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Publisher: Oxford University Press   (Total: 409 journals)

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Showing 1 - 200 of 409 Journals sorted alphabetically
ACS Symposium Series     Full-text available via subscription   (Followers: 1, SJR: 0.189, CiteScore: 0)
Acta Biochimica et Biophysica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.79, CiteScore: 2)
Adaptation     Hybrid Journal   (Followers: 9, SJR: 0.143, CiteScore: 0)
Advances in Nutrition     Hybrid Journal   (Followers: 57, SJR: 2.196, CiteScore: 5)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.434, CiteScore: 1)
Aesthetic Surgery J. Open Forum     Open Access  
African Affairs     Hybrid Journal   (Followers: 69, SJR: 1.869, CiteScore: 2)
Age and Ageing     Hybrid Journal   (Followers: 91, SJR: 1.989, CiteScore: 4)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 19, SJR: 1.376, CiteScore: 3)
American Entomologist     Hybrid Journal   (Followers: 8)
American Historical Review     Hybrid Journal   (Followers: 204, SJR: 0.467, CiteScore: 1)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 47, SJR: 2.113, CiteScore: 3)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 208, SJR: 3.438, CiteScore: 6)
American J. of Epidemiology     Hybrid Journal   (Followers: 207, SJR: 2.713, CiteScore: 3)
American J. of Health-System Pharmacy     Full-text available via subscription   (Followers: 60, SJR: 0.595, CiteScore: 1)
American J. of Hypertension     Hybrid Journal   (Followers: 27, SJR: 1.322, CiteScore: 3)
American J. of Jurisprudence     Hybrid Journal   (Followers: 19, SJR: 0.281, CiteScore: 1)
American J. of Legal History     Full-text available via subscription   (Followers: 10, SJR: 0.116, CiteScore: 0)
American Law and Economics Review     Hybrid Journal   (Followers: 29, SJR: 1.053, CiteScore: 1)
American Literary History     Hybrid Journal   (Followers: 17, SJR: 0.391, CiteScore: 0)
Analysis     Hybrid Journal   (Followers: 24, SJR: 1.038, CiteScore: 1)
Animal Frontiers     Hybrid Journal   (Followers: 1)
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 15, SJR: 1.423, CiteScore: 3)
Annals of Botany     Hybrid Journal   (Followers: 37, SJR: 1.721, CiteScore: 4)
Annals of Oncology     Hybrid Journal   (Followers: 56, SJR: 5.599, CiteScore: 9)
Annals of the Entomological Society of America     Full-text available via subscription   (Followers: 11, SJR: 0.722, CiteScore: 1)
Annals of Work Exposures and Health     Hybrid Journal   (Followers: 36, SJR: 0.728, CiteScore: 2)
Antibody Therapeutics     Open Access  
AoB Plants     Open Access   (Followers: 4, SJR: 1.28, CiteScore: 3)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 16, SJR: 0.858, CiteScore: 2)
Applied Linguistics     Hybrid Journal   (Followers: 59, SJR: 2.987, CiteScore: 3)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1, SJR: 1.241, CiteScore: 1)
Arbitration Intl.     Full-text available via subscription   (Followers: 22)
Arbitration Law Reports and Review     Hybrid Journal   (Followers: 14)
Archives of Clinical Neuropsychology     Hybrid Journal   (Followers: 31, SJR: 0.731, CiteScore: 2)
Aristotelian Society Supplementary Volume     Hybrid Journal   (Followers: 2)
Arthropod Management Tests     Hybrid Journal   (Followers: 2)
Astronomy & Geophysics     Hybrid Journal   (Followers: 45, SJR: 0.146, CiteScore: 0)
Behavioral Ecology     Hybrid Journal   (Followers: 55, SJR: 1.871, CiteScore: 3)
