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Content
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 - 883-887 Discussion on “Text Selection”
by Xiaofei Xu & Ying Chen & Steven Kou - 888-891 A Discussion of “Text Selection”
by Nitish Ranjan Sinha - 892-906 Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
by Zifeng Zhao - 907-919 Testing the Multivariate Regular Variation Model
by John H. J. Einmahl & Fan Yang & Chen Zhou - 920-936 A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
by Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo - 937-952 Measuring Granger Causality in Quantiles
by Xiaojun Song & Abderrahim Taamouti - 953-971 Threshold Regression With a Threshold Boundary
by Ping Yu & Xiaodong Fan - 972-983 Generic Conditions for Forecast Dominance
by Fabian Krüger & Johanna F. Ziegel - 984-1000 Inference in Additively Separable Models With a High-Dimensional Set of Conditioning Variables
by Damian Kozbur - 1001-1014 Discerning Solution Concepts for Discrete Games
by Nail Kashaev & Bruno Salcedo - 1015-1025 Generalized Jump Regressions for Local Moments
by Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves - 1026-1037 Randomization Tests for Equality in Dependence Structure
by Juwon Seo - 1038-1053 A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models
by Francis J. DiTraglia & Camilo García-Jimeno - 1054-1065 Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
by Davide Delle Monache & Ivan Petrella & Fabrizio Venditti - 1066-1079 Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
by Anne Opschoor & André Lucas & István Barra & Dick van Dijk - 1080-1080 Correction
by The Editors
July 2021, Volume 39, Issue 3
- 605-621 High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
by Giuseppe Buccheri & Fulvio Corsi & Stefano Peluso - 622-635 Dynamic Two Stage Modeling for Category-Level and Brand-Level Purchases Using Potential Outcome Approach With Bayes Inference
by Kei Miyazaki & Takahiro Hoshino & Ulf Böckenholt - 636-651 What Happens After an Investment Spike—Investment Events and Firm Performance
by Michał Gradzewicz - 652-668 Fitting Vast Dimensional Time-Varying Covariance Models
by Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle - 669-683 Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
by Florian Huber & Gary Koop & Luca Onorante - 684-699 Unified Tests for a Dynamic Predictive Regression
by Bingduo Yang & Xiaohui Liu & Liang Peng & Zongwu Cai - 700-711 Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
by Chaohua Dong & Jiti Gao & Bin Peng - 712-728 Bayesian Inference for Regression Copulas
by Michael Stanley Smith & Nadja Klein - 729-740 Multidimensional Economic Dispersion Index and Application
by Yifan Xia & Ling Zhang & Iris L. Li - 741-756 Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
by Degui Li & Qi Li & Zheng Li - 757-771 Dynamic Semiparametric Factor Model With Structural Breaks
by Likai Chen & Weining Wang & Wei Biao Wu - 772-782 A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
by Sascha Alexander Keweloh - 783-792 Incorporating Graphical Structure of Predictors in Sparse Quantile Regression
by Zhanfeng Wang & Xianhui Liu & Wenlu Tang & Yuanyuan Lin - 793-806 Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
by Xiye Yang - 807-815 An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data
by Long Feng & Binghui Liu & Yanyuan Ma - 816-832 Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes
by Pedro H. C. Sant’Anna - 833-848 A Correction for Regression Discontinuity Designs With Group-Specific Mismeasurement of the Running Variable
by Otávio Bartalotti & Quentin Brummet & Steven Dieterle - 849-857 Who is the Key Player? A Network Analysis of Juvenile Delinquency
by Lung-Fei Lee & Xiaodong Liu & Eleonora Patacchini & Yves Zenou
March 2021, Volume 39, Issue 2
- 373-385 Semiparametric Estimation of First-Price Auction Models
by Gaurab Aryal & Maria F. Gabrielli & Quang Vuong - 386-401 Homogeneity Pursuit in Single Index Models based Panel Data Analysis
by Heng Lian & Xinghao Qiao & Wenyang Zhang - 402-421 Identification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions
by Geoffrey R. Dunbar & Arthur Lewbel & Krishna Pendakur - 422-436 A Framework for Separating Individual-Level Treatment Effects From Spillover Effects
by Martin Huber & Andreas Steinmayr - 437-452 Semiparametric GARCH via Bayesian Model Averaging
by Wilson Ye Chen & Richard H. Gerlach - 453-465 Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
by Juan Carlos Escanciano & Javier Hualde - 466-481 The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
by Haroon Mumtaz & Alberto Musso - 482-492 Gaussian Processes and Bayesian Moment Estimation
