Last update:
Wed Nov 8 14:09:09 MST 2023
Wen Zhi Xie A simple way of computing the inverse
moments of a non-central chi-square
random variable . . . . . . . . . . . . 389--393
José A. Villaseñor and
Barry C. Arnold Elliptical Lorenz curves . . . . . . . . 327--338
Robert F. Phillips A constrained maximum-likelihood
approach to estimating switching
regressions . . . . . . . . . . . . . . 241--262
John Geweke Bayesian reduced rank regression in
econometrics . . . . . . . . . . . . . . 121--146
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Modified tests for a change in
persistence . . . . . . . . . . . . . . 441--469
Hugo Kruiniger Maximum likelihood estimation and
inference methods for the covariance
stationary panel $ {\rm AR}(1) $/unit
root model . . . . . . . . . . . . . . . 447--464
Xavier D'Haultf\oeuille A new instrumental method for dealing
with endogenous selection . . . . . . . 1--15
Dante Amengual and
Enrique Sentana A comparison of mean-variance efficiency
tests . . . . . . . . . . . . . . . . . 16--34
Jianjun Xu and
Xianming Tan and
Runchu Zhang A note on Phillips (1991): ``A
constrained maximum likelihood approach
to estimating switching regressions'' 35--41
Jean-Marie Dufour and
Abderrahim Taamouti Short and long run causality measures:
Theory and inference . . . . . . . . . . 42--58
F. Comte and
C. Lacour and
Y. Rozenholc Adaptive estimation of the dynamics of a
discrete time stochastic volatility
model . . . . . . . . . . . . . . . . . 59--73
Kyungchul Song Testing semiparametric conditional
moment restrictions using conditional
martingale transforms . . . . . . . . . 74--84
Sylvia Frühwirth-Schnatter and
Helga Wagner Stochastic model specification search
for Gaussian and partial non-Gaussian
state space models . . . . . . . . . . . 85--100
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--100 (January 2010) . . . . . . ??
Raymond Kan and
Xiaolu Wang On the distribution of the sample
autocorrelation coefficients . . . . . . 101--121
Badi H. Baltagi and
Byoung Cheol Jung and
Seuck Heun Song Testing for heteroskedasticity and
serial correlation in a random effects
panel data model . . . . . . . . . . . . 122--124
Viktor Todorov and
George Tauchen Activity signature functions for
high-frequency data analysis . . . . . . 125--138
Jan R. Magnus and
Owen Powell and
Patricia Prüfer A comparison of two model averaging
techniques with an application to growth
empirics . . . . . . . . . . . . . . . . 139--153
Roger Klein and
Francis Vella Estimating a class of triangular
simultaneous equations models without
exclusion restrictions . . . . . . . . . 154--164
Lung-fei Lee and
Jihai Yu Estimation of spatial autoregressive
panel data models with fixed effects . . 165--185
Oliver Linton and
Kyungchul Song and
Yoon-Jae Whang An improved bootstrap test of stochastic
dominance . . . . . . . . . . . . . . . 186--202
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 101--202 (February 2010) . . . . . ??
Lorenzo Trapani and
Giovanni Urga Micro versus macro cointegration in
heterogeneous panels . . . . . . . . . . 1--18
Siddhartha Chib and
Srikanth Ramamurthy Tailored randomized block MCMC methods
with application to DSGE models . . . . 19--38
Jiawei Chen and
Matthew Shum Estimating a tournament model of
intra-firm wage differentials . . . . . 39--55
Christoph Rothe Nonparametric estimation of
distributional policy effects . . . . . 56--70
Zhibiao Zhao Density estimation for nonlinear
parametric models with conditional
heteroscedasticity . . . . . . . . . . . 71--82
J. Isaac Miller and
Joon Y. Park Nonlinearity, nonstationarity, and thick
tails: How they interact to generate
persistence in memory . . . . . . . . . 83--89
Songnian Chen An integrated maximum score estimator
for a generalized censored quantile
regression model . . . . . . . . . . . . 90--98
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--98 (March 2010) . . . . . . . . ??
Tobias J. Klein Heterogeneous treatment effects:
Instrumental variables without
monotonicity? . . . . . . . . . . . . . 99--116
Roman Liesenfeld and
Jean-François Richard The dynamic invariant multinomial probit
model: Identification, pretesting and
estimation . . . . . . . . . . . . . . . 117--127
Miguel A. Delgado and
Carlos Velasco Distribution-free tests for time series
models specification . . . . . . . . . . 128--137
Matias D. Cattaneo Efficient semiparametric estimation of
multi-valued treatment effects under
ignorability . . . . . . . . . . . . . . 138--154
Xiaohong Chen and
Lars Peter Hansen and
Marine Carrasco Nonlinearity and temporal dependence . . 155--169
Morten Òrregaard Nielsen Nonparametric cointegration analysis of
fractional systems with unknown
integration orders . . . . . . . . . . . 170--187
Rafael Weißbach and
Ronja Walter A likelihood ratio test for stationarity
of rating transitions . . . . . . . . . 188--194
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 99--194 (April 2010) . . . . . . . ??
Donna B. Gilleskie and
Ahmed Khwaja Structural models of optimization
behavior in labor, aging and health . . 1--2
Michael P. Keane Structural vs. atheoretic approaches to
econometrics . . . . . . . . . . . . . . 3--20
John Rust Comments on: ``Structural vs. atheoretic
approaches to econometrics'' by Michael
Keane . . . . . . . . . . . . . . . . . 21--24
Richard Blundell Comments on: Michael P. Keane
`Structural vs. atheoretic approaches to
econometrics' . . . . . . . . . . . . . 25--26
James J. Heckman and
Sergio Urzúa Comparing IV with structural models:
What simple IV can and cannot identify 27--37
Victor Aguirregabiria and
Pedro Mira Dynamic discrete choice structural
models: a survey . . . . . . . . . . . . 38--67
Donghoon Lee and
Kenneth I. Wolpin Accounting for wage and employment
changes in the US from 1968--2000: a
dynamic model of labor market
equilibrium . . . . . . . . . . . . . . 68--85
Sarit Cohen-Goldner and
Zvi Eckstein Estimating the return to training and
occupational experience: The case of
female immigrants . . . . . . . . . . . 86--105
John Bound and
Todd Stinebrickner and
Timothy Waidmann Health, economic resources and the work
decisions of older men . . . . . . . . . 106--129
Ahmed Khwaja Estimating willingness to pay for
Medicare using a dynamic life-cycle
model of demand for health insurance . . 130--147
Donna Gilleskie Work absences and doctor visits during
an illness episode: The differential
role of preferences, production, and
policies among men and women . . . . . . 148--163
Raquel Bernal and
Michael P. Keane Quasi-structural estimation of a model
of childcare choices and child cognitive
ability production . . . . . . . . . . . 164--189
Luca Flabbi Prejudice and gender differentials in
the US labor market in the last twenty
years . . . . . . . . . . . . . . . . . 190--200
Tom Ahn and
Peter Arcidiacono and
Alvin Murphy and
Omari Swinton Explaining cross-racial differences in
teenage labor force participation:
Results from a two-sided matching model 201--211
Haiyong Liu and
Thomas A. Mroz and
Wilbert van der Klaauw Maternal employment, migration, and
child development . . . . . . . . . . . 212--228
John Kennan and
James R. Walker Wages, welfare benefits and migration 229--238
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Dennis Kristensen Pseudo-maximum likelihood estimation in
two classes of semiparametric diffusion
models . . . . . . . . . . . . . . . . . 239--259
Gema Zamarro Accounting for heterogeneous returns in
sequential schooling decisions . . . . . 260--276
Alan T. K. Wan and
Xinyu Zhang and
Guohua Zou Least squares model averaging by Mallows
criterion . . . . . . . . . . . . . . . 277--283
Ivan A. Canay Simultaneous selection and weighting of
moments in GMM using a trapezoidal
kernel . . . . . . . . . . . . . . . . . 284--303
Eric M. Leeper and
Michael Plante and
Nora Traum Dynamics of fiscal financing in the
United States . . . . . . . . . . . . . 304--321
Siddhartha Chib and
Edward Greenberg Additive cubic spline regression with
Dirichlet process mixture errors . . . . 322--336
Patrik Guggenberger The impact of a Hausman pretest on the
size of a hypothesis test: The panel
data case . . . . . . . . . . . . . . . 337--343
Marco Fattore Axiomatic properties of geo-logarithmic
price indices . . . . . . . . . . . . . 344--353
Ximing Wu Exponential Series Estimator of
multivariate densities . . . . . . . . . 354--366
Roman Liesenfeld and
Jean-François Richard Efficient estimation of probit models
with correlated errors . . . . . . . . . 367--376
Juan Carlos Escanciano and
Kyungchul Song Testing single-index restrictions with a
focus on average derivatives . . . . . . 377--391
David Jacho-Chávez and
Arthur Lewbel and
Oliver Linton Identification and nonparametric
estimation of a transformed additively
separable model . . . . . . . . . . . . 392--407
Ivan A. Canay EL inference for partially identified
models: Large deviations optimality and
bootstrap validity . . . . . . . . . . . 408--425
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 239--426 (June 2010) . . . . . . . ??
Songnian Chen and
Qi Li Annals Journal of Econometrics:
Nonlinear and Nonparametric Methods in
Econometrics . . . . . . . . . . . . . . 3--5
P. M. Robinson Efficient estimation of the
semiparametric spatial autoregressive
model . . . . . . . . . . . . . . . . . 6--17
Liangjun Su and
Sainan Jin Profile quasi-maximum likelihood
estimation of partially linear spatial
autoregressive models . . . . . . . . . 18--33
Xu Lin and
Lung-fei Lee GMM estimation of spatial autoregressive
models with unknown heteroskedasticity 34--52
Harry H. Kelejian and
Ingmar R. Prucha Specification and estimation of spatial
autoregressive models with
autoregressive and heteroskedastic
disturbances . . . . . . . . . . . . . . 53--67
Christian Gouriéroux and
Peter C. B. Phillips and
Jun Yu Indirect inference for dynamic panel
models . . . . . . . . . . . . . . . . . 68--77
Jushan Bai Common breaks in means and variances for
panel data . . . . . . . . . . . . . . . 78--92
Chunrong Ai and
Li Gan An alternative root-$n$ consistent
estimator for panel data binary choice
models . . . . . . . . . . . . . . . . . 93--100
Shaoping Wang and
Peng Wang and
Jisheng Yang and
Zinai Li A generalized nonlinear IV unit root
test for panel data with cross-sectional
dependence . . . . . . . . . . . . . . . 101--109
Robert P. Lieli and
Halbert White The construction of empirical credit
scoring rules based on maximization
principles . . . . . . . . . . . . . . . 110--119
Tong Li Indirect inference in structural
econometric models . . . . . . . . . . . 120--128
Xiaohong Chen and
Yanqin Fan and
Demian Pouzo and
Zhiliang Ying Estimation and model selection of
semiparametric multivariate survival
functions under general censorship . . . 129--142
Songnian Chen and
Yahong Zhou Semiparametric and nonparametric
estimation of sample selection models
under symmetry . . . . . . . . . . . . . 143--150
Jun M. Liu and
Rong Chen and
Qiwei Yao Nonparametric transfer function models 151--164
Joon Y. Park and
Kwanho Shin and
Yoon-Jae Whang A semiparametric cointegrating
regression: Investigating the effects of
age distributions on consumption and
saving . . . . . . . . . . . . . . . . . 165--178
Dong Li and
Qi Li Nonparametric/semiparametric estimation
and testing of econometric models with
data dependent smoothing parameters . . 179--190
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
T. W. Anderson and
Naoto Kunitomo and
Yukitoshi Matsushita On the asymptotic optimality of the LIML
estimator with possibly many instruments 191--204
Hui Jin and
Dale W. Jorgenson Econometric modeling of technical change 205--219
Viktor Todorov and
Tim Bollerslev Jumps and betas: a new framework for
disentangling and estimating systematic
risks . . . . . . . . . . . . . . . . . 220--235
Anna Mikusheva Robust confidence sets in the presence
of weak instruments . . . . . . . . . . 236--247
Taisuke Otsu On Bahadur efficiency of empirical
likelihood . . . . . . . . . . . . . . . 248--256
Song X. Chen and
Aurore Delaigle and
Peter Hall Nonparametric estimation for a class of
Lévy processes . . . . . . . . . . . . . 257--271
Ivana Komunjer and
Quang Vuong Efficient estimation in dynamic
conditional quantile models . . . . . . 272--285
Hung-Jen Wang and
Chia-Wen Ho Estimating fixed-effect panel stochastic
frontier models by model transformation 286--296
Dongming Zhu and
John W. Galbraith A generalized asymmetric Student-$t$
distribution with application to
financial econometrics . . . . . . . . . 297--305
Mark J. Jensen and
John M. Maheu Bayesian semiparametric stochastic
volatility modeling . . . . . . . . . . 306--316
Denis Bolduc and
Lynda Khalaf and
Clément Yélou Identification robust confidence set
methods for inference on parameter
ratios with application to discrete
choice models . . . . . . . . . . . . . 317--327
Yonghong An and
Yingyao Hu and
Matthew Shum Estimating first-price auctions with an
unknown number of bidders: a
misclassification approach . . . . . . . 328--341
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Robust methods for detecting multiple
level breaks in autocorrelated time
series . . . . . . . . . . . . . . . . . 342--358
T. W. Anderson The LIML estimator has finite moments! 359--361
Peter Hall and
Adonis Yatchew Nonparametric least squares estimation
in derivative families . . . . . . . . . 362--374
Anastasia Semykina and
Jeffrey M. Wooldridge Estimating panel data models in the
presence of endogeneity and selection 375--380
Christian Macaro Bayesian non-parametric signal
extraction for Gaussian time series . . 381--395
Carlos Lamarche Robust penalized quantile regression
estimation for panel data . . . . . . . 396--408
Andres Aradillas-Lopez Semiparametric estimation of a
simultaneous game with incomplete
information . . . . . . . . . . . . . . 409--431
Stefan Hoderlein and
Joachim Winter Structural measurement errors in
nonseparable models . . . . . . . . . . 432--440
Christian Conrad Non-negativity conditions for the
hyperbolic GARCH model . . . . . . . . . 441--457
Jin Seo Cho and
Halbert White Testing for unobserved heterogeneity in
exponential and Weibull duration models 458--480
Yvan Lengwiler and
Carlos Lenz Intelligible factors for the yield curve 481--491
J. Hualde and
P. M. Robinson Semiparametric inference in multivariate
fractionally cointegrated systems . . . 492--511
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 191--512 (August 2010) . . . . . . ??
H. Peter Boswijk and
Philip Hans Franses and
Dick van Dijk Twenty years of cointegration . . . . . 1--2
Clive W. J. Granger Some thoughts on the development of
cointegration . . . . . . . . . . . . . 3--6
Giuseppe Cavaliere and
Anders Rahbek and
A. M. Robert Taylor Testing for co-integration in vector
autoregressions with non-stationary
volatility . . . . . . . . . . . . . . . 7--24
Jennifer L. Castle and
Nicholas W. P. Fawcett and
David F. Hendry Forecasting with equilibrium-correction
models during structural breaks . . . . 25--36
Iliyan Georgiev Model-based asymptotic inference on the
effect of infrequent large shocks on
cointegrated variables . . . . . . . . . 37--50
Sòren Johansen and
Morten Òrregaard Nielsen Likelihood inference for a nonstationary
fractional autoregressive model . . . . 51--66
Katarzyna Lasak Likelihood based testing for no
fractional cointegration . . . . . . . . 67--77
Dennis Kristensen and
Anders Rahbek Likelihood-based inference for
cointegration with nonlinear
error-correction . . . . . . . . . . . . 78--94
Isabel Figuerola-Ferretti and
Jesús Gonzalo Modelling and measuring price discovery
in commodity markets . . . . . . . . . . 95--107
Jan P. A. M. Jacobs and
Kenneth F. Wallis Cointegration, long-run structural
modelling and weak exogeneity: Two
models of the UK economy . . . . . . . . 108--116
Sòren Johansen and
Katarina Juselius and
Roman Frydman and
Michael Goldberg Testing hypotheses in an $ {\rm I}(2) $
model with piecewise linear trends. An
analysis of the persistent long swings
in the Dmk/\$ rate . . . . . . . . . . . 117--129
Luca Fanelli and
Paolo Paruolo Speed of adjustment in cointegrated
systems . . . . . . . . . . . . . . . . 130--141
Bruce E. Hansen Averaging estimators for autoregressions
with a near unit root . . . . . . . . . 142--155
H. Peter Boswijk and
Philip Hans Franses and
Dick van Dijk Cointegration in a historical
perspective . . . . . . . . . . . . . . 156--159
Sean Holly and
M. Hashem Pesaran and
Takashi Yamagata A spatio-temporal model of house prices
in the USA . . . . . . . . . . . . . . . 160--173
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Steven Durlauf and
Aris Spanos Editorial introduction . . . . . . . . . 175--176
James J. Heckman and
Daniel Schmierer and
Sergio Urzua Testing the correlated random
coefficient model . . . . . . . . . . . 177--203
Aris Spanos Akaike-type criteria and the reliability
of inference: Model selection versus
statistical model specification . . . . 204--220
Ioannis Kasparis The Bierens test for certain
nonstationary models . . . . . . . . . . 221--230
Jennifer L. Castle and
David F. Hendry A low-dimension portmanteau test for
non-linearity . . . . . . . . . . . . . 231--245
Elena Andreou and
Eric Ghysels and
Andros Kourtellos Regression models with mixed sampling
frequencies . . . . . . . . . . . . . . 246--261
Sòren Johansen Some identification problems in the
cointegrated vector autoregressive model 262--273
Peter C. B. Phillips and
Tassos Magdalinos and
Liudas Giraitis Smoothing local-to-moderate unit root
theory . . . . . . . . . . . . . . . . . 274--279
Peter C. B. Phillips Bootstrapping $ I(1) $ data . . . . . . 280--284
Donald W. K. Andrews and
Patrik Guggenberger Applications of subsampling, hybrid, and
size-correction methods . . . . . . . . 285--305
Steven N. Durlauf and
Salvador Navarro and
David A. Rivers Understanding aggregate crime
regressions . . . . . . . . . . . . . . 306--317
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Cheti Nicoletti and
Concetta Rondinelli The (mis)specification of discrete
duration models with unobserved
heterogeneity: a Monte Carlo study . . . 1--13
Szabolcs Blazsek and
Alvaro Escribano Knowledge spillovers in US patents: a
dynamic patent intensity model with
secret common innovation factors . . . . 14--32
Arnold Zellner and
Tomohiro Ando A direct Monte Carlo approach for
Bayesian analysis of the seemingly
unrelated regression model . . . . . . . 33--45
Sung Jae Jun and
Joris Pinkse and
Yuanyuan Wan A consistent nonparametric test of
affiliation in auction models . . . . . 46--54
Christian M. Hafner and
Oliver Linton Efficient estimation of a multivariate
multiplicative volatility model . . . . 55--73
Kim Christensen and
Roel Oomen and
Mark Podolskij Realised quantile-based estimation of
the integrated variance . . . . . . . . 74--98
Xiaodong Liu and
Lung-fei Lee GMM estimation of social interaction
models with centrality . . . . . . . . . 99--115
Kim Christensen and
Silja Kinnebrock and
Mark Podolskij Pre-averaging estimators of the ex-post
covariance matrix in noisy diffusion
models with non-synchronous data . . . . 116--133
Gary Koop and
Simon Potter A flexible approach to parametric
inference in nonlinear and time varying
time series models . . . . . . . . . . . 134--150
Christian Francq and
Jean-Michel Zako\"\ian Inconsistency of the MLE and inference
based on weighted LS for LARCH models 151--165
Ruslan Bikbov and
Mikhail Chernov No-arbitrage macroeconomic determinants
of the yield curve . . . . . . . . . . . 166--182
Yong Zhou and
Alan T. K. Wan and
Shangyu Xie and
Xiaojing Wang Wavelet analysis of change-points in a
non-parametric regression with
heteroscedastic variance . . . . . . . . 183--201
Kazuhiko Hayakawa The effects of dynamic feedbacks on LS
and MM estimator accuracy in panel data
models: Some additional results . . . . 202--208
Juan Carlos Escanciano and
Carlos Velasco Specification tests of parametric
dynamic conditional quantiles . . . . . 209--221
Songnian Chen Root-$N$-consistent estimation of
fixed-effect panel data transformation
models with censoring . . . . . . . . . 222--234
Dacheng Xiu Quasi-maximum likelihood estimation of
volatility with high frequency data . . 235--250
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--250 (November 2010) . . . . . . ??
Anonymous Publisher's note . . . . . . . . . . . . 251--251
Hidehiko Ichimura and
Sokbae Lee Characterization of the asymptotic
distribution of semiparametric
$M$-estimators . . . . . . . . . . . . . 252--266
Richard C. Chiburis Semiparametric bounds on treatment
effects . . . . . . . . . . . . . . . . 267--275
Fulvio Corsi and
Davide Pirino and
Roberto Ren\`o Threshold bipower variation and the
impact of jumps on volatility
forecasting . . . . . . . . . . . . . . 276--288
Gabriel Frahm and
Christoph Memmel Dominating estimators for
minimum-variance portfolios . . . . . . 289--302
Xiaodong Liu and
Lung-fei Lee and
Christopher R. Bollinger An efficient GMM estimator of spatial
autoregressive models . . . . . . . . . 303--319
Guohua Feng and
Apostolos Serletis A primal Divisia technical change index
based on the output distance function 320--330
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 251--330 (December 2010) . . . . . ??
