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Research Article

Article
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
Haoxuan Wu, Toryn L. J. Schafer & David S. Matteson
Published online: 08 Jul 2024
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Research Article

Article
Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments
Kosuke Imai & Michael Lingzhi Li
Published online: 08 Jul 2024
  • 146 Views
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Research Article

Article
Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability
Wenfeng He, Xiaoling Mei, Wei Zhong & Huanjun Zhu
Accepted author version posted online: 03 Jul 2024
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Research Article

Article
Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods
Siqi Wei
Accepted author version posted online: 02 Jul 2024
  • 55 Views
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Open Access

Discussion

Discussion
Imputation of Counterfactual Outcomes when the Errors are Predictable
Sílvia Gonçalves & Serena Ng
Published online: 13 Jun 2024
  • 147 Views
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Research Article

Article
Estimation of the Local Conditional Tail Average Treatment Effect
Le-Yu Chen & Yu-Min Yen
Published online: 13 Jun 2024
  • 208 Views
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Research Article

Article
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Daan Opschoor & Michel van der Wel
Accepted author version posted online: 12 Jun 2024
  • 232 Views
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Open Access

Research Article

Article
Simultaneous Confidence Intervals for Partially Identified Parameters
Brigham R. Frandsen & Zachari A. Pond
Published online: 12 Jun 2024
  • 134 Views
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Research Article

Article
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
Lin Deng, Michael Stanley Smith & Worapree Maneesoonthorn
Accepted author version posted online: 29 May 2024
  • 366 Views
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Open Access

Research Article

Article
Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets
Victor H. Aguiar & Nail Kashaev
Published online: 22 May 2024
  • 209 Views
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Research Article

Article
Trending Time-Varying Coefficient Spatial Panel Data Models
Hsuan-Yu Chang, Xiaojun Song & Jihai Yu
Published online: 14 May 2024
  • 271 Views
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Research Article

Article
Detecting Weak Distribution Shifts via Displacement Interpolation
YoonHaeng Hur & Tengyuan Liang
Published online: 07 May 2024
  • 108 Views
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Research Article

Article
Forecasting Inflation Using Economic Narratives
Yongmiao Hong, Fuwei Jiang, Lingchao Meng & Bowen Xue
Accepted author version posted online: 24 Apr 2024
  • 472 Views
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Research Article

Article
Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions
Liana Jacobi, Dan Zhu & Mark Joshi
Published online: 22 Apr 2024
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Open Access

Research Article

Article
Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect
Tymon Słoczyński, S. Derya Uysal & Jeffrey M. Wooldridge
Published online: 19 Apr 2024
  • 337 Views
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Research Article

Article
The Block-Correlated Pseudo Marginal Sampler for State Space Models
David Gunawan, Pratiti Chatterjee & Robert Kohn
Published online: 17 Apr 2024
  • 452 Views
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Open Access

Research Article

Article
Quantile Policy Effects: An Application to U.S. Macroprudential Policy
Hsin-Yi Lin, Yu-Hsiang Hsiao & Yu-Chin Hsu
Published online: 15 Apr 2024
  • 223 Views
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Research Article

Article
Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data
Jiajun Zhang, Chuanmin Zhao & Xi Qu
Published online: 12 Apr 2024
  • 302 Views
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Research Article

Article
Panel Data Cointegration Testing with Structural Instabilities
Anindya Banerjee & Josep Lluís Carrion-i-Silvestre
Published online: 11 Apr 2024
  • 551 Views
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Open Access

Research Article

Article
Reduced Rank Spatio-Temporal Models
Dan Pu, Kuangnan Fang, Wei Lan, Jihai Yu & Qingzhao Zhang
Published online: 11 Apr 2024
  • 371 Views
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Research Article

Article
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting
Jonathan B. Hill
Published online: 02 Apr 2024
  • 130 Views
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Research Article

Article
Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances
Jhordano Aguilar Loyo & Tom Boot
Published online: 02 Apr 2024
  • 732 Views
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Open Access

Research Article

Article
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
Niko Hauzenberger, Florian Huber, Massimiliano Marcellino & Nico Petz
Published online: 29 Mar 2024
  • 1381 Views
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Open Access