by Jean-Pierre Florens & Anna Simoni - 493-504 High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
by Dimitris Korobilis - 505-519 Wild Bootstrap and Asymptotic Inference With Multiway Clustering
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - 520-531 A Nodewise Regression Approach to Estimating Large Portfolios
by Laurent Callot & Mehmet Caner & A. Özlem Önder & Esra Ulaşan - 532-546 Sharp Bounds on Functionals of the Joint Distribution in the Analysis of Treatment Effects
by Thomas M. Russell - 547-560 The Impact of Food Prices on Conflict Revisited
by Jasmien De Winne & Gert Peersman - 561-574 Equality-Minded Treatment Choice
by Toru Kitagawa & Aleksey Tetenov - 575-588 Copula-Based Random Effects Models for Clustered Data
by Santiago Pereda-Fernández - 589-603 Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
by Christian M. Hafner & Dimitra Kyriakopoulou
January 2021, Volume 39, Issue 1
- 1-17 Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
by Xu Han - 18-39 Disentangling Sources of High Frequency Market Microstructure Noise
by Simon Clinet & Yoann Potiron - 40-53 Multi-Horizon Forecast Comparison
by Rogier Quaedvlieg - 54-68 Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
by Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin - 69-81 GMM Estimation of Non-Gaussian Structural Vector Autoregression
by Markku Lanne & Jani Luoto - 82-97 Sequential Text-Term Selection in Vector Space Models
by Feifei Wang & Jingyuan Liu & Hansheng Wang - 98-119 Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
by Marcelo C. Medeiros & Gabriel F. R. Vasconcelos & Álvaro Veiga & Eduardo Zilberman - 120-135 Spatial Modeling Approach for Dynamic Network Formation and Interactions
by Xiaoyi Han & Chih-Sheng Hsieh & Stanley I. M. Ko - 136-147 Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
by Shiqing Ling & Ruey S. Tsay & Yaxing Yang - 148-165 Testing for Changes in Forecasting Performance
by Pierre Perron & Yohei Yamamoto - 166-178 Dealing With Endogeneity in Threshold Models Using Copulas
by Dimitris Christopoulos & Peter McAdam & Elias Tzavalis - 179-188 Regression Analysis with Individual-Specific Patterns of Missing Covariates
by Huazhen Lin & Wei Liu & Wei Lan - 189-199 Improved Nonparametric Bootstrap Tests of Lorenz Dominance
by Zhenting Sun & Brendan K. Beare - 200-216 Measurement Error Without the Proxy Exclusion Restriction
by Karim Chalak & Daniel Kim - 217-243 From Local to Global: External Validity in a Fertility Natural Experiment
by Rajeev Dehejia & Cristian Pop-Eleches & Cyrus Samii - 244-258 Exploring Encouragement, Treatment, and Spillover Effects Using Principal Stratification, With Application to a Field Experiment on Teens’ Museum Attendance
by Laura Forastiere & Patrizia Lattarulo & Marco Mariani & Fabrizia Mealli & Laura Razzolini - 259-271 A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
by Peter Reinhard Hansen & Matthias Schmidtblaicher - 272-281 Causal Interpretations of Black-Box Models
by Qingyuan Zhao & Trevor Hastie - 282-293 Empirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown Functions
by Jing Tao - 294-306 Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
by Ignace De Vos & Gerdie Everaert - 307-324 Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models
by Gergely Ganics & Atsushi Inoue & Barbara Rossi - 325-337 Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
by Shunan Zhao & Ruiqi Liu & Zuofeng Shang - 338-357 Smoothing Quantile Regressions
by Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta - 358-371 Multivalued Treatments and Decomposition Analysis: An Application to the WIA Program
by Wallice Ao & Sebastian Calonico & Ying-Ying Lee
October 2020, Volume 38, Issue 4
- 711-722 Transparency in Structural Research
by Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro - 723-725 Discussion of “Transparency in Structural Research” by Isaiah Andrews, Matthew Gentzkow, and Jesse Shapiro
by Stéphane Bonhomme - 726-727 Thoughts on “Transparency in Structural Research”
by Christopher Taber - 728-730 Discussion on “ Transparency in Structural Research” by I. Andrews, M. Gentkow and J. Shapiro
by Elie Tamer - 731-731 Rejoinder
by Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro - 732-753 Partial Identification of Economic Mobility: With an Application to the United States
by Daniel L. Millimet & Hao Li & Punarjit Roychowdhury - 754-770 Nonparametric Estimation of Search Costs for Differentiated Products: Evidence from Medigap
by Haizhen Lin & Matthijs R. Wildenbeest - 771-783 Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
by Siddhartha Chib & Xiaming Zeng - 784-795 A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test
