Journal of Business & Economic Statistics, Volume 40, Issue 3 (2022)

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Journal of Business & Economic Statistics, Volume 40, Issue 3 (2022)

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Articles

Article
Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
Sofia Anyfantaki, Esfandiar Maasoumi, Jue Ren & Nikolas Topaloglou
Pages: 937-949
Published online: 22 Mar 2021
AbstractforEvidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 551 Views
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Article
Quasi-Experimental Evaluation of Alternative Sample Selection Corrections
Robert Garlick & Joshua Hyman
Pages: 950-964
Published online: 16 Apr 2021
AbstractforQuasi-Experimental Evaluation of Alternative Sample Selection Corrections | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 632 Views
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Article
Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
Alexander Chudik & Georgios Georgiadis
Pages: 965-979
Published online: 22 Mar 2021
AbstractforEstimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 771 Views
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Article
Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
Guochang Wang, Ke Zhu & Xiaofeng Shao
Pages: 980-994
Published online: 22 Mar 2021
AbstractforTesting for the Martingale Difference Hypothesis in Multivariate Time Series Models | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 950 Views
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Article
Measuring Social Interaction Effects When Instruments Are Weak
Stephen L. Ross & Zhentao Shi
Pages: 995-1006
Published online: 16 Apr 2021
AbstractforMeasuring Social Interaction Effects When Instruments Are Weak | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 531 Views
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Article
Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
Kashif Yousuf & Yang Feng
Pages: 1007-1019
Published online: 22 Apr 2021
AbstractforTargeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 768 Views
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Article
Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders
Jayeeta Bhattacharya, Nathalie Gimenes & Emmanuel Guerre
Pages: 1020-1033
Published online: 16 Apr 2021
AbstractforSemiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 318 Views
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Article
Nonparametric Instrumental Regression With Right Censored Duration Outcomes
Jad Beyhum, Jean-Pierre Florens & Ingrid Van Keilegom
Pages: 1034-1045
Published online: 19 Apr 2021
AbstractforNonparametric Instrumental Regression With Right Censored Duration Outcomes | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 712 Views
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Article
Multiway Cluster Robust Double/Debiased Machine Learning
Harold D. Chiang, Kengo Kato, Yukun Ma & Yuya Sasaki
Pages: 1046-1056
Published online: 19 Apr 2021
AbstractforMultiway Cluster Robust Double/Debiased Machine Learning | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 1929 Views
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Article
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
Sander Barendse & Andrew J. Patton
Pages: 1057-1069
Published online: 20 Apr 2021
AbstractforComparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter | Full Text | References | PDF (1.8 MB) | EPUB | Supplemental
  • 565 Views
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Article
A Two-Step Method for Testing Many Moment Inequalities
Yuehao Bai, Andres Santos & Azeem M. Shaikh
Pages: 1070-1080
Published online: 20 Apr 2021
AbstractforA Two-Step Method for Testing Many Moment Inequalities | Full Text | References | PDF (1.3 MB) | EPUB
  • 498 Views
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Article
Quantile Correlation-based Variable Selection
Wenlu Tang, Jinhan Xie, Yuanyuan Lin & Niansheng Tang
Pages: 1081-1093
Published online: 21 Apr 2021
AbstractforQuantile Correlation-based Variable Selection | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 1447 Views
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Article
Machine Learning Time Series Regressions With an Application to Nowcasting
Andrii Babii, Eric Ghysels & Jonas Striaukas
Pages: 1094-1106
Published online: 21 Apr 2021
AbstractforMachine Learning Time Series Regressions With an Application to Nowcasting | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 5928 Views
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Article
Testing for Common Trends in Nonstationary Large Datasets
Matteo Barigozzi & Lorenzo Trapani
Pages: 1107-1122
Published online: 21 Apr 2021
AbstractforTesting for Common Trends in Nonstationary Large Datasets | Full Text | References | PDF (4 MB) | EPUB | Supplemental
  • 937 Views
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Article
Estimation and Inference for Multi-Kink Quantile Regression
Wei Zhong, Chuang Wan & Wenyang Zhang
Pages: 1123-1139
Published online: 22 Apr 2021
AbstractforEstimation and Inference for Multi-Kink Quantile Regression | Full Text | References | PDF (2.5 MB) | EPUB | Supplemental
  • 1411 Views
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Article
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
Jean-Marie Dufour & Denis Pelletier
Pages: 1140-1152
Published online: 04 May 2021
AbstractforPractical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 635 Views
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Article
Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data
Min Seong Kim
Pages: 1153-1167
Published online: 04 May 2021
AbstractforRobust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 359 Views
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Article
Transformation Models in High Dimensions
Sven Klaassen, Jannis Kueck & Martin Spindler
Pages: 1168-1178
Published online: 14 May 2021
AbstractforTransformation Models in High Dimensions | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 617 Views
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Article
Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
Gianluca Frasso & Paul H.C. Eilers
Pages: 1179-1190
Published online: 04 May 2021
AbstractforDirect Semi-Parametric Estimation of the State Price Density Implied in Option Prices | Full Text | References | PDF (2.5 MB) | EPUB
