Printed from https://ideas.repec.org/s/taf/jnlbes.html
Content
April 2025, Volume 43, Issue 2
- 269-285 Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
by Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn - 286-297 Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
by Haoxuan Wu & Toryn L. J. Schafer & David S. Matteson - 298-311 A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
by Daan Opschoor & Michel van der Wel - 312-323 Shapley Curves: A Smoothing Perspective
by Ratmir Miftachov & Georg Keilbar & Wolfgang Karl Härdle - 324-337 Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods
by Siqi Wei - 338-350 Tests for Almost Stochastic Dominance
by Amparo Baíllo & Javier Cárcamo & Carlos Mora-Corral - 351-364 Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability
by Wenfeng He & Xiaoling Mei & Wei Zhong & Huanjun Zhu - 365-377 Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection
by Olha Bodnar & Taras Bodnar & Vilhelm Niklasson - 378-390 Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap
by Santiago Pereda-Fernández - 391-400 Probability of Causation with Sample Selection: A Reanalysis of the Impacts of Jóvenes en Acción on Formality
by Vitor Possebom & Flavio Riva - 401-412 Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated
by Doosoo Kim & Jeffrey M. Wooldridge - 413-422 A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates
by Qingliang Fan & Zijian Guo & Ziwei Mei - 423-438 Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
by Christian M. Hafner & Helmut Herwartz & Shu Wang - 439-453 Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models
by Sainan Xu & Chaofeng Yuan & Jianhua Guo - 454-467 Robust and Efficient Estimation of Potential Outcome Means Under Random Assignment
by Akanksha Negi & Jeffrey M. Wooldridge - 468-481 Systemic Contagion
by Soon Heng Leong - 482-493 Constrained Polynomial Likelihood
by Caio Almeida & Ricardo Masini & Paul Schneider
January 2025, Volume 43, Issue 1
- 1-13 Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
by Andrea Carriero & Alessio Volpicella - 14-26 Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility
by Fernanda G. B. Mendes & Wagner Barreto-Souza & Sokol Ndreca - 27-43 Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
by Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz - 44-54 A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
by Savi Virolainen - 55-67 Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting
by Jonathan B. Hill - 68-80 Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances
by Jhordano Aguilar Loyo & Tom Boot - 81-97 Quantile Policy Effects: An Application to U.S. Macroprudential Policy
by Hsin-Yi Lin & Yu-Hsiang Hsiao & Yu-Chin Hsu - 98-109 Reduced Rank Spatio-Temporal Models
by Dan Pu & Kuangnan Fang & Wei Lan & Jihai Yu & Qingzhao Zhang - 110-121 Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score
by Shunsuke Imai & Takuya Koriyama & Shouto Yonekura & Shonosuke Sugasawa & Yoshihiko Nishiyama - 122-133 Panel Data Cointegration Testing with Structural Instabilities
by Anindya Banerjee & Josep Lluís Carrion-i-Silvestre - 134-149 Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions
by Liana Jacobi & Dan Zhu & Mark Joshi - 150-163 Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data
by Jiajun Zhang & Chuanmin Zhao & Xi Qu - 164-177 Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect
by Tymon Słoczyński & S. Derya Uysal & Jeffrey M. Wooldridge - 178-190 Detecting Weak Distribution Shifts via Displacement Interpolation
