Journal of Business & Economic Statistics, Volume 42, Issue 3 (2024)

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Journal of Business & Economic Statistics, Volume 42, Issue 3 (2024)

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Articles

Article
Inference on Consensus Ranking of Distributions
David M. Kaplan
Pages: 839-850
Published online: 27 Sep 2023
AbstractforInference on Consensus Ranking of Distributions | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 172 Views
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Article
Correcting for Endogeneity in Models with Bunching
Carolina Caetano, Gregorio Caetano & Eric Nielsen
Pages: 851-863
Published online: 27 Sep 2023
AbstractforCorrecting for Endogeneity in Models with Bunching | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 378 Views
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Article
Powerful Backtests for Historical Simulation Expected Shortfall Models
Zaichao Du, Pei Pei, Xuhui Wang & Tao Yang
Pages: 864-874
Published online: 27 Sep 2023
AbstractforPowerful Backtests for Historical Simulation Expected Shortfall Models | Full Text | References | PDF (1.2 MB) | EPUB
  • 512 Views
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Article
On the Combination of Naive and Mean-Variance Portfolio Strategies
Nathan Lassance, Rodolphe Vanderveken & Frédéric Vrins
Pages: 875-889
Published online: 16 Oct 2023
AbstractforOn the Combination of Naive and Mean-Variance Portfolio Strategies | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 310 Views
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Article
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Matteo Barigozzi, Haeran Cho & Dom Owens
Pages: 890-902
Published online: 04 Oct 2023
AbstractforFNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 1874 Views
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Open Access
Article
Modeling Extreme Events: Time-Varying Extreme Tail Shape
Enzo D’Innocenzo, André Lucas, Bernd Schwaab & Xin Zhang
Pages: 903-917
Published online: 20 Oct 2023
AbstractforModeling Extreme Events: Time-Varying Extreme Tail Shape | Full Text | References | PDF (4.9 MB) | EPUB | Supplemental
  • 2896 Views
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Article
Reduced-Rank Envelope Vector Autoregressive Model
S. Yaser Samadi & H. M. Wiranthe B. Herath
Pages: 918-932
Published online: 15 Nov 2023
AbstractforReduced-Rank Envelope Vector Autoregressive Model | Full Text | References | PDF (2.1 MB) | EPUB | Supplemental
  • 1432 Views
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Article
A Modified Randomization Test for the Level of Clustering
Yong Cai
Pages: 933-945
Published online: 19 Oct 2023
AbstractforA Modified Randomization Test for the Level of Clustering | Full Text | References | PDF (2 MB) | EPUB | Supplemental
  • 256 Views
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Article
Tests for Jumps in Yield Spreads
Lars Winkelmann & Wenying Yao
Pages: 946-957
Published online: 27 Nov 2023
AbstractforTests for Jumps in Yield Spreads | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 208 Views
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Article
Double Machine Learning for Sample Selection Models
Michela Bia, Martin Huber & Lukáš Lafférs
Pages: 958-969
Published online: 27 Nov 2023
AbstractforDouble Machine Learning for Sample Selection Models | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 887 Views
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Article
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
Karsten Reichold & Carsten Jentsch
Pages: 970-983
Published online: 05 Dec 2023
AbstractforBootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 963 Views
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Article
GDP Solera: The Ideal Vintage Mix
Martín Almuzara, Dante Amengual, Gabriele Fiorentini & Enrique Sentana
Pages: 984-997
Published online: 23 Jan 2024
AbstractforGDP Solera: The Ideal Vintage Mix | Full Text | References | PDF (2.1 MB) | EPUB | Supplemental
  • 106 Views
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Article
Causal Inference Under Outcome-Based Sampling with Monotonicity Assumptions
Sung Jae Jun & Sokbae Lee
Pages: 998-1009
Published online: 15 Dec 2023
AbstractforCausal Inference Under Outcome-Based Sampling with Monotonicity Assumptions | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
  • 222 Views
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Article
Modeling and Forecasting Macroeconomic Downside Risk
Davide Delle Monache, Andrea De Polis & Ivan Petrella
Pages: 1010-1025
Published online: 15 Dec 2023
AbstractforModeling and Forecasting Macroeconomic Downside Risk | Full Text | References | PDF (3.6 MB) | EPUB | Supplemental
  • 2695 Views
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Open Access
Article
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
Xiaorong Yang, Jia Chen, Degui Li & Runze Li
Pages: 1026-1040
Published online: 15 Dec 2023
AbstractforFunctional-Coefficient Quantile Regression for Panel Data with Latent Group Structure | Full Text | References | PDF (2.2 MB) | EPUB | Supplemental
  • 350 Views
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Article
An Empirical Bayes Approach to Controlling the False Discovery Exceedance
Pallavi Basu, Luella Fu, Alessio Saretto & Wenguang Sun
Pages: 1041-1052
Published online: 15 Dec 2023
AbstractforAn Empirical Bayes Approach to Controlling the False Discovery Exceedance | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 238 Views
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Article
Efficient and Robust Estimation of the Generalized LATE Model
Haitian Xie
Pages: 1053-1065
Published online: 27 Dec 2023
AbstractforEfficient and Robust Estimation of the Generalized LATE Model | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 462 Views
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Article
Variational Inference for Large Bayesian Vector Autoregressions
Mauro Bernardi, Daniele Bianchi & Nicolas Bianco
Pages: 1066-1082
Published online: 05 Jan 2024
AbstractforVariational Inference for Large Bayesian Vector Autoregressions | Full Text | References | PDF (4.6 MB) | EPUB | Supplemental
  • 1159 Views
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Open Access
Article
A Ridge-Regularized Jackknifed Anderson-Rubin Test
Max-Sebastian Dovì, Anders Bredahl Kock & Sophocles Mavroeidis
Pages: 1083-1094
Published online: 05 Jan 2024
AbstractforA Ridge-Regularized Jackknifed Anderson-Rubin Test | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 708 Views
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Article
An Econometric Analysis of Volatility Discovery
Gustavo Fruet Dias, Fotis Papailias & Cristina Scherrer
Pages: 1095-1106
Published online: 05 Jan 2024
AbstractforAn Econometric Analysis of Volatility Discovery | Full Text | References | PDF (1.2 MB) | EPUB | Supplemental
  • 845 Views
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Open Access

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