Nour Meddahi and
Per Mykland and
Neil Shephard Realized Volatility . . . . . . . . . . 1--1
Jeremy Large Estimating quadratic variation when
quoted prices change by a constant
increment . . . . . . . . . . . . . . . 2--11
Viktor Todorov Econometric analysis of jump-driven
stochastic volatility models . . . . . . 12--21
René Garcia and
Marc-André Lewis and
Sergio Pastorello and
Éric Renault Estimation of objective and risk-neutral
distributions based on moments of
integrated volatility . . . . . . . . . 22--32
Lan Zhang Estimating covariation: Epps effect,
microstructure noise . . . . . . . . . . 33--47
Thomas Busch and
Bent Jesper Christensen and
Morten Òrregaard Nielsen The role of implied volatility in
forecasting future realized volatility
and jumps in foreign exchange, stock,
and bond markets . . . . . . . . . . . . 48--57
Jim E. Griffin and
Roel C. A. Oomen Covariance measurement in the presence
of non-synchronous trading and market
microstructure noise . . . . . . . . . . 58--68
John M. Maheu and
Thomas H. McCurdy Do high-frequency measures of volatility
improve forecasts of return
distributions? . . . . . . . . . . . . . 69--76
Cecilia Mancini and
Roberto Ren\`o Threshold estimation of Markov models
with jumps and interest rate modeling 77--92
Gregory H. Bauer and
Keith Vorkink Forecasting multivariate realized stock
market volatility . . . . . . . . . . . 93--101
George Tauchen and
Hao Zhou Realized jumps on financial markets and
predicting credit spreads . . . . . . . 102--118
Jeff Fleming and
Bradley S. Paye High-frequency returns, jumps and the
mixture of normals hypothesis . . . . . 119--128
Sílvia Gonçalves and
Nour Meddahi Box--Cox transforms for realized
volatility . . . . . . . . . . . . . . . 129--144
Federico M. Bandi and
Jeffrey R. Russell Market microstructure noise, integrated
variance estimators, and the accuracy of
asymptotic approximations . . . . . . . 145--159
Yacine A\"\it-Sahalia and
Per A. Mykland and
Lan Zhang Ultra high frequency volatility
estimation with dependent microstructure
noise . . . . . . . . . . . . . . . . . 160--175
Torben G. Andersen and
Tim Bollerslev and
Xin Huang A reduced form framework for modeling
volatility of speculative prices based
on realized variation measures . . . . . 176--189
Lan Zhang and
Per A. Mykland and
Yacine A\"\it-Sahalia Edgeworth expansions for realized
volatility and related estimators . . . 190--203
Ole E. Barndorff-Nielsen and
Peter Reinhard Hansen and
Asger Lunde and
Neil Shephard Subsampling realised kernels . . . . . . 204--219
Torben G. Andersen and
Tim Bollerslev and
Nour Meddahi Realized volatility forecasting and
market microstructure noise . . . . . . 220--234
Tim Bollerslev and
Michael Gibson and
Hao Zhou Dynamic estimation of volatility risk
premia and investor risk aversion from
option-implied and realized volatilities 235--245
Andrew J. Patton Volatility forecast comparison using
imperfect volatility proxies . . . . . . 246--256
Eric Ghysels and
Arthur Sinko Volatility forecasting and
microstructure noise . . . . . . . . . . 257--271
Eric Renault and
Bas J. M. Werker Causality effects in return volatility
measures with random times . . . . . . . 272--279
Liuren Wu Variance dynamics: Joint evidence from
options and high-frequency returns . . . 280--287
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous In Memorium . . . . . . . . . . . . . . iv--v
Jinyong Hahn and
John C. Ham and
Hyungsik Roger Moon The Hausman test and weak instruments 289--299
Gabriel Montes-Rojas and
Walter Sosa-Escudero Robust tests for heteroskedasticity in
the one-way error components model . . . 300--310
Michael J. Dueker and
Zacharias Psaradakis and
Martin Sola and
Fabio Spagnolo Multivariate contemporaneous-threshold
autoregressive models . . . . . . . . . 311--325
G. Kapetanios and
M. Hashem Pesaran and
T. Yamagata Panels with non-stationary multifactor
error structures . . . . . . . . . . . . 326--348
Min Seong Kim and
Yixiao Sun Spatial heteroskedasticity and
autocorrelation consistent estimation of
covariance matrix . . . . . . . . . . . 349--371
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 289--372 (February 2011) . . . . . ??
William A. Barnett and
W. Erwin Diewert and
Arnold Zellner Introduction to measurement with theory 1--5
William A. Barnett and
Marcelle Chauvet How better monetary statistics could
have signaled the financial crisis . . . 6--23
Lorraine Ivancic and
W. Erwin Diewert and
Kevin J. Fox Scanner data, time aggregation and the
construction of price indexes . . . . . 24--35
Jan de Haan and
Heymerik A. van der Grient Eliminating chain drift in price indexes
based on scanner data . . . . . . . . . 36--46
Alice O. Nakamura and
Emi Nakamura and
Leonard I. Nakamura Price dynamics, retail chains and
inflation measurement . . . . . . . . . 47--55
Anan Pawasutipaisit and
Robert M. Townsend Wealth accumulation and factors
accounting for success . . . . . . . . . 56--81
John M. Abowd and
Lars Vilhuber National estimates of gross employment
and job flows from the Quarterly
Workforce Indicators with demographic
and industry detail . . . . . . . . . . 82--99
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Jan P. A. M. Jacobs and
Simon van Norden Modeling data revisions: Measurement
error and dynamics of ``true'' values 101--109
Jason Allen and
Allan W. Gregory and
Katsumi Shimotsu Empirical likelihood block bootstrapping 110--121
Sung Jae Jun and
Joris Pinkse and
Haiqing Xu Tighter bounds in triangular systems . . 122--128
Andres Santos Instrumental variable methods for
recovering continuous linear functionals 129--146
Abdelaati Daouia and
Ir\`ene Gijbels Robustness and inference in
nonparametric partial frontier modeling 147--165
Thomas S. Shively and
Stephen G. Walker and
Paul Damien Nonparametric function estimation
subject to monotonicity, convexity and
other shape constraints . . . . . . . . 166--181
M. Hashem Pesaran and
Elisa Tosetti Large panels with common factors and
spatial correlation . . . . . . . . . . 182--202
John P. Papay and
John B. Willett and
Richard J. Murnane Extending the regression-discontinuity
approach to multiple assignment
variables . . . . . . . . . . . . . . . 203--207
John C. Ham and
Xianghong Li and
Patricia B. Reagan Matching and semi-parametric IV
estimation, a distance-based measure of
migration, and the wages of young men 208--227
Xiaohu Wang and
Peter C. B. Phillips and
Jun Yu Bias in estimating multivariate and
univariate diffusions . . . . . . . . . 228--245
Atsushi Inoue and
Barbara Rossi Testing for weak identification in
possibly nonlinear models . . . . . . . 246--261
Ilze Kalnina Subsampling high frequency data . . . . 262--283
Andrew J. Patton Data-based ranking of realised
volatility estimators . . . . . . . . . 284--303
Valentina Corradi and
Norman R. Swanson Predictive density construction and
accuracy testing with multiple possibly
misspecified diffusion models . . . . . 304--324
René Garcia and
Eric Renault and
David Veredas Estimation of stable distributions by
indirect inference . . . . . . . . . . . 325--337
Wen Zhi Xie Corrigendum to ``A simple way of
computing the inverse moments of a
non-central chi-square random variable''
[J. Econom. \bf 37 (1988) 389--393] . . 338--338
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 101--338 (1 April 2011) . . . . . ??
Arnold Zellner and
David Zilberman The economics and econometrics of risk:
an introduction to the special issue . . 1--5
Richard E. Just and
David R. Just Global identification of risk
preferences with revealed preference
data . . . . . . . . . . . . . . . . . . 6--17
Teresa Serra and
Barry K. Goodwin and
Allen M. Featherstone Risk behavior in the presence of
government programs . . . . . . . . . . 18--24
David R. Just Calibrating the wealth effects of
decoupled payments: Does decreasing
absolute risk aversion matter? . . . . . 25--34
Rulon D. Pope and
Jeffrey T. LaFrance and
Richard E. Just Agricultural arbitrage and risk
preferences . . . . . . . . . . . . . . 35--43
Carlo Cafiero and
Eugenio S. A. Bobenrieth H. and
Juan R. A. Bobenrieth H. and
Brian D. Wright The empirical relevance of the
competitive storage model . . . . . . . 44--54
Alexei V. Egorov and
Haitao Li and
David Ng A tale of two yield curves: Modeling the
joint term structure of dollar and euro
interest rates . . . . . . . . . . . . . 55--70
Keith D. Schumann Semi-nonparametric test of second degree
stochastic dominance with respect to a
function . . . . . . . . . . . . . . . . 71--78
Anna Conte and
John D. Hey and
Peter G. Moffatt Mixture models of choice under risk . . 79--88
Nathaniel T. Wilcox `Stochastically more risk averse:' A
contextual theory of stochastic discrete
choice under risk . . . . . . . . . . . 89--104
David E. Buschena and
Joseph A. Atwood Evaluation of similarity models for
expected utility violations . . . . . . 105--113
John A. List and
Charles F. Mason Are CEOs expected utility maximizers? 114--123
Itzhak Gilboa and
Offer Lieberman and
David Schmeidler A similarity-based approach to
prediction . . . . . . . . . . . . . . . 124--131
J. E. Russo and
Kevyn Yong The distortion of information to support
an emerging evaluation of risk . . . . . 132--139
Amir Heiman and
Oded Lowengart The effects of information about health
hazards in food on consumers' choice
process . . . . . . . . . . . . . . . . 140--147
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Ole E. Barndorff-Nielsen and
Peter Reinhard Hansen and
Asger Lunde and
Neil Shephard Multivariate realised kernels:
Consistent positive semi-definite
estimators of the covariation of equity
prices with noise and non-synchronous
trading . . . . . . . . . . . . . . . . 149--169
Arthur Lewbel and
Daniel McFadden and
Oliver Linton Estimating features of a distribution
from binomial data . . . . . . . . . . . 170--188
Zhaogang Song A martingale approach for testing
diffusion models based on infinitesimal
operator . . . . . . . . . . . . . . . . 189--212
Xiaofeng Shao A bootstrap-assisted spectral test of
white noise under unknown dependence . . 213--224
Zhibiao Zhao Nonparametric model validations for
hidden Markov models with applications
in financial econometrics . . . . . . . 225--239
Uwe Hassler Estimation of fractional integration
under temporal aggregation . . . . . . . 240--247
Tatsushi Oka and
Zhongjun Qu Estimating structural changes in
regression quantiles . . . . . . . . . . 248--267
Yanqin Fan and
Matthew Gentry and
Tong Li A new class of asymptotically efficient
estimators for moment condition models 268--277
Alberto Holly and
Alain Monfort and
Michael Rockinger Fourth order pseudo maximum likelihood
methods . . . . . . . . . . . . . . . . 278--293
Natalia Sizova Integrated variance forecasting: Model
based vs. reduced form . . . . . . . . . 294--311
Siem Jan Koopman and
André Lucas and
Bernd Schwaab Modeling frailty-correlated defaults
using many macroeconomic covariates . . 312--325
Jin Seo Cho and
Halbert White Generalized runs tests for the IID
hypothesis . . . . . . . . . . . . . . . 326--344
Mingliang Li and
Justin L. Tobias Bayesian inference in a correlated
random coefficients model: Modeling
causal effect heterogeneity with an
application to heterogeneous returns to
schooling . . . . . . . . . . . . . . . 345--361
Valentino Dardanoni and
Salvatore Modica and
Franco Peracchi Regression with imputed covariates: a
generalized missing-indicator approach 362--368
Philippe J. Deschamps Bayesian estimation of an extended local
scale stochastic volatility model . . . 369--382
J. E. Griffin and
M. F. J. Steel Stick-breaking autoregressive processes 383--396
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 149--396 (June 2011) . . . . . . . ??
Franz C. Palm and
Jean-Pierre Urbain Factor structures for panel and
multivariate time series data . . . . . 1--3
Alexander Chudik and
M. Hashem Pesaran Infinite-dimensional VARs and factor
models . . . . . . . . . . . . . . . . . 4--22
Mario Forni and
Marco Lippi The general dynamic factor model:
One-sided representation results . . . . 23--28
Marc Hallin and
Roman Liska Dynamic factors in the presence of
blocks . . . . . . . . . . . . . . . . . 29--41
Marc Hallin and
Charles Mathias and
Hugues Pirotte and
David Veredas Market liquidity as dynamic factors . . 42--50
Michael Eichler and
Giovanni Motta and
Rainer von Sachs Fitting dynamic factor models to
non-stationary time series . . . . . . . 51--70
Jörg Breitung and
Sandra Eickmeier Testing for structural breaks in dynamic
factor models . . . . . . . . . . . . . 71--84
Franz C. Palm and
Stephan Smeekes and
Jean-Pierre Urbain Cross-sectional dependence robust block
bootstrap panel unit root tests . . . . 85--104
Massimo Franchi and
Paolo Paruolo A characterization of vector
autoregressive processes with common
cyclical features . . . . . . . . . . . 105--117
H. Peter Boswijk and
Roy van der Weide Method of moments estimation of GO-GARCH
models . . . . . . . . . . . . . . . . . 118--126
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Bolong Cao and
Yixiao Sun Asymptotic distributions of impulse
response functions in short panel vector
autoregressions . . . . . . . . . . . . 127--143
Iván Fernández-Val and
Francis Vella Bias corrections for two-step fixed
effects panel data estimators . . . . . 144--162
Yingying Dong and
Arthur Lewbel Nonparametric identification of a binary
random factor in cross section data . . 163--171
John Geweke and
Yu Jiang Inference and prediction in a
multiple-structural-break model . . . . 172--185
Karim M. Abadir and
Walter Distaso and
Liudas Giraitis An I( d ) model with trend and cycles 186--199
Marc Hallin and
Ramon van den Akker and
Bas J. M. Werker A class of simple distribution-free
rank-based unit root tests . . . . . . . 200--214
Cees Diks and
Valentyn Panchenko and
Dick van Dijk Likelihood-based scoring rules for
comparing density forecasts in tails . . 215--230
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 127--230 (August 2011) . . . . . . ??
João Victor Issler and
Oliver Linton and
Allan Timmermann Annals issue on forecasting --- Guest
Editors' introduction . . . . . . . . . 1--3
Jens H. E. Christensen and
Francis X. Diebold and
Glenn D. Rudebusch The affine arbitrage-free class of
Nelson--Siegel term structure models . . 4--20
Andrea Carriero and
Raffaella Giacomini How useful are no-arbitrage restrictions
for forecasting the term structure of
interest rates? . . . . . . . . . . . . 21--34
Caio Almeida and
Jeremy J. Graveline and
Scott Joslin Do interest rate options contain
information about excess returns? . . . 35--44
Riccardo Colacito and
Robert F. Engle and
Eric Ghysels A component model for dynamic
correlations . . . . . . . . . . . . . . 45--59
Davide Pettenuzzo and
Allan Timmermann Predictability of stock returns and
asset allocation under structural breaks 60--78
Graham Elliott A control function approach for testing
the usefulness of trending variables in
forecast models and linear regression 79--91
Alev Atak and
Oliver Linton and
Zhijie Xiao A semiparametric panel model for
unbalanced data with application to
climate change in the United Kingdom . . 92--115
George Athanasopoulos and
Osmani Teixeira de Carvalho Guillén and
João Victor Issler and
Farshid Vahid Model selection, estimation and
forecasting in VAR models with short-run
and long-run restrictions . . . . . . . 116--129
John Geweke and
Gianni Amisano Optimal prediction pools . . . . . . . . 130--141
Antonio F. Galvao Quantile regression for dynamic panel
data with fixed effects . . . . . . . . 142--157
Barbara Rossi and
Tatevik Sekhposyan Understanding models' forecasting
performance . . . . . . . . . . . . . . 158--172
M. Hashem Pesaran and
Andreas Pick and
Allan Timmermann Variable selection, estimation and
inference for multi-period forecasting
problems . . . . . . . . . . . . . . . . 173--187
Catherine Doz and
Domenico Giannone and
Lucrezia Reichlin A two-step estimator for large
approximate dynamic factor models based
on Kalman filtering . . . . . . . . . . 188--205
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Ron C. Mittelhammer and
George Judge A family of empirical likelihood
functions and estimators for the binary
response model . . . . . . . . . . . . . 207--217
Eiji Kurozumi and
Purevdorj Tuvaandorj Model selection criteria in multivariate
models with multiple structural changes 218--238
Saraswata Chaudhuri and
Eric Zivot A new method of projection-based
inference in GMM with weakly identified
nuisance parameters . . . . . . . . . . 239--251
Yiguo Sun and
Cheng Hsiao and
Qi Li Measuring correlations of integrated but
not cointegrated variables: a
semiparametric approach . . . . . . . . 252--267
Bin Chen and
Yongmiao Hong Generalized spectral testing for
multivariate continuous-time models . . 268--293
Stefan Hoderlein How many consumers are rational? . . . . 294--309
Dukpa Kim Estimating a common deterministic time
trend break in large panels with cross
sectional dependence . . . . . . . . . . 310--330
Yingying Fan and
Jianqing Fan Testing and detecting jumps based on a
discretely observed process . . . . . . 331--344
Yixiao Sun Robust trend inference with series
variance estimator and testing-optimal
smoothing parameter . . . . . . . . . . 345--366
Viktor Todorov and
George Tauchen and
Iaryna Grynkiv Realized Laplace transforms for
estimation of jump diffusive volatility
models . . . . . . . . . . . . . . . . . 367--381
Dennis Kristensen Semi-nonparametric estimation and
misspecification testing of diffusion
models . . . . . . . . . . . . . . . . . 382--403
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 207--404 (1 October 2011) . . . . ??
Naoto Kunitomo and
Michael McAleer and
Yoshihiko Nishiyama Moment Restriction-Based Econometric
Methods: an overview . . . . . . . . . . 1--4
P. M. Robinson Asymptotic theory for nonparametric
regression with spatial data . . . . . . 5--19
Tomoyuki Amano and
Masanobu Taniguchi Control variate method for stationary
processes . . . . . . . . . . . . . . . 20--29
Liqun Wang and
Cheng Hsiao Method of moments estimation and
identifiability of semiparametric
nonlinear errors-in-variables models . . 30--44
Jerry Hausman and
Randall Lewis and
Konrad Menzel and
Whitney Newey Properties of the CUE estimator and a
modification with moments . . . . . . . 45--57
T. W. Anderson and
Naoto Kunitomo and
Yukitoshi Matsushita On finite sample properties of
alternative estimators of coefficients
in a structural equation with many
instruments . . . . . . . . . . . . . . 58--69
Ryo Okui Instrumental variable estimation in the
presence of many moment conditions . . . 70--86
Shih-Hsun Hsu and
Chung-Ming Kuan Estimation of conditional moment
restrictions without assuming parameter
identifiability in the implied
unconditional moments . . . . . . . . . 87--99
Waldyr Dutra Areosa and
Michael McAleer and
Marcelo C. Medeiros Moment-based estimation of smooth
transition regression models with
endogenous variables . . . . . . . . . . 100--111
Yoshihiko Nishiyama and
Kohtaro Hitomi and
Yoshinori Kawasaki and
Kiho Jeong A consistent nonparametric test for
nonlinear causality --- Specification in
time series regression . . . . . . . . . 112--127
Daniel Preve and
Marcelo C. Medeiros Linear programming-based estimators in
simple linear regression . . . . . . . . 128--136
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
C. Alan Bester and
Timothy G. Conley and
Christian B. Hansen Inference with dependent data using
cluster covariance estimators . . . . . 137--151
Anders Rygh Swensen A bootstrap algorithm for testing
cointegration rank in VAR models in the
presence of stationary variables . . . . 152--162
Gray Calhoun Hypothesis testing in linear regression
when k/n is large . . . . . . . . . . . 163--174
Min-Hsien Chiang and
Li-Min Wang Volatility contagion: a range-based
volatility approach . . . . . . . . . . 175--189
Sheheryar Malik and
Michael K. Pitt Particle filters for continuous
likelihood evaluation and maximisation 190--209
Gary Koop and
Roberto Leon-Gonzalez and
Rodney W. Strachan Bayesian inference in a time varying
cointegration model . . . . . . . . . . 210--220
Martijn van Hasselt Bayesian inference in a sample selection
model . . . . . . . . . . . . . . . . . 221--232
Hans-Georg Müller and
Rituparna Sen and
Ulrich Stadtmüller Functional data analysis for volatility 233--245
Christian Francq and
Guillaume Lepage and
Jean-Michel Zako\"\ian Two-stage non Gaussian QML estimation of
GARCH models and testing the efficiency
of the Gaussian QMLE . . . . . . . . . . 246--257
Gautam Tripathi Generalized method of moments (GMM)
based inference with stratified samples
when the aggregate shares are known . . 258--265
Songnian Chen and
Xianbo Zhou Semiparametric estimation of a bivariate
Tobit model . . . . . . . . . . . . . . 266--274
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 137--274 (December 2011) . . . . . ??
