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  Subjects -> STATISTICS (Total: 130 journals)
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Journal of Econometrics
Journal Prestige (SJR): 5.191
Citation Impact (citeScore): 2
Number of Followers: 84  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0304-4076 - ISSN (Online) 1872-6895
Published by Elsevier Homepage  [2974 journals]
  • Introduction to the Special Issue: Models of linked employer–employee
           data: Twenty years after “High Wage Workers and High Wage Firms”

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      Abstract: Publication date: Available online 31 January 2023Source: Journal of EconometricsAuthor(s): David Card, Ian Schmutte, Lars Vilhuber
       
  • The validity of bootstrap testing for threshold autoregression

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      Abstract: Publication date: Available online 31 January 2023Source: Journal of EconometricsAuthor(s): Simone Giannerini, Greta Goracci, Anders Rahbek
       
  • Spatial autoregressions with an extended parameter space and
           similarity-based weights

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      Abstract: Publication date: Available online 30 January 2023Source: Journal of EconometricsAuthor(s): Francesca Rossi, Offer Lieberman
       
  • Debiased machine learning of set-identified linear models

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      Abstract: Publication date: Available online 28 January 2023Source: Journal of EconometricsAuthor(s): Vira Semenova
       
  • Identification of time-varying transformation models with fixed effects,
           with an application to unobserved heterogeneity in resource shares

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Irene Botosaru, Chris Muris, Krishna Pendakur
       
  • Why randomize' Minimax optimality under permutation invariance

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yuehao Bai
       
  • Testing and support recovery of correlation structures for matrix-valued
           observations with an application to stock market data

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang, Haipeng Shen
       
  • A simple joint model for returns, volatility and volatility of volatility

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yashuang (Dexter) Ding
       
  • Scalable inference for a full multivariate stochastic volatility model

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Petros Dellaportas, Michalis K. Titsias, Katerina Petrova, Anastasios Plataniotis
       
  • Relaxing conditional independence in an endogenous binary response model

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Alyssa Carlson
       
  • When bias contributes to variance: True limit theory in functional
           coefficient cointegrating regression

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Peter C.B. Phillips, Ying Wang
       
  • Estimating the variance of a combined forecast: Bootstrap-based approach

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Ulrich Hounyo, Kajal Lahiri
       
  • A discrete-time hedging framework with multiple factors and fat tails: On
           what matters

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin
       
  • Modeling and forecasting realized volatility with the fractional
           Ornstein–Uhlenbeck process

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xiaohu Wang, Weilin Xiao, Jun Yu
       
  • Smoothed quantile regression with large-scale inference

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou
       
  • t -ratios+with+many+instruments&rft.title=Journal+of+Econometrics&rft.issn=0304-4076&rft.date=&rft.volume=">Second-order refinements for t -ratios with many instruments

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yukitoshi Matsushita, Taisuke Otsu
       
  • High dimensional semiparametric moment restriction models

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Chaohua Dong, Jiti Gao, Oliver Linton
       
  • Fully modified least squares cointegrating parameter estimation in
           multicointegrated systems

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Igor L. Kheifets, Peter C.B. Phillips
       
  • Cluster-robust inference: A guide to empirical practice

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      Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb
       
  • Dividend suspensions and cash flows during the Covid-19 pandemic: A
           dynamic econometric model

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      Abstract: Publication date: Available online 23 January 2023Source: Journal of EconometricsAuthor(s): Davide Pettenuzzo, Riccardo Sabbatucci, Allan Timmermann
       
  • A penalized two-pass regression to predict stock returns with time-varying
           risk premia

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      Abstract: Publication date: Available online 14 January 2023Source: Journal of EconometricsAuthor(s): Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
       
  • Dynamic factor copula models with estimated cluster assignments

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      Abstract: Publication date: Available online 12 January 2023Source: Journal of EconometricsAuthor(s): Dong Hwan Oh, Andrew J. Patton
       
  • Predictive quantile regression with mixed roots and increasing dimensions:
           The ALQR approach

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      Abstract: Publication date: Available online 10 January 2023Source: Journal of EconometricsAuthor(s): Rui Fan, Ji Hyung Lee, Youngki Shin
       
  • Note from editors

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      Abstract: Publication date: Available online 9 January 2023Source: Journal of EconometricsAuthor(s): Elie Tamer
       
  • A flexible predictive density combination for large financial data sets in
           regular and crisis periods

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      Abstract: Publication date: Available online 7 January 2023Source: Journal of EconometricsAuthor(s): Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. van Dijk
       
  • Corrigendum to “Local mispricing and microstructural noise: A parametric
           perspective” [J. Econometrics 230 (2022) 510–534]

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      Abstract: Publication date: Available online 6 January 2023Source: Journal of EconometricsAuthor(s): Torben G. Andersen, Ilya Archakov, Gökhan Cebiroglu, Nikolaus Hautsch
       
  • Parametric estimation of long memory in factor models

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      Abstract: Publication date: Available online 6 January 2023Source: Journal of EconometricsAuthor(s): Yunus Emre Ergemen
       
  • Uniform predictive inference for factor models with instrumental and
           idiosyncratic betas

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      Abstract: Publication date: Available online 5 January 2023Source: Journal of EconometricsAuthor(s): Mingmian Cheng, Yuan Liao, Xiye Yang
       
  • Estimation and identification of latent group structures in panel data

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      Abstract: Publication date: Available online 26 December 2022Source: Journal of EconometricsAuthor(s): Ali Mehrabani
       
