J Econometrics
Introduction
Journal of Econometrics, 255
INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs
Inference on breaks in weak location time series models with the estimating function approach
—Christian Francq, Lorenzo Trapani, Jean-Michel Zakoïan []
Estimation and inference for unbalanced panel data models with interactive fixed effects
—Liangjun Su, Fa Wang, Yiren Wang []
An empirical evaluation of some long-horizon macroeconomic forecasts
—Kurt G. Lunsford, Kenneth D. West []
A uniformly valid test for instrument exogeneity
—Prosper Dovonon, Nikolay Gospodinov []
A sorted penalty estimator: Inference for a correlation-robust shrinkage method
—Marcelo C. Medeiros, Chuanping Sun []
Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
—Eric Beutner, Yicong Lin, Andre Lucas []
Robust econometrics for growth-at-risk
—Tobias Adrian, Yuya Sasaki, Yulong Wang []
Estimation and inference of the forecast error variance decomposition for set-identified SVARs
—Francesco Fusari, Joe Marlow, Alessio Volpicella []
Monitoring joint tail risks: An application to growth and inflation
—Valentina Corradi, Jordi Llorens-Terrazas []
Should we augment large covariance matrix estimation with auxiliary network information?
—Shuyi Ge, Shaoran Li, Oliver Linton, Weiguang Liu, Wen Su []
The information matrix test for Gaussian mixtures
—Dante Amengual, Gabriele Fiorentini, Enrique Sentana []
The modified conditional sum-of-squares estimator for fractionally integrated models
—Mustafa R. Kılınç, Michael Massmann []
LASSO inference for high dimensional predictive regressions
—Zhan Gao, Ji Hyung Lee, Ziwei Mei, Zhentao Shi []
Using spatial modeling to address covariate measurement error
—Susanne M. Schennach, Vincent Starck []
Nuclear norm regularized estimation of panel regression models
—Hyungsik Roger Moon, Martin Weidner []
Integrated variance estimation for assets traded in multiple venues
—Gustavo Fruet Dias, Karsten Schweikert []
Mixture matrix-valued autoregressive model
—Fei Wu, Kung-Sik Chan []
Latent factor analysis in short panels
—Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet []
Reduced rank multivariate spatial autoregressive model for large-scale networks
—Tianyi Zhu, Dan Pu, Yingying Ma, Danyang Huang, Wei Lan []
Identification of first-price auctions with endogenous entry and possibly biased beliefs
—Tong Li, Yu Zhu []
Transfer estimates for causal effects across heterogeneous sites
—Konrad Menzel []
Implicit score-driven filters for time-varying parameter models
—Rutger-Jan Lange, Bram van Os, Dick van Dijk []