by YoonHaeng Hur & Tengyuan Liang - 191-203 Trending Time-Varying Coefficient Spatial Panel Data Models
by Hsuan-Yu Chang & Xiaojun Song & Jihai Yu - 204-215 Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets
by Victor H. Aguiar & Nail Kashaev - 216-231 Forecasting Inflation Using Economic Narratives
by Yongmiao Hong & Fuwei Jiang & Lingchao Meng & Bowen Xue - 232-240 Simultaneous Confidence Intervals for Partially Identified Parameters
by Brigham R. Frandsen & Zachari A. Pond - 241-255 Estimation of the Local Conditional Tail Average Treatment Effect
by Le-Yu Chen & Yu-Min Yen - 256-268 Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments
by Kosuke Imai & Michael Lingzhi Li
October 2024, Volume 42, Issue 4
- 1107-1122 Imputation of Counterfactual Outcomes when the Errors are Predictable
by Sílvia Gonçalves & Serena Ng - 1123-1127 On “Imputation of Counterfactual Outcomes when the Errors are Predictable”: Discussions on Misspecification and Suggestions of Sensitivity Analyses
by Luis A. F. Alvarez & Bruno Ferman - 1128-1132 Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng
by Marcelo C. Medeiros - 1133-1136 On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV
by Yuya Sasaki - 1137-1139 Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng
by Kaspar Wüthrich - 1140-1142 Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder
by Sílvia Gonçalves & Serena Ng - 1143-1154 Unconditional Quantile Regression for Streaming Datasets
by Rong Jiang & Keming Yu - 1155-1168 Linking Frequentist and Bayesian Change-Point Methods
by David Ardia & Arnaud Dufays & Carlos Ordás Criado - 1169-1184 Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
by Yiqiu Cao & Sainan Jin & Xun Lu & Liangjun Su - 1185-1194 Nonparametric Identification and Inference of First-Price Auctions with Heterogeneous Bidders
by Zheng Li - 1195-1209 Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
by Xuexin Wang - 1210-1222 Model Checking in Partially Linear Spatial Autoregressive Models
by Zixin Yang & Xiaojun Song & Jihai Yu - 1223-1237 Noncommon Breaks
by Simon C. Smith - 1238-1249 Dynamic Realized Minimum Variance Portfolio Models
by Donggyu Kim & Minseog Oh - 1250-1263 Detecting Multiple Level Shifts in Bounded Time Series
by Josep Lluís Carrion-i-Silvestre & María Dolores Gadea - 1264-1275 Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects
by Zhenhao Gong & Min Seong Kim - 1276-1288 The Block-Correlated Pseudo Marginal Sampler for State Space Models
by David Gunawan & Pratiti Chatterjee & Robert Kohn - 1289-1301 Testing for Equivalence of Pre-Trends in Difference-in-Differences Estimation
by Holger Dette & Martin Schumann - 1302-1317 Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
by Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer - 1318-1330 Identification and Auto-Debiased Machine Learning for Outcome-Conditioned Average Structural Derivatives
by Zequn Jin & Lihua Lin & Zhengyu Zhang - 1331-1343 Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
by Lajos Horváth & Piotr Kokoszka & Shanglin Lu - 1344-1355 Maximum-Subsampling Test of Equal Predictive Ability
by Wei Lan & Bo Lei & Long Feng & Chih-Ling Tsai - 1356-1366 Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
by Huifang Ma & Long Feng & Zhaojun Wang & Jigang Bao - 1367-1378 Testing Quantile Forecast Optimality
by Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle - 1379-1388 Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators
by Mehmet Caner & Kfir Eliaz - 1389-1402 Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median
by Piotr Fryzlewicz