Bioinformatics     Hybrid Journal   (Followers: 383, SJR: 6.14, CiteScore: 8)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 10, SJR: 1.446, CiteScore: 3)
Biometrika     Hybrid Journal   (Followers: 20, SJR: 3.485, CiteScore: 2)
BioScience     Hybrid Journal   (Followers: 30, SJR: 2.754, CiteScore: 4)
Bioscience Horizons : The National Undergraduate Research J.     Open Access   (Followers: 3, SJR: 0.146, CiteScore: 0)
Biostatistics     Hybrid Journal   (Followers: 17, SJR: 1.553, CiteScore: 2)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 206, SJR: 2.115, CiteScore: 3)
BJA Education     Hybrid Journal   (Followers: 67)
Brain     Hybrid Journal   (Followers: 73, SJR: 5.858, CiteScore: 7)
Briefings in Bioinformatics     Hybrid Journal   (Followers: 53, SJR: 2.505, CiteScore: 5)
Briefings in Functional Genomics     Hybrid Journal   (Followers: 3, SJR: 2.15, CiteScore: 3)
British J. for the Philosophy of Science     Hybrid Journal   (Followers: 41, SJR: 2.161, CiteScore: 2)
British J. of Aesthetics     Hybrid Journal   (Followers: 24, SJR: 0.508, CiteScore: 1)
British J. of Criminology     Hybrid Journal   (Followers: 607, SJR: 1.828, CiteScore: 3)
British J. of Social Work     Hybrid Journal   (Followers: 88, SJR: 1.019, CiteScore: 2)
British Medical Bulletin     Hybrid Journal   (Followers: 6, SJR: 1.355, CiteScore: 3)
British Yearbook of Intl. Law     Hybrid Journal   (Followers: 35)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 3, SJR: 1.376, CiteScore: 1)
Cambridge J. of Economics     Hybrid Journal   (Followers: 71, SJR: 0.764, CiteScore: 2)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 12, SJR: 2.438, CiteScore: 4)
Cambridge Quarterly     Hybrid Journal   (Followers: 10, SJR: 0.104, CiteScore: 0)
Capital Markets Law J.     Hybrid Journal   (Followers: 2, SJR: 0.222, CiteScore: 0)
Carcinogenesis     Hybrid Journal   (Followers: 2, SJR: 2.135, CiteScore: 5)
Cardiovascular Research     Hybrid Journal   (Followers: 15, SJR: 3.002, CiteScore: 5)
Cerebral Cortex     Hybrid Journal   (Followers: 54, SJR: 3.892, CiteScore: 6)
CESifo Economic Studies     Hybrid Journal   (Followers: 24, SJR: 0.483, CiteScore: 1)
Chemical Senses     Hybrid Journal   (Followers: 1, SJR: 1.42, CiteScore: 3)
Children and Schools     Hybrid Journal   (Followers: 7, SJR: 0.246, CiteScore: 0)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 5, SJR: 0.412, CiteScore: 0)
Chinese J. of Intl. Law     Hybrid Journal   (Followers: 24, SJR: 0.329, CiteScore: 0)
Chinese J. of Intl. Politics     Hybrid Journal   (Followers: 11, SJR: 1.392, CiteScore: 2)
Christian Bioethics: Non-Ecumenical Studies in Medical Morality     Hybrid Journal   (Followers: 10, SJR: 0.183, CiteScore: 0)
Classical Receptions J.     Hybrid Journal   (Followers: 29, SJR: 0.123, CiteScore: 0)
Clean Energy     Open Access   (Followers: 1)
Clinical Infectious Diseases     Hybrid Journal   (Followers: 75, SJR: 5.051, CiteScore: 5)
Communication Theory     Hybrid Journal   (Followers: 26, SJR: 2.424, CiteScore: 3)
Communication, Culture & Critique     Hybrid Journal   (Followers: 28, SJR: 0.222, CiteScore: 1)
Community Development J.     Hybrid Journal   (Followers: 28, SJR: 0.268, CiteScore: 1)
Computer J.     Hybrid Journal   (Followers: 9, SJR: 0.319, CiteScore: 1)
Conservation Physiology     Open Access   (Followers: 3, SJR: 1.818, CiteScore: 3)
Contemporary Women's Writing     Hybrid Journal   (Followers: 10, SJR: 0.121, CiteScore: 0)
