, Kathleen T. & Bell, David R.
- 76-86 Determining the number of factors when the number of factors can increase with sample size
by Li, Hongjun & Li, Qi & Shi, Yutang
- 87-100 Identification and estimation of a large factor model with structural instability
by Baltagi, Badi H. & Kao, Chihwa & Wang, Fa
- 101-129 Least squares estimation of large dimensional threshold factor models
by Massacci, Daniele
- 130-152 Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
by Hounyo, Ulrich
- 153-171 Testing rationality without restricting heterogeneity
by Kawaguchi, Kohei
2017, Volume 196, Issue 2
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