July 2024, Volume 42, Issue 3
- 839-850 Inference on Consensus Ranking of Distributions
by David M. Kaplan - 851-863 Correcting for Endogeneity in Models with Bunching
by Carolina Caetano & Gregorio Caetano & Eric Nielsen - 864-874 Powerful Backtests for Historical Simulation Expected Shortfall Models
by Zaichao Du & Pei Pei & Xuhui Wang & Tao Yang - 875-889 On the Combination of Naive and Mean-Variance Portfolio Strategies
by Nathan Lassance & Rodolphe Vanderveken & Frédéric Vrins - 890-902 FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
by Matteo Barigozzi & Haeran Cho & Dom Owens - 903-917 Modeling Extreme Events: Time-Varying Extreme Tail Shape
by Enzo D’Innocenzo & André Lucas & Bernd Schwaab & Xin Zhang - 918-932 Reduced-Rank Envelope Vector Autoregressive Model
by S. Yaser Samadi & H. M. Wiranthe B. Herath - 933-945 A Modified Randomization Test for the Level of Clustering
by Yong Cai - 946-957 Tests for Jumps in Yield Spreads
by Lars Winkelmann & Wenying Yao - 958-969 Double Machine Learning for Sample Selection Models
by Michela Bia & Martin Huber & Lukáš Lafférs - 970-983 Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
by Karsten Reichold & Carsten Jentsch - 984-997 GDP Solera: The Ideal Vintage Mix
by Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana - 998-1009 Causal Inference Under Outcome-Based Sampling with Monotonicity Assumptions
by Sung Jae Jun & Sokbae Lee - 1010-1025 Modeling and Forecasting Macroeconomic Downside Risk
by Davide Delle Monache & Andrea De Polis & Ivan Petrella - 1026-1040 Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
by Xiaorong Yang & Jia Chen & Degui Li & Runze Li - 1041-1052 An Empirical Bayes Approach to Controlling the False Discovery Exceedance
by Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun - 1053-1065 Efficient and Robust Estimation of the Generalized LATE Model
by Haitian Xie - 1066-1082 Variational Inference for Large Bayesian Vector Autoregressions
by Mauro Bernardi & Daniele Bianchi & Nicolas Bianco - 1083-1094 A Ridge-Regularized Jackknifed Anderson-Rubin Test
by Max-Sebastian Dovì & Anders Bredahl Kock & Sophocles Mavroeidis - 1095-1106 An Econometric Analysis of Volatility Discovery
by Gustavo Fruet Dias & Fotis Papailias & Cristina Scherrer
April 2024, Volume 42, Issue 2
- 347-348 Introduction to the Special Issue on Statistics of Dynamic Networks
by Wolfgang Härdle & Melanie Schienled - 349-366 Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
by Xiaofei Xu & Ying Chen & Ge Zhang & Thorsten Koch - 367-390 Dynamic Peer Groups of Arbitrage Characteristics
by Shuyi Ge & Shaoran Li & Oliver Linton - 391-406 Monitoring Network Changes in Social Media
by Cathy Yi-Hsuan Chen & Yarema Okhrin & Tengyao Wang - 407-421 Dynamic Network Quantile Regression Model
by Xiu Xu & Weining Wang & Yongcheol Shin & Chaowen Zheng - 422-436 Large Spillover Networks of Nonstationary Systems
by Shi Chen & Melanie Schienle - 437-456 A Time-Varying Network for Cryptocurrencies
by Li Guo & Wolfgang Karl Härdle & Yubo Tao - 457-468 Testing For Global Covariate Effects in Dynamic Interaction Event Networks
by Alexander Kreiss & Enno Mammen & Wolfgang Polonik - 469-484 Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock
by Ye Yang & Osman Doğan & Süleyman Taşp Inar - 485-498 Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
by Tobias Fissler & Yannick Hoga - 499-515 Bonferroni Type Tests for Return Predictability and the Initial Condition
by Sam Astill & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 516-532 Jumps or Staleness?