Francesca Molinari and
Elie Tamer Annals Issue on Identification and
Decisions . . . . . . . . . . . . . . . 1--2
Peter Arcidiacono and
V. Joseph Hotz and
Songman Kang Modeling college major choices using
elicited measures of expectations and
counterfactuals . . . . . . . . . . . . 3--16
Arie Beresteanu and
Ilya Molchanov and
Francesca Molinari Partial identification using random set
theory . . . . . . . . . . . . . . . . . 17--32
Andrew Chesher and
Konrad Smolinski IV models of ordered choice . . . . . . 33--48
Daniela Del Boca and
Christopher Flinn Endogenous household interaction . . . . 49--65
William A. Brock and
Jane Cooley and
Steven N. Durlauf and
Salvador Navarro On the observational implications of
taste-based discrimination in racial
profiling . . . . . . . . . . . . . . . 66--78
Craig Gundersen and
Brent Kreider and
John Pepper The impact of the National School Lunch
Program on child health: a nonparametric
bounds analysis . . . . . . . . . . . . 79--91
Brendan Kline and
Elie Tamer Bounds for best response functions in
binary games . . . . . . . . . . . . . . 92--105
Rosa L. Matzkin Identification in nonparametric limited
dependent variable models with
simultaneity and unobserved
heterogeneity . . . . . . . . . . . . . 106--115
Daniel McFadden Economic juries and public project
provision . . . . . . . . . . . . . . . 116--126
Adam M. Rosen Set identification via quantile
restrictions in short panels . . . . . . 127--137
Jörg Stoye Minimax regret treatment choice with
covariates or with limited validity of
experiments . . . . . . . . . . . . . . 138--156
Aleksey Tetenov Statistical treatment choice based on
asymmetric minimax regret criteria . . . 157--165
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Kentaro Akashi and
Naoto Kunitomo Some properties of the LIML estimator in
a dynamic panel structural equation . . 167--183
Martin Burda and
Matthew Harding and
Jerry Hausman A Poisson mixture model of discrete
choice . . . . . . . . . . . . . . . . . 184--203
Jeremy T. Fox and
Kyoo il Kim and
Stephen P. Ryan and
Patrick Bajari The random coefficients logit model is
identified . . . . . . . . . . . . . . . 204--212
Bing-Yi Jing and
Xin-Bing Kong and
Zhi Liu and
Per Mykland On the jump activity index for
semimartingales . . . . . . . . . . . . 213--223
Xiaoqiao Wei and
Yuhong Yang Robust forecast combinations . . . . . . 224--236
Yong Li and
Jun Yu Bayesian hypothesis testing in latent
variable models . . . . . . . . . . . . 237--246
Andreas Hagemann A simple test for regression
specification with non-nested
alternatives . . . . . . . . . . . . . . 247--254
Daniel Berkowitz and
Mehmet Caner and
Ying Fang The validity of instruments revisited 255--266
Yixiao Sun and
Min Seong Kim Simple and powerful GMM
over-identification tests with accurate
size . . . . . . . . . . . . . . . . . . 267--281
Susanne Schennach and
Halbert White and
Karim Chalak Local indirect least squares and average
marginal effects in nonseparable
structural systems . . . . . . . . . . . 282--302
Timothy J. Vogelsang Heteroskedasticity, autocorrelation, and
spatial correlation robust inference in
linear panel models with fixed-effects 303--319
Sorawoot Srisuma and
Oliver Linton Semiparametric estimation of Markov
decision processes with continuous state
space . . . . . . . . . . . . . . . . . 320--341
Léopold Simar and
Anne Vanhems Probabilistic characterization of
directional distances and their robust
versions . . . . . . . . . . . . . . . . 342--354
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 167--354 (February 2012) . . . . . ??
Matias D. Cattaneo and
Richard K. Crump and
Michael Jansson Optimal inference for instrumental
variables regression with non-Gaussian
errors . . . . . . . . . . . . . . . . . 1--15
Jihai Yu and
Robert de Jong and
Lung-fei Lee Estimation for spatial dynamic panel
data with fixed effects: The case of
spatial cointegration . . . . . . . . . 16--37
Bruce E. Hansen and
Jeffrey S. Racine Jackknife model averaging . . . . . . . 38--46
Fabio Canova and
Filippo Ferroni The dynamics of US inflation: Can
monetary policy explain the changes? . . 47--60
Patrick Gagliardini and
Olivier Scaillet Tikhonov regularization for
nonparametric instrumental variable
estimators . . . . . . . . . . . . . . . 61--75
Dennis Kristensen and
Yongseok Shin Estimation of dynamic models with
nonparametric simulated maximum
likelihood . . . . . . . . . . . . . . . 76--94
Heejoon Han and
Joon Y. Park ARCH/GARCH with persistent covariate:
Asymptotic theory of MLE . . . . . . . . 95--112
Laurent Lamy The econometrics of auctions with
asymmetric anonymous bidders . . . . . . 113--132
Yoonseok Lee and
Ryo Okui Hahn-Hausman test as a specification
test . . . . . . . . . . . . . . . . . . 133--139
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Unit root testing under a local break in
trend . . . . . . . . . . . . . . . . . 140--167
Debopam Bhattacharya and
Pascaline Dupas Inferring welfare maximizing treatment
assignment under budget constraints . . 168--196
Lorenzo Camponovo and
Olivier Scaillet and
Fabio Trojani Robust subsampling . . . . . . . . . . . 197--210
Vasyl Golosnoy and
Bastian Gribisch and
Roman Liesenfeld The conditional autoregressive Wishart
model for multivariate stock market
volatility . . . . . . . . . . . . . . . 211--223
Nazgul Jenish Nonparametric spatial regression under
near-epoch dependence . . . . . . . . . 224--239
Dong Li and
Shiqing Ling On the least squares estimation of
multiple-regime threshold autoregressive
models . . . . . . . . . . . . . . . . . 240--253
Joakim Westerlund and
Rolf Larsson Testing for a unit root in a random
coefficient panel data model . . . . . . 254--273
Ping Yu Likelihood estimation and inference in
threshold regression . . . . . . . . . . 274--294
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--294 (March 2012) . . . . . . . ??
Han Hong and
Chung-Ming Kuan and
Yoon-Jae Whang Editors' Introduction . . . . . . . . . 295--296
Songnian Chen and
Xianbo Zhou Semiparametric estimation of a truncated
regression model . . . . . . . . . . . . 297--304
Juan Carlos Escanciano and
David T. Jacho-Chávez $n$-uniformly consistent density
estimation in nonparametric regression
models . . . . . . . . . . . . . . . . . 305--316
Myoung-jae Lee Treatment effects in sample selection
models and their nonparametric
estimation . . . . . . . . . . . . . . . 317--329
Yanqin Fan and
Sang Soo Park Confidence intervals for the quantile of
treatment effects in randomized
experiments . . . . . . . . . . . . . . 330--344
Vadim Marmer and
Artyom Shneyerov Quantile-based nonparametric inference
for first-price auctions . . . . . . . . 345--357
Han Hong and
Bruce Preston Bayesian averaging, prediction and
nonnested model selection . . . . . . . 358--369
Taisuke Otsu and
Myung Hwan Seo and
Yoon-Jae Whang Testing for non-nested conditional
moment restrictions using unconditional
empirical likelihood . . . . . . . . . . 370--382
Joel L. Horowitz Specification testing in nonparametric
instrumental variable estimation . . . . 383--396
Joon Y. Park and
Junhui Qian Functional regression of continuous
state distributions . . . . . . . . . . 397--412
Zongwu Cai and
Zhijie Xiao Semiparametric quantile regression
estimation in dynamic models with
partially varying coefficients . . . . . 413--425
Per Frederiksen and
Frank S. Nielsen and
Morten Òrregaard Nielsen Local polynomial Whittle estimation of
perturbed fractional processes . . . . . 426--447
Chang Sik Kim and
In-Moo Kim Partial parametric estimation for
nonstationary nonlinear regressions . . 448--457
Bent Jesper Christensen and
Christian M. Dahl and
Emma M. Iglesias Semiparametric inference in a
GARCH-in-mean model . . . . . . . . . . 458--472
Jun Yu A semiparametric stochastic volatility
model . . . . . . . . . . . . . . . . . 473--482
Junhui Qian and
Le Wang Estimating semiparametric panel data
models by marginal integration . . . . . 483--493
Seung-Hyun Hong and
Leonardo Rezende Lock-in and unobserved preferences in
server operating systems: a case of
Linux vs. Windows . . . . . . . . . . . 494--503
Yoosoon Chang and
Chi Mai Nguyen Residual based tests for cointegration
in dependent panels . . . . . . . . . . 504--520
Peter M. Robinson and
Supachoke Thawornkaiwong Statistical inference on regression with
spatial dependence . . . . . . . . . . . 521--542
Liangjun Su Semiparametric GMM estimation of spatial
autoregressive models . . . . . . . . . 543--560
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Subal C. Kumbhakar and
Robin C. Sickles Editors' introduction . . . . . . . . . 1--3
Timothy P. Hubbard and
Tong Li and
Harry J. Paarsch Semiparametric estimation in models of
first-price, sealed-bid auctions with
affiliation . . . . . . . . . . . . . . 4--16
Daniel J. Henderson and
John A. List and
Daniel L. Millimet and
Christopher F. Parmeter and
Michael K. Price Empirical implementation of
nonparametric first-price auction models 17--28
Tong Li and
Xiaoyong Zheng Information acquisition and/or bid
preparation: a structural analysis of
entry and bidding in timber sale
auctions . . . . . . . . . . . . . . . . 29--46
Subal C. Kumbhakar and
Christopher F. Parmeter and
Efthymios G. Tsionas Bayesian estimation approaches to
first-price auctions . . . . . . . . . . 47--59
Han Hong and
Denis Nekipelov Efficient local IV estimation of an
empirical auction model . . . . . . . . 60--69
Robert L. Hicks and
William C. Horrace and
Kurt E. Schnier Strategic substitutes or complements?
The game of where to fish . . . . . . . 70--80
Luca Flabbi and
Andrea Moro The effect of job flexibility on female
labor market outcomes: Estimates from a
search and bargaining model . . . . . . 81--95
Sandra Campo Risk aversion and asymmetry in
procurement auctions: Identification,
estimation and application to
construction procurements . . . . . . . 96--107
Herman J. Bierens and
Hosin Song Semi-nonparametric estimation of
independently and identically repeated
first-price auctions via an integrated
simulated moments method . . . . . . . . 108--119
Andres Aradillas-Lopez Pairwise-difference estimation of
incomplete information games . . . . . . 120--140
Levent Kutlu and
Robin C. Sickles Estimation of market power in the
presence of firm level inefficiencies 141--155
Victor Aguirregabiria and
Chun-Yu Ho A dynamic oligopoly game of the US
airline industry: Estimation and policy
experiments . . . . . . . . . . . . . . 156--173
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous 2011 Dennis J. Aigner Award . . . . . . v--v
Anonymous 2011 \booktitleJournal of Econometrics vi--vi
Anonymous List of the JE Fellows as of January
2011 . . . . . . . . . . . . . . . . . . vii--xix
Joel L. Horowitz and
Sokbae Lee Uniform confidence bands for functions
estimated nonparametrically with
instrumental variables . . . . . . . . . 175--188
William J. McCausland The HESSIAN method: Highly efficient
simulation smoothing, in a nutshell . . 189--206
Yacine A\"\it-Sahalia and
Jean Jacod and
Jia Li Testing for jumps in noisy high
frequency data . . . . . . . . . . . . . 207--222
Jay Bhattacharya and
Azeem M. Shaikh and
Edward Vytlacil Treatment effect bounds: an application
to Swan--Ganz catheterization . . . . . 223--243
Alexei Onatski Asymptotics of the principal components
estimator of large factor models with
weakly influential factors . . . . . . . 244--258
Yonghong An and
Yingyao Hu Well-posedness of measurement error
models for self-reported data . . . . . 259--269
Ioannis Kasparis and
Peter C. B. Phillips Dynamic misspecification in
nonparametric cointegrating regression 270--284
Abdelaati Daouia and
Jean-Pierre Florens and
Léopold Simar Regularization of nonparametric frontier
estimators . . . . . . . . . . . . . . . 285--299
Stefan Hoderlein and
Halbert White Nonparametric identification in
nonseparable panel data models with
generalized fixed effects . . . . . . . 300--314
James D. Hamilton and
Jing Cynthia Wu Identification and estimation of
Gaussian affine term structure models 315--331
Andriy Norets and
Justinas Pelenis Bayesian modeling of joint and
conditional distributions . . . . . . . 332--346
Pavel Cízek Semiparametric robust estimation of
truncated and censored regression models 347--366
Alexander Aue and
Lajos Horváth and
Marie Husková Segmenting mean-nonstationary time
series via trending regressions . . . . 367--381
Brigham R. Frandsen and
Markus Frölich and
Blaise Melly Quantile treatment effects in the
regression discontinuity design . . . . 382--395
Suzanne S. Lee and
Per A. Mykland Jumps in equilibrium prices and market
microstructure noise . . . . . . . . . . 396--406
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Corrigendum to ``Modified tests for a
change in persistence'' [J. Econom. \bf
134 (2006) 441--469] . . . . . . . . . . 407--407
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 175--408 (June 2012) . . . . . . . ??
Roberto S. Mariano and
Zhijie Xiao and
Jun Yu Recent advances in panel data, nonlinear
and nonparametric models: a festschrift
in honor of Peter C. B. Phillips . . . . 1--3
Peter M. Robinson Nonparametric trending regression with
cross-sectional dependence . . . . . . . 4--14
Yoosoon Chang Taking a new contour: a novel approach
to panel unit root tests . . . . . . . . 15--28
H. R. Moon and
B. Perron Beyond panel unit root tests: Using
multiple testing to determine the
nonstationarity properties of individual
series in a panel . . . . . . . . . . . 29--33
Liangjun Su and
Sainan Jin Sieve estimation of panel data models
with cross section dependence . . . . . 34--47
Ryan Greenaway-McGrevy and
Chirok Han and
Donggyu Sul Asymptotic distribution of factor
augmented estimators for panel
regression . . . . . . . . . . . . . . . 48--53
Yoonseok Lee Bias in dynamic panel models under time
series misspecification . . . . . . . . 54--60
Joon Y. Park and
Yoon-Jae Whang Random walk or chaos: a formal test on
the Lyapunov exponent . . . . . . . . . 61--74
Torben G. Andersen and
Dobrislav Dobrev and
Ernst Schaumburg Jump-robust volatility estimation using
nearest neighbor truncation . . . . . . 75--93
Federico M. Bandi and
Roberto Ren\`o Time-varying leverage effects . . . . . 94--113
Jun Yu Bias in the estimation of the mean
reversion parameter in continuous time
models . . . . . . . . . . . . . . . . . 114--122
Roberto S. Mariano and
Daniel Preve Statistical tests for multiple forecast
comparison . . . . . . . . . . . . . . . 123--130
Viktoria Hnatkovska and
Vadim Marmer and
Yao Tang Comparison of misspecified calibrated
models: The minimum distance approach 131--138
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Roberto S. Mariano and
Zhijie Xiao and
Jun Yu Recent advances in nonstationary time
series: a festschrift in honor of Peter
C. B. Phillips . . . . . . . . . . . . . 139--141
Clive W. J. Granger Useful conclusions from surprising
results . . . . . . . . . . . . . . . . 142--146
Ke-Li Xu Robustifying multivariate trend tests to
nonstationary volatility . . . . . . . . 147--154
Xu Cheng and
Peter C. B. Phillips Cointegrating rank selection in models
with time-varying variance . . . . . . . 155--165
Liudas Giraitis and
Peter C. B. Phillips Mean and autocovariance function
estimation near the boundary of
stationarity . . . . . . . . . . . . . . 166--178
Tassos Magdalinos Mildly explosive autoregression under
weak and strong dependence . . . . . . . 179--187
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for unit roots in the presence
of uncertainty over both the trend and
initial condition . . . . . . . . . . . 188--195
Donald W. K. Andrews and
Patrik Guggenberger Asymptotics for LS, GLS, and feasible
GLS statistics in an AR(1) model with
conditional heteroskedasticity . . . . . 196--210
Zhijie Xiao Robust inference in nonstationary time
series models . . . . . . . . . . . . . 211--223
In Choi and
Eiji Kurozumi Model selection criteria for the
leads-and-lags cointegrating regression 224--238
Jennifer L. Castle and
Jurgen A. Doornik and
David F. Hendry Model selection when there are multiple
breaks . . . . . . . . . . . . . . . . . 239--246
Jae-Young Kim Model selection in the presence of
nonstationarity . . . . . . . . . . . . 247--257
Werner Ploberger and
Peter C. B. Phillips Optimal estimation under nonstandard
conditions . . . . . . . . . . . . . . . 258--265
Katsumi Shimotsu Exact local Whittle estimation of
fractionally cointegrated systems . . . 266--278
Yacine A\"\it-Sahalia and
Joon Y. Park Stationarity-based specification tests
for diffusions when the process is
nonstationary . . . . . . . . . . . . . 279--292
Dietmar Bauer and
Alex Maynard Persistence-robust surplus-lag Granger
causality testing . . . . . . . . . . . 293--300
Mototsugu Shintani and
Tomoyoshi Yabu and
Daisuke Nagakura Spurious regressions in technical
trading . . . . . . . . . . . . . . . . 301--309
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous List of Referees From January 1, 2011 to
December 31, 2011 . . . . . . . . . . . I--V
Todd E. Clark and
Michael W. McCracken In-sample tests of predictive ability: a
new approach . . . . . . . . . . . . . . 1--14
Zhongwen Liang and
Qi Li Functional coefficient regression models
with time trend . . . . . . . . . . . . 15--31
Don H. Kim and
Kenneth J. Singleton Term structure models and the zero
bound: an empirical investigation of
Japanese yields . . . . . . . . . . . . 32--49
Nezar Bennala and
Marc Hallin and
Davy Paindaveine Pseudo-Gaussian and rank-based optimal
tests for random individual effects in
large n small T panels . . . . . . . . . 50--67
Miguel A. Delgado and
Juan Carlos Escanciano Distribution-free tests of stochastic
monotonicity . . . . . . . . . . . . . . 68--75
Kengo Kato and
Antonio F. Galvao and
Gabriel V. Montes-Rojas Asymptotics for panel quantile
regression models with individual
effects . . . . . . . . . . . . . . . . 76--91
Gordon C. R. Kemp and
J. M. C. Santos Silva Regression towards the mode . . . . . . 92--101
Francesco Bartolucci and
Valentina Nigro Pseudo conditional maximum likelihood
estimation of the dynamic logit model
for binary panel data . . . . . . . . . 102--116
Valentina Corradi and
Walter Distaso and
Marcelo Fernandes International market links and
volatility transmission . . . . . . . . 117--141
Richard A. Davis and
Thomas Mikosch and
Ivor Cribben Towards estimating extremal serial
dependence via the bootstrapped
extremogram . . . . . . . . . . . . . . 142--152
Luca Fanelli Determinacy, indeterminacy and dynamic
misspecification in linear rational
expectations models . . . . . . . . . . 153--163
Badi H. Baltagi and
Qu Feng and
Chihwa Kao A Lagrange Multiplier test for
cross-sectional dependence in a fixed
effects panel data model . . . . . . . . 164--177
Nazgul Jenish and
Ingmar R. Prucha On spatial processes and asymptotic
inference under near-epoch dependence 178--190
Jin-Chuan Duan and
Jie Sun and
Tao Wang Multiperiod corporate default prediction
--- a forward intensity approach . . . . 191--209
Bonsoo Koo and
Oliver Linton Estimation of semiparametric locally
stationary diffusion models . . . . . . 210--233
Efthymios G. Tsionas Maximum likelihood estimation of
stochastic frontier models by the
Fourier transform . . . . . . . . . . . 234--248
Dale J. Poirier What is sensible for your agents should
be sensible for yourself . . . . . . . . 249--250
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--250 (September 2012) . . . . . ??
Marine Carrasco and
Mehmet Caner and
Yuichi Kitamura and
Eric Renault Editors' introduction . . . . . . . . . 251--255
Manuel Arellano and
Lars Peter Hansen and
Enrique Sentana Underidentification? . . . . . . . . . . 256--280
Alastair R. Hall and
Sanggohn Han and
Otilia Boldea Inference regarding multiple structural
changes in linear models with endogenous
regressors . . . . . . . . . . . . . . . 281--302
Francisco Peñaranda and
Enrique Sentana Spanning tests in return and stochastic
discount factor mean-variance frontiers:
a unifying approach . . . . . . . . . . 303--324
Lars Peter Hansen Proofs for large sample properties of
generalized method of moments estimators 325--330
Patrik Guggenberger and
Joaquim J. S. Ramalho and
Richard J. Smith GEL statistics under weak identification 331--349
Bertille Antoine and
Eric Renault Efficient minimum distance estimation
with multiple rates of convergence . . . 350--367
Stanislav Anatolyev Inference in regression models with many
regressors . . . . . . . . . . . . . . . 368--382
Marine Carrasco A regularization approach to the many
instruments problem . . . . . . . . . . 383--398
Guido M. Kuersteiner Kernel-weighted GMM estimators for
linear time series models . . . . . . . 399--421
Mehmet Caner and
Nese Yildiz CUE with many weak instruments and
nearly singular design . . . . . . . . . 422--441
Chunrong Ai and
Xiaohong Chen The semiparametric efficiency bound for
models of sequential moment restrictions
containing unknown functions . . . . . . 442--457
Jean-Pierre Florens and
Anna Simoni Nonparametric estimation of an
instrumental regression: a
quasi-Bayesian approach based on
regularized posterior . . . . . . . . . 458--475
Nikolay Gospodinov and
Taisuke Otsu Local GMM estimation of time series
models with conditional moment
restrictions . . . . . . . . . . . . . . 476--490
Thomas A. Severini and
Gautam Tripathi Efficiency bounds for estimating linear
functionals of nonparametric regression
models with endogenous regressors . . . 491--498
Alastair R. Hall and
Atsushi Inoue and
James M. Nason and
Barbara Rossi Information criteria for impulse
response function matching estimation of
DSGE models . . . . . . . . . . . . . . 499--518
Caio Almeida and
René Garcia Assessing misspecified asset pricing
models with empirical likelihood
estimators . . . . . . . . . . . . . . . 519--537
Vadim Marmer and
Taisuke Otsu Optimal comparison of misspecified
moment restriction models under a chosen
measure of fit . . . . . . . . . . . . . 538--550
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Gordon Anderson and
Oliver Linton and
Yoon-Jae Whang Nonparametric estimation and inference
about the overlap of two distributions 1--23
Andreea G. Halunga and
Denise R. Osborn Ratio-based estimators for a change
point in persistence . . . . . . . . . . 24--31
Yingyao Hu and
Matthew Shum Nonparametric identification of dynamic
models with unobserved state variables 32--44
Ivan A. Canay and
Taisuke Otsu Hodges-Lehmann optimality for testing
moment conditions . . . . . . . . . . . 45--53
Patrick Kline and
Andres Santos Higher order properties of the wild
bootstrap under misspecification . . . . 54--70
Jia Chen and
Jiti Gao and
Degui Li Semiparametric trending panel data
models with cross-sectional dependence 71--85
Kenneth D. West Econometric analysis of present value
models when the discount factor is near
one . . . . . . . . . . . . . . . . . . 86--97
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--98 (November 2012) . . . . . . ??