Contributions to Political Economy     Hybrid Journal   (Followers: 6, SJR: 0.906, CiteScore: 1)
Critical Values     Full-text available via subscription  
Current Developments in Nutrition     Open Access   (Followers: 4)
Current Legal Problems     Hybrid Journal   (Followers: 29)
Current Zoology     Full-text available via subscription   (Followers: 4, SJR: 1.164, CiteScore: 2)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 9, SJR: 1.791, CiteScore: 3)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 14, SJR: 0.259, CiteScore: 1)
Diplomatic History     Hybrid Journal   (Followers: 24, SJR: 0.45, CiteScore: 1)
DNA Research     Open Access   (Followers: 5, SJR: 2.866, CiteScore: 6)
Dynamics and Statistics of the Climate System     Open Access   (Followers: 4)
Early Music     Hybrid Journal   (Followers: 17, SJR: 0.139, CiteScore: 0)
Econometrics J.     Hybrid Journal   (Followers: 32, SJR: 2.926, CiteScore: 1)
Economic J.     Hybrid Journal   (Followers: 118, SJR: 5.161, CiteScore: 3)
Economic Policy     Hybrid Journal   (Followers: 49, SJR: 3.584, CiteScore: 3)
ELT J.     Hybrid Journal   (Followers: 25, SJR: 0.942, CiteScore: 1)
English Historical Review     Hybrid Journal   (Followers: 57, SJR: 0.612, CiteScore: 1)
English: J. of the English Association     Hybrid Journal   (Followers: 21, SJR: 0.1, CiteScore: 0)
Environmental Entomology     Full-text available via subscription   (Followers: 12, SJR: 0.818, CiteScore: 2)
Environmental Epigenetics     Open Access   (Followers: 2)
Environmental History     Hybrid Journal   (Followers: 26, SJR: 0.408, CiteScore: 1)
EP-Europace     Hybrid Journal   (Followers: 3, SJR: 2.748, CiteScore: 4)
Epidemiologic Reviews     Hybrid Journal   (Followers: 9, SJR: 4.505, CiteScore: 8)
ESHRE Monographs     Hybrid Journal  
Essays in Criticism     Hybrid Journal   (Followers: 22, SJR: 0.113, CiteScore: 0)
European Heart J.     Hybrid Journal   (Followers: 68, SJR: 9.315, CiteScore: 9)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 10, SJR: 3.625, CiteScore: 3)
European Heart J. - Cardiovascular Pharmacotherapy     Full-text available via subscription   (Followers: 3)
European Heart J. - Quality of Care and Clinical Outcomes     Hybrid Journal  
European Heart J. : Case Reports     Open Access   (Followers: 1)
European Heart J. Supplements     Hybrid Journal   (Followers: 8, SJR: 0.223, CiteScore: 0)
European J. of Cardio-Thoracic Surgery     Hybrid Journal   (Followers: 9, SJR: 1.681, CiteScore: 2)
European J. of Intl. Law     Hybrid Journal   (Followers: 216, SJR: 0.694, CiteScore: 1)
European J. of Orthodontics     Hybrid Journal   (Followers: 5, SJR: 1.279, CiteScore: 2)
European J. of Public Health     Hybrid Journal   (Followers: 21, SJR: 1.36, CiteScore: 2)
European Review of Agricultural Economics     Hybrid Journal   (Followers: 10, SJR: 1.172, CiteScore: 2)
European Review of Economic History     Hybrid Journal   (Followers: 30, SJR: 0.702, CiteScore: 1)
European Sociological Review     Hybrid Journal   (Followers: 44, SJR: 2.728, CiteScore: 3)
Evolution, Medicine, and Public Health     Open Access   (Followers: 12)
Family Practice     Hybrid Journal   (Followers: 15, SJR: 1.018, CiteScore: 2)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 19, SJR: 1.492, CiteScore: 4)
Fems Microbiology Letters     Hybrid Journal   (Followers: 29, SJR: 0.79, CiteScore: 2)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 36, SJR: 7.063, CiteScore: 13)