by Aleksey Kolokolov & Roberto Renò - 533-547 Estimation and Inference on Time-Varying FAVAR Models
by Zhonghao Fu & Liangjun Su & Xia Wang - 548-562 The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
by Dachuan Chen & Chenxu Li & Cheng Yong Tang & Jun Yan - 563-578 Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
by JoonHwan Cho & Thomas M. Russell - 579-590 Links and Legibility: Making Sense of Historical U.S. Census Automated Linking Methods
by Arkadev Ghosh & Sam Il Myoung Hwang & Munir Squires - 591-602 Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach
by Tadao Hoshino - 603-614 Neural Networks for Partially Linear Quantile Regression
by Qixian Zhong & Jane-Ling Wang - 615-627 Tie-Break Bootstrap for Nonparametric Rank Statistics
by Juwon Seo - 628-639 Bootstrap Inference for Panel Data Quantile Regression
by Antonio F. Galvao & Thomas Parker & Zhijie Xiao - 640-653 Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models
by Qiang Xia & Xianyang Zhang - 654-664 Uniform Nonparametric Inference for Spatially Dependent Panel Data
by Jia Li & Zhipeng Liao & Wenyu Zhou - 665-680 A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r
by James Morley & Trung Duc Tran & Benjamin Wong - 681-694 Asset Pricing via the Conditional Quantile Variational Autoencoder
by Xuanling Yang & Zhoufan Zhu & Dong Li & Ke Zhu - 695-706 Consistent Estimation of Multiple Breakpoints in Dependence Measures
by Marvin Borsch & Alexander Mayer & Dominik Wied - 707-718 Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance
by Jiyang Ren - 719-731 A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
by Cheuk Hin Cheng & Kin Wai Chan - 732-742 Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome
by Jad Beyhum & Samuele Centorrino & Jean-Pierre Florens & Ingrid Van Keilegom - 743-761 An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
by George Kapetanios & Laura Serlenga & Yongcheol Shin - 762-773 A Design-Based Perspective on Synthetic Control Methods
by Lea Bottmer & Guido W. Imbens & Jann Spiess & Merrill Warnick - 774-785 Dynamic Autoregressive Liquidity (DArLiQ)
by Christian M. Hafner & Oliver B. Linton & Linqi Wang - 786-800 Generalized Autoregressive Positive-valued Processes
by Bruno Feunou - 801-811 Generalizing the Results from Social Experiments: Theory and Evidence from India
by Michael Gechter - 812-824 Extreme Changes in Changes
by Yuya Sasaki & Yulong Wang - 825-837 Large Order-Invariant Bayesian VARs with Stochastic Volatility
by Joshua C. C. Chan & Gary Koop & Xuewen Yu
January 2024, Volume 42, Issue 1
- 1-1 Associate Editors
by The Editors - 1-13 Assessing Sensitivity to Unconfoundedness: Estimation and Inference
by Matthew A. Masten & Alexandre Poirier & Linqi Zhang - 14-25 Identification of a Triangular Two Equation System Without Instruments
by Arthur Lewbel & Susanne M. Schennach & Linqi Zhang - 26-35 Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models
by Wu Wang & Zhongyi Zhu - 36-48 Covariance Model with General Linear Structure and Divergent Parameters
by Xinyan Fan & Wei Lan & Tao Zou & Chih-Ling Tsai - 49-63 Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse
by Yimeng Ren & Xuening Zhu & Xiaoling Lu & Guanyu Hu - 64-75 Likelihood Ratio Tests for Lorenz Dominance
by Shen-Da Chang & Philip E. Cheng & Michelle Liou - 76-94 Identification of Time-Varying Factor Models
by Ying Lun Cheung - 95-108 Estimation of a Structural Break Point in Linear Regression Models
by Yaein Baek - 109-121 Getting the ROC into Sync
by Liu Yang & Kajal Lahiri & Adrian Pagan - 122-134 Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
by Sium Bodha Hannadige & Jiti Gao & Mervyn J. Silvapulle & Param Silvapulle - 135-146 Bayesian Nonparametric Panel Markov-Switching GARCH Models
by Roberto Casarin & Mauro Costantini & Anthony Osuntuyi - 147-159 Two-Sample Testing for Tail Copulas with an Application to Equity Indices