John Geweke and
Gary Koop and
Richard Paap Introduction for the annals issue of the
Journal of Econometrics on ``Bayesian
Models, Methods and Applications'' . . . 99--100
Lennart Hoogerheide and
Anne Opschoor and
Herman K. van Dijk A class of adaptive importance sampling
weighted EM algorithms for efficient and
robust posterior and predictive
simulation . . . . . . . . . . . . . . . 101--120
Mattias Villani and
Robert Kohn and
David J. Nott Generalized smooth finite mixtures . . . 121--133
Michael K. Pitt and
Ralph dos Santos Silva and
Paolo Giordani and
Robert Kohn On some properties of Markov chain Monte
Carlo simulation methods based on the
particle filter . . . . . . . . . . . . 134--151
Edward Herbst and
Frank Schorfheide Evaluating DSGE model forecasts of
comovements . . . . . . . . . . . . . . 152--166
Daniel F. Waggoner and
Tao Zha Confronting model misspecification in
macroeconomics . . . . . . . . . . . . . 167--184
John Geweke Nonparametric Bayesian modelling of
monotone preferences for discrete choice
experiments . . . . . . . . . . . . . . 185--204
Mingliang Li and
Kevin J. Mumford and
Justin L. Tobias A Bayesian analysis of payday loans and
their regulation . . . . . . . . . . . . 205--216
Worapree Maneesoonthorn and
Gael M. Martin and
Catherine S. Forbes and
Simone D. Grose Probabilistic forecasts of volatility
and its risk premia . . . . . . . . . . 217--236
Gary Koop and
Roberto Leon-Gonzalez and
Rodney Strachan Bayesian model averaging in the
instrumental variable regression model 237--250
Eduardo Ley and
Mark F. J. Steel Mixtures of $g$-priors for Bayesian
model averaging with economic
applications . . . . . . . . . . . . . . 251--266
Tim Salimans Variable selection and functional form
uncertainty in cross-country growth
regressions . . . . . . . . . . . . . . 267--280
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Jiti Gao and
Dag Tjòstheim and
Jiying Yin Estimation in threshold autoregressive
models with a stationary and a unit root
regime . . . . . . . . . . . . . . . . . 1--13
Sokbae Lee and
Kyungchul Song and
Yoon-Jae Whang Testing functional inequalities . . . . 14--32
Dag Tjòstheim and
Karl Ove Hufthammer Local Gaussian correlation: a new
measure of dependence . . . . . . . . . 33--48
Prosper Dovonon and
Sílvia Gonçalves and
Nour Meddahi Bootstrapping realized multivariate
volatility measures . . . . . . . . . . 49--65
Subal C. Kumbhakar and
Christopher F. Parmeter and
Efthymios G. Tsionas A zero inefficiency stochastic frontier
model . . . . . . . . . . . . . . . . . 66--76
Honglin Wang and
Emma M. Iglesias and
Jeffrey M. Wooldridge Partial maximum likelihood estimation of
spatial probit models . . . . . . . . . 77--89
Matteo M. Pelagatti and
Pranab K. Sen Rank tests for short memory stationarity 90--105
A. S. Hurn and
K. A. Lindsay and
A. J. McClelland A quasi-maximum likelihood method for
estimating the parameters of
multivariate diffusions . . . . . . . . 106--126
Lorenzo Trapani On bootstrapping panel factor series . . 127--141
Marcus J. Chambers Jackknife estimation of stationary
autoregressive models . . . . . . . . . 142--157
Otilia Boldea and
Alastair R. Hall Estimation and inference in unstable
nonlinear least squares models . . . . . 158--167
Shakeeb Khan Distribution free estimation of
heteroskedastic binary response models
using Probit/Logit criterion functions 168--182
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--182 (January 2013) . . . . . . ??
Marc Paolella and
Eric Renault and
Gennady Samorodnitsky and
David Veredas Latest developments on heavy-tailed
distributions . . . . . . . . . . . . . 183--185
John P. Nolan and
Diana Ojeda-Revah Linear and nonlinear regression with
stable errors . . . . . . . . . . . . . 186--194
Marc Hallin and
Yvik Swan and
Thomas Verdebout and
David Veredas One-step $R$-estimation in linear models
with stable errors . . . . . . . . . . . 195--204
Thomas Mikosch and
Casper G. de Vries Heavy tails of OLS . . . . . . . . . . . 205--221
Beth Andrews and
Richard A. Davis Model identification for infinite
variance autoregressive processes . . . 222--234
Yves Dominicy and
David Veredas The method of simulated quantiles . . . 235--247
Hiroaki Ogata Estimation for multivariate stable
distributions with generalized empirical
likelihood . . . . . . . . . . . . . . . 248--254
Jonathan B. Hill and
Mike Aguilar Moment condition tests for heavy tailed
time series . . . . . . . . . . . . . . 255--274
J. Huston McCulloch and
E. Richard Percy Extended Neyman smooth goodness-of-fit
tests, applied to competing heavy-tailed
distributions . . . . . . . . . . . . . 275--282
Jón Daníelsson and
Bjòrn N. Jorgensen and
Gennady Samorodnitsky and
Mandira Sarma and
Casper G. de Vries Fat tails, VaR and subadditivity . . . . 283--291
Simon A. Broda and
Markus Haas and
Jochen Krause and
Marc S. Paolella and
Sven C. Steude Stable mixture GARCH models . . . . . . 292--306
Tim Bollerslev and
Viktor Todorov and
Sophia Zhengzi Li Jump tails, extreme dependencies, and
the distribution of stock returns . . . 307--324
Vicky Fasen Statistical estimation of multivariate
Ornstein--Uhlenbeck processes and
applications to co-integration . . . . . 325--337
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous 2012 Arnold Zellner Award . . . . . . . v--v
Anonymous 2012 \booktitleJournal of Econometrics vi--vi
Anonymous List of the JE Fellows as of January
2012 . . . . . . . . . . . . . . . . . . vii--xx
Sébastien Laurent and
Jeroen V. K. Rombouts and
Francesco Violante On loss functions and ranking
forecasting performances of multivariate
volatility models . . . . . . . . . . . 1--10
Robert Chambers and
Rolf Färe and
Shawna Grosskopf and
Michael Vardanyan Generalized quadratic revenue functions 11--21
Hikaru Saijo Estimating DSGE models using seasonally
adjusted and unadjusted data . . . . . . 22--35
Donald W. K. Andrews and
Xu Cheng Maximum likelihood estimation and
uniform inference with sporadic
identification failure . . . . . . . . . 36--56
Patrick Gagliardini and
Diego Ronchetti Semi-parametric estimation of American
option prices . . . . . . . . . . . . . 57--82
Bin Chen and
Zhaogang Song Testing whether the underlying
continuous-time process follows a
diffusion: an infinitesimal
operator-based approach . . . . . . . . 83--107
Nikolay Gospodinov and
Raymond Kan and
Cesare Robotti Chi-squared tests for evaluation and
comparison of asset pricing models . . . 108--125
Ke-Li Xu Powerful tests for structural changes in
volatility . . . . . . . . . . . . . . . 126--142
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--142 (March 2013) . . . . . . . ??
Seongman Moon and
Carlos Velasco Tests for $m$-dependence based on sample
splitting methods . . . . . . . . . . . 143--159
Debopam Bhattacharya Evaluating treatment protocols using
data combination . . . . . . . . . . . . 160--174
Hugo Kruiniger Quasi ML estimation of the panel AR(1)
model with arbitrary initial conditions 175--188
Ostap Okhrin and
Yarema Okhrin and
Wolfgang Schmid On the structure and estimation of
hierarchical Archimedean copulas . . . . 189--204
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 143--204 (April 2013) . . . . . . ??
Seung C. Ahn and
Young H. Lee and
Peter Schmidt Panel data models with multiple
time-varying individual effects . . . . 1--14
Graham Elliott and
Robert P. Lieli Predicting binary outcomes . . . . . . . 15--26
Ruslan Bikbov and
Mikhail Chernov Monetary policy regimes and the term
structure of interest rates . . . . . . 27--43
Melanie Krause Corrigendum to ``Elliptical Lorenz
Curves'' [J. Econom. \bf 40 (1989)
327--338] . . . . . . . . . . . . . . . 44--44
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--44 (May 2013) . . . . . . . . . ??
Seungmoon Choi Closed-form likelihood expansions for
multivariate time-inhomogeneous
diffusions . . . . . . . . . . . . . . . 45--65
Ulrich K. Müller and
Mark W. Watson Low-frequency robust cointegration
testing . . . . . . . . . . . . . . . . 66--81
Xinyu Zhang and
Alan T. K. Wan and
Guohua Zou Model averaging by jackknife criterion
in models with dependent data . . . . . 82--94
Xavier D'Haultf\oeuille and
Arnaud Maurel Inference on an extended Roy model, with
an application to schooling decisions in
France . . . . . . . . . . . . . . . . . 95--106
Guido M. Kuersteiner and
Ingmar R. Prucha Limit theory for panel data models with
cross sectional dependence and
sequential exogeneity . . . . . . . . . 107--126
Matias D. Cattaneo and
Max H. Farrell Optimal convergence rates, Bahadur
representation, and asymptotic normality
of partitioning estimators . . . . . . . 127--143
Jonathan B. Hill and
Artyom Shneyerov Are there common values in first-price
auctions? A tail-index nonparametric
test . . . . . . . . . . . . . . . . . . 144--164
Benjamin R. Handel and
Kanishka Misra and
James W. Roberts Robust firm pricing with panel data . . 165--185
Yingyao Hu and
David McAdams and
Matthew Shum Identification of first-price auctions
with non-separable unobserved
heterogeneity . . . . . . . . . . . . . 186--193
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 45--194 (June 2013) . . . . . . . ??
Martin Huber and
Michael Lechner and
Conny Wunsch The performance of estimators based on
the propensity score . . . . . . . . . . 1--21
Karim M. Abadir and
Giovanni Caggiano and
Gabriel Talmain Nelson-Plosser revisited: The ACF
approach . . . . . . . . . . . . . . . . 22--34
Chirok Han and
Peter C. B. Phillips First difference maximum likelihood and
dynamic panel estimation . . . . . . . . 35--45
Wayne-Roy Gayle and
Soiliou Daw Namoro Estimation of a nonlinear panel data
model with semiparametric individual
effects . . . . . . . . . . . . . . . . 46--59
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--60 (July 2013) . . . . . . . . ??
Ignacio Arbués Determining the MSE-optimal cross
section to forecast . . . . . . . . . . 61--70
Wayne-Roy Gayle Identification and $N$-consistent
estimation of a nonlinear panel data
model with correlated unobserved effects 71--83
Javier Hidalgo and
Myung Hwan Seo Testing for structural stability in the
whole sample . . . . . . . . . . . . . . 84--93
M. Hashem Pesaran and
L. Vanessa Smith and
Takashi Yamagata Panel unit root tests in the presence of
a multifactor error structure . . . . . 94--115
Ji-Liang Shiu and
Yingyao Hu Identification and estimation of
nonlinear dynamic panel data models with
unobserved covariates . . . . . . . . . 116--131
Cristina Fuentes-Albero and
Leonardo Melosi Methods for computing marginal data
densities from the Gibbs output . . . . 132--141
Cristina Amado and
Timo Teräsvirta Modelling volatility by variance
decomposition . . . . . . . . . . . . . 142--153
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 61--154 (August 2013) . . . . . . ??
George Judge Fellow's opinion corner: Econometric
information recovery . . . . . . . . . . 1--2
Mark J. Jensen and
John M. Maheu Bayesian semiparametric multivariate
GARCH modeling . . . . . . . . . . . . . 3--17
Jushan Bai and
Serena Ng Principal components estimation and
identification of static factors . . . . 18--29
Fabrizio Iacone and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for a break in trend when the
order of integration is unknown . . . . 30--45
Vadim Marmer and
Artyom Shneyerov and
Pai Xu What model for entry in first-price
auctions? A nonparametric approach . . . 46--58
Jiti Gao and
Peter C. B. Phillips Semiparametric estimation in triangular
system equations with nonstationarity 59--79
Xinyu Zhang and
Zudi Lu and
Guohua Zou Adaptively combined forecasting for
discrete response time series . . . . . 80--91
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--92 (September 2013) . . . . . . ??
Damir Filipovi\'c and
Eberhard Mayerhofer and
Paul Schneider Density approximations for multivariate
affine jump-diffusion processes . . . . 93--111
Liangjun Su and
Xun Lu Nonparametric dynamic panel data models:
Kernel estimation and specification
testing . . . . . . . . . . . . . . . . 112--133
Alain Guay and
Emmanuel Guerre and
Stepána Lazarová Robust adaptive rate-optimal testing for
the white noise hypothesis . . . . . . . 134--145
Andras Fulop and
Junye Li Efficient learning via simulation: a
marginalized resample-move approach . . 146--161
Joshua C. C. Chan Moving average stochastic volatility
models with application to inflation
forecast . . . . . . . . . . . . . . . . 162--172
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 93--172 (October 2013) . . . . . . ??
Atsushi Inoue and
Lutz Kilian Inference on impulse response functions
in structural VAR models . . . . . . . . 1--13
Tatiana Komarova Binary choice models with discrete
regressors: Identification and
misspecification . . . . . . . . . . . . 14--33
Christian Francq and
Olivier Wintenberger and
Jean-Michel Zako\"\ian GARCH models without positivity
constraints: Exponential or log GARCH? 34--46
Pascal Lavergne and
Valentin Patilea Smooth minimum distance estimation and
testing with conditional estimating
equations: Uniform in bandwidth theory 47--59
Tucker McElroy and
Dimitris N. Politis Distribution theory for the Studentized
mean for long, short, and negative
memory time series . . . . . . . . . . . 60--74
Olivier Gossner and
Karl H. Schlag Finite-sample exact tests for linear
regressions with bounded dependent
variables . . . . . . . . . . . . . . . 75--84
Min Seong Kim and
Yixiao Sun Heteroskedasticity and spatiotemporal
dependence robust inference for linear
panel models with fixed effects . . . . 85--108
Alfred Galichon and
Marc Henry Dilation bootstrap . . . . . . . . . . . 109--115
Stephen R. Cosslett Efficient semiparametric estimation for
endogenously stratified regression via
smoothed likelihood . . . . . . . . . . 116--129
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--130 (November 2013) . . . . . . ??
Allan Timmermann and
Herman K. van Dijk Dynamic econometric modeling and
forecasting in the presence of
instability . . . . . . . . . . . . . . 131--133
M. Hashem Pesaran and
Andreas Pick and
Mikhail Pranovich Optimal forecasts in the presence of
structural breaks . . . . . . . . . . . 134--152
Liudas Giraitis and
George Kapetanios and
Simon Price Adaptive forecasting in the presence of
recent and ongoing structural change . . 153--170
Cindy Shin-Huei Wang and
Luc Bauwens and
Cheng Hsiao Forecasting a long memory process
subject to structural breaks . . . . . . 171--184
Gary Koop and
Dimitris Korobilis Large time-varying parameter VARs . . . 185--198
Barbara Rossi and
Tatevik Sekhposyan Conditional predictive density
evaluation in the presence of
instabilities . . . . . . . . . . . . . 199--212
Monica Billio and
Roberto Casarin and
Francesco Ravazzolo and
Herman K. van Dijk Time-varying combinations of predictive
densities using nonlinear filtering . . 213--232
Dante Amengual and
Gabriele Fiorentini and
Enrique Sentana Sequential estimation of shape
parameters in multivariate dynamic
models . . . . . . . . . . . . . . . . . 233--249
Peter C. B. Phillips and
Ji Hyung Lee Predictive regression under various
degrees of persistence and robust
long-horizon regression . . . . . . . . 250--264
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for unit roots in the possible
presence of multiple trend breaks using
minimum Dickey--Fuller statistics . . . 265--284
Sòren Johansen and
Theis Lange Least squares estimation in a simple
random coefficient autoregressive model 285--288
Brandon J. Bates and
Mikkel Plagborg-Mòller and
James H. Stock and
Mark W. Watson Consistent factor estimation in dynamic
factor models with structural
instability . . . . . . . . . . . . . . 289--304
Jennifer L. Castle and
Michael P. Clements and
David F. Hendry Forecasting by factors, by variables, by
both or neither? . . . . . . . . . . . . 305--319
Fei Chen and
Francis X. Diebold and
Frank Schorfheide A Markov-switching multifractal
inter-trade duration model, with
application to US equities . . . . . . . 320--342
Carlo A. Favero Modelling and forecasting government
bond spreads in the euro area: a GVAR
model . . . . . . . . . . . . . . . . . 343--356
Graham Elliott and
Antonio Gargano and
Allan Timmermann Complete subset regressions . . . . . . 357--373
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Zongwu Cai and
Yongmiao Hong and
Qi Li Misspecification test methods in
econometrics . . . . . . . . . . . . . . 1--3
Zongwu Cai and
Yunfei Wang Testing predictive regression models
with nonstationary regressors . . . . . 4--14
John C. Chao and
Jerry A. Hausman and
Whitney K. Newey and
Norman R. Swanson and
Tiemen Woutersen Testing overidentifying restrictions
with many instruments and
heteroskedasticity . . . . . . . . . . . 15--21
Bin Chen and
Yongmiao Hong A unified approach to validating
univariate and multivariate conditional
distribution models in time series . . . 22--44
Yanqin Fan and
Sang Soo Park Nonparametric inference for
counterfactual means: Bias-correction,
confidence sets, and weak IV . . . . . . 45--56
Jingping Gu and
Zhongwen Liang Testing cointegration relationship in a
semiparametric varying coefficient model 57--70
Shih-Hsun Hsu and
Chung-Ming Kuan Constructing smooth tests without
estimating the eigenpairs of the
limiting process . . . . . . . . . . . . 71--79
Li Gan and
Cheng Hsiao and
Shu Xu Model specification test with correlated
but not cointegrated variables . . . . . 80--85
Jinyong Hahn and
Whitney K. Newey and
Richard J. Smith Neglected heterogeneity in moment
condition models . . . . . . . . . . . . 86--100
Matthew Harding and
Carlos Lamarche Estimating and testing a quantile
regression model with interactive
effects . . . . . . . . . . . . . . . . 101--113
Jerry A. Hausman and
Tiemen Woutersen Estimating a semi-parametric duration
model without specifying heterogeneity 114--131
Jae-Young Kim An alternative quasi likelihood
approach, Bayesian analysis and
data-based inference for model
specification . . . . . . . . . . . . . 132--145
Yoon-Jin Lee Testing a linear dynamic panel data
model against nonlinear alternatives . . 146--166
Zhongjian Lin and
Qi Li and
Yiguo Sun A consistent nonparametric test of
parametric regression functional form in
fixed effects panel data models . . . . 167--179
Viktor Todorov and
George Tauchen and
Iaryna Grynkiv Volatility activity: Specification and
estimation . . . . . . . . . . . . . . . 180--193
Xun Lu and
Halbert White Robustness checks and robustness tests
in applied economics . . . . . . . . . . 194--206
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Graham Elliott and
A. M. Robert Taylor Annals issue of \booktitleJournal of
Econometrics ``Recent Advances in Time
Series Econometrics'': Guest Editors'
introduction . . . . . . . . . . . . . . 207--209
Peter C. B. Phillips Optimal estimation of cointegrated
systems with irrelevant instruments . . 210--224
Peter M. Robinson The estimation of misspecified long
memory models . . . . . . . . . . . . . 225--230
James D. Hamilton and
Jing Cynthia Wu Testable implications of affine term
structure models . . . . . . . . . . . . 231--242
Marcus J. Chambers and
Joanne S. Ercolani and
A. M. Robert Taylor Testing for seasonal unit roots by
frequency domain regression . . . . . . 243--258
Giuseppe Cavaliere and
Fang Xu Testing for unit roots in bounded time
series . . . . . . . . . . . . . . . . . 259--272
M. Hashem Pesaran and
Alexander Chudik Aggregation in large dynamic panels . . 273--285
Jennifer L. Castle and
David F. Hendry Model selection in under-specified
equations facing breaks . . . . . . . . 286--293
Cheng Hsiao and
Shui Ki Wan Is there an optimal forecast
combination? . . . . . . . . . . . . . . 294--309
Sòren Johansen and
Katarina Juselius An asymptotic invariance property of the
common trends under linear
transformations of the data . . . . . . 310--315
Halbert White and
Davide Pettenuzzo Granger causality, exogeneity,
cointegration, and economic policy
analysis . . . . . . . . . . . . . . . . 316--330
Vanessa Berenguer-Rico and
Jesús Gonzalo Summability of stochastic processes ---
a generalization of integration for
non-linear processes . . . . . . . . . . 331--341
Michael A. Thornton The aggregation of dynamic relationships
caused by incomplete information . . . . 342--351
Hyun Hak Kim and
Norman R. Swanson Forecasting financial and macroeconomic
variables using data reduction methods:
New empirical evidence . . . . . . . . . 352--367
James H. Stock and
Mark W. Watson Estimating turning points using large
data sets . . . . . . . . . . . . . . . 368--381
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Stephen G. Donald and
Yu-Chin Hsu Estimation and inference for
distribution functions and quantile
functions in treatment effect models . . 383--397
Anonymous Pages 383--706 (January 2014) . . . . . 383--706
Seojeong Lee Asymptotic refinements of a
misspecification-robust bootstrap for
generalized method of moments estimators 398--413
Pascal Lavergne Model equivalence tests in a parametric
framework . . . . . . . . . . . . . . . 414--425
Juan Carlos Escanciano and
David T. Jacho-Chávez and
Arthur Lewbel Uniform convergence of weighted sums of
non and semiparametric residuals for
estimation and testing . . . . . . . . . 426--443
Fabian Dunker and
Jean-Pierre Florens and
Thorsten Hohage and
Jan Johannes and
Enno Mammen Iterative estimation of solutions to
noisy nonlinear operator equations in
nonparametric instrumental regression 444--455
Jean-Pierre Florens and
Léopold Simar and
Ingrid Van Keilegom Frontier estimation in nonparametric
location-scale models . . . . . . . . . 456--470
Kyungchul Song Semiparametric models with single-index
nuisance parameters . . . . . . . . . . 471--483
Ted Juhl and
Walter Sosa-Escudero Testing for heteroskedasticity in fixed
effects models . . . . . . . . . . . . . 484--494
J. C. Escanciano and
S. C. Goh Specification analysis of linear
quantile models . . . . . . . . . . . . 495--507
Luc Bauwens and
Arnaud Dufays and
Jeroen V. K. Rombouts Marginal likelihood for Markov-switching
and change-point GARCH models . . . . . 508--522
Mark J. Jensen and
John M. Maheu Estimating a semiparametric asymmetric
stochastic volatility model with a
Dirichlet process mixture . . . . . . . 523--538
Hwan-sik Choi and
Minsoo Jeong and
Joon Y. Park An asymptotic analysis of
likelihood-based diffusion model
selection using high frequency data . . 539--557
Majid M. Al-Sadoon Geometric and long run aspects of
Granger causality . . . . . . . . . . . 558--568
Jianhong Wu and
Guodong Li Moment-based tests for individual and
time effects in panel data models . . . 569--581
Peter Haan and
Victoria Prowse Longevity, life-cycle behavior and
pension reform . . . . . . . . . . . . . 582--601
Yong Li and
Tao Zeng and
Jun Yu A new approach to Bayesian hypothesis
testing . . . . . . . . . . . . . . . . 602--612
Ao Yuan and
Jinfeng Xu and
Gang Zheng On empirical likelihood statistical
functions . . . . . . . . . . . . . . . 613--623
Justinas Pelenis Bayesian regression with heteroscedastic
error density and parametric mean
function . . . . . . . . . . . . . . . . 624--638
Xiaohong Chen and
Zhipeng Liao and
Yixiao Sun Sieve inference on possibly misspecified
semi-nonparametric time series models 639--658
Yixiao Sun Let's fix it: Fixed-$b$ asymptotics
versus small-$b$ asymptotics in
heteroskedasticity and autocorrelation
robust inference . . . . . . . . . . . . 659--677
Le-Yu Chen and
Jerzy Szroeter Testing multiple inequality hypotheses:
a smoothed indicator approach . . . . . 678--693
Yoon Dong Lee and
Seongjoo Song and
Eun-Kyung Lee The delta expansion for the transition
density of diffusion models . . . . . . 694--705
Alastair R. Hall and
Atsushi Inoue and
James M. Nason and
Barbara Rossi Corrigendum to ``Information criteria
for impulse response function matching
estimation of DSGE models'' [J. Econom.
