Journal of Business & Economic Statistics, Volume 41, Issue 3 (2023)

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Journal of Business & Economic Statistics, Volume 41, Issue 3 (2023)

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Articles

Article
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
Yiannis Karavias, Paresh Kumar Narayan & Joakim Westerlund
Pages: 653-666
Published online: 08 Apr 2022
AbstractforStructural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 5895 Views
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Article
Using Survey Information for Improving the Density Nowcasting of U.S. GDP
Cem Çakmakl i & Hamza Demircan
Pages: 667-682
Published online: 27 Apr 2022
AbstractforUsing Survey Information for Improving the Density Nowcasting of U.S. GDP | Full Text | References | PDF (2 MB) | EPUB | Supplemental
  • 611 Views
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Article
Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
Sílvia Gonçalves, Ulrich Hounyo, Andrew J. Patton & Kevin Sheppard
Pages: 683-694
Published online: 09 May 2022
AbstractforBootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 698 Views
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Article
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates
Nail Kashaev
Pages: 695-707
Published online: 09 May 2022
AbstractforIdentification and Estimation of Multinomial Choice Models with Latent Special Covariates | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 280 Views
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Article
Forecasting with Economic News
Luca Barbaglia, Sergio Consoli & Sebastiano Manzan
Pages: 708-719
Published online: 09 May 2022
AbstractforForecasting with Economic News | Full Text | References | PDF (2 MB) | EPUB | Supplemental
  • 10272 Views
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Open Access
Article
Panel Data Quantile Regression for Treatment Effect Models
Takuya Ishihara
Pages: 720-736
Published online: 09 May 2022
AbstractforPanel Data Quantile Regression for Treatment Effect Models | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 857 Views
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Article
Testing for Unobserved Heterogeneity via k-means Clustering
Andrew J. Patton & Brian M. Weller
Pages: 737-751
Published online: 24 May 2022
AbstractforTesting for Unobserved Heterogeneity via k-means Clustering | Full Text | References | PDF (2.5 MB) | EPUB | Supplemental
  • 956 Views
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Article
Structural Breaks in Grouped Heterogeneity
Simon C. Smith
Pages: 752-764
Published online: 09 May 2022
AbstractforStructural Breaks in Grouped Heterogeneity | Full Text | References | PDF (1.4 MB) | EPUB | Supplemental
  • 687 Views
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Article
Combining p-values for Multivariate Predictive Ability Testing
Lars Spreng & Giovanni Urga
Pages: 765-777
Published online: 16 May 2022
AbstractforCombining p-values for Multivariate Predictive Ability Testing | Full Text | References | PDF (2.1 MB) | EPUB | Supplemental
  • 1434 Views
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Open Access
Article
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
Yousef Kaddoura & Joakim Westerlund
Pages: 778-790
Published online: 20 May 2022
AbstractforEstimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 3406 Views
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Article
Culling the Herd of Moments with Penalized Empirical Likelihood
Jinyuan Chang, Zhentao Shi & Jia Zhang
Pages: 791-805
Published online: 24 May 2022
AbstractforCulling the Herd of Moments with Penalized Empirical Likelihood | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 667 Views
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Article
Network Gradient Descent Algorithm for Decentralized Federated Learning
Shuyuan Wu, Danyang Huang & Hansheng Wang
Pages: 806-818
Published online: 06 Jun 2022
AbstractforNetwork Gradient Descent Algorithm for Decentralized Federated Learning | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 1201 Views
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Article
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
Carlos Velasco
Pages: 819-832
Published online: 31 May 2022
AbstractforIdentification and Estimation of Structural VARMA Models Using Higher Order Dynamics | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 439 Views
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Article
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
Gustav Alfelt, Taras Bodnar, Farrukh Javed & Joanna Tyrcha
Pages: 833-845
Published online: 24 Jun 2022
AbstractforSingular Conditional Autoregressive Wishart Model for Realized Covariance Matrices | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 1374 Views
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Open Access
Article
Detection of Multiple Structural Breaks in Large Covariance Matrices
Yu-Ning Li, Degui Li & Piotr Fryzlewicz
Pages: 846-861
Published online: 09 Jun 2022
AbstractforDetection of Multiple Structural Breaks in Large Covariance Matrices | Full Text | References | PDF (2.2 MB) | EPUB | Supplemental
  • 2077 Views
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Open Access
Article
A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata & Takashi Yamagata
Pages: 862-875
Published online: 07 Jul 2022
AbstractforA Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 2627 Views
  • 1 CrossRef citations
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Open Access
Article
Tail Risk Inference via Expectiles in Heavy-Tailed Time Series
Anthony C. Davison, Simone A. Padoan & Gilles Stupfler
Pages: 876-889
Published online: 05 Jul 2022
AbstractforTail Risk Inference via Expectiles in Heavy-Tailed Time Series | Full Text | References | PDF (3.6 MB) | EPUB | Supplemental
  • 739 Views
  • 3 CrossRef citations
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Article
Large Hybrid Time-Varying Parameter VARs
Joshua C. C. Chan
Pages: 890-905
Published online: 28 Jun 2022
AbstractforLarge Hybrid Time-Varying Parameter VARs | Full Text | References | PDF (2.1 MB) | EPUB | Supplemental
  • 1169 Views
  • 2 CrossRef citations
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Article
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation
Harold D. Chiang & Bing Yang Tan
Pages: 906-914
Published online: 05 Jul 2022
AbstractforEmpirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 310 Views
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Article
Covariate-Assisted Community Detection in Multi-Layer Networks
Shirong Xu, Yaoming Zhen & Junhui Wang
Pages: 915-926
Published online: 05 Jul 2022
AbstractforCovariate-Assisted Community Detection in Multi-Layer Networks | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 1314 Views
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Article
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities
Joel L. Horowitz & Sokbae Lee
Pages: 927-938
Published online: 13 Sep 2022
AbstractforInference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 367 Views
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Article
Estimation of Leverage Effect: Kernel Function and Efficiency
Xiye Yang
Pages: 939-956
Published online: 13 Sep 2022
AbstractforEstimation of Leverage Effect: Kernel Function and Efficiency | Full Text | References | PDF (2.2 MB) | EPUB | Supplemental
  • 367 Views
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Article
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates
Dongxiao Han, Jian Huang, Yuanyuan Lin, Lei Liu, Lianqiang Qu & Liuquan Sun
Pages: 957-967
Published online: 13 Sep 2022
AbstractforRobust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 424 Views
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Article
News-Driven Uncertainty Fluctuations
Dongho Song & Jenny Tang
Pages: 968-982
Published online: 13 Sep 2022
AbstractforNews-Driven Uncertainty Fluctuations | Full Text | References | PDF (2.7 MB) | EPUB | Supplemental
  • 549 Views
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Article
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
Tomohiro Ando & Jushan Bai
Pages: 983-994
Published online: 13 Sep 2022
AbstractforLarge-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity | Full Text | References | PDF (2.3 MB) | EPUB | Supplemental
  • 920 Views
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Article
Can a Machine Correct Option Pricing Models?
Caio Almeida, Jianqing Fan, Gustavo Freire & Francesca Tang
Pages: 995-1009
Published online: 06 Sep 2022
AbstractforCan a Machine Correct Option Pricing Models? | Full Text | References | PDF (2.5 MB) | EPUB
  • 1486 Views
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