by Sami Umut Can & John H. J. Einmahl & Roger J. A. Laeven - 160-173 Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
by Jungbin Hwang & Gonzalo Valdés - 174-186 Optimal Subsampling Bootstrap for Massive Data
by Yingying Ma & Chenlei Leng & Hansheng Wang - 187-196 Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
by Xinyu Zhang & Huihang Liu & Yizheng Wei & Yanyuan Ma - 197-214 Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
by Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek - 215-228 On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
by Xinyu Zhang & Dong Li & Howell Tong - 229-242 On Bivariate Time-Varying Price Staleness
by Haibin Zhu & Zhi Liu - 243-256 Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators
by Xu Guo & Runze Li & Jingyuan Liu & Mudong Zeng - 257-271 A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection
by Long Feng & Binghui Liu & Yanyuan Ma - 272-285 Probabilistic Forecast Reconciliation under the Gaussian Framework
by Shanika L. Wickramasuriya - 286-297 High-Dimensional Censored Regression via the Penalized Tobit Likelihood
by Tate Jacobson & Hui Zou - 298-309 Two-Directional Simultaneous Inference for High-Dimensional Models
by Wei Liu & Huazhen Lin & Jin Liu & Shurong Zheng - 310-321 Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
by Jiti Gao & Bin Peng & Yayi Yan - 322-334 Matrix Factor Analysis: From Least Squares to Iterative Projection
by Yong He & Xinbing Kong & Long Yu & Xinsheng Zhang & Changwei Zhao - 335-346 A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior
by Zhongfang He
October 2023, Volume 41, Issue 4
- 1011-1029 Risk Preference Types, Limited Consideration, and Welfare
by Levon Barseghyan & Francesca Molinari - 1030-1034 Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)
by Matias D. Cattaneo & Xinwei Ma & Yusufcan Masatlioglu - 1035-1038 Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari
by Cristina Gualdani - 1039-1041 Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari
by Elisabeth Honka - 1042-1045 Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare”
by Julie Holland Mortimer - 1046-1049 Rejoinder
by Levon Barseghyan & Francesca Molinari - 1050-1064 Spatial Correlation Robust Inference in Linear Regression and Panel Models
by Ulrich K. Müller & Mark W. Watson - 1065-1076 Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
by Danny Klinenberg - 1077-1089 Identification of SVAR Models by Combining Sign Restrictions With External Instruments
by Robin Braun & Ralf Brüggemann - 1090-1100 Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis
by Danning Li & Arun Srinivasan & Qian Chen & Lingzhou Xue - 1101-1115 Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors
by Xuehu Zhu & Qiming Zhang & Lixing Zhu & Jun Zhang & Luoyao Yu - 1116-1131 Bagged Pretested Portfolio Selection
by Ekaterina Kazak & Winfried Pohlmeier - 1132-1142 LASSO for Stochastic Frontier Models with Many Efficient Firms
by William C. Horrace & Hyunseok Jung & Yoonseok Lee - 1143-1156 Procurements with Bidder Asymmetry in Cost and Risk-Aversion
by Gaurab Aryal & Hanna Charankevich & Seungwon Jeong & Dong-Hyuk Kim - 1157-1172 Nonparametric Prediction Distribution from Resolution-Wise Regression with Heterogeneous Data
by Jialu Li & Wan Zhang & Peiyao Wang & Qizhai Li & Kai Zhang & Yufeng Liu - 1173-1187 Nonparametric Option Pricing with Generalized Entropic Estimators
by Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison - 1188-1202 When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
by Laurent Ferrara & Anna Simoni - 1203-1214 Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering
by Alexander Henzi - 1215-1227 Overnight GARCH-Itô Volatility Models
by Donggyu Kim & Minseok Shin & Yazhen Wang - 1228-1237 A Scalable Frequentist Model Averaging Method
