TOC: J Econometrics
Introduction
Journal of Econometrics, 162(2)
 : : : TOC
: : journals |
Relevant ARCategory: |
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading?
–Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard [] []
Estimating features of a distribution from binomial data?
–Arthur Lewbel, Daniel McFadden, Oliver Linton [] []
A martingale approach for testing diffusion models based on infinitesimal operator?
–Zhaogang Song [] []
A bootstrap-assisted spectral test of white noise under unknown dependence
–Xiaofeng Shao [] []
Nonparametric model validations for hidden Markov models with applications in financial econometrics
–Zhibiao Zhao [] []
Estimation of fractional integration under temporal aggregation
–Uwe Hassler [] []
Estimating structural changes in regression quantiles?
–Tatsushi Oka, Zhongjun Qu [] []
A new class of asymptotically efficient estimators for moment condition models?
–Yanqin Fan, Matthew Gentry, Tong Li [] []
Fourth order pseudo maximum likelihood methods
–Alberto Holly, Alain Monfort, Michael Rockinger [] []
Integrated variance forecasting: Model based vs. reduced form
–Natalia Sizova [] []
Modeling frailty-correlated defaults using many macroeconomic covariates
–Siem Jan Koopman, André Lucas, Bernd Schwaab [] []
Generalized runs tests for the IID hypothesis
–Jin Seo Cho, Halbert White [] []
Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
–Mingliang Li, Justin L. Tobias [] []
Regression with imputed covariates: A generalized missing-indicator approach
–Valentino Dardanoni, Salvatore Modica, Franco Peracchi [] []
Bayesian estimation of an extended local scale stochastic volatility model
–Philippe J. Deschamps [] []
Stick-breaking autoregressive processes
–J.E. Griffin, M.F.J. Steel [] []