\bf 170 (2012) 499--518] . . . . . . . . 706--706
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Erich Battistin and
Andrew Chesher Treatment effect estimation with
covariate measurement error . . . . . . 707--715
Shiko Maruyama Estimation of finite sequential games 716--726
Abdelaati Daouia and
Stéphane Girard and
Armelle Guillou A $ \Gamma $-moment approach to
monotonic boundary estimation . . . . . 727--740
Timothy J. Vogelsang and
Martin Wagner Integrated modified OLS estimation and
fixed-$b$ inference for cointegrating
regressions . . . . . . . . . . . . . . 741--760
Javier Hualde Estimation of long-run parameters in
unbalanced cointegration . . . . . . . . 761--778
Maria Kalli and
Jim E. Griffin Time-varying sparsity in dynamic
regression models . . . . . . . . . . . 779--793
Jushan Bai and
Peng Wang Identification theory for high
dimensional static and dynamic factor
models . . . . . . . . . . . . . . . . . 794--804
Martin Browning and
Jesus M. Carro Dynamic binary outcome models with
maximal heterogeneity . . . . . . . . . 805--823
Hugo Kruiniger Corrigendum to ``Maximum likelihood
estimation and inference methods for the
covariance stationary panel $ {\rm
AR}(1) $ /unit root model'' [J. Econom.
144 (2008) 447--464] . . . . . . . . . . 824--824
Anonymous List of Referees for 2013 . . . . . . . 825--828
Anonymous Announcement . . . . . . . . . . . . . . 829--829
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 707--830 (February 2014) . . . . . ??
Song Xi Chen and
Zheng Xu On implied volatility for options ---
Some reasons to smile and more to
correct . . . . . . . . . . . . . . . . 1--15
Diaa Noureldin and
Neil Shephard and
Kevin Sheppard Multivariate rotated ARCH models . . . . 16--30
Donald W. K. Andrews and
Xiaoxia Shi Nonparametric inference based on
conditional moment inequalities . . . . 31--45
L. Giraitis and
G. Kapetanios and
T. Yates Inference on stochastic time-varying
coefficient models . . . . . . . . . . . 46--65
Lajos Horváth and
Piotr Kokoszka and
Gregory Rice Testing stationarity of functional time
series . . . . . . . . . . . . . . . . . 66--82
Mathias Reynaert and
Frank Verboven Improving the performance of random
coefficients demand models: The role of
optimal instruments . . . . . . . . . . 83--98
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--98 (March 2014) . . . . . . . . ??
Jamie Hall and
Michael K. Pitt and
Robert Kohn Bayesian inference for nonlinear
structural time series models . . . . . 99--111
Richard Blundell and
Dennis Kristensen and
Rosa Matzkin Bounding quantile demand functions using
revealed preference inequalities . . . . 112--127
Timothy B. Armstrong and
Marinho Bertanha and
Han Hong A fast resample method for parametric
and semiparametric models . . . . . . . 128--133
George Kapetanios and
James Mitchell and
Yongcheol Shin A nonlinear panel data model of
cross-sectional dependence . . . . . . . 134--157
Dacheng Xiu Hermite polynomial based expansion of
European option prices . . . . . . . . . 158--177
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 99--178 (April 2014) . . . . . . . ??
ChongEn Bai and
Qi Li and
Min Ouyang Property taxes and home prices: a tale
of two cities . . . . . . . . . . . . . 1--15
Sebastian Voß and
Rafael Weißbach A score-test on measurement errors in
rating transition times . . . . . . . . 16--29
Liang Chen and
Juan J. Dolado and
Jesús Gonzalo Detecting big structural breaks in large
factor models . . . . . . . . . . . . . 30--48
Federico Bassetti and
Roberto Casarin and
Fabrizio Leisen Beta-product dependent Pitman--Yor
processes for Bayesian inference . . . . 49--72
Tore Selland Kleppe and
Jun Yu and
Hans J. Skaug Maximum likelihood estimation of
partially observed diffusion models . . 73--80
Oleg Bondarenko Variance trading and market price of
variance risk . . . . . . . . . . . . . 81--97
Ying Chen and
Linlin Niu Adaptive dynamic Nelson--Siegel term
structure model with applications . . . 98--115
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--116 (May 2014) . . . . . . . . ??
Betina Berghaus and
Axel Bücher Nonparametric tests for tail
monotonicity . . . . . . . . . . . . . . 117--126
G. Mesters and
S. J. Koopman Generalized dynamic panel data models
with random effects for cross-section
and time . . . . . . . . . . . . . . . . 127--140
Graham Elliott and
Ulrich K. Müller Pre and post break parameter inference 141--157
Joel L. Horowitz Adaptive nonparametric instrumental
variables estimation: Empirical choice
of the regularization parameter . . . . 158--173
Lung-fei Lee and
Jihai Yu Efficient GMM estimation of spatial
dynamic panel data models with fixed
effects . . . . . . . . . . . . . . . . 174--197
Hanming Fang and
Xun Tang Inference of bidders' risk attitudes in
ascending auctions with endogenous entry 198--216
Cheng Liu and
Cheng Yong Tang A quasi-maximum likelihood approach for
integrated covariance matrix estimation
with high frequency data . . . . . . . . 217--232
Eric Renault and
Thijs van der Heijden and
Bas J. M. Werker The dynamic mixed hitting-time model for
multiple transaction prices and times 233--250
Abderrahim Taamouti and
Taoufik Bouezmarni and
Anouar El Ghouch Nonparametric estimation and inference
for conditional density based Granger
causality measures . . . . . . . . . . . 251--264
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 117--264 (June 2014) . . . . . . . ??
Jean-Marie Dufour and
Jeong-Ryeol Kurz-Kim Editors' introduction: Heavy tails and
stable Paretian distributions in
econometrics . . . . . . . . . . . . . . 1--2
Marie-Claude Beaulieu and
Jean-Marie Dufour and
Lynda Khalaf Exact confidence sets and
goodness-of-fit methods for stable
distributions . . . . . . . . . . . . . 3--14
Jeong-Ryeol Kurz-Kim and
Mico Loretan On the properties of the coefficient of
determination in regression models with
infinite variance variables . . . . . . 15--24
Rustam Ibragimov On the robustness of location estimators
in models of firm growth under
heavy-tailedness . . . . . . . . . . . . 25--33
Joshua B. Levy and
Murad S. Taqqu The asymptotic codifference and
covariation of log-fractional stable
noise . . . . . . . . . . . . . . . . . 34--43
V. Chavez-Demoulin and
P. Embrechts and
S. Sardy Extreme-quantile tracking for financial
time series . . . . . . . . . . . . . . 44--52
Uwe Küchler and
Stefan Tappe Exponential stock models driven by
tempered stable processes . . . . . . . 53--63
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Yi-Yi Chen and
Peter Schmidt and
Hung-Jen Wang Consistent estimation of the fixed
effects stochastic frontier model . . . 65--76
Heng Chen and
Yanqin Fan and
Jisong Wu A flexible parametric approach for
estimating switching regime models and
treatment effect parameters . . . . . . 77--91
Timothy B. Armstrong Weighted KS statistics for inference on
conditional moment inequalities . . . . 92--116
Yang Zu and
H. Peter Boswijk Estimating spot volatility with
high-frequency financial data . . . . . 117--135
Erich Battistin and
Michele De Nadai and
Barbara Sianesi Misreported schooling, multiple measures
and returns to educational
qualifications . . . . . . . . . . . . . 136--150
Frédérique F\`eve and
Jean-Pierre Florens Non parametric analysis of panel data
models with endogenous variables . . . . 151--164
Karim M. Abadir and
Walter Distaso and
Filip Zikes Design-free estimation of variance
matrices . . . . . . . . . . . . . . . . 165--180
Wei-Ming Lee and
Chung-Ming Kuan and
Yu-Chin Hsu Testing over-identifying restrictions
without consistent estimation of the
asymptotic covariance matrix . . . . . . 181--193
Zongwu Cai and
Yunfei Wang Corrigendum to ``Testing predictive
regression models with nonstationary
regressors'' [J. Econometrics \bf 178
(2014) 4--14] . . . . . . . . . . . . . 194--194
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 65--194 (August 2014) . . . . . . ??
Xiaohong Chen and
Norman R. Swanson Causality, prediction, and specification
analysis: Recent advances and future
directions . . . . . . . . . . . . . . . 1--4
Hiroaki Kaido and
Halbert White A two-stage procedure for partially
identified models . . . . . . . . . . . 5--13
Xun Lu and
Halbert White Testing for separability in structural
equations . . . . . . . . . . . . . . . 14--26
Liangjun Su and
Halbert White Testing conditional independence via
empirical likelihood . . . . . . . . . . 27--44
Halbert White and
Haiqing Xu and
Karim Chalak Causal discourse in a game of incomplete
information . . . . . . . . . . . . . . 45--58
Bertille Antoine and
Pascal Lavergne Conditional moment models under
semi-strong identification . . . . . . . 59--69
Xiaohong Chen and
Zhipeng Liao Sieve M inference on irregular
parameters . . . . . . . . . . . . . . . 70--86
Xiaohong Chen and
Maria Ponomareva and
Elie Tamer Likelihood inference in some finite
mixture models . . . . . . . . . . . . . 87--99
Valentina Corradi and
Norman R. Swanson Testing for structural stability of
factor augmented forecasting models . . 100--118
Francis X. Diebold and
Kamil Yilmaz On the network topology of variance
decompositions: Measuring the
connectedness of financial firms . . . . 119--134
Robert Engle and
Abhishek Mistry Priced risk and asymmetric volatility in
the cross section of skewness . . . . . 135--144
Raffaella Giacomini and
Giuseppe Ragusa Theory-coherent forecasting . . . . . . 145--155
Sílvia Gonçalves and
Benoit Perron Bootstrapping factor-augmented
regression models . . . . . . . . . . . 156--173
Eleonora Granziera and
Kirstin Hubrich and
Hyungsik Roger Moon A predictability test for a small number
of nested models . . . . . . . . . . . . 174--185
David F. Hendry and
Grayham E. Mizon Unpredictability in economic analysis,
econometric modeling and forecasting . . 186--195
Tae-Hwy Lee and
Yundong Tu and
Aman Ullah Nonparametric and semiparametric
regressions subject to monotonicity
constraints: Estimation and forecasting 196--210
Tucker S. McElroy and
Dimitris N. Politis Spectral density and spectral
distribution inference for long memory
time series via fixed-b asymptotics . . 211--225
Jeffrey M. Wooldridge Quasi-maximum likelihood estimation and
testing for nonlinear models with
endogenous explanatory variables . . . . 226--234
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Yuanyuan Wan and
Haiqing Xu Semiparametric identification of binary
decision games of incomplete information
with correlated private signals . . . . 235--246
Mehmet Caner Near exogeneity and weak identification
in generalized empirical likelihood
estimators: Many moment asymptotics . . 247--268
Oliver Grothe and
Volodymyr Korniichuk and
Hans Manner Modeling multivariate extreme events
using self-exciting point processes . . 269--289
Christian Hansen and
Damian Kozbur Instrumental variables estimation with
many weak instruments using regularized
JIVE . . . . . . . . . . . . . . . . . . 290--308
Jie Hou and
Pierre Perron Modified local Whittle estimator for
long memory processes in the presence of
low frequency (and other) contaminations 309--328
Konrad Menzel Consistent estimation with many moment
inequalities . . . . . . . . . . . . . . 329--350
Benjamin Mills and
Marcelo J. Moreira and
Lucas P. Vilela Tests based on $t$-statistics for IV
regression with weak instruments . . . . 351--363
Matteo Barigozzi and
Christian Brownlees and
Giampiero M. Gallo and
David Veredas Disentangling systematic and
idiosyncratic dynamics in panels of
volatility measures . . . . . . . . . . 364--384
Lynda Khalaf and
Giovanni Urga Identification robust inference in
cointegrating regressions . . . . . . . 385--396
C. Gouriéroux and
A. Monfort and
J. P. Renne Pricing default events: Surprise,
exogeneity and contagion . . . . . . . . 397--411
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 235--412 (October 2014) . . . . . ??
James J. Heckman and
Apostolos Serletis Introduction to internally consistent
modeling, aggregation, inference, and
policy . . . . . . . . . . . . . . . . . 1--4
Michael T. Belongia and
Peter N. Ireland The Barnett critique after three
decades: a New Keynesian analysis . . . 5--21
John Geweke and
Lea Petrella Likelihood-based inference for regular
functions with fractional polynomial
approximations . . . . . . . . . . . . . 22--30
Gabriella Conti and
Sylvia Frühwirth-Schnatter and
James J. Heckman and
Rémi Piatek Bayesian exploratory factor analysis . . 31--57
W. Erwin Diewert Decompositions of profitability change
using cost functions . . . . . . . . . . 58--66
Jaroslav Borovicka and
Lars Peter Hansen Examining macroeconomic models through
the lens of asset pricing . . . . . . . 67--90
Mauro Alem and
Robert M. Townsend An evaluation of financial institutions:
Impact on consumption and investment
using panel data and the theory of
risk-bearing . . . . . . . . . . . . . . 91--103
Helmut Herwartz and
Helmut Lütkepohl Structural vector autoregressions with
Markov switching: Combining conventional
with statistical identification of
shocks . . . . . . . . . . . . . . . . . 104--116
Yu-chin Chen and
Stephen J. Turnovsky and
Eric Zivot Forecasting inflation using commodity
price aggregates . . . . . . . . . . . . 117--134
Guohua Feng and
Apostolos Serletis Undesirable outputs and a primal Divisia
productivity index based on the
directional output distance function . . 135--146
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Alok Bhargava Editor's introduction: Analysis of
financial data . . . . . . . . . . . . . 147--149
C. Gouriéroux and
A. Monfort and
J. P. Renne Erratum to ``Pricing default events:
Surprise, exogeneity and contagion'' [J.
Econometrics \bf 182(2) (2014) 397--411] 150--150
Yacine A\"\it-Sahalia and
Roger J. A. Laeven and
Loriana Pelizzon Mutual excitation in Eurozone sovereign
CDS . . . . . . . . . . . . . . . . . . 151--167
Tim Bollerslev and
Viktor Todorov Time-varying jump tails . . . . . . . . 168--180
Geert Bekaert and
Marie Hoerova The VIX, the variance premium and stock
market volatility . . . . . . . . . . . 181--192
Gunduz Caginalp and
Mark DeSantis and
Akin Sayrak The nonlinear price dynamics of U.S.
equity ETFs . . . . . . . . . . . . . . 193--201
David Blake and
Tristan Caulfield and
Christos Ioannidis and
Ian Tonks Improved inference in the evaluation of
mutual fund performance using panel
bootstrap methods . . . . . . . . . . . 202--210
Timothy Erickson and
Colin Huan Jiang and
Toni M. Whited Minimum distance estimation of the
errors-in-variables model using linear
cumulant equations . . . . . . . . . . . 211--221
Henk von Eije and
Abhinav Goyal and
Cal B. Muckley Does the information content of payout
initiations and omissions influence firm
risks? . . . . . . . . . . . . . . . . . 222--229
Bernard Black and
Antonio Gledson de Carvalho and
Vikramaditya Khanna and
Woochan Kim and
Burcin Yurtoglu Methods for multicountry studies of
corporate governance: Evidence from the
BRIKT countries . . . . . . . . . . . . 230--240
Alok Bhargava Firms' fundamentals, macroeconomic
variables and quarterly stock prices in
the US . . . . . . . . . . . . . . . . . 241--250
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Stefano Peluso and
Antonietta Mira and
Pietro Muliere Reinforced urn processes for credit risk
models . . . . . . . . . . . . . . . . . 1--12
Jiyon Lee A semiparametric single index model with
heterogeneous impacts on an unobserved
variable . . . . . . . . . . . . . . . . 13--36
Mike Aguilar and
Jonathan B. Hill Robust score and portmanteau tests of
volatility spillover . . . . . . . . . . 37--61
Ramazan Gençay and
Daniele Signori Multi-scale tests for serial correlation 62--80
Arthur Lewbel and
Xun Lu and
Liangjun Su Specification testing for transformation
models with an application to
generalized accelerated failure-time
models . . . . . . . . . . . . . . . . . 81--96
H. Peter Boswijk and
Michael Jansson and
Morten Òrregaard Nielsen Improved likelihood ratio tests for
cointegration rank in the VAR model . . 97--110
Francesco Bartolucci and
Federico Belotti and
Franco Peracchi Testing for time-invariant unobserved
heterogeneity in generalized linear
models for panel data . . . . . . . . . 111--123
Qiang Chen and
Xu Zheng and
Zhiyuan Pan Asymptotically distribution-free tests
for the volatility function of a
diffusion . . . . . . . . . . . . . . . 124--144
Carolina Castagnetti and
Eduardo Rossi and
Lorenzo Trapani Inference on factor structures in
heterogeneous panels . . . . . . . . . . 145--157
Christian Francq and
Jean-Michel Zako\"\ian Risk-parameter estimation in volatility
models . . . . . . . . . . . . . . . . . 158--173
Lung-fei Lee and
Jihai Yu Estimation of fixed effects panel
regression models with separable and
nonseparable space-time filters . . . . 174--192
Monica Deza Is there a stepping stone effect in drug
use? Separating state dependence from
unobserved heterogeneity within and
between illicit drugs . . . . . . . . . 193--207
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--208 (January 2015) . . . . . . ??
Anonymous Zellner Award . . . . . . . . . . . . . v--v
Xi Qu and
Lung-fei Lee Estimating a spatial autoregressive
model with an endogenous spatial weight
matrix . . . . . . . . . . . . . . . . . 209--232
Daniel J. Henderson and
Qi Li and
Christopher F. Parmeter and
Shuang Yao Gradient-based smoothing parameter
selection for nonparametric regression
estimation . . . . . . . . . . . . . . . 233--241
Matthias R. Fengler and
Lin-Yee Hin Semi-nonparametric estimation of the
call-option price surface under strike
and time-to-expiry no-arbitrage
constraints . . . . . . . . . . . . . . 242--261
David I. Harvey and
Stephen J. Leybourne Confidence sets for the date of a break
in level and trend when the order of
integration is unknown . . . . . . . . . 262--279
Javier Gomez-Biscarri and
Javier Hualde A residual-based ADF test for stationary
cointegration in $ I(2) $ settings . . . 280--294
Fei Jin and
Lung-fei Lee On the bootstrap for Moran's I test for
spatial dependence . . . . . . . . . . . 295--314
Koen Jochmans Multiplicative-error models with sample
selection . . . . . . . . . . . . . . . 315--327
Christoph Breunig Goodness-of-fit tests based on series
estimators in nonparametric instrumental
regression . . . . . . . . . . . . . . . 328--346
Yuanyuan Wan and
Haiqing Xu Inference in semiparametric binary
response models with interval data . . . 347--360
Markus Bibinger and
Lars Winkelmann Econometrics of co-jumps in
high-frequency data with noise . . . . . 361--378
Alois Kneip and
Léopold Simar and
Ingrid Van Keilegom Frontier estimation in the presence of
measurement error with unknown variance 379--393
Xu Han Tests for overidentifying restrictions
in Factor-Augmented VAR models . . . . . 394--419
Martin M. Andreasen and
Bent Jesper Christensen The SR approach: a new estimation
procedure for non-linear and
non-Gaussian dynamic term structure
models . . . . . . . . . . . . . . . . . 420--451
Valentino Dardanoni and
Giuseppe De Luca and
Salvatore Modica and
Franco Peracchi Model averaging estimation of
generalized linear models with imputed
covariates . . . . . . . . . . . . . . . 452--463
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 209--464 (February 2015) . . . . . ??