Fems Yeast Research     Hybrid Journal   (Followers: 14, SJR: 1.308, CiteScore: 3)
Food Quality and Safety     Open Access   (Followers: 1)
Foreign Policy Analysis     Hybrid Journal   (Followers: 25, SJR: 1.425, CiteScore: 1)
Forest Science     Hybrid Journal   (Followers: 8, SJR: 0.89, CiteScore: 2)
Forestry: An Intl. J. of Forest Research     Hybrid Journal   (Followers: 16, SJR: 1.133, CiteScore: 3)
Forum for Modern Language Studies     Hybrid Journal   (Followers: 6, SJR: 0.104, CiteScore: 0)
French History     Hybrid Journal   (Followers: 35, SJR: 0.118, CiteScore: 0)
French Studies     Hybrid Journal   (Followers: 21, SJR: 0.148, CiteScore: 0)
French Studies Bulletin     Hybrid Journal   (Followers: 10, SJR: 0.152, CiteScore: 0)
Gastroenterology Report     Open Access   (Followers: 3)
Genome Biology and Evolution     Open Access   (Followers: 17, SJR: 2.578, CiteScore: 4)
Geophysical J. Intl.     Hybrid Journal   (Followers: 38, SJR: 1.506, CiteScore: 3)
German History     Hybrid Journal   (Followers: 24, SJR: 0.161, CiteScore: 0)
GigaScience     Open Access   (Followers: 6, SJR: 5.022, CiteScore: 7)
Global Summitry     Hybrid Journal   (Followers: 1)
Glycobiology     Hybrid Journal   (Followers: 12, SJR: 1.493, CiteScore: 3)
Health and Social Work     Hybrid Journal   (Followers: 60, SJR: 0.388, CiteScore: 1)
Health Education Research     Hybrid Journal   (Followers: 15, SJR: 0.854, CiteScore: 2)
Health Policy and Planning     Hybrid Journal   (Followers: 25, SJR: 1.512, CiteScore: 2)
Health Promotion Intl.     Hybrid Journal   (Followers: 23, SJR: 0.812, CiteScore: 2)
History Workshop J.     Hybrid Journal   (Followers: 33, SJR: 1.278, CiteScore: 1)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 29, SJR: 0.105, CiteScore: 0)
Human Communication Research     Hybrid Journal   (Followers: 15, SJR: 2.146, CiteScore: 3)
Human Molecular Genetics     Hybrid Journal   (Followers: 9, SJR: 3.555, CiteScore: 5)
Human Reproduction     Hybrid Journal   (Followers: 74, SJR: 2.643, CiteScore: 5)
Human Reproduction Open     Open Access   (Followers: 1)
Human Reproduction Update     Hybrid Journal   (Followers: 20, SJR: 5.317, CiteScore: 10)
Human Rights Law Review     Hybrid Journal   (Followers: 64, SJR: 0.756, CiteScore: 1)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 61, SJR: 1.591, CiteScore: 3)
ICSID Review : Foreign Investment Law J.     Hybrid Journal   (Followers: 12)
ILAR J.     Hybrid Journal   (Followers: 3, SJR: 1.732, CiteScore: 4)
IMA J. of Applied Mathematics     Hybrid Journal   (SJR: 0.679, CiteScore: 1)
IMA J. of Management Mathematics     Hybrid Journal   (SJR: 0.538, CiteScore: 1)
IMA J. of Mathematical Control and Information     Hybrid Journal   (Followers: 2, SJR: 0.496, CiteScore: 1)
IMA J. of Numerical Analysis - advance access     Hybrid Journal   (SJR: 1.987, CiteScore: 2)
Industrial and Corporate Change     Hybrid Journal   (Followers: 10, SJR: 1.792, CiteScore: 2)
Industrial Law J.     Hybrid Journal   (Followers: 44, SJR: 0.249, CiteScore: 1)
Inflammatory Bowel Diseases     Hybrid Journal   (Followers: 45, SJR: 2.511, CiteScore: 4)
Information and Inference     Free  
Innovation in Aging     Open Access   (Followers: 1)
Insect Systematics and Diversity     Hybrid Journal  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 10, SJR: 1.319, CiteScore: 2)
Integrative Biology     Full-text available via subscription   (Followers: 5, SJR: 1.36, CiteScore: 3)