by Jeffrey S. Racine & Ingrid Van Keilegom - 796-809 Comparing Possibly Misspecified Forecasts
by Andrew J. Patton - 810-825 Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model
by Adam McCloskey - 826-838 Treatment Effects With Heterogeneous Externalities
by Tiziano Arduini & Eleonora Patacchini & Edoardo Rainone - 839-855 Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
by Yuta Yamauchi & Yasuhiro Omori - 856-871 A Stochastic Volatility Model With Realized Measures for Option Pricing
by Giacomo Bormetti & Roberto Casarin & Fulvio Corsi & Giulia Livieri - 872-887 Bayesian Forecasting of Many Count-Valued Time Series
by Lindsay R. Berry & Mike West - 888-900 Matching Using Sufficient Dimension Reduction for Causal Inference
by Wei Luo & Yeying Zhu - 901-920 Bounds on Average and Quantile Treatment Effects on Duration Outcomes Under Censoring, Selection, and Noncompliance
by German Blanco & Xuan Chen & Carlos A. Flores & Alfonso Flores-Lagunes - 921-933 Forecast Error Variance Decompositions with Local Projections
by Yuriy Gorodnichenko & Byoungchan Lee - 934-950 Minimum Contrast Empirical Likelihood Inference of Discontinuity in Density
by Jun Ma & Hugo Jales & Zhengfei Yu - 951-954 Editorial Collaborators
by The Editors
July 2020, Volume 38, Issue 3
- 487-501 Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition
by Wei Lin & Jianhua Z. Huang & Tucker McElroy - 502-515 Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects
by Gordon Anderson & Thierry Post & Yoon-Jae Whang - 516-526 Stationary Points for Parametric Stochastic Frontier Models
by William C. Horrace & Ian A. Wright - 527-541 Implications of Return Predictability for Consumption Dynamics and Asset Pricing
by Carlo A. Favero & Fulvio Ortu & Andrea Tamoni & Haoxi Yang - 542-553 Term Structures of Inflation Expectations and Real Interest Rates
by S. Borağan Aruoba - 554-569 Heterogeneity and Unemployment Dynamics
by Hie Joo Ahn & James D. Hamilton - 570-579 A New Class of Change Point Test Statistics of Rényi Type
by Lajos Horváth & Curtis Miller & Gregory Rice - 580-592 A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
by Eelco Kappe & Wayne S. DeSarbo & Marcelo C. Medeiros - 593-612 External Validity in Fuzzy Regression Discontinuity Designs
by Marinho Bertanha & Guido W. Imbens - 613-620 The Promise and Pitfalls of Differences-in-Differences: Reflections on 16 and Pregnant and Other Applications
by Ariella Kahn-Lang & Kevin Lang - 621-632 Empirical likelihood for high frequency data
by Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu - 633-646 Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle
by John Ameriks & Gábor Kézdi & Minjoon Lee & Matthew D. Shapiro - 647-661 Dynamic Vector Mode Regression
by Gordon C. R. Kemp & Paulo M. D. C. Parente & J. M. C. Santos Silva - 662-678 The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - 679-692 Local Parametric Estimation in High Frequency Data
by Yoann Potiron & Per Mykland - 693-710 Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model
by Clifford Lam & Pedro C.L. Souza
April 2020, Volume 38, Issue 2
- 229-242 Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
by Christian Conrad & Melanie Schienle - 243-256 A Stochastic Frontier Model with Endogenous Treatment Status and Mediator
by Yi-Ting Chen & Yu-Chin Hsu & Hung-Jen Wang - 257-271 Flexible Mixture-Amount Models Using Multivariate Gaussian Processes
by Aiste Ruseckaite & Dennis Fok & Peter Goos - 272-284 Dynamic Effects of Credit Shocks in a Data-Rich Environment
by Jean Boivin & Marc P. Giannoni & Dalibor Stevanović - 285-302 Markov-Switching Three-Pass Regression Filter
by Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino - 303-316 Identification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching
by Bryan S. Graham & Guido W. Imbens & Geert Ridder - 317-326 A Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing?
by David A. Jaeger & Theodore J. Joyce & Robert Kaestner - 327-339 Learning and Index Option Returns
by Alejandro Bernales & Gonzalo Cortazar & Luka Salamunic & George Skiadopoulos - 340-349 Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
by Marco Barassi & Lajos Horváth & Yuqian Zhao - 350-366 Is a Normal Copula the Right Copula?
by Dante Amengual & Enrique Sentana - 367-379 A New Approach to Identifying the Real Effects of Uncertainty Shocks
by Minchul Shin & Molin Zhong - 380-392 Detecting Structural Differences in Tail Dependence of Financial Time Series
by Carsten Bormann & Melanie Schienle - 393-409 Words are the New Numbers: A Newsy Coincident Index of the Business Cycle
by Leif Anders Thorsrud - 410-427 The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
by Jérôme Lahaye & Christopher Neely