Zhongjun Qu and
Jungmo Yoon Nonparametric estimation and inference
on conditional quantile processes . . . 1--19
David M. Kaplan Improved quantile inference via
fixed-smoothing asymptotics and
Edgeworth expansion . . . . . . . . . . 20--32
Zhenlin Yang LM tests of spatial dependence based on
bootstrap critical values . . . . . . . 33--59
Drew D. Creal and
Jing Cynthia Wu Estimation of affine term structure
models with spanned or unspanned
stochastic volatility . . . . . . . . . 60--81
Roger Klein and
Chan Shen and
Francis Vella Estimation of marginal effects in
semiparametric selection models with
binary outcomes . . . . . . . . . . . . 82--94
Suyong Song Semiparametric estimation of models with
conditional moment restrictions in the
presence of nonclassical measurement
errors . . . . . . . . . . . . . . . . . 95--109
Sylvain Chabé-Ferret Analysis of the bias of Matching and
Difference-in-Difference under
alternative earnings and selection
processes . . . . . . . . . . . . . . . 110--123
Carsten Jentsch and
Suhasini Subba Rao A test for second order stationarity of
a multivariate time series . . . . . . . 124--161
Joachim Freyberger Asymptotic theory for differentiated
products demand models with many markets 162--181
Nigel Chan and
Qiying Wang Nonlinear regressions with nonstationary
time series . . . . . . . . . . . . . . 182--195
Bin Chen Modeling and testing smooth structural
changes with endogenous regressors . . . 196--215
Jesús Fernández-Villaverde and
Pablo Guerrón-Quintana and
Juan F. Rubio-Ramírez Estimating dynamic equilibrium models
with stochastic volatility . . . . . . . 216--229
Liangjun Su and
Zhenlin Yang QML estimation of dynamic panel data
models with spatial errors . . . . . . . 230--258
Federico A. Bugni and
Ivan A. Canay and
Xiaoxia Shi Specification tests for partially
identified models defined by moment
inequalities . . . . . . . . . . . . . . 259--282
Jinyuan Chang and
Song Xi Chen and
Xiaohong Chen High dimensional generalized empirical
likelihood for moment restrictions with
dependent data . . . . . . . . . . . . . 283--304
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--304 (March 2015) . . . . . . . ??
Elena Andreou and
Bas J. M. Werker Residual-based rank specification tests
for AR-GARCH type models . . . . . . . . 305--331
Paul A. Bekker and
Federico Crudu Jackknife instrumental variable
estimation with heteroskedasticity . . . 332--342
Laurent E. Calvet and
Veronika Czellar Through the looking glass: Indirect
inference via simple equilibria . . . . 343--358
Mario Forni and
Marc Hallin and
Marco Lippi and
Paolo Zaffaroni Dynamic factor models with
infinite-dimensional factor spaces:
One-sided representations . . . . . . . 359--371
Joakim Westerlund and
Jean-Pierre Urbain Cross-sectional averages versus
principal components . . . . . . . . . . 372--377
Peter L. Pedroni and
Timothy J. Vogelsang and
Martin Wagner and
Joakim Westerlund Nonparametric rank tests for
non-stationary panels . . . . . . . . . 378--391
Yingyao Hu and
Yuya Sasaki Closed-form estimation of nonparametric
models with non-classical measurement
errors . . . . . . . . . . . . . . . . . 392--408
Andriy Norets Bayesian regression with nonparametric
heteroskedasticity . . . . . . . . . . . 409--419
Cong Li and
Zhongwen Liang Asymptotics for nonparametric and
semiparametric fixed effects panel
models . . . . . . . . . . . . . . . . . 420--434
Peter M. Robinson and
Carlos Velasco Efficient inference on fractionally
integrated panel data models with fixed
effects . . . . . . . . . . . . . . . . 435--452
Joakim Westerlund The effect of recursive detrending on
panel unit root tests . . . . . . . . . 453--467
Ioannis Kasparis and
Elena Andreou and
Peter C. B. Phillips Nonparametric predictive regression . . 468--494
Joakim Westerlund The power of PANIC . . . . . . . . . . . 495--509
Peter G. Hall and
Jeffrey S. Racine Infinite order cross-validated local
polynomial regression . . . . . . . . . 510--525
Donald Robertson and
Vasilis Sarafidis IV estimation of panels with factor
residuals . . . . . . . . . . . . . . . 526--541
Seung C. Ahn Comment on `IV estimation of panels with
factor residuals' by D. Robertson and V.
Sarafidis . . . . . . . . . . . . . . . 542--544
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 305--544 (April 2015) . . . . . . ??
Xingbai Xu and
Lung-fei Lee A spatial autoregressive model with a
nonlinear transformation of the
dependent variable . . . . . . . . . . . 1--18
Abhimanyu Gupta and
Peter M. Robinson Inference on higher-order spatial
autoregressive models with increasingly
many parameters . . . . . . . . . . . . 19--31
Javier Gomez-Biscarri and
Javier Hualde Regression-based analysis of
cointegration systems . . . . . . . . . 32--50
Timothy B. Armstrong Asymptotically exact inference in
conditional moment inequality models . . 51--65
Hiroshi Fujiki and
Cheng Hsiao Disentangling the effects of multiple
treatments --- Measuring the net
economic impact of the 1995 great
Hanshin--Awaji earthquake . . . . . . . 66--73
Jessica A. Wachter and
Missaka Warusawitharana What is the chance that the equity
premium varies over time? Evidence from
regressions on the dividend--price ratio 74--93
Taisuke Otsu and
Ke-Li Xu and
Yukitoshi Matsushita Empirical likelihood for regression
discontinuity design . . . . . . . . . . 94--112
Scott Cederburg and
Michael S. O'Doherty Asset-pricing anomalies at the firm
level . . . . . . . . . . . . . . . . . 113--128
Laurens Cherchye and
Thomas Demuynck and
Bram De Rock and
Per Hjertstrand Revealed preference tests for weak
separability: an integer programming
approach . . . . . . . . . . . . . . . . 129--141
Chu-An Liu Distribution theory of the least squares
averaging estimator . . . . . . . . . . 142--159
Todd E. Clark and
Michael W. McCracken Nested forecast model comparisons: a new
approach to testing equal accuracy . . . 160--177
Zhenlin Yang A general method for third-order bias
and variance corrections on a nonlinear
estimator . . . . . . . . . . . . . . . 178--200
Victor Chernozhukov and
Iván Fernández-Val and
Amanda E. Kowalski Quantile regression with censoring and
endogeneity . . . . . . . . . . . . . . 201--221
Liangjun Su and
Sainan Jin and
Yonghui Zhang Specification test for panel data models
with interactive fixed effects . . . . . 222--244
Tommaso Proietti and
Alessandra Luati The generalised autocovariance function 245--257
Geert Bekaert and
Eric Engstrom and
Andrey Ermolov Bad environments, good environments: a
non-Gaussian asymmetric volatility model 258--275
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--276 (May 2015) . . . . . . . . ??
Marine Carrasco and
Victor Chernozhukov and
Silvia Gonçalves and
Eric Renault High dimensional problems in
econometrics . . . . . . . . . . . . . . 277--279
Xu Cheng and
Bruce E. Hansen Forecasting with factor-augmented
regression: a frequentist model
averaging approach . . . . . . . . . . . 280--293
Bryan Kelly and
Seth Pruitt The three-pass regression filter: a new
approach to forecasting using many
predictors . . . . . . . . . . . . . . . 294--316
A. Chatterjee and
S. Gupta and
S. N. Lahiri On the residual empirical process based
on the ALASSO in high dimensions and its
functional oracle property . . . . . . . 317--324
Anders Bredahl Kock and
Laurent Callot Oracle inequalities for high dimensional
vector autoregressions . . . . . . . . . 325--344
Alexandre Belloni and
Victor Chernozhukov and
Denis Chetverikov and
Kengo Kato Some new asymptotic theory for least
squares series: Pointwise and uniform
results . . . . . . . . . . . . . . . . 345--366
Jianqing Fan and
Yuan Liao and
Xiaofeng Shi Risks of large portfolios . . . . . . . 367--387
Alexei Onatski Asymptotic analysis of the squared
estimation error in misspecified factor
models . . . . . . . . . . . . . . . . . 388--406
Sílvia Gonçalves and
Maximilien Kaffo Bootstrap inference for linear dynamic
panel data models with individual fixed
effects . . . . . . . . . . . . . . . . 407--426
Marine Carrasco and
Guy Tchuente Regularized LIML for many instruments 427--442
Xu Cheng and
Zhipeng Liao Select the valid and relevant moments:
an information-based LASSO for GMM with
many moments . . . . . . . . . . . . . . 443--464
Jean-Pierre Florens and
Sébastien Van Bellegem Instrumental variable estimation in
functional linear models . . . . . . . . 465--476
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Xiaoxia Shi Model selection tests for moment
inequality models . . . . . . . . . . . 1--17
Ivan Shaliastovich Learning, confidence, and option prices 18--42
Alain Monfort and
Jean-Paul Renne and
Guillaume Roussellet A Quadratic Kalman Filter . . . . . . . 43--56
Seungmoon Choi Explicit form of approximate transition
probability density functions of
diffusion processes . . . . . . . . . . 57--73
Ismael Mourifié Sharp bounds on treatment effects in a
binary triangular system . . . . . . . . 74--81
Sylvia Kaufmann $K$-state switching models with
time-varying transition distributions
--- Does loan growth signal stronger
effects of variables on inflation? . . . 82--94
Yongli Zhang and
Yuhong Yang Cross-validation for selecting a model
selection procedure . . . . . . . . . . 95--112
Ke Zhu and
Wai Keung Li A bootstrapped spectral test for
adequacy in weak ARMA models . . . . . . 113--130
Donghoon Lee and
Kyungchul Song Simulated maximum likelihood estimation
for discrete choices using transformed
simulated frequencies . . . . . . . . . 131--153
Axel Bücher and
Stefan Jäschke and
Dominik Wied Nonparametric tests for constant tail
dependence with an application to energy
and finance . . . . . . . . . . . . . . 154--168
Halbert White and
Tae-Hwan Kim and
Simone Manganelli VAR for VaR: Measuring tail dependence
using multivariate regression quantiles 169--188
Ting Zhang Semiparametric model building for
regression models with time-varying
parameters . . . . . . . . . . . . . . . 189--200
Sung Jae Jun and
Joris Pinkse and
Yuanyuan Wan Classical Laplace estimation for $ \sqrt
[3]{n}$-consistent estimators: Improved
convergence rates and rate-adaptive
inference . . . . . . . . . . . . . . . 201--216
Cheol-Keun Cho and
Christine Amsler and
Peter Schmidt A test of the null of integer
integration against the alternative of
fractional integration . . . . . . . . . 217--237
Wenyang Zhang and
Degui Li and
Yingcun Xia Estimation in generalised
varying-coefficient models with
unspecified link functions . . . . . . . 238--255
Mehmet Caner and
Qingliang Fan Hybrid generalized empirical likelihood
estimators: Instrument selection with
adaptive lasso . . . . . . . . . . . . . 256--274
Xianghong Li and
Barry Smith Diagnostic analysis and computational
strategies for estimating discrete time
duration models --- a Monte Carlo study 275--292
Lily Y. Liu and
Andrew J. Patton and
Kevin Sheppard Does anything beat $5$-minute RV? A
comparison of realized measures across
multiple asset classes . . . . . . . . . 293--311
Cheng Hsiao and
Junwei Zhang IV, GMM or likelihood approach to
estimate dynamic panel models when
either N or T or both are large . . . . 312--322
Yang Zu Nonparametric specification tests for
stochastic volatility models based on
volatility density . . . . . . . . . . . 323--344
Degui Li and
Oliver Linton and
Zudi Lu A flexible semiparametric forecasting
model for time series . . . . . . . . . 345--357
Jörg Breitung and
Matei Demetrescu Instrumental variable and variable
addition based inference in predictive
regressions . . . . . . . . . . . . . . 358--375
Yae In Baek and
Jin Seo Cho and
Peter C. B. Phillips Testing linearity using power transforms
of regressors . . . . . . . . . . . . . 376--384
Miguel A. Delgado and
Peter M. Robinson Non-nested testing of spatial
correlation . . . . . . . . . . . . . . 385--401
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--402 (July 2015) . . . . . . . . ??
Chia-Lin Chang and
Michael McAleer Econometric analysis of financial
derivatives: an overview . . . . . . . . 403--407
C. Gourieroux and
A. Monfort Pricing with finite dimensional
dependence . . . . . . . . . . . . . . . 408--417
Yacine A\"\it-Sahalia and
Dante Amengual and
Elena Manresa Market-based estimation of stochastic
volatility models . . . . . . . . . . . 418--435
Manabu Asai and
Michael McAleer Leverage and feedback effects on
multifactor Wishart stochastic
volatility for option pricing . . . . . 436--446
Ke Zhu and
Shiqing Ling Model-based pricing for financial
derivatives . . . . . . . . . . . . . . 447--457
Tim Bollerslev and
Lai Xu and
Hao Zhou Stock return and cash flow
predictability: The role of volatility
risk . . . . . . . . . . . . . . . . . . 458--471
Chia-Lin Chang and
Juan-Ángel Jiménez-Martín and
Esfandiar Maasoumi and
Teodosio Pérez-Amaral A stochastic dominance approach to
financial risk management strategies . . 472--485
Fulvio Baldovin and
Massimiliano Caporin and
Michele Caraglio and
Attilio L. Stella and
Marco Zamparo Option pricing with non-Gaussian scaling
and infinite-state switching volatility 486--497
Laurent E. Calvet and
Marcus Fearnley and
Adlai J. Fisher and
Markus Leippold What is beneath the surface? Option
pricing with multifrequency latent
states . . . . . . . . . . . . . . . . . 498--511
Young Shin Kim and
Jaesung Lee and
Stefan Mittnik and
Jiho Park Quanto option pricing in the presence of
fat tails and asymmetric dependence . . 512--520
Adam A. Majewski and
Giacomo Bormetti and
Fulvio Corsi Smile from the past: a general option
pricing framework with multiple
volatility and leverage components . . . 521--531
Torben G. Andersen and
Oleg Bondarenko and
Viktor Todorov and
George Tauchen The fine structure of equity-index
option dynamics . . . . . . . . . . . . 532--546
Bjòrn Eraker and
Jiakou Wang A non-linear dynamic model of the
variance risk premium . . . . . . . . . 547--556
Giuseppe Cavaliere and
Morten Òrregaard Nielsen and
A. M. Robert Taylor Bootstrap score tests for fractional
integration in heteroskedastic ARFIMA
models, with an application to price
dynamics in commodity spot and futures
markets . . . . . . . . . . . . . . . . 557--579
Marco Bonomo and
René Garcia and
Nour Meddahi and
Roméo Tédongap The long and the short of the
risk-return trade-off . . . . . . . . . 580--592
Marc S. Paolella and
Pawe\l Polak COMFORT: a common market factor
non-Gaussian returns model . . . . . . . 593--605
Diep Duong and
Norman R. Swanson Empirical evidence on the importance of
aggregation, asymmetry, and jumps for
volatility prediction . . . . . . . . . 606--621
Elvira Sojli and
Wing Wah Tham Divided governments and futures prices 622--633
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Nicolas Debarsy and
Fei Jin and
Lung-fei Lee Large sample properties of the matrix
exponential spatial specification with
an application to FDI . . . . . . . . . 1--21
Pierre-André Chiappori and
Ivana Komunjer and
Dennis Kristensen Nonparametric identification and
estimation of transformation models . . 22--39
Xun Lu and
Liangjun Su Jackknife model averaging for quantile
regressions . . . . . . . . . . . . . . 40--58
Joakim Westerlund and
Rolf Larsson New tools for understanding the local
asymptotic power of panel unit root
tests . . . . . . . . . . . . . . . . . 59--93
D. S. Poskitt and
Simone D. Grose and
Gael M. Martin Higher-order improvements of the sieve
bootstrap for fractionally integrated
processes . . . . . . . . . . . . . . . 94--110
Kazuhiko Hayakawa and
M. Hashem Pesaran Robust standard errors in transformed
likelihood estimation of dynamic panel
data models with cross-sectional
heteroskedasticity . . . . . . . . . . . 111--134
Stefan Hoderlein and
Robert Sherman Identification and estimation in a
correlated random coefficients binary
response model . . . . . . . . . . . . . 135--149
G. Kapetanios and
J. Mitchell and
S. Price and
N. Fawcett Generalised density forecast
combinations . . . . . . . . . . . . . . 150--165
Bonsoo Koo and
Myung Hwan Seo Structural-break models under
mis-specification: Implications for
forecasting . . . . . . . . . . . . . . 166--181
Michael P. Leung Two-step estimation of network-formation
models with incomplete information . . . 182--195
M. R. Fengler and
E. Mammen and
M. Vogt Specification and structural break tests
for additive models with applications to
realized variance data . . . . . . . . . 196--218
Sophocles Mavroeidis and
Yuya Sasaki and
Ivo Welch Estimation of heterogeneous
autoregressive parameters with short
panel data . . . . . . . . . . . . . . . 219--235
Yuya Sasaki Heterogeneity and selection in dynamic
panel data . . . . . . . . . . . . . . . 236--249
Han Hong and
Aprajit Mahajan and
Denis Nekipelov Extremum estimation and numerical
derivatives . . . . . . . . . . . . . . 250--263
Xingbai Xu and
Lung-fei Lee Maximum likelihood estimation of a
spatial autoregressive Tobit model . . . 264--280
Jin Seo Cho and
Tae-hwan Kim and
Yongcheol Shin Quantile cointegration in the
autoregressive distributed-lag modeling
framework . . . . . . . . . . . . . . . 281--300
Chaohua Dong and
Jiti Gao and
Bin Peng Semiparametric single-index panel data
models with cross-sectional dependence 301--312
Anonymous IFC: ID Statment . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--312 (September 2015) . . . . . ??
Qi Li and
Tong Li Heterogeneity in panel data and in
nonparametric analysis . . . . . . . . . 313--315
Chunrong Ai and
Hongjun Li and
Zhongjian Lin and
Meixia Meng Estimation of panel data partly
specified Tobit regression with fixed
effects . . . . . . . . . . . . . . . . 316--326
Lena Boneva and
Oliver Linton and
Michael Vogt A semiparametric model for heterogeneous
panel data with fixed effects . . . . . 327--345
Jungyoon Lee and
Peter M. Robinson Panel nonparametric regression with
fixed effects . . . . . . . . . . . . . 346--362
Tong Li and
Tatsushi Oka Set identification of the censored
quantile regression model for short
panels with fixed effects . . . . . . . 363--377
Victor Chernozhukov and
Iván Fernández-Val and
Stefan Hoderlein and
Hajo Holzmann and
Whitney Newey Nonparametric identification in panels
using quantiles . . . . . . . . . . . . 378--392
Alexander Chudik and
M. Hashem Pesaran Common correlated effects estimation of
heterogeneous dynamic panel data models
with weakly exogenous regressors . . . . 393--420
Yichen Gao and
Cong Li and
Zhongwen Liang Binary response correlated random
coefficient panel data models . . . . . 421--434
Han Hong and
Weiming Li and
Boyu Wang Estimation of dynamic discrete models
from time aggregated data . . . . . . . 435--446
Xiaohong Chen and
Timothy M. Christensen Optimal uniform convergence rates and
asymptotic normality for series
estimators under weak dependence and
weak conditions . . . . . . . . . . . . 447--465
Carl Green and
Wei Long and
Cheng Hsiao Testing error serial correlation in
fixed effects nonparametric panel data
models . . . . . . . . . . . . . . . . . 466--473
Yoonseok Lee and
Peter C. B. Phillips Model selection in the presence of
incidental parameters . . . . . . . . . 474--489
Ying Fang and
Qi Li and
Ximing Wu and
Daiqiang Zhang A data-driven smooth test of symmetry 490--501
Wei Lin and
Zongwu Cai and
Zheng Li and
Li Su Optimal smoothing in nonparametric
conditional quantile derivative function
estimation . . . . . . . . . . . . . . . 502--513
Li Gan and
Guan Gong and
Michael Hurd and
Daniel McFadden Subjective mortality risk and bequests 514--525
Li Gan and
Gaosheng Ju and
Xi Zhu Nonparametric estimation of structural
labor supply and exact welfare change
under nonconvex piecewise-linear budget
sets . . . . . . . . . . . . . . . . . . 526--544
Min Ouyang and
Yulei Peng The treatment-effect estimation: a case
study of the 2008 economic stimulus
package of China . . . . . . . . . . . . 545--557
Zaichao Du and
Lin Zhang Home-purchase restriction, property tax
and housing price in China: a
counterfactual analysis . . . . . . . . 558--568
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Max H. Farrell Robust inference on average treatment
effects with possibly more covariates
than observations . . . . . . . . . . . 1--23
Songnian Chen and
Hanghui Zhang Binary quantile regression with local
polynomial smoothing . . . . . . . . . . 24--40
Joachim Freyberger and
Joel L. Horowitz Identification and shape restrictions in
nonparametric instrumental variables
estimation . . . . . . . . . . . . . . . 41--53
Yong Li and
Xiao-Bin Liu and
Jun Yu A Bayesian chi-squared test for
hypothesis testing . . . . . . . . . . . 54--69
Xavier D'Haultf\oeuille and
Philippe Février Identification of mixture models using
support variations . . . . . . . . . . . 70--82
Ping Yu Adaptive estimation of the threshold
point in threshold regression . . . . . 83--100
Frank Kleibergen and
Zhaoguo Zhan Unexplained factors and their effects on
second pass $R$-squared's . . . . . . . 101--116
Brendan Kline Identification of complete information
games . . . . . . . . . . . . . . . . . 117--131
Jack Porter and
Ping Yu Regression discontinuity designs with
unknown discontinuity points: Testing
and estimation . . . . . . . . . . . . . 132--147
Daniel J. Henderson and
Subal C. Kumbhakar and
Qi Li and
Christopher F. Parmeter Smooth coefficient estimation of a
seemingly unrelated regression . . . . . 148--162
Xiaohong Chen and
Zhipeng Liao Sieve semiparametric two-step GMM under
weak dependence . . . . . . . . . . . . 163--186
Yohei Yamamoto and
Shinya Tanaka Testing for factor loading structural
change under common breaks . . . . . . . 187--206
Xu Cheng Robust inference in nonlinear models
with mixed identification strength . . . 207--228
Arthur Lewbel and
Xun Tang Identification and estimation of games
with incomplete information using
excluded regressors . . . . . . . . . . 229--244
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--244 (November 2015) . . . . . . ??