Integrative Organismal Biology     Open Access  
Interacting with Computers     Hybrid Journal   (Followers: 10, SJR: 0.292, CiteScore: 1)
Interactive CardioVascular and Thoracic Surgery     Hybrid Journal   (Followers: 7, SJR: 0.762, CiteScore: 1)
Intl. Affairs     Hybrid Journal   (Followers: 68, SJR: 1.505, CiteScore: 3)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 26)
Intl. Health     Hybrid Journal   (Followers: 6, SJR: 0.851, CiteScore: 2)
Intl. Immunology     Hybrid Journal   (Followers: 3, SJR: 2.167, CiteScore: 4)
Intl. J. for Quality in Health Care     Hybrid Journal   (Followers: 37, SJR: 1.348, CiteScore: 2)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 62, SJR: 0.601, CiteScore: 1)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 270, SJR: 3.969, CiteScore: 5)
Intl. J. of Law and Information Technology     Hybrid Journal   (Followers: 5, SJR: 0.202, CiteScore: 1)
Intl. J. of Law, Policy and the Family     Hybrid Journal   (Followers: 25, SJR: 0.223, CiteScore: 1)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 9, SJR: 0.285, CiteScore: 1)
Intl. J. of Low-Carbon Technologies     Open Access   (Followers: 1, SJR: 0.403, CiteScore: 1)
Intl. J. of Neuropsychopharmacology     Open Access   (Followers: 3, SJR: 1.808, CiteScore: 4)
Intl. J. of Public Opinion Research     Hybrid Journal   (Followers: 11, SJR: 1.545, CiteScore: 1)
Intl. J. of Refugee Law     Hybrid Journal   (Followers: 40, SJR: 0.389, CiteScore: 1)
Intl. J. of Transitional Justice     Hybrid Journal   (Followers: 13, SJR: 0.724, CiteScore: 2)
Intl. Mathematics Research Notices     Hybrid Journal   (Followers: 1, SJR: 2.168, CiteScore: 1)
Intl. Political Sociology     Hybrid Journal   (Followers: 40, SJR: 1.465, CiteScore: 3)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 24, SJR: 0.401, CiteScore: 1)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 9, SJR: 0.983, CiteScore: 1)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 53, SJR: 2.581, CiteScore: 2)
Intl. Studies Review     Hybrid Journal   (Followers: 24, SJR: 1.201, CiteScore: 1)
ISLE: Interdisciplinary Studies in Literature and Environment     Hybrid Journal   (Followers: 2, SJR: 0.15, CiteScore: 0)
ITNOW     Hybrid Journal   (Followers: 1, SJR: 0.103, CiteScore: 0)
J. of African Economies     Hybrid Journal   (Followers: 18, SJR: 0.533, CiteScore: 1)
J. of American History     Hybrid Journal   (Followers: 50, SJR: 0.297, CiteScore: 1)
J. of Analytical Toxicology     Hybrid Journal   (Followers: 14, SJR: 1.065, CiteScore: 2)
J. of Antimicrobial Chemotherapy     Hybrid Journal   (Followers: 16, SJR: 2.419, CiteScore: 4)
J. of Antitrust Enforcement     Hybrid Journal   (Followers: 1)
J. of Applied Poultry Research     Hybrid Journal   (Followers: 5, SJR: 0.585, CiteScore: 1)
J. of Biochemistry     Hybrid Journal   (Followers: 43, SJR: 1.226, CiteScore: 2)
J. of Breast Imaging     Full-text available via subscription   (Followers: 2)

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Similar Journals
Journal Cover
Econometrics Journal
Journal Prestige (SJR): 2.926
Citation Impact (citeScore): 1
Number of Followers: 32  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1368-4221 - ISSN (Online) 1368-423X
Published by Oxford University Press Homepage  [409 journals]
  • A guided nonparametric goodness-of-fit test with application to income
           distributions
    • Authors: Wen K Wu X.
