TOC: J Econometrics
Introduction
Journal of Econometrics, 186(2)
High dimensional problems in econometrics
–Marine Carrasco, Victor Chernozhukov, Silvia Goncalves, Eric Renault [] []
Forecasting with factor-augmented regression: A frequentist model averaging approach
–Xu Cheng, Bruce E. Hansen [] []
The three-pass regression filter: A new approach to forecasting using many predictors
–Bryan Kelly, Seth Pruitt [] []
On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
–A. Chatterjee, S. Gupta, S.N. Lahiri [] []
Oracle inequalities for high dimensional vector autoregressions
–Anders Bredahl Kock, Laurent Callot [] []
Some new asymptotic theory for least squares series: Pointwise and uniform results
–Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov, Kengo Kato [] []
Risks of large portfolios
–Jianqing Fan, Yuan Liao, Xiaofeng Shi [] []
Asymptotic analysis of the squared estimation error in misspecified factor models
–Alexei Onatski [] []
Bootstrap inference for linear dynamic panel data models with individual fixed effects
–Silvia Goncalves, Maximilien Kaffo [] []
Regularized LIML for many instruments
–Marine Carrasco, Guy Tchuente [] []
Select the valid and relevant moments: An information-based LASSO for GMM with many moments
–Xu Cheng, Zhipeng Liao [] []
Instrumental variable estimation in functional linear models
–Jean-Pierre Florens, Sebastien Van Bellegem [] []