Shiqing Ling and
Michael McAleer and
Howell Tong Frontiers in Time Series and Financial
Econometrics: An overview . . . . . . . 245--250
Manabu Asai and
Michael McAleer Forecasting co-volatilities via factor
models with asymmetry and long memory in
realized covariance . . . . . . . . . . 251--262
Peter J. Brockwell and
Alexander Lindner Prediction of Lévy-driven CARMA processes 263--271
Zongwu Cai and
Ted Juhl and
Bingduo Yang Functional index coefficient models with
variable selection . . . . . . . . . . . 272--284
Ngai Hang Chan and
Chun Yip Yau and
Rong-Mao Zhang LASSO estimation of threshold
autoregressive models . . . . . . . . . 285--296
Jinyuan Chang and
Bin Guo and
Qiwei Yao High dimensional stochastic regression
with latent factors, endogeneity and
nonlinearity . . . . . . . . . . . . . . 297--312
Min Chen and
Ke Zhu Sign-based portmanteau test for
ARCH-type models with heavy-tailed
innovations . . . . . . . . . . . . . . 313--320
Tzu-Chang F. Cheng and
Ching-Kang Ing and
Shu-Hui Yu Toward optimal model averaging in
regression models with time series
errors . . . . . . . . . . . . . . . . . 321--334
Drew D. Creal and
Ruey S. Tsay High dimensional dynamic stochastic
copula models . . . . . . . . . . . . . 335--345
Jiti Gao and
Nam Hyun Kim and
Patrick W. Saart A misspecification test for
multiplicative error models of
non-negative time series processes . . . 346--359
Hwai-Chung Ho Sample quantile analysis for long-memory
stochastic volatility models . . . . . . 360--370
Lajos Horváth and
Gregory Rice Testing for independence between
functional time series . . . . . . . . . 371--382
Cheng Hsiao and
Qiankun Zhou Statistical inference for panel dynamic
simultaneous equations models . . . . . 383--396
Robert Jarrow and
Simon Sai Man Kwok Specification tests of calibrated option
pricing models . . . . . . . . . . . . . 397--414
Dong Li and
Shiqing Ling and
Jean-Michel Zako\"\ian Asymptotic inference in
multiple-threshold double autoregressive
models . . . . . . . . . . . . . . . . . 415--427
Muyi Li and
Wai Keung Li and
Guodong Li A new hyperbolic GARCH model . . . . . . 428--436
Shouwei Liu and
Yiu-Kuen Tse Intraday Value-at-Risk: an asymmetric
autoregressive conditional duration
approach . . . . . . . . . . . . . . . . 437--446
Peter M. Robinson and
Francesca Rossi Refinements in maximum likelihood
inference on spatial autocorrelation in
panel data . . . . . . . . . . . . . . . 447--456
Mike K. P. So and
Ray S. W. Chung Statistical inference for conditional
quantiles in nonlinear time series
models . . . . . . . . . . . . . . . . . 457--472
Fei Su and
Kung-Sik Chan Quasi-likelihood estimation of a
threshold diffusion process . . . . . . 473--484
Howell Tong Threshold models in time series analysis
--- Some reflections . . . . . . . . . . 485--491
Tingguo Zheng and
Han Xiao and
Rong Chen Generalized ARMA models with martingale
difference errors . . . . . . . . . . . 492--506
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous 2015 Dennis J. Aigner Award . . . . . . iv--iv
Jungyoon Lee and
Peter M. Robinson Series estimation under cross-sectional
dependence . . . . . . . . . . . . . . . 1--17
Jonathan B. Hill and
Artem Prokhorov GEL estimation for heavy-tailed GARCH
models with robust empirical likelihood
inference . . . . . . . . . . . . . . . 18--45
Marc Hallin and
Ramon van den Akker and
Bas J. M. Werker Semiparametric error-correction models
for cointegration with trends:
Pseudo-Gaussian and optimal rank-based
tests of the cointegration rank . . . . 46--61
Michael Keane and
Olena Stavrunova Adverse selection, moral hazard and the
demand for Medigap insurance . . . . . . 62--78
Francesco Bianchi Methods for measuring expectations and
uncertainty in Markov-switching models 79--99
Daniel Gutknecht Testing for monotonicity under
endogeneity: an application to the
reservation wage function . . . . . . . 100--114
Bruce E. Hansen Efficient shrinkage in parametric models 115--132
Marcel Scharth and
Robert Kohn Particle efficient importance sampling 133--147
Xun Lu and
Liangjun Su Shrinkage estimation of dynamic panel
data models with interactive fixed
effects . . . . . . . . . . . . . . . . 148--175
Zhaogang Song and
Dacheng Xiu A tale of two option markets: Pricing
kernels and volatility risk . . . . . . 176--196
C. Alan Bester and
Christian B. Hansen Grouped effects estimators in fixed
effects models . . . . . . . . . . . . . 197--208
Anonymous IFC: ID statement . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--208 (January 2016) . . . . . . ??
Subal C. Kumbhakar and
Peter Schmidt Editors' introduction . . . . . . . . . 209--211
Eleanor Sanderson and
Frank Windmeijer A weak instrument $F$-test in linear IV
models with multiple endogenous
variables . . . . . . . . . . . . . . . 212--221
William C. Horrace and
Xiaodong Liu and
Eleonora Patacchini Endogenous network production functions
with selectivity . . . . . . . . . . . . 222--232
Emir Malikov and
Subal C. Kumbhakar and
Yiguo Sun Varying coefficient panel data model in
the presence of endogenous selectivity
and fixed effects . . . . . . . . . . . 233--251
Irina Murtazashvili and
Jeffrey M. Wooldridge A control function approach to
estimating switching regression models
with endogenous explanatory variables
and endogenous switching . . . . . . . . 252--266
Kyoo il Kim and
Amil Petrin and
Suyong Song Estimating production functions with
control functions when capital is
measured with error . . . . . . . . . . 267--279
Christine Amsler and
Artem Prokhorov and
Peter Schmidt Endogeneity in stochastic frontier
models . . . . . . . . . . . . . . . . . 280--288
Anthony J. Glass and
Karligash Kenjegalieva and
Robin C. Sickles A spatial autoregressive stochastic
frontier model for panel data with
asymmetric efficiency spillovers . . . . 289--300
Scott E. Atkinson and
Mike G. Tsionas Directional distance functions: Optimal
endogenous directions . . . . . . . . . 301--314
Subal C. Kumbhakar and
Efthymios G. Tsionas The good, the bad and the technology:
Endogeneity in environmental production
models . . . . . . . . . . . . . . . . . 315--327
C. J. O'Donnell Using information about technologies,
markets and firm behaviour to decompose
a proper productivity index . . . . . . 328--340
William E. Griffiths and
Gholamreza Hajargasht Some models for stochastic frontiers
with endogeneity . . . . . . . . . . . . 341--348
Catherine Cazals and
Frédérique F\`eve and
Jean-Pierre Florens and
Léopold Simar Nonparametric instrumental variables
estimation for efficiency frontier . . . 349--359
Léopold Simar and
Anne Vanhems and
Ingrid Van Keilegom Unobserved heterogeneity and endogeneity
in nonparametric frontier estimation . . 360--373
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Jushan Bai and
Yuan Liao Efficient estimation of approximate
factor models via penalized maximum
likelihood . . . . . . . . . . . . . . . 1--18
Michele De Nadai and
Arthur Lewbel Nonparametric errors in variables models
with measurement errors on both sides of
the equation . . . . . . . . . . . . . . 19--32
Adam Goli\'nski and
Paolo Zaffaroni Long memory affine term structure models 33--56
Lorenzo Trapani Testing for (in)finite moments . . . . . 57--68
Ralf Brüggemann and
Carsten Jentsch and
Carsten Trenkler Inference in VARs with conditional
heteroskedasticity of unknown form . . . 69--85
Junhui Qian and
Liangjun Su Shrinkage estimation of common breaks in
panel data models via adaptive group
fused Lasso . . . . . . . . . . . . . . 86--109
Hwan-sik Choi Information theory for maximum
likelihood estimation of diffusion
models . . . . . . . . . . . . . . . . . 110--128
Holger Dette and
Stefan Hoderlein and
Natalie Neumeyer Testing multivariate economic
restrictions using quantiles: The
example of Slutsky negative
semidefiniteness . . . . . . . . . . . . 129--144
Szabolcs Blazsek and
Alvaro Escribano Patent propensity, R&D and market
competition: Dynamic spillovers of
innovation leaders and followers . . . . 145--163
James J. Heckman and
Lakshmi K. Raut Intergenerational long-term effects of
preschool-structural estimates from a
discrete dynamic programming model . . . 164--175
Badi H. Baltagi and
Qu Feng and
Chihwa Kao Estimation of heterogeneous panels with
structural breaks . . . . . . . . . . . 176--195
Yanqin Fan and
Ruixuan Liu A direct approach to inference in
nonparametric and semiparametric
quantile models . . . . . . . . . . . . 196--216
Alex Papanicolaou and
Kay Giesecke Variation-based tests for volatility
misspecification . . . . . . . . . . . . 217--230
Liangjun Su and
Tadao Hoshino Sieve instrumental variable quantile
regression estimation of functional
coefficient models . . . . . . . . . . . 231--254
Marcelo C. Medeiros and
Eduardo F. Mendes $ l_1$-regularization of
high-dimensional time-series models with
non-Gaussian and heteroskedastic errors 255--271
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--272 (March 2016) . . . . . . . ??
W. A. Barnett and
W. E. Diewert and
E. Maasoumi Innovations in measurement in economics
and econometrics: an overview . . . . . 273--275
James J. Heckman and
John Eric Humphries and
Gregory Veramendi Dynamic treatment effects . . . . . . . 276--292
Charles F. Manski Credible interval estimates for official
statistics with survey nonresponse . . . 293--301
Rosa L. Matzkin On independence conditions in
nonseparable models: Observable and
unobservable instruments . . . . . . . . 302--311
William A. Barnett and
Marcelle Chauvet and
Danilo Leiva-Leon Real-time nowcasting of nominal GDP with
structural breaks . . . . . . . . . . . 312--324
Sujin Park and
Seok Young Hong and
Oliver Linton Estimating the quadratic covariation
matrix for asynchronously observed high
frequency stock returns corrupted by
additive measurement error . . . . . . . 325--347
Gordon Anderson and
Alessio Farcomeni and
Maria Grazia Pittau and
Roberto Zelli A new approach to measuring and studying
the characteristics of class membership:
Examining poverty, inequality and
polarization in urban China . . . . . . 348--359
Garry F. Barrett and
Stephen G. Donald and
Yu-Chin Hsu Consistent tests for poverty dominance
relations . . . . . . . . . . . . . . . 360--373
Esfandiar Maasoumi and
Jeffrey S. Racine A solution to aggregation and an
application to multidimensional
`well-being' frontiers . . . . . . . . . 374--383
S. Boragan Aruoba and
Francis X. Diebold and
Jeremy Nalewaik and
Frank Schorfheide and
Dongho Song Improving GDP measurement: a
measurement-error perspective . . . . . 384--397
Kevin J. Fox and
Iqbal A. Syed Price discounts and the measurement of
inflation . . . . . . . . . . . . . . . 398--406
Robert J. Hill A least squares approach to imposing
within-region fixity in the
International Comparisons Program . . . 407--413
D. S. Prasada Rao and
Gholamreza Hajargasht Stochastic approach to computation of
purchasing power parities in the
International Comparison Program (ICP) 414--425
Robert Inklaar and
W. Erwin Diewert Measuring industry productivity and
cross-country convergence . . . . . . . 426--433
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Tim Bollerslev and
Andrew J. Patton and
Rogier Quaedvlieg Exploiting the errors: a simple approach
for improved volatility forecasting . . 1--18
Xin Jin and
John M. Maheu Bayesian semiparametric modeling of
realized covariance matrices . . . . . . 19--39
Li Gan and
Qi Li Efficiency of thin and thick markets . . 40--54
Aurore Delaigle and
Alexander Meister and
Jeroen Rombouts Root-$T$ consistent density estimation
in GARCH models . . . . . . . . . . . . 55--63
H. Peter Boswijk and
Giuseppe Cavaliere and
Anders Rahbek and
A. M. Robert Taylor Inference on co-integration parameters
in heteroskedastic vector
autoregressions . . . . . . . . . . . . 64--85
Seojeong Lee Asymptotic refinements of a
misspecification-robust bootstrap for
GEL estimators . . . . . . . . . . . . . 86--104
Ji Hyung Lee Predictive quantile regression with
persistent covariates: IVX-QR approach 105--118
Yacine A\"\it-Sahalia and
Joon Y. Park Bandwidth selection and asymptotic
properties of local nonparametric
estimators in possibly nonstationary
continuous-time models . . . . . . . . . 119--138
Yan Gao and
Xinyu Zhang and
Shouyang Wang and
Guohua Zou Model averaging based on
leave-subject-out cross-validation . . . 139--151
Yoosoon Chang and
Chang Sik Kim and
Joon Y. Park Nonstationarity in time series of state
densities . . . . . . . . . . . . . . . 152--167
Yongok Choi and
Stefan Jacewitz and
Joon Y. Park A reexamination of stock return
predictability . . . . . . . . . . . . . 168--189
Christian Aßmann and
Jens Boysen-Hogrefe and
Markus Pape Bayesian analysis of static and dynamic
factor models: an ex-post approach
towards the rotation problem . . . . . . 190--206
Eric Ghysels and
Jonathan B. Hill and
Kaiji Motegi Testing for Granger causality with mixed
frequency data . . . . . . . . . . . . . 207--230
Wenjie Wang and
Maximilien Kaffo Bootstrap inference for instrumental
variable models with many weak
instruments . . . . . . . . . . . . . . 231--268
Hiroaki Kaido A dual approach to inference for
partially identified econometric models 269--290
Iván Fernández-Val and
Martin Weidner Individual and time effects in nonlinear
panel models with large $N$, $T$ . . . . 291--312
Yang-Ho Park The effects of asymmetric volatility and
jumps on the pricing of VIX derivatives 313--328
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--328 (May 2016) . . . . . . . . ??
Jörg Breitung and
Helmut Herwartz Innovations in multiple time series
analysis . . . . . . . . . . . . . . . . 329--331
Andrea Carriero and
George Kapetanios and
Massimiliano Marcellino Structural analysis with Multivariate
Autoregressive Index models . . . . . . 332--348
Alexander Chudik and
Valerie Grossman and
M. Hashem Pesaran A multi-country approach to forecasting
output growth using PMIs . . . . . . . . 349--365
Brian D. O. Anderson and
Manfred Deistler and
Elisabeth Felsenstein and
Lukas Koelbl The structure of multivariate AR and
ARMA systems: Regular and singular
systems; the single and the mixed
frequency case . . . . . . . . . . . . . 366--373
Joshua C. C. Chan and
Eric Eisenstat and
Gary Koop Large Bayesian VARMAs . . . . . . . . . 374--390
Marco Del Negro and
Raiden B. Hasegawa and
Frank Schorfheide Dynamic prediction pools: an
investigation of financial frictions and
forecasting performance . . . . . . . . 391--405
Daniel F. Waggoner and
Hongwei Wu and
Tao Zha Striated Metropolis--Hastings sampler
for high-dimensional models . . . . . . 406--420
Atsushi Inoue and
Lutz Kilian Joint confidence sets for structural
impulse responses . . . . . . . . . . . 421--432
Peter C. B. Phillips and
Ji Hyung Lee Robust econometric inference with mixed
integrated and mildly explosive
regressors . . . . . . . . . . . . . . . 433--450
David Harris and
Stephen J. Leybourne and
A. M. Robert Taylor Tests of the co-integration rank in VAR
models in the presence of a possible
break in trend at an unknown point . . . 451--467
D. S. Poskitt Vector autoregressive moving average
identification for macroeconomic
modeling: a new methodology . . . . . . 468--484
Leena Kalliovirta and
Mika Meitz and
Pentti Saikkonen Gaussian mixture vector autoregression 485--498
Wolfgang Karl Härdle and
Weining Wang and
Lining Yu TENET: Tail-Event driven NETwork risk 499--513
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
James Lewis Wolter Kernel estimation of hazard functions
when observations have dependent and
common covariates . . . . . . . . . . . 1--16
Jia Li and
Viktor Todorov and
George Tauchen Inference theory for volatility
functional dependencies . . . . . . . . 17--34
Xiaohu Wang and
Jun Yu Double asymptotics for explosive
continuous time models . . . . . . . . . 35--53
Lajos Horváth and
Lorenzo Trapani Statistical inference in a random
coefficient panel model . . . . . . . . 54--75
EunYi Chung and
Joseph P. Romano Multivariate and multiple permutation
tests . . . . . . . . . . . . . . . . . 76--91
Antonio F. Galvao and
Kengo Kato Smoothed quantile regression for panel
data . . . . . . . . . . . . . . . . . . 92--112
Carolina Caetano and
Christoph Rothe and
Nese Yildiz A discontinuity test for identification
in triangular nonseparable models . . . 113--122
Xianyang Zhang Fixed-smoothing asymptotics in the
generalized empirical likelihood
estimation framework . . . . . . . . . . 123--146
Edward E. Leamer $S$-values: Conventional context-minimal
measures of the sturdiness of regression
coefficients . . . . . . . . . . . . . . 147--161
Songnian Chen and
Shakeeb Khan and
Xun Tang Informational content of special
regressors in heteroskedastic binary
response models . . . . . . . . . . . . 162--182
Stefan Hoderlein and
Liangjun Su and
Halbert White and
Thomas Tao Yang Testing for monotonicity in
unobservables under unconfoundedness . . 183--202
Shin S. Ikeda A bias-corrected estimator of the
covariation matrix of multiple security
prices when both microstructure effects
and sampling durations are persistent
and endogenous . . . . . . . . . . . . . 203--214
Shulin Zhang and
Ostap Okhrin and
Qian M. Zhou and
Peter X.-K. Song Goodness-of-fit test for specification
of semiparametric copula dependence
models . . . . . . . . . . . . . . . . . 215--233
Liana Jacobi and
Helga Wagner and
Sylvia Frühwirth-Schnatter Bayesian treatment effects models with
variable selection for panel outcomes
with an application to earnings effects
of maternity leave . . . . . . . . . . . 234--250
Heejoon Han and
Oliver Linton and
Tatsushi Oka and
Yoon-Jae Whang The cross-quantilogram: Measuring
quantile dependence and testing
directional predictability between time
series . . . . . . . . . . . . . . . . . 251--270
Toru Kitagawa and
Chris Muris Model averaging in semiparametric
estimation of treatment effects . . . . 271--289
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--290 (July 2016) . . . . . . . . ??
Eric Ghysels and
Massimiliano Marcellino The econometric analysis of mixed
frequency data sampling . . . . . . . . 291--293
Eric Ghysels Macroeconomics and the reality of mixed
frequency data . . . . . . . . . . . . . 294--314
Davide Pettenuzzo and
Allan Timmermann and
Rossen Valkanov A MIDAS approach to modeling first and
second moment dynamics . . . . . . . . . 315--334
Massimiliano Marcellino and
Vasja Sivec Monetary, fiscal and oil shocks:
Evidence based on mixed frequency
structural FAVARs . . . . . . . . . . . 335--348
Dong Hwan Oh and
Andrew J. Patton High-dimensional copula-based
distributions with mixed frequency data 349--366
Elena Andreou On the use of high frequency measures of
volatility in MIDAS regressions . . . . 367--389
Marcus J. Chambers The estimation of continuous time models
with mixed frequency data . . . . . . . 390--404
F. Blasques and
S. J. Koopman and
M. Mallee and
Z. Zhang Weighted maximum likelihood for dynamic
factor analysis and forecasting with
mixed frequency data . . . . . . . . . . 405--417
Thomas B. Götz and
Alain Hecq and
Stephan Smeekes Testing for Granger causality in large
mixed-frequency VARs . . . . . . . . . . 418--432
Hang Qian A computationally efficient method for
vector autoregression with mixed
frequency data . . . . . . . . . . . . . 433--437
Peter A. Zadrozny Extended Yule--Walker identification of
VARMA models with single- or
mixed-frequency data . . . . . . . . . . 438--446
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Dennis J. Aigner Obituary . . . . . . . . . . . . . . . . iv--iv
Xin Jin and
John M. Maheu Modeling covariance breakdowns in
multivariate GARCH . . . . . . . . . . . 1--23
Timothy B. Armstrong and
Hock Peng Chan Multiscale adaptive inference on
conditional moment inequalities . . . . 24--43
Degui Li and
Runze Li Local composite quantile regression
smoothing for Harris recurrent Markov
processes . . . . . . . . . . . . . . . 44--56
Shakeeb Khan and
Maria Ponomareva and
Elie Tamer Identification of panel data models with
endogenous censoring . . . . . . . . . . 57--75
Xianyang Zhang White noise testing and model diagnostic
checking for functional time series . . 76--95
Andrés Aradillas-López and
Amit Gandhi and
Daniel Quint A simple test for moment inequality
models with an application to English
auctions . . . . . . . . . . . . . . . . 96--115
Bent Jesper Christensen and
Olaf Posch and
Michel van der Wel Estimating dynamic equilibrium models
using mixed frequency macro and
financial data . . . . . . . . . . . . . 116--137
Ross Maller and
Steven Roberts and
Rabee Tourky The large-sample distribution of the
maximum Sharpe ratio with and without
short sales . . . . . . . . . . . . . . 138--152
Oliver Linton and
Yoon-Jae Whang and
Yu-Min Yen A nonparametric test of a strong
leverage hypothesis . . . . . . . . . . 153--186
Hongjun Li and
Qi Li and
Ruixuan Liu Consistent model specification tests
based on $k$-nearest-neighbor estimation
method . . . . . . . . . . . . . . . . . 187--202
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--202 (September 2016) . . . . . ??