      Pages: 207 - 222
      Abstract: SummaryWe have developed a customizable goodness-of-fit test of a parametric density based on its distance to a consistently estimated density. This consistent estimate is obtained via a nonparametric density estimator with a parametric start, wherein the start is set to be the hypothesized parametric density. To cope with the influence of nonparametric estimation bias, nonparametric goodness-of-fit tests have resorted to remedies such as undersmoothing or convolution of the hypothesized density. Our test requires no such devices and possesses enhanced powers against alternative densities because the guided density estimator is free of the typical nonparametric bias under the null hypothesis and attains bias reduction when the underlying density is in a broad nonparametric neighborhood of the hypothesized density. Here, we establish the statistical properties of our test and use Monte Carlo simulations to demonstrate its finite sample performance. We use this test to examine the goodness-of-fit of normal mixtures to the distributions of log income of U.S. states. Although normality is rejected decisively, our results suggest that normal mixtures with two or three components suffice for all but one state.
      PubDate: Wed, 22 May 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz007
      Issue No: Vol. 22, No. 3 (2019)
       
  • Estimating latent group structure in time-varying coefficient panel data
           models
    • Authors: Chen J.
      Pages: 223 - 240
      Abstract: SummaryThis paper studies the estimation of latent group structures in heterogeneous time-varying coefficient panel data models. While allowing the coefficient functions to vary over cross-sections provides a good way to model cross-sectional heterogeneity, it reduces the degree of freedom and leads to poor estimation accuracy when the time-series length is short. On the other hand, in a lot of empirical studies, it is not uncommon to find that heterogeneous coefficients exhibit group structures where coefficients belonging to the same group are similar or identical. This paper aims to provide an easy and straightforward approach for estimating the underlying latent groups. This approach is based on the hierarchical agglomerative clustering (HAC) of kernel estimates of the heterogeneous time-varying coefficients when the number of groups is known. We establish the consistency of this clustering method and also propose a generalised information criterion for estimating the number of groups when it is unknown. Simulation studies are carried out to examine the finite-sample properties of the proposed clustering method as well as the post-clustering estimation of the group-specific time-varying coefficients. The simulation results show that our methods give comparable performance to the penalised-sieve-estimation-based classifier-LASSO approach by Su et al. (2018), but are computationally easier. An application to a panel study of economic growth is also provided.
      PubDate: Thu, 01 Aug 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz008
      Issue No: Vol. 22, No. 3 (2019)
       
  • Quantile-based smooth transition value at risk estimation
    • Authors: Hubner S; Čížek P.