Research Article

Article
Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score
Shunsuke Imai, Takuya Koriyama, Shouto Yonekura, Shonosuke Sugasawa & Yoshihiko Nishiyama
Published online: 29 Mar 2024
  • 193 Views
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Research Article

Article
Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility
Fernanda G. B. Mendes, Wagner Barreto-Souza & Sokol Ndreca
Published online: 28 Mar 2024
  • 685 Views
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Open Access

Research Article

Article
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
Andrea Carriero & Alessio Volpicella
Published online: 28 Mar 2024
  • 779 Views
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Open Access

Research Article

Article
A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
Savi Virolainen
Published online: 25 Mar 2024
  • 518 Views
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Open Access

Research Article

Article
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median
Piotr Fryzlewicz
Published online: 15 Mar 2024
  • 438 Views
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Open Access

Research Article

Article
Dynamic Realized Minimum Variance Portfolio Models
Donggyu Kim & Minseog Oh
Published online: 12 Mar 2024
  • 194 Views
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Research Article

Article
Testing Quantile Forecast Optimality
Jack Fosten, Daniel Gutknecht & Marc-Oliver Pohle
Published online: 12 Mar 2024
  • 719 Views
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Open Access

Research Article

Article
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators
Mehmet Caner & Kfir Eliaz
Published online: 12 Mar 2024
  • 203 Views
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Research Article

Article
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Marcellino & Michael Pfarrhofer
Published online: 07 Mar 2024
  • 1295 Views
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Open Access

Research Article

Article
Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
Huifang Ma, Long Feng, Zhaojun Wang & Jigang Bao
Published online: 06 Mar 2024
  • 224 Views
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Research Article

Article
Testing for Equivalence of Pre-Trends in Difference-in-Differences Estimation
Holger Dette & Martin Schumann
Published online: 26 Feb 2024
  • 1115 Views
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Open Access

Research Article

Article
Identification and Auto-Debiased Machine Learning for Outcome-Conditioned Average Structural Derivatives
Zequn Jin, Lihua Lin & Zhengyu Zhang
Published online: 26 Feb 2024
  • 140 Views
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Research Article

Article
Detecting Multiple Level Shifts in Bounded Time Series
Josep Lluís Carrion-i-Silvestre & María Dolores Gadea
Published online: 26 Feb 2024
  • 106 Views
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Research Article

Article
Maximum-Subsampling Test of Equal Predictive Ability
Wei Lan, Bo Lei, Long Feng & Chih-Ling Tsai
Published online: 26 Feb 2024
  • 164 Views
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Research Article

Article
Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
Lajos Horváth, Piotr Kokoszka & Shanglin Lu
Published online: 26 Feb 2024
  • 213 Views
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Research Article

Article
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects
Zhenhao Gong & Min Seong Kim
Published online: 26 Feb 2024
  • 240 Views
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Research Article

Article
Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
Xuexin Wang
Published online: 11 Jan 2024
  • 251 Views
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Research Article

Article
Model Checking in Partially Linear Spatial Autoregressive Models
Zixin Yang, Xiaojun Song & Jihai Yu
Published online: 04 Jan 2024
  • 343 Views
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Research Article

Article
Noncommon Breaks
Simon C. Smith
Published online: 04 Jan 2024
  • 235 Views
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Research Article

Article
Nonparametric Identification and Inference of First-Price Auctions with Heterogeneous Bidders
Zheng Li
Published online: 27 Dec 2023
  • 105 Views
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Research Article

Article
Linking Frequentist and Bayesian Change-Point Methods
David Ardia, Arnaud Dufays & Carlos Ordás Criado
Published online: 15 Dec 2023
  • 224 Views
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Research Article

Article
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
Yiqiu Cao, Sainan Jin, Xun Lu & Liangjun Su
Published online: 11 Dec 2023
  • 349 Views
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Research Article

Article
Unconditional Quantile Regression for Streaming Datasets
Rong Jiang & Keming Yu
Published online: 14 Dec 2023
  • 994 Views
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Open Access
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