  • The role of score and information bias in panel data likelihoods

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      Abstract: Publication date: Available online 23 December 2022Source: Journal of EconometricsAuthor(s): Martin Schumann, Thomas A. Severini, Gautam Tripathi
       
  • Intraday cross-sectional distributions of systematic risk

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      Abstract: Publication date: Available online 20 December 2022Source: Journal of EconometricsAuthor(s): Torben G. Andersen, Raul Riva, Martin Thyrsgaard, Viktor Todorov
       
  • The distribution of rolling regression estimators

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      Abstract: Publication date: Available online 17 December 2022Source: Journal of EconometricsAuthor(s): Zongwu Cai, Ted Juhl
       
  • Semiparametric modeling of multiple quantiles

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      Abstract: Publication date: Available online 14 December 2022Source: Journal of EconometricsAuthor(s): Leopoldo Catania, Alessandra Luati
       
  • Comparing stochastic volatility specifications for large Bayesian VARs

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      Abstract: Publication date: Available online 10 December 2022Source: Journal of EconometricsAuthor(s): Joshua C.C. Chan
       
  • Penalized time-varying model averaging

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      Abstract: Publication date: Available online 2 December 2022Source: Journal of EconometricsAuthor(s): Yuying Sun, Yongmiao Hong, Shouyang Wang, Xinyu Zhang
       
  • Regression-adjusted estimation of quantile treatment effects under
           covariate-adaptive randomizations

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      Abstract: Publication date: Available online 30 November 2022Source: Journal of EconometricsAuthor(s): Liang Jiang, Peter C.B. Phillips, Yubo Tao, Yichong Zhang
       
  • Gender differences in sorting on wages and risk

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      Abstract: Publication date: Available online 30 November 2022Source: Journal of EconometricsAuthor(s): Kurt Lavetti, Ian M. Schmutte
       
  • Time-varying unobserved heterogeneity in earnings shocks

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      Abstract: Publication date: Available online 26 November 2022Source: Journal of EconometricsAuthor(s): Irene Botosaru
       
  • Peer effects and endogenous social interactions

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      Abstract: Publication date: Available online 26 November 2022Source: Journal of EconometricsAuthor(s): Koen Jochmans
       
  • Sample selection models without exclusion restrictions: Parameter
           heterogeneity and partial identification

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      Abstract: Publication date: Available online 26 November 2022Source: Journal of EconometricsAuthor(s): Bo E. Honoré, Luojia Hu
       
  • Community network auto-regression for high-dimensional time series

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      Abstract: Publication date: Available online 24 November 2022Source: Journal of EconometricsAuthor(s): Elynn Y. Chen, Jianqing Fan, Xuening Zhu
       
  • A latent class Cox model for heterogeneous time-to-event data

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      Abstract: Publication date: Available online 23 November 2022Source: Journal of EconometricsAuthor(s): Youquan Pei, Heng Peng, Jinfeng Xu
       
  • Distinguishing incentive from selection effects in auction-determined
           contracts

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      Abstract: Publication date: Available online 23 November 2022Source: Journal of EconometricsAuthor(s): Laurent Lamy, Manasa Patnam, Michael Visser
       
  • Higher-order least squares inference for spatial autoregressions

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Francesca Rossi, Peter M. Robinson
       
  • Estimation of spatial sample selection models: A partial maximum
           likelihood approach

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Renata Rabovič, Pavel Čížek
       
  • A spatial panel quantile model with unobserved heterogeneity

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Tomohiro Ando, Kunpeng Li, Lina Lu
       
  • Spatial econometrics for misaligned data

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Guillaume Allaire Pouliot
       
  • Efficient closed-form estimation of large spatial autoregressions

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Abhimanyu Gupta
       
  • Sparse spatio-temporal autoregressions by profiling and bagging

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Yingying Ma, Shaojun Guo, Hansheng Wang
       
  • Who should get vaccinated' Individualized allocation of vaccines over
           SIR network

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Toru Kitagawa, Guanyi Wang
       
  • Nonparametric comparison of epidemic time trends: The case of COVID-19

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Marina Khismatullina, Michael Vogt
       
  • How to go viral: A COVID-19 model with endogenously time-varying
           parameters

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Paul Ho, Thomas A. Lubik, Christian Matthes
       
  • Nowcasting in a pandemic using non-parametric mixed frequency VARs

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer, Josef Schreiner
       
  • Time varying Markov process with partially observed aggregate data: An
           application to coronavirus

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): C. Gourieroux, J. Jasiak
       
  • Nowcasting the output gap

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Tino Berger, James Morley, Benjamin Wong
       
  • Time series analysis of COVID-19 infection curve: A change-point
           perspective

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      Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Feiyu Jiang, Zifeng Zhao, Xiaofeng Shao
       
  • Asymptotic F test in regressions with observations collected at high
           frequency over long span

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      Abstract: Publication date: Available online 22 November 2022Source: Journal of EconometricsAuthor(s): Daniel F. Pellatt, Yixiao Sun
       
  • ETF Basket-Adjusted Covariance estimation

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      Abstract: Publication date: Available online 22 November 2022Source: Journal of EconometricsAuthor(s): Kris Boudt, Kirill Dragun, Orimar Sauri, Steven Vanduffel
       
  • Nonparametric identification and estimation with discrete instruments and
           regressors

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      Abstract: Publication date: Available online 22 November 2022Source: Journal of EconometricsAuthor(s): Isaac Loh
       
  • A post-screening diagnostic study for ultrahigh dimensional data

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      Abstract: Publication date: Available online 21 November 2022Source: Journal of EconometricsAuthor(s): Yaowu Zhang, Yeqing Zhou, Liping Zhu
       
 
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