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Content
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 - 1268-1281 Heteroscedastic Proxy Vector Autoregressions
by Helmut Lütkepohl & Thore Schlaak - 1282-1290 Imputations for High Missing Rate Data in Covariates Via Semi-supervised Learning Approach
by Wei Lan & Xuerong Chen & Tao Zou & Chih-Ling Tsai - 1291-1301 SVARs Identification Through Bounds on the Forecast Error Variance
by Alessio Volpicella - 1302-1314 Synthetic Control Estimation Beyond Comparative Case Studies: Does the Minimum Wage Reduce Employment?
by David Powell - 1315-1333 State-Varying Factor Models of Large Dimensions
by Markus Pelger & Ruoxuan Xiong - 1334-1345 Quasi-Bayesian Inference for Production Frontiers
by Xiaobin Liu & Thomas Tao Yang & Yichong Zhang - 1346-1361 Realized Quantiles
by Timo Dimitriadis & Roxana Halbleib - 1362-1376 Standard Synthetic Control Methods: The Case of Using All Preintervention Outcomes Together With Covariates
by Ashok Kaul & Stefan Klößner & Gregor Pfeifer & Manuel Schieler - 1377-1389 A Structural Model of Homophily and Clustering in Social Networks
by Angelo Mele - 1390-1402 The Grid Bootstrap for Continuous Time Models
by Yiu Lim Lui & Weilin Xiao & Jun Yu - 1403-1414 Estimating Monotone Concave Stochastic Production Frontiers
by Mike G. Tsionas
April 2022, Volume 40, Issue 2
- 469-485 Co-citation and Co-authorship Networks of Statisticians
by Pengsheng Ji & Jiashun Jin & Zheng Tracy Ke & Wanshan Li - 486-490 Discussion of “Cocitation and Coauthorship Networks of Statisticians”
by Haolei Weng & Yang Feng - 491-491 Data Come First: Discussion of “Co-citation and Co-authorship Networks of Statisticians”
by David Donoho - 492-493 Discussion of “Co-citation and Co-authorship Networks of Statisticians” by Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke, and Wanshan Li
by Peter W. MacDonald & Elizaveta Levina & Ji Zhu - 494-496 Discussion of “Co-citation and Co-authorship Networks of Statisticians”
by Xiaojing Zhu & Eric D. Kolaczyk - 497-498 Discussion of “Co-citation and Co-authorship Networks of Statisticians”
by Joshua Daniel Loyal & Yuguo Chen - 499-504 Rejoinder: “Co-citation and Co-authorship Networks of Statisticians”
by Pengsheng Ji & Jiashun Jin & Zheng Tracy Ke & Wanshan Li - 505-521 A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
by Xuexin Wang & Yixiao Sun - 522-536 Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
by Wen Xu & Yanxi Hou & Deyuan Li - 537-546 Nonparametric Copula Estimation for Mixed Insurance Claim Data
by Lu Yang - 547-558 Bayesian Model Averaging for Spatial Autoregressive Models Based on Convex Combinations of Different Types of Connectivity Matrices
by Nicolas Debarsy & James P. LeSage - 559-577 Dynamic Discrete Mixtures for High-Frequency Prices
by Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris - 578-594 Network-Based Clustering for Varying Coefficient Panel Data Models
by Youquan Pei & Tao Huang & Heng Peng & Jinhong You - 595-604 Sequential Scaled Sparse Factor Regression
by Zemin Zheng & Yang Li & Jie Wu & Yuchen Wang - 605-614 Instrument Validity Tests With Causal Forests
by Helmut Farbmacher & Raphael Guber & Sven Klaassen - 615-628 Robust Estimation of Additive Boundaries With Quantile Regression and Shape Constraints
by Yan Fang & Lan Xue & Carlos Martins-Filho & Lijian Yang - 629-650 LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
by Juan J. Dolado & Heiko Rachinger & Carlos Velasco - 651-663 Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
by Wenhao Cui - 664-677 Nonparametric Estimation and Testing for Positive Quadrant Dependent Bivariate Copula
by Lu Lu & Sujit K. Ghosh - 678-689 A Stochastic Volatility Model With a General Leverage Specification
by Leopoldo Catania - 690-704 Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
by Zifeng Zhao & Peng Shi & Zhengjun Zhang - 705-717 Nonignorable Missing Data, Single Index Propensity Score and Profile Synthetic Distribution Function
by Xuerong Chen & Denis Heng-Yan Leung & Jing Qin - 718-729 Assessing Causal Effects in a Longitudinal Observational Study With “Truncated” Outcomes Due to Unemployment and Nonignorable Missing Data
by Michela Bia & Alessandra Mattei & Andrea Mercatanti - 730-743 Analyzing Subjective Well-Being Data with Misclassification
by Ekaterina Oparina & Sorawoot Srisuma - 744-755 Adaptive Testing for Cointegration With Nonstationary Volatility
by H. Peter Boswijk & Yang Zu - 756-769 Long Memory Factor Model: On Estimation of Factor Memories
by Ying Lun Cheung - 770-784 A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
by Yucheng Sun & Wen Xu - 785-798 Model Averaging for Nonlinear Regression Models
by Yang Feng & Qingfeng Liu & Qingsong Yao & Guoqing Zhao - 799-814 Multifrequency-Band Tests for White Noise Under Heteroscedasticity
by Mengya Liu & Fukang Zhu & Ke Zhu - 815-828 Structural Equation Model Averaging: Methodology and Application
by Loraine Seng & Jialiang Li - 829-837 Fixed-k Inference for Conditional Extremal Quantiles