      Pages: 241 - 261
      Abstract: SummaryValue at risk models are concerned with the estimation of conditional quantiles of a time series. Formally, these quantities are a function of conditional volatility and the respective quantile of the innovation distribution. The former is often subject to asymmetric dynamic behaviour, e.g., with respect to past shocks. In this paper, we propose a model in which conditional quantiles follow a generalised autoregressive process governed by two parameter regimes with their weights determined by a smooth transition function. We develop a two-step estimation procedure based on a sieve estimator, approximating conditional volatility by using composite quantile regression, which is then used in the generalised autoregressive conditional quantile estimation. We show that the estimator is consistent and asymptotically normal, and we complement the results with a simulation study. In our empirical application, we consider daily returns of the German equity index (DAX) and the USD/GBP exchange rate. Although only the latter follows a two-regime model, we find that our model performs well in terms of out-of-sample prediction in both cases.
      PubDate: Thu, 06 Jun 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz009
      Issue No: Vol. 22, No. 3 (2019)
       
  • BLP-2LASSO for aggregate discrete choice models with rich covariates
    • Authors: Gillen B; Montero S, Moon H, et al.
      Pages: 262 - 281
      Abstract: SummaryWe introduce the BLP-2LASSO model, which augments the classic BLP (Berry, Levinsohn, and Pakes, 1995) random-coefficients logit model to allow for data-driven selection among a high-dimensional set of control variables using the 'double-LASSO' procedure proposed by Belloni, Chernozhukov, and Hansen (2013). Economists often study consumers’ aggregate behaviour across markets choosing from a menu of differentiated products. In this analysis, local demographic characteristics can serve as controls for market-specific preference heterogeneity. Given rich demographic data, implementing these models requires specifying which variables to include in the analysis, an ad hoc process typically guided primarily by a researcher’s intuition. We propose a data-driven approach to estimate these models, applying penalized estimation algorithms from the recent literature in high-dimensional econometrics. Our application explores the effect of campaign spending on vote shares in data from Mexican elections.
      PubDate: Thu, 11 Jul 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz010
      Issue No: Vol. 22, No. 3 (2019)
       
  • Fragility of identification in panel binary response models
    • Authors: Forchini G; Jiang B.
      Pages: 282 - 291
      Abstract: SummaryThe present paper considers a linear binary response model for panel data with random effects that differ across individuals but are constant over time, and it investigates the roles of the various assumptions that are used to establish conditions for identification. The paper also shows that even for this simple model, it is always possible—including in the logistic case—to find a distribution of the random effects given the exogenous variables, such that the slopes' parameters are arbitrarily different, but the joint distributions of the binary response variables are arbitrarily close.
      PubDate: Tue, 17 Sep 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz011
      Issue No: Vol. 22, No. 3 (2019)
       
  • Reconsideration of a simple approach to quantile regression for panel data
    • Authors: Besstremyannaya G; Golovan S.
      Pages: 292 - 308
      Abstract: SummaryThis note discusses two errors in the approach proposed in Canay (2011) for constructing a computationally simple two-step estimator in a quantile regression model with quantile-independent fixed effects. Firstly, we show that Canay’s assumption about n/Ts → 0 for some s > 1 is not strong enough and can entail severe bias or even the non-existence of the limiting distribution for the estimator of the vector of coefficients. The condition n/T → 0 appears to be closer to the required set of restrictions. These problems are likely to cause incorrect inference in applied papers with large n/T, but the impact is less in applications with small n/T. In an attempt to improve Canay’s estimator, we propose a simple correction that may reduce the bias. The second error concerns the incorrect asymptotic standard error of the estimator of the constant term. We show that, contrary to Canay’s assumption, the within estimator has an influence function that is not i.i.d. and this affects inference. Moreover, the constant term is unlikely to be estimable at rate $\sqrt{nT}$, so a different estimator may not be available. However, the issue concerning the constant term does not have an effect on slope coefficients. Finally, we give recommendations to practitioners and conduct a meta-review of applied papers that use Canay’s estimator.
      PubDate: Tue, 17 Sep 2019 00:00:00 GMT
      DOI: 10.1093/ectj/utz012
      Issue No: Vol. 22, No. 3 (2019)
       
 
 
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