  • 436 Views
  • 1 CrossRef citations
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Article
The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
Artūras Juodis & Simon Reese
Pages: 1191-1203
Published online: 04 May 2021
AbstractforThe Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 3337 Views
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Open Access
Article
High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions
Xin Chen, Jia Zhang & Wang Zhou
Pages: 1204-1215
Published online: 04 May 2021
AbstractforHigh-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions | Full Text | References | PDF (2 MB) | EPUB | Supplemental
  • 552 Views
  • 2 CrossRef citations
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Article
The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
Marc K. Chan & Simon S. Kwok
Pages: 1216-1233
Published online: 12 May 2021
AbstractforThe PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic | Full Text | References | PDF (1.8 MB) | EPUB | Supplemental
  • 1244 Views
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Article
High-Dimensional Interaction Detection With False Sign Rate Control
Daoji Li, Yinfei Kong, Yingying Fan & Jinchi Lv
Pages: 1234-1245
Published online: 20 May 2021
AbstractforHigh-Dimensional Interaction Detection With False Sign Rate Control | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 527 Views
  • 3 CrossRef citations
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Article
Binary Conditional Forecasts
Michael W. McCracken, Joseph T. McGillicuddy & Michael T. Owyang
Pages: 1246-1258
Published online: 01 Jun 2021
AbstractforBinary Conditional Forecasts | Full Text | References | PDF (2.8 MB) | EPUB | Supplemental
  • 496 Views
  • 1 CrossRef citations
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Article
Local Polynomial Order in Regression Discontinuity Designs
Zhuan Pei, David S. Lee, David Card & Andrea Weber
Pages: 1259-1267
Published online: 01 Jun 2021
AbstractforLocal Polynomial Order in Regression Discontinuity Designs | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 6507 Views
  • 2 CrossRef citations
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Open Access
Article
Heteroscedastic Proxy Vector Autoregressions
Helmut Lütkepohl & Thore Schlaak
Pages: 1268-1281
Published online: 01 Jun 2021
AbstractforHeteroscedastic Proxy Vector Autoregressions | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 735 Views
  • 1 CrossRef citations
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Article
Imputations for High Missing Rate Data in Covariates Via Semi-supervised Learning Approach
Wei Lan, Xuerong Chen, Tao Zou & Chih-Ling Tsai
Pages: 1282-1290
Published online: 01 Jun 2021
AbstractforImputations for High Missing Rate Data in Covariates Via Semi-supervised Learning Approach | Full Text | References | PDF (945.3 KB) | EPUB | Supplemental
  • 875 Views
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Article
SVARs Identification Through Bounds on the Forecast Error Variance
Alessio Volpicella
Pages: 1291-1301
Published online: 17 Jun 2021
AbstractforSVARs Identification Through Bounds on the Forecast Error Variance | Full Text | References | PDF (1.4 MB) | EPUB | Supplemental
  • 2259 Views
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Open Access
Article
Synthetic Control Estimation Beyond Comparative Case Studies: Does the Minimum Wage Reduce Employment?
David Powell
Pages: 1302-1314
Published online: 17 Jun 2021
AbstractforSynthetic Control Estimation Beyond Comparative Case Studies: Does the Minimum Wage Reduce Employment? | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 2463 Views
  • 7 CrossRef citations
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Article
State-Varying Factor Models of Large Dimensions
Markus Pelger & Ruoxuan Xiong
Pages: 1315-1333
Published online: 17 Jun 2021
AbstractforState-Varying Factor Models of Large Dimensions | Full Text | References | PDF (3.7 MB) | EPUB | Supplemental
  • 1432 Views
  • 7 CrossRef citations
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Article
Quasi-Bayesian Inference for Production Frontiers
Xiaobin Liu, Thomas Tao Yang & Yichong Zhang
Pages: 1334-1345
Published online: 17 Jun 2021
AbstractforQuasi-Bayesian Inference for Production Frontiers | Full Text | References | PDF (2.3 MB) | EPUB | Supplemental
  • 258 Views
  • 0 CrossRef citations
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Article
Realized Quantiles*
Timo Dimitriadis & Roxana Halbleib
Pages: 1346-1361
Published online: 30 Jun 2021
AbstractforRealized Quantiles* | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 4188 Views
  • 3 CrossRef citations
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Open Access
Article
Standard Synthetic Control Methods: The Case of Using All Preintervention Outcomes Together With Covariates
Ashok Kaul, Stefan Klößner, Gregor Pfeifer & Manuel Schieler
Pages: 1362-1376
Published online: 06 Jul 2021
AbstractforStandard Synthetic Control Methods: The Case of Using All Preintervention Outcomes Together With Covariates | Full Text | References | PDF (2 MB) | EPUB | Supplemental
  • 2472 Views
  • 30 CrossRef citations
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Article
A Structural Model of Homophily and Clustering in Social Networks
Angelo Mele
Pages: 1377-1389
Published online: 17 Jun 2021
AbstractforA Structural Model of Homophily and Clustering in Social Networks | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 1162 Views
  • 4 CrossRef citations
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Article
The Grid Bootstrap for Continuous Time Models
Yiu Lim Lui, Weilin Xiao & Jun Yu
Pages: 1390-1402
Published online: 06 Jul 2021
AbstractforThe Grid Bootstrap for Continuous Time Models | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 355 Views
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Article
Estimating Monotone Concave Stochastic Production Frontiers
Mike G. Tsionas
Pages: 1403-1414
Published online: 30 Jun 2021
AbstractforEstimating Monotone Concave Stochastic Production Frontiers | Full Text | References | PDF (1.9 MB) | EPUB
  • 1695 Views
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Open Access

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