by Yuya Sasaki & Yulong Wang - 838-851 Locally Stationary Quantile Regression for Inflation and Interest Rates
by Zhuying Xu & Seonjin Kim & Zhibiao Zhao - 852-867 Risk Analysis via Generalized Pareto Distributions
by Yi He & Liang Peng & Dabao Zhang & Zifeng Zhao - 868-879 A Robust Generalization of the Rao Test
by Ayanendranath Basu & Abhik Ghosh & Nirian Martin & Leandro Pardo - 880-896 Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
by Fabrizio Iacone & Morten Ørregaard Nielsen & A. M. Robert Taylor - 897-912 Bayesian Approach to Lorenz Curve Using Time Series Grouped Data
by Genya Kobayashi & Yuta Yamauchi & Kazuhiko Kakamu & Yuki Kawakubo & Shonosuke Sugasawa - 913-923 The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
by Jone Ascorbebeitia & Eva Ferreira & Susan Orbe - 924-936 The Locally Gaussian Partial Correlation
by Håkon Otneim & Dag Tjøstheim
January 2022, Volume 40, Issue 1
- 1-15 A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
by Artūras Juodis & Vasilis Sarafidis - 16-27 A Bayesian Quantile Time Series Model for Asset Returns
by Jim E. Griffin & Gelly Mitrodima - 28-34 Autoregressive Model With Spatial Dependence and Missing Data
by Jing Zhou & Jin Liu & Feifei Wang & Hansheng Wang - 35-49 Network Competition and Team Chemistry in the NBA
by William C. Horrace & Hyunseok Jung & Shane Sanders - 50-65 Adaptive Inference in Heteroscedastic Fractional Time Series Models
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor - 66-81 A New Approach to Dating the Reference Cycle
by Maximo Camacho & María Dolores Gadea & Ana Gómez Loscos - 82-95 Semiparametric Tail Index Regression
by Rui Li & Chenlei Leng & Jinhong You - 96-110 High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
by Yuan Ke & Heng Lian & Wenyang Zhang - 111-127 Treatment Versus Regime Effects of Carrots and Sticks
by Patrick Arni & Gerard J. van den Berg & Rafael Lalive - 128-140 Estimating Jump Activity Using Multipower Variation
by Aleksey Kolokolov - 141-151 Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection
by Zhewen Pan & Xianbo Zhou & Yahong Zhou - 152-168 Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter
by Josefine Quast & Maik H. Wolters - 169-185 A Nonparametric Nonclassical Measurement Error Approach to Estimating Intergenerational Mobility Elasticities
by Yonghong An & Le Wang & Ruli Xiao - 186-200 In Search of a Job: Forecasting Employment Growth Using Google Trends
by Daniel Borup & Erik Christian Montes Schütte - 201-215 Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
by Kin Wai Chan - 216-226 Community Detection in Partial Correlation Network Models
by Christian Brownlees & Guðmundur Stefán Guðmundsson & Gábor Lugosi - 227-239 Counterfactual Analysis and Inference With Nonstationary Data
by Ricardo Masini & Marcelo C. Medeiros - 240-255 Counterfactual Treatment Effects: Estimation and Inference
by Yu-Chin Hsu & Tsung-Chih Lai & Robert P. Lieli - 256-271 Latent Dirichlet Analysis of Categorical Survey Responses
by Evan Munro & Serena Ng - 272-284 On the Sources of Information in the Moment Structure of Dynamic Macroeconomic Models
by Nikolay Iskrev - 285-301 Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
by Mengheng Li & Marcel Scharth - 302-312 Large-Dimensional Factor Analysis Without Moment Constraints
by Yong He & Xinbing Kong & Long Yu & Xinsheng Zhang - 313-327 Estimation of Conditional Average Treatment Effects With High-Dimensional Data
by Qingliang Fan & Yu-Chin Hsu & Robert P. Lieli & Yichong Zhang - 328-341 Identification of Structural Vector Autoregressions by Stochastic Volatility
by Dominik Bertsche & Robin Braun - 342-354 Nonparametric Estimation and Conformal Inference of the Sufficient Forecasting With a Diverging Number of Factors
by Xiufan Yu & Jiawei Yao & Lingzhou Xue - 355-369 Substitution Bias in Multilateral Methods for CPI Construction
by W. Erwin Diewert & Kevin J. Fox - 370-381 Prediction in Locally Stationary Time Series
by Holger Dette & Weichi Wu - 382-397 Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
by Matei Demetrescu & Benjamin Hillmann - 398-407 A Projective Approach to Conditional Independence Test for Dependent Processes
by Yeqing Zhou & Yaowu Zhang & Liping Zhu - 408-422 Homogeneity and Structure Identification in Semiparametric Factor Models
by Chaohui Guo & Jialiang Li - 423-431 Can GDP Measurement Be Further Improved? Data Revision and Reconciliation
by Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden - 432-443 Direct and Indirect Effects based on Changes-in-Changes
by Martin Huber & Mark Schelker & Anthony Strittmatter - 444-457 Functional Linear Regression: Dependence and Error Contamination
by Cheng Chen & Shaojun Guo & Xinghao Qiao - 458-466 Modeling Tail Index With Autoregressive Conditional Pareto Model
by Zhouyu Shen & Yu Chen & Ruxin Shi - 467-467 Correction
by The Editors
October 2021, Volume 39, Issue 4
- 859-879 Text Selection
by Bryan Kelly & Asaf Manela & Alan Moreira - 880-882 Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira
by Markus Pelger