by Rong Zhu & Haiying Wang & Xinyu Zhang & Hua Liang - 1238-1250 Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models
by Xiaoyu Zhang & Di Wang & Heng Lian & Guodong Li - 1251-1261 Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
by Jeffrey S. Racine & Qi Li & Dalei Yu & Li Zheng - 1262-1273 Testing Stability in Functional Event Observations with an Application to IPO Performance
by Lajos Horváth & Zhenya Liu & Gregory Rice & Shixuan Wang & Yaosong Zhan - 1274-1287 Extremal Dependence-Based Specification Testing of Time Series
by Yannick Hoga - 1288-1299 Corporate Probability of Default: A Single-Index Hazard Model Approach
by Shaobo Li & Shaonan Tian & Yan Yu & Xiaorui Zhu & Heng Lian - 1300-1314 Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
by Lajos Horváth & Lorenzo Trapani - 1315-1327 Generalized Covariance Estimator
by Christian Gourieroux & Joann Jasiak - 1328-1340 Teacher-to-Classroom Assignment and Student Achievement
by Bryan S. Graham & Geert Ridder & Petra Thiemann & Gema Zamarro - 1341-1351 Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
by Markku Lanne & Keyan Liu & Jani Luoto - 1352-1363 Fast Variational Bayes Methods for Multinomial Probit Models
by Rubén Loaiza-Maya & Didier Nibbering - 1364-1376 Spectral Estimation of Large Stochastic Blockmodels with Discrete Nodal Covariates
by Angelo Mele & Lingxin Hao & Joshua Cape & Carey E. Priebe - 1377-1390 From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference
by Huijuan Ma & Jing Qin & Yong Zhou - 1391-1403 Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs
by Léopold Simar & Paul W. Wilson
July 2023, Volume 41, Issue 3
- 653-666 Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
by Yiannis Karavias & Paresh Kumar Narayan & Joakim Westerlund - 667-682 Using Survey Information for Improving the Density Nowcasting of U.S. GDP
by Cem Çakmakl i & Hamza Demircan - 683-694 Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
by Sílvia Gonçalves & Ulrich Hounyo & Andrew J. Patton & Kevin Sheppard - 695-707 Identification and Estimation of Multinomial Choice Models with Latent Special Covariates
by Nail Kashaev - 708-719 Forecasting with Economic News
by Luca Barbaglia & Sergio Consoli & Sebastiano Manzan - 720-736 Panel Data Quantile Regression for Treatment Effect Models
by Takuya Ishihara - 737-751 Testing for Unobserved Heterogeneity via k-means Clustering
by Andrew J. Patton & Brian M. Weller - 752-764 Structural Breaks in Grouped Heterogeneity
by Simon C. Smith - 765-777 Combining p-values for Multivariate Predictive Ability Testing
by Lars Spreng & Giovanni Urga - 778-790 Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
by Yousef Kaddoura & Joakim Westerlund - 791-805 Culling the Herd of Moments with Penalized Empirical Likelihood
by Jinyuan Chang & Zhentao Shi & Jia Zhang - 806-818 Network Gradient Descent Algorithm for Decentralized Federated Learning
by Shuyuan Wu & Danyang Huang & Hansheng Wang - 819-832 Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
by Carlos Velasco - 833-845 Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
by Gustav Alfelt & Taras Bodnar & Farrukh Javed & Joanna Tyrcha - 846-861 Detection of Multiple Structural Breaks in Large Covariance Matrices
by Yu-Ning Li & Degui Li & Piotr Fryzlewicz - 862-875 A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
by Guowei Cui & Kazuhiko Hayakawa & Shuichi Nagata & Takashi Yamagata - 876-889 Tail Risk Inference via Expectiles in Heavy-Tailed Time Series
by Anthony C. Davison & Simone A. Padoan & Gilles Stupfler - 890-905 Large Hybrid Time-Varying Parameter VARs
by Joshua C. C. Chan - 906-914 Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation
by Harold D. Chiang & Bing Yang Tan - 915-926 Covariate-Assisted Community Detection in Multi-Layer Networks
by Shirong Xu & Yaoming Zhen & Junhui Wang - 927-938 Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities
by Joel L. Horowitz & Sokbae Lee