Rong Chen and
Per Mykland and
Qiwei Yao Financial Statistics and Risk
Management: an Overview . . . . . . . . 203--204
Yacine A\"\it-Sahalia and
Dacheng Xiu Increased correlation among asset
classes: Are volatility or jumps to
blame, or both? . . . . . . . . . . . . 205--219
Donggyu Kim and
Yazhen Wang Unified discrete-time and
continuous-time models and statistical
inferences for merged low-frequency and
high-frequency financial data . . . . . 220--230
Zhengjun Zhang and
Bin Zhu Copula structured M4 processes with
application to high-frequency financial
data . . . . . . . . . . . . . . . . . . 231--241
Per A. Mykland and
Lan Zhang Between data cleaning and inference:
Pre-averaging and robust estimators of
the efficient price . . . . . . . . . . 242--262
Xialu Liu and
Han Xiao and
Rong Chen Convolutional autoregressive models for
functional time series . . . . . . . . . 263--282
Jing He and
Song Xi Chen Testing super-diagonal structure in high
dimensional covariance matrices . . . . 283--297
Jianqing Fan and
Fang Han and
Han Liu and
Byron Vickers Robust inference of risks of large
portfolios . . . . . . . . . . . . . . . 298--308
Jia Chen and
Degui Li and
Oliver Linton and
Zudi Lu Semiparametric dynamic portfolio choice
with multiple conditioning variables . . 309--318
Christian Conrad and
Enno Mammen Asymptotics for parametric GARCH-in-Mean
models . . . . . . . . . . . . . . . . . 319--329
Alexandru V. Asimit and
Russell Gerrard and
Yanxi Hou and
Liang Peng Tail dependence measure for examining
financial extreme co-movements . . . . . 330--348
Jin-Chuan Duan Local-momentum autoregression and the
modeling of interest rate term structure 349--359
Richard A. Davis and
Stacey A. Hancock and
Yi-Ching Yao On consistency of minimum description
length model selection for piecewise
autoregressions . . . . . . . . . . . . 360--368
Baojun Dou and
Maria Lucia Parrella and
Qiwei Yao Generalized Yule--Walker estimation for
spatio-temporal models with unknown
diagonal coefficients . . . . . . . . . 369--382
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Arthur Lewbel and
Thomas Tao Yang Identifying the average treatment effect
in ordered treatment models without
unconfoundedness . . . . . . . . . . . . 1--22
Andreas Andrikopoulos and
Aristeidis Samitas and
Konstantinos Kostaris Four decades of the Journal of
Econometrics: Coauthorship patterns and
networks . . . . . . . . . . . . . . . . 23--32
Yingying Li and
Shangyu Xie and
Xinghua Zheng Efficient estimation of integrated
volatility incorporating trading
information . . . . . . . . . . . . . . 33--50
Chenxu Li and
Dachuan Chen Estimating jump-diffusions using
closed-form likelihood expansions . . . 51--70
Anders Bredahl Kock Oracle inequalities, variable selection
and uniform inference in
high-dimensional correlated random
effects panel data models . . . . . . . 71--85
Chuan-Sheng Wang and
Zhibiao Zhao Conditional Value-at-Risk:
Semiparametric estimation and inference 86--103
Zhentao Shi Econometric estimation with
high-dimensional moment equalities . . . 104--119
Jonathan Eggleston An efficient decomposition of the
expectation of the maximum for the
multivariate normal and related
distributions . . . . . . . . . . . . . 120--133
Yiguo Sun Functional-coefficient spatial
autoregressive models with nonparametric
spatial weights . . . . . . . . . . . . 134--153
Wei Lan and
Ping-Shou Zhong and
Runze Li and
Hansheng Wang and
Chih-Ling Tsai Testing a single regression coefficient
in high dimensional linear models . . . 154--168
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--168 (November 2016) . . . . . . ??
Myung Hwan Seo and
Yongcheol Shin Dynamic panels with threshold effect and
endogeneity . . . . . . . . . . . . . . 169--186
Francis J. DiTraglia Using invalid instruments on purpose:
Focused moment selection and averaging
for GMM . . . . . . . . . . . . . . . . 187--208
J. S. Shonkwiler Variance of the truncated negative
binomial distribution . . . . . . . . . 209--210
Francisco Blasques and
Siem Jan Koopman and
Andre Lucas and
Julia Schaumburg Spillover dynamics for systemic risk
measurement using spatial financial time
series models . . . . . . . . . . . . . 211--223
Yuhei Miyauchi Structural estimation of pairwise stable
networks with nonnegative externality 224--235
Jeremy T. Fox and
Kyoo il Kim and
Chenyu Yang A simple nonparametric approach to
estimating the distribution of random
coefficients in structural models . . . 236--254
Heng Chen and
Yanqin Fan and
Ruixuan Liu Inference for the correlation
coefficient between potential outcomes
in the Gaussian switching regime model 255--270
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 169--270 (December 2016) . . . . . ??
Alexandre Poirier Efficient estimation in models with
independence restrictions . . . . . . . 1--22
Rasmus Sòndergaard Pedersen Inference and testing on the boundary in
extended constant conditional
correlation GARCH models . . . . . . . . 23--36
Jihyun Kim and
Joon Y. Park Asymptotics for recurrent diffusions
with application to high frequency
regression . . . . . . . . . . . . . . . 37--54
Atsushi Inoue and
Lu Jin and
Barbara Rossi Rolling window selection for
out-of-sample forecasting with
time-varying parameters . . . . . . . . 55--67
Guohua Feng and
Jiti Gao and
Bin Peng and
Xiaohui Zhang A varying-coefficient panel data model
with fixed effects: Theory and an
application to US commercial banks . . . 68--82
Yundong Tu and
Yanping Yi Forecasting cointegrated nonstationary
time series with time-varying variance 83--98
Offer Lieberman and
Peter C. B. Phillips A multivariate stochastic unit root
model with an application to derivative
pricing . . . . . . . . . . . . . . . . 99--110
Christian Gouriéroux and
Alain Monfort and
Jean-Paul Renne Statistical inference for independent
component analysis: Application to
structural VAR models . . . . . . . . . 111--126
Yoosoon Chang and
Yongok Choi and
Joon Y. Park A new approach to model regime switching 127--143
Pablo Guerron-Quintana and
Atsushi Inoue and
Lutz Kilian Impulse response matching estimators for
DSGE models . . . . . . . . . . . . . . 144--155
Shengjie Hong Inference in semiparametric conditional
moment models with partial
identification . . . . . . . . . . . . . 156--179
Peter C. B. Phillips and
Degui Li and
Jiti Gao Estimating smooth structural change in
cointegration models . . . . . . . . . . 180--195
Kai Yang and
Lung-fei Lee Identification and QML estimation of
multivariate and simultaneous equations
spatial autoregressive models . . . . . 196--214
Ana Beatriz Galvão Data revisions and DSGE models . . . . . 215--232
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--232 (January 2017) . . . . . . ??
Anonymous Announcement: 2016 Arnold Zellner Award iv--iv
Marc Hallin and
Davide La Vecchia R-estimation in semiparametric dynamic
location-scale models . . . . . . . . . 233--247
Yunus Emre Ergemen and
Carlos Velasco Estimation of fractionally integrated
panels with fixed effects and
cross-section dependence . . . . . . . . 248--258
Javier Hidalgo and
Marcia Schafgans Inference and testing breaks in large
dynamic panels with strong cross
sectional dependence . . . . . . . . . . 259--274
Donald W. K. Andrews and
Xiaoxia Shi Inference based on many conditional
moment inequalities . . . . . . . . . . 275--287
Markku Lanne and
Mika Meitz and
Pentti Saikkonen Identification and estimation of
non-Gaussian structural vector
autoregressions . . . . . . . . . . . . 288--304
C. Francq and
M. D. Jiménez-Gamero and
S. G. Meintanis Tests for conditional ellipticity in
multivariate GARCH models . . . . . . . 305--319
Yuya Sasaki and
Yi Xin Unequal spacing in dynamic panel data:
Identification and estimation . . . . . 320--330
Matt Goldman and
David M. Kaplan Fractional order statistic approximation
for nonparametric conditional quantile
inference . . . . . . . . . . . . . . . 331--346
Kris Boudt and
Sébastien Laurent and
Asger Lunde and
Rogier Quaedvlieg and
Orimar Sauri Positive semidefinite integrated
covariance estimation, factorizations
and asynchronicity . . . . . . . . . . . 347--367
O-Chia Chuang and
Chung-Ming Kuan and
Larry Y. Tzeng Testing for central dominance: Method
and application . . . . . . . . . . . . 368--378
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 233--378 (February 2017) . . . . . ??
Joseph P. Romano and
Michael Wolf Resurrecting weighted least squares . . 1--19
Yoann Potiron and
Per A. Mykland Estimation of integrated quadratic
covariation with endogenous sampling
times . . . . . . . . . . . . . . . . . 20--41
Yanqin Fan and
Emmanuel Guerre and
Dongming Zhu Partial identification of functionals of
the joint distribution of ``potential
outcomes'' . . . . . . . . . . . . . . . 42--59
Hande Karabiyik and
Simon Reese and
Joakim Westerlund On the role of the rank condition in CCE
estimation of factor-augmented panel
regressions . . . . . . . . . . . . . . 60--64
Kathleen T. Li and
David R. Bell Estimation of average treatment effects
with panel data: Asymptotic theory and
implementation . . . . . . . . . . . . . 65--75
Hongjun Li and
Qi Li and
Yutang Shi Determining the number of factors when
the number of factors can increase with
sample size . . . . . . . . . . . . . . 76--86
Badi H. Baltagi and
Chihwa Kao and
Fa Wang Identification and estimation of a large
factor model with structural instability 87--100
Daniele Massacci Least squares estimation of large
dimensional threshold factor models . . 101--129
Ulrich Hounyo Bootstrapping integrated covariance
matrix estimators in noisy
jump-diffusion models with
non-synchronous trading . . . . . . . . 130--152
Kohei Kawaguchi Testing rationality without restricting
heterogeneity . . . . . . . . . . . . . 153--171
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--172 (March 2017) . . . . . . . ??
Xi Qu and
Lung-fei Lee and
Jihai Yu QML estimation of spatial dynamic panel
data models with endogenous time varying
spatial weights matrices . . . . . . . . 173--201
Dalia Ghanem Testing identifying assumptions in
nonseparable panel data models . . . . . 202--217
Bent Jesper Christensen and
Rasmus Tangsgaard Varneskov Medium band least squares estimation of
fractional cointegration in the presence
of low-frequency contamination . . . . . 218--244
K. Christensen and
M. Podolskij and
N. Thamrongrat and
B. Veliyev Inference from high-frequency data: a
subsampling approach . . . . . . . . . . 245--272
Chi-san Ho and
Paul Damien and
Stephen Walker Bayesian mode regression using mixtures
of triangular densities . . . . . . . . 273--283
Jean Jacod and
Claudia Klüppelberg and
Gernot Müller Testing for non-correlation between
price and volatility jumps . . . . . . . 284--297
Min Seong Kim and
Yixiao Sun and
Jingjing Yang A fixed-bandwidth view of the
pre-asymptotic inference for kernel
smoothing with time series data . . . . 298--322
Wei Shi and
Lung-fei Lee Spatial dynamic panel data models with
interactive fixed effects . . . . . . . 323--347
Indeewara Perera and
Hira L. Koul Fitting a two phase threshold
multiplicative error model . . . . . . . 348--367
Yaxing Yang and
Shiqing Ling Self-weighted LAD-based inference for
heavy-tailed threshold autoregressive
models . . . . . . . . . . . . . . . . . 368--381
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 173--382 (April 2017) . . . . . . ??
Guillaume Chevillon and
Sophocles Mavroeidis Learning can generate long memory . . . 1--9
Ulrich Hounyo and
Rasmus T. Varneskov A local stable bootstrap for power
variations of pure-jump semimartingales
and activity index estimation . . . . . 10--28
Tao Chen and
Gautam Tripathi A simple consistent test of conditional
symmetry in symmetrically trimmed tobit
models . . . . . . . . . . . . . . . . . 29--40
Barbara Sianesi Evidence of randomisation bias in a
large-scale social experiment: The case
of ERA . . . . . . . . . . . . . . . . . 41--64
Chao Yang and
Lung-fei Lee Social interactions under incomplete
information with heterogeneous
expectations . . . . . . . . . . . . . . 65--83
Liangjun Su and
Xia Wang On time-varying factor models:
Estimation and testing . . . . . . . . . 84--101
Kunpeng Li Fixed-effects dynamic spatial panel data
models and impulse response analysis . . 102--121
Massimiliano Caporin and
Eduardo Rossi and
Paolo Santucci de Magistris Chasing volatility: a persistent
multiplicative error model with jumps 122--145
Sergio Firpo and
Antonio F. Galvao and
Suyong Song Measurement errors in quantile
regression models . . . . . . . . . . . 146--164
Giuseppe Cavaliere and
Morten Òrregaard Nielsen and
A. M. Robert Taylor Quasi-maximum likelihood estimation and
bootstrap inference in fractional time
series models with heteroskedasticity of
unknown form . . . . . . . . . . . . . . 165--188
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--188 (May 2017) . . . . . . . . ??
Dennis Kristensen and
Bernard Salanié Higher-order properties of approximate
estimators . . . . . . . . . . . . . . . 189--208
Andreea G. Halunga and
Chris D. Orme and
Takashi Yamagata A heteroskedasticity robust
Breusch--Pagan test for Contemporaneous
correlation in dynamic panel data models 209--230
Sílvia Gonçalves and
Michael W. McCracken and
Benoit Perron Tests of equal accuracy for nested
models with estimated factors . . . . . 231--252
Stelios Arvanitis and
Nikolas Topaloglou Testing for prospect and Markowitz
stochastic dominance efficiency . . . . 253--270
Rocco Mosconi and
Paolo Paruolo Identification conditions in
simultaneous systems of cointegrating
equations with integrated variables of
higher order . . . . . . . . . . . . . . 271--276
Jungbin Hwang and
Yixiao Sun Asymptotic F and t tests in an efficient
GMM setting . . . . . . . . . . . . . . 277--295
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 189--296 (June 2017) . . . . . . . ??
Niels Haldrup and
J. Eduardo Vera Valdés Long memory, fractional integration, and
cross-sectional aggregation . . . . . . 1--11
Emir Malikov and
Yiguo Sun Semiparametric estimation and testing of
smooth coefficient spatial
autoregressive models . . . . . . . . . 12--34
Alexander Torgovitsky Minimum distance from independence
estimation of nonseparable instrumental
variables models . . . . . . . . . . . . 35--48
Majid M. Al-Sadoon A unifying theory of tests of rank . . . 49--62
Sukjin Han and
Edward J. Vytlacil Identification in a generalization of
bivariate probit models with dummy
endogenous regressors . . . . . . . . . 63--73
Mario Forni and
Marc Hallin and
Marco Lippi and
Paolo Zaffaroni Dynamic factor models with
infinite-dimensional factor space:
Asymptotic analysis . . . . . . . . . . 74--92
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--92 (July 2017) . . . . . . . . ??
Dan Slottje The creative mind in econometrics:
Studies in celebration of Robert
Basmann's 90th year on causation,
identification and structural equation
estimation . . . . . . . . . . . . . . . 93--95
Peter C. B. Phillips and
Wayne Yuan Gao Structural inference from reduced forms
with many instruments . . . . . . . . . 96--116
Esfandiar Maasoumi and
Le Wang What can we learn about the racial gap
in the presence of sample selection? . . 117--130
Christine Amsler and
Artem Prokhorov and
Peter Schmidt Endogenous environmental variables in
stochastic frontier models . . . . . . . 131--140
Ian K. McDonough and
Daniel L. Millimet Missing data, imputation, and
endogeneity . . . . . . . . . . . . . . 141--155
Tirthatanmoy Das and
Solomon W. Polachek Estimating labor force joiners and
leavers using a heterogeneity augmented
two-tier stochastic frontier . . . . . . 156--172
Joe Hirschberg and
Jenny Lye Inverting the indirect --- The ellipse
and the boomerang: Visualizing the
confidence intervals of the structural
coefficient from two-stage least squares 173--183
Badi H. Baltagi and
Peter H. Egger and
Michaela Kesina Determinants of firm-level domestic
sales and exports with spillovers:
Evidence from China . . . . . . . . . . 184--201
Manabu Asai and
Chia-Lin Chang and
Michael McAleer Realized stochastic volatility with
general asymmetry and long memory . . . 202--212
Donald W. K. Andrews Examples of $ L^2 $-complete and
boundedly-complete distributions . . . . 213--220
Hang K. Ryu and
Daniel J. Slottje Maximum entropy estimation of income
distributions from Basmann's weighted
geometric mean measure . . . . . . . . . 221--231
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Paulo M. D. C. Parente and
Richard J. Smith Tests of additional conditional moment
restrictions . . . . . . . . . . . . . . 1--16
Adam McCloskey Bonferroni-based size-correction for
nonstandard testing problems . . . . . . 17--35
Jia Li and
Viktor Todorov and
George Tauchen Adaptive estimation of continuous-time
regression models using high-frequency
data . . . . . . . . . . . . . . . . . . 36--47
Yingyao Hu and
Susanne M. Schennach and
Ji-Liang Shiu Injectivity of a class of integral
operators with compactly supported
kernels . . . . . . . . . . . . . . . . 48--58
Jushan Bai and
Yuan Liao Inferences in panel data with
interactive effects using large
covariance matrices . . . . . . . . . . 59--78
Richard Y. Chen and
Per A. Mykland Model-free approaches to discern
non-stationary microstructure noise and
time-varying liquidity in high-frequency
data . . . . . . . . . . . . . . . . . . 79--103
Chaohua Dong and
Jiti Gao and
Dag Tjòstheim and
Jiying Yin Specification testing for nonlinear
multivariate cointegrating regressions 104--117
Christian Gourieroux and
Joann Jasiak Noncausal vector autoregressive process:
Representation, identification and
semi-parametric estimation . . . . . . . 118--134
Igor Kheifets and
Carlos Velasco New goodness-of-fit diagnostics for
conditional discrete response models . . 135--149
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--150 (September 2017) . . . . . ??
Yingyao Hu and
Tom Wansbeek Measurement error models: Editors'
introduction . . . . . . . . . . . . . . 151--153
Yingyao Hu The econometrics of unobservables:
Applications of measurement error models
in empirical industrial organization and
labor economics . . . . . . . . . . . . 154--168
Erik Meijer and
Laura Spierdijk and
Tom Wansbeek Consistent estimation of linear panel
data models with measurement error . . . 169--180
Nikolay Gospodinov and
Ivana Komunjer and
Serena Ng Simulated minimum distance estimation of
dynamic models with errors-in-variables 181--193
Tanya P. Garcia and
Yanyuan Ma Simultaneous treatment of unspecified
heteroskedastic model error distribution
and mismeasured covariates for
restricted moment models . . . . . . . . 194--206
Dan Ben-Moshe and
Xavier D'Haultf\oeuille and
Arthur Lewbel Identification of additive and
polynomial models of mismeasured
regressors without instruments . . . . . 207--222
Andrew Chesher Understanding the effect of measurement
error on quantile regressions . . . . . 223--237
Jinyong Hahn and
Geert Ridder Instrumental variable estimation of
nonlinear models with nonclassical
measurement error using control
variables . . . . . . . . . . . . . . . 238--250
Nayoung Lee and
Hyungsik Roger Moon and
Qiankun Zhou Many IVs estimation of dynamic panel
regression models with measurement error 251--259
Laurent Davezies and
Thomas Le Barbanchon Regression discontinuity design with
continuous measurement error in the
running variable . . . . . . . . . . . . 260--281
Christopher R. Bollinger and
Martijn van Hasselt Bayesian moment-based inference in a
regression model with misclassification
error . . . . . . . . . . . . . . . . . 282--294
Bruce D. Meyer and
Nikolas Mittag Misclassification in binary choice
models . . . . . . . . . . . . . . . . . 295--311
Xiaohong Chen and
Oliver Linton and
Yanping Yi Semiparametric identification of the
bid-ask spread in extended Roll models 312--325
Yonghong An Identification of first-price auctions
with non-equilibrium beliefs: a
measurement error approach . . . . . . . 326--343
Erich Battistin and
Michele De Nadai and
Daniela Vuri Counting rotten apples: Student
achievement and score manipulation in
Italian elementary Schools . . . . . . . 344--362
Wiji Arulampalam and
Valentina Corradi and
Daniel Gutknecht Modeling heaped duration data: an
application to neonatal mortality . . . 363--377
Tilman Drerup and
Benjamin Enke and
Hans-Martin von Gaudecker The precision of subjective data and the
explanatory power of economic models . . 378--389
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Ke-Li Xu Regression discontinuity with
categorical outcomes . . . . . . . . . . 1--18
Neil Shephard and
Dacheng Xiu Econometric analysis of multivariate
realised QML: Estimation of the
covariation of equity prices under
asynchronous trading . . . . . . . . . . 19--42
Prosper Dovonon and
Sílvia Gonçalves Bootstrapping the GMM overidentification
test under first-order
underidentification . . . . . . . . . . 43--71
Jeffrey S. Racine and
Kevin Li Nonparametric conditional quantile
estimation: a locally weighted quantile
kernel approach . . . . . . . . . . . . 72--94
Jerome M. Krief Direct instrumental nonparametric
estimation of inverse regression
functions . . . . . . . . . . . . . . . 95--107
Joel L. Horowitz and
Sokbae Lee Nonparametric estimation and inference
under shape restrictions . . . . . . . . 108--126
Selma Chaker On high frequency estimation of the
frictionless price: The use of observed
liquidity variables . . . . . . . . . . 127--143
Stefan Hoderlein and
Hajo Holzmann and
Alexander Meister The triangular model with random
coefficients . . . . . . . . . . . . . . 144--169
Sune Karlsson Corrigendum to ``Bayesian reduced rank
regression in econometrics'' [J.
Econometrics 75 (1996) 121--146] . . . . 170--171
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--172 (November 2017) . . . . . . ??
S. Darolles and
Alain Monfort and
Eric Renault Editors' introduction . . . . . . . . . 173--175
Patrick Gagliardini and
Christian Gouriéroux Double instrumental variable estimation
of interaction models with big data . . 176--197
A. Ronald Gallant and
Raffaella Giacomini and
Giuseppe Ragusa Bayesian estimation of state space
models using moment conditions . . . . . 198--211
David T. Frazier and
Eric Renault Efficient two-step estimation via
targeting . . . . . . . . . . . . . . . 212--227
Russell Davidson A discrete model for bootstrap iteration 228--236
Stéphane Bonhomme and
Koen Jochmans and
Jean-Marc Robin Nonparametric estimation of
non-exchangeable latent-variable models 