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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 - 428-442 Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
by M. Hashem Pesaran & Ida Johnsson - 443-456 A Comparison of Two Quantile Models With Endogeneity
by Kaspar Wüthrich - 457-469 Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data
by Dean R. Hyslop & Wilbur Townsend - 470-486 Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
by Rubén Loaiza-Maya & Michael Stanley Smith
January 2020, Volume 38, Issue 1
- 1-18 Inference in Approximately Sparse Correlated Random Effects Probit Models With Panel Data
by Jeffrey M. Wooldridge & Ying Zhu - 19-24 Debiased Inference of Average Partial Effects in Single-Index Models: Comment on Wooldridge and Zhu
by David A. Hirshberg & Stefan Wager - 25-26 Rejoinder
by Jeffrey M. Wooldridge & Ying Zhu - 27-42 Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
by Peter Hördahl & Eli M. Remolona & Giorgio Valente - 43-54 Shape-Constrained Kernel-Weighted Least Squares: Estimating Production Functions for Chilean Manufacturing Industries
by Daisuke Yagi & Yining Chen & Andrew L. Johnson & Timo Kuosmanen - 55-67 Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - 68-79 Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
by Joshua C. C. Chan - 80-92 Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
by Chung Eun Lee & Xiaofeng Shao - 93-106 Identifying Demand Shocks From Production Data
by Carlos Daniel Santos - 107-123 Testing Nowcast Monotonicity with Estimated Factors
by Jack Fosten & Daniel Gutknecht - 124-136 Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models
by Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang - 137-147 Mixed Marginal Copula Modeling
by David Gunawan & Mohamad A. Khaled & Robert Kohn - 148-164 Transformation-Kernel Estimation of Copula Densities
by Kuangyu Wen & Ximing Wu - 165-182 The Estimation of Compensating Wage Differentials: Lessons From the Deadliest Catch
by Kurt Lavetti - 183-200 The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators
by Hugo Bodory & Lorenzo Camponovo & Martin Huber & Michael Lechner - 201-213 Conditional Extremes in Asymmetric Financial Markets
by Natalia Nolde & Jinyuan Zhang - 214-227 Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
by Shujie Ma & Wei Lan & Liangjun Su & Chih-Ling Tsai
October 2019, Volume 37, Issue 4
- 573-585 Stochastic Spanning
by Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou - 586-597 Estimation of Models With Multiple-Valued Explanatory Variables
by Alexandre Poirier & Nicolas L. Ziebarth - 598-612 Two-Step Estimation of Incomplete Information Social Interaction Models With Sample Selection
by Tadao Hoshino - 613-624 Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
by Yannick Hoga - 625-647 Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs
by Zhongjun Qu & Jungmo Yoon - 648-660 Estimating and Testing Nonlinear Local Dependence Between Two Time Series
by Virginia Lacal & Dag Tjøstheim - 661-670 Extreme Quantile Estimation for Autoregressive Models
by Deyuan Li & Huixia Judy Wang - 671-680 Inference With Dyadic Data: Asymptotic Behavior of the Dyadic-Robust t-Statistic
by Max Tabord-Meehan - 681-695 R2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability
by James Mitchell & Donald Robertson & Stephen Wright - 696-709 A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays - 710-720 Direct and Indirect Effects Based on Difference-in-Differences With an Application to Political Preferences Following the Vietnam Draft Lottery
by Eva Deuchert & Martin Huber & Mark Schelker - 721-735 Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
by Scott Cederburg & Michael S. O’Doherty - 736-748 Including Covariates in the Regression Discontinuity Design
by Markus Frölich & Martin Huber - 749-760 Testing for Slope Heterogeneity Bias in Panel Data Models
by Murillo Campello & Antonio F. Galvao & Ted Juhl - 761-770 Robust Likelihood Cross-Validation for Kernel Density Estimation
by Ximing Wu - 771-774 Editorial Collaborators
by The Editors
July 2019, Volume 37, Issue 3
- 377-390 Nonignorable Attrition in Multi-Period Panels With Refreshment Samples
by Pierre Hoonhout & Geert Ridder - 391-404 Changing Macroeconomic Dynamics at the Zero Lower Bound
by Philip Liu & Konstantinos Theodoridis & Haroon Mumtaz & Francesco Zanetti - 405-418 Modeling Endogenous Mobility in Earnings Determination
by John M. Abowd & Kevin L. McKinney & Ian M. Schmutte - 419-435 Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss - 436-446 Macroeconomic Uncertainty Through the Lens of Professional Forecasters
by Soojin Jo & Rodrigo Sekkel - 447-456 Why High-Order Polynomials Should Not Be Used in Regression Discontinuity Designs
by Andrew Gelman & Guido Imbens - 457-470 Permutation Tests for Comparing Inequality Measures
by Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf - 471-483 Collective Labor Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach
by Hans G. Bloemen - 484-495 Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
by Rocio Alvarez & Maximo Camacho & Manuel Ruiz - 496-505 Testing Censoring Point Independence
by Brigham R. Frandsen - 506-516 Multiple Regression Model Averaging and the Focused Information Criterion With an Application to Portfolio Choice
by Filip Klimenka & James Lewis Wolter - 517-527 Model Averaging for Prediction With Fragmentary Data
by Fang Fang & Wei Lan & Jingjing Tong & Jun Shao - 528-541 A Bootstrap Stationarity Test for Predictive Regression Invalidity
by Iliyan Georgiev & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 542-555 Bank Business Models at Zero Interest Rates
by André Lucas & Julia Schaumburg & Bernd Schwaab - 556-572 Semiparametric Smooth Coefficient Stochastic Frontier Model With Panel Data
by Feng Yao & Fan Zhang & Subal C. Kumbhakar
April 2019, Volume 37, Issue 2
- 187-204 Unobservable Selection and Coefficient Stability: Theory and Evidence
by Emily Oster - 205-216 Poorly Measured Confounders are More Useful on the Left than on the Right
by Zhuan Pei & Jörn-Steffen Pischke & Hannes Schwandt - 217-222 Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence†and “Poorly Measured Confounders are More Useful on the Left Than on the Rightâ€
by Giuseppe De Luca & Jan R. Magnus & Franco Peracchi - 223-234 Testing Missing at Random Using Instrumental Variables
by Christoph Breunig - 235-247 Homothetic Efficiency: Theory and Applications
by Jan Heufer & Per Hjertstrand - 248-259 M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold
by Lili Tan & Yichong Zhang - 260-274 Nonparametric Panel Estimation of Labor Supply
by Gaosheng Ju & Li Gan & Qi Li - 275-287 Goodness-of-Fit Test in Multivariate Jump Diffusion Models
by Shulin Zhang & Qian M. Zhou & Dongming Zhu & Peter X.-K. Song - 288-300 Behavioral Heterogeneity in U.S. Inflation Dynamics
by Adriana Cornea-Madeira & Cars Hommes & Domenico Massaro - 301-311 Statistical Inference for a Relative Risk Measure
by Yi He & Yanxi Hou & Liang Peng & Jiliang Sheng - 312-321 Rank Tests at Jump Events
by Jia Li & Viktor Todorov & George Tauchen & Huidi Lin - 322-333 Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models
by Wolfgang Karl Härdle & Li-Shan Huang - 334-349 Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
by Liangjun Su & Xia Wang & Sainan Jin - 350-362 Inequality Constrained State-Space Models
by Hang Qian - 363-375 Large Dynamic Covariance Matrices
by Robert F. Engle & Olivier Ledoit & Michael Wolf
January 2019, Volume 37, Issue 1
- 1-12 Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
by Tingting Cheng & Jiti Gao & Xibin Zhang - 13-26 System Estimation of Panel Data Models Under Long-Range Dependence
by Yunus Emre Ergemen - 27-39 Adaptive Shrinkage in Bayesian Vector Autoregressive Models
by Florian Huber & Martin Feldkircher - 40-53 Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models
by Lore Dirick & Tony Bellotti & Gerda Claeskens & Bart Baesens - 54-66 Estimation and Inference of Distributional Partial Effects: Theory and Application
by Shu Shen - 67-80 Too Connected to Fail? Inferring Network Ties From Price Co-Movements
by Jakob J. Bosma & Michael Koetter & Michael Wedow - 81-96 Retail Agglomeration and Competition Externalities: Evidence from Openings and Closings of Multiline Department Stores in the U.S
by John M. Clapp & Stephen L. Ross & Tingyu Zhou - 97-109 Functional Autoregression for Sparsely Sampled Data
by Daniel R. Kowal & David S. Matteson & David Ruppert - 110-120 Perceived Inflation Persistence
by Monica Jain - 121-133 Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
by James W. Taylor - 134-146 On the Identification of Fractionally Cointegrated VAR Models With the Condition
by Federico Carlini & Paolo Santucci de Magistris - 147-157 A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
by Wei Lan & Lilun Du - 158-170 Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
by Zongwu Cai & Ying Fang & Ming Lin & Jia Su - 171-186 Regression Discontinuity Designs With Sample Selection
by Yingying Dong
October 2018, Volume 36, Issue 4
- 541-559 HAR Inference: Recommendations for Practice
by Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson - 560-562 Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practiceâ€
by Kenneth D. West - 563-564 Comment on "HAR Inference: Recommendations for Practice" by E. Lazarus, D. J. Lewis, J. H. Stock and M. W. Watson
by Ulrich K. Müller - 565-568 Comment
by Yixiao Sun - 569-573 Comment on "HAR Inference: Recommendations for Practice"
by Timothy J. Vogelsang - 574-575 HAR Inference: Recommendations for Practice Rejoinder
by Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson - 576-598 Moment Component Analysis: An Illustration With International Stock Markets
by Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger - 599-614 Volatility-Related Exchange Traded Assets: An Econometric Investigation
by Javier MencÃa & Enrique Sentana - 615-627 Testing Conditional Mean Independence Under Symmetry
by Tao Chen & Yuanyuan Ji & Yahong Zhou & Pingfang Zhu - 628-642 Optimal Forecasts from Markov Switching Models
by Tom Boot & Andreas Pick - 643-657 New HEAVY Models for Fat-Tailed Realized Covariances and Returns
by Anne Opschoor & Pawel Janus & André Lucas & Dick Van Dijk - 658-671 Minimum Distance Estimation of Search Costs Using Price Distribution
by Fabio Sanches & Daniel Silva Junior & Sorawoot Srisuma - 672-683 Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models
by James E. Pustejovsky & Elizabeth Tipton - 684-694 Poisson-Driven Stationary Markov Models
by Michelle Anzarut & Ramsés H. Mena & Consuelo R. Nava & Igor Prünster - 695-704 The Estimation and Testing of the Cointegration Order Based on the Frequency Domain
by Igor Viveiros Melo Souza & Valderio Anselmo Reisen & Glaura da Conceição Franco & Pascal Bondon - 705-713 Semiparametric Analysis of Network Formation
by Koen Jochmans - 714-722 Can Business Owners Form Accurate Counterfactuals? Eliciting Treatment and Control Beliefs About Their Outcomes in the Alternative Treatment Status
by David McKenzie
July 2018, Volume 36, Issue 3
- 371-387 Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
by Joshua D. Angrist & Òscar Jordà & Guido M. Kuersteiner - 388-399 Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
by Qingliang Fan & Wei Zhong - 400-410 A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs
by Seojeong Lee - 411-425 The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
by Junye Li & Gabriele Zinna - 426-437 Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
by Michael W. McCracken & Giorgio Valente - 438-455 A Unified Approach to Estimating and Testing Income Distributions With Grouped Data
by Yi-Ting Chen - 456-470 Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models
by Yi Yang & Wei Qian & Hui Zou - 471-482 Stockouts and Restocking: Monitoring the Retailer from the Supplier’s Perspective
by Peter Stüttgen & Peter Boatwright & Joseph B. Kadane - 483-492 On Estimation of Hurst Parameter Under Noisy Observations
by Guangying Liu & Bing-Yi Jing - 493-504 Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
by Donald Robertson & Vasilis Sarafidis & Joakim Westerlund - 505-515 Eliciting Subjective Survival Curves: Lessons from Partial Identification
by L. Bissonnette & J. de Bresser - 516-522 Scanner Data Price Indexes: Addressing Some Unresolved Issues
by Daniel Melser - 523-537 Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
by Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips
April 2018, Volume 36, Issue 2
- 181-195 Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
by Dong Hwan Oh & Andrew J. Patton - 196-211 Restrictions on Risk Prices in Dynamic Term Structure Models
by Michael D. Bauer - 212-226 Single-Index-Based CoVaR With Very High-Dimensional Covariates
by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu - 227-238 Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors
by Wayne-Roy Gayle & Natalia Khorunzhina - 239-252 The Changing Transmission of Uncertainty Shocks in the U.S
by Haroon Mumtaz & Konstantinos Theodoridis - 253-266 Bayesian Inference for Assessing Effects of Email Marketing Campaigns
by Jiexing Wu & Kate J. Li & Jun S. Liu - 267-277 A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
by Chew Lian Chua & Sarantis Tsiaplias - 278-287 Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
by P. Richard Hahn & Jingyu He & Hedibert Lopes - 288-308 Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
by George Milunovich & Minxian Yang - 309-320 On the Use of GLS Demeaning in Panel Unit Root Testing
by Joakim Westerlund - 321-333 Measuring Nonlinear Granger Causality in Mean
by Xiaojun Song & Abderrahim Taamouti - 334-345 Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
by Frédérique Fève & Jean-Pierre Florens & Ingrid Van Keilegom - 346-358 Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud
by Lucio Barabesi & Andrea Cerasa & Andrea Cerioli & Domenico Perrotta - 359-369 Covariance Matrix Estimation via Network Structure
by Wei Lan & Zheng Fang & Hansheng Wang & Chih-Ling Tsai
January 2018, Volume 36, Issue 1
- 1-10 Simple Estimators for Invertible Index Models
by Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud - 11-15 Discussion of “Simple Estimators for Invertible Index Models†by H. Ahn, H. Ichimura, J. Powell, and P. Ruud
by S. Khan & E. Tamer - 16-17 Comment on “Simple Estimators for Invertible Index Modelsâ€
by Jack Porter - 18-21 A Comment on “Simple Estimators for Invertible Index Modelsâ€
by Andres Aradillas-Lopez - 22-23 Rejoinder for “Simple Estimators for Invertible Index Modelsâ€
by Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud - 24-46 Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
by Mehmet Caner & Xu Han & Yoonseok Lee - 47-61 Pseudo Panel Data Models With Cohort Interactive Effects
by Artūras Juodis - 62-74 Max-Linear Competing Factor Models
by Qiurong Cui & Zhengjun Zhang - 75-87 Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
by Lancelot F. James & Gernot Müller & Zhiyuan Zhang - 88-100 Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
by Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle - 101-114 A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
by Roberto Casarin & Domenico Sartore & Marco Tronzano - 115-130 Confidence Bands for ROC Curves With Serially Dependent Data
by Kajal Lahiri & Liu Yang - 131-145 Combined Density Nowcasting in an Uncertain Economic Environment
by Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk - 146-159 Robust Inference for Inverse Stochastic Dominance
by Francesco Andreoli - 160-172 Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data
by Tadao Hoshino - 173-180 Integrated-Quantile-Based Estimation for First-Price Auction Models
by Yao Luo & Yuanyuan Wan
October 2017, Volume 35, Issue 4
- 1-1 Editorial Board EOV
by The Editors - 499-512 Risk Measure Inference
by Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes - 513-527 The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
by Philip L. H. Yu & W. K. Li & F. C. Ng - 528-542 Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
by Ke Zhu & Wai Keung Li & Philip L. H. Yu - 543-558 Estimation of Some Nonlinear Panel Data Models With Both Time-Varying and Time-Invariant Explanatory Variables
by Bo E. Honoré & Michaela Kesina - 559-571 Root- Consistent Estimation of a Panel Data Binary Response Model With Unknown Correlated Random Effects
by Songnian Chen & Jichun Si & Hanghui Zhang & Yahong Zhou - 572-584 Specification Test for Spatial Autoregressive Models
by Liangjun Su & Xi Qu - 585-597 A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
by Drew D. Creal - 598-610 Parameter Estimation Robust to Low-Frequency Contamination
by Adam McCloskey & Jonathan B. Hill - 611-625 Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy
by Tucker McElroy - 642-645 Editorial Collaborators
by The Editors
July 2017, Volume 35, Issue 3
- 349-358 Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
by Pedro H. C. Sant’Anna - 359-370 LM Test of Neglected Correlated Random Effects and Its Application
by Jinyong Hahn & Hyungsik Roger Moon & Connan Snider - 371-388 An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
by Ying Chen & Bo Li - 389-406 Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
by Michael P. Clements & Ana Beatriz Galvão - 407-419 Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
by D. S. Poskitt & Wenying Yao - 420-433 Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
by Michael P. Clements - 434-451 Diffusion Indexes With Sparse Loadings
by Johannes Tang Kristensen - 452-469 Identifying Structural Models of Committee Decisions With Heterogeneous Tastes and Ideological Bias
by Yonghong An & Xun Tang - 470-485 Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
by Fabian Krüger & Todd E. Clark & Francesco Ravazzolo - 486-498 Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
by Tao Zou & Song Xi Chen
April 2017, Volume 35, Issue 2
- 159-161 Guest Editors’ Introduction: Regime Switching and Threshold Models
by Kung-Sik Chan & Bruce E. Hansen & Allan Timmermann - 162-182 Autoregressive Moving Average Infinite Hidden Markov-Switching Models
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays - 183-201 Forecasting Macroeconomic Variables Under Model Instability
by Davide Pettenuzzo & Allan Timmermann - 202-217 Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
by Jesùs Gonzalo & Jean-Yves Pitarakis - 218-227 Testing for Threshold Diffusion
by Fei Su & Kung-Sik Chan - 228-240 Regression Kink With an Unknown Threshold
by Bruce E. Hansen - 241-249 Is There a Jump in the Transition?
by Young-Joo Kim & Myung Hwan Seo - 250-264 Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
by Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme - 265-287 Status Traps
by Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan - 288-305 A New Class of Bivariate Threshold Cointegration Models
by Biqing Cai & Jiti Gao & Dag Tjøstheim - 306-317 On Mixture Double Autoregressive Time Series Models
by Guodong Li & Qianqian Zhu & Zhao Liu & Wai Keung Li - 318-333 Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
by Yaxing Yang & Shiqing Ling - 334-345 Threshold Estimation via Group Orthogonal Greedy Algorithm
by Ngai Hang Chan & Ching-Kang Ing & Yuanbo Li & Chun Yip Yau
January 2017, Volume 35, Issue 1
- 1-16 Unobserved Heterogeneity in Income Dynamics: An Empirical Bayes Perspective
by Jiaying Gu & Roger Koenker - 17-28 The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
by Joshua C. C. Chan - 29-39 Uniform Test for Predictive Regression With AR Errors
by Chenxue Li & Deyuan Li & Liang Peng - 40-52 Semiparametric Estimation of Risk–Return Relationships
by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom - 53-69 Bootstrap Prediction Intervals for Factor Models
by SÃlvia Gonçalves & Benoit Perron & Antoine Djogbenou - 70-85 Confidence Corridors for Multivariate Generalized Quantile Regression
by Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle - 86-97 Efficient Augmented Inverse Probability Weighted Estimation in Missing Data Problems
by Jing Qin & Biao Zhang & Denis H.Y. Leung - 98-109 Nonparametric Inference for Time-Varying Coefficient Quantile Regression
by Weichi Wu & Zhou Zhou - 110-129 Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - 130-138 Estimating Spatial Autocorrelation With Sampled Network Data
by Jing Zhou & Yundong Tu & Yuxin Chen & Hansheng Wang - 139-154 Modeling Dependence in High Dimensions With Factor Copulas
by Dong Hwan Oh & Andrew J. Patton
October 2016, Volume 34, Issue 4
- 1-1 Editorial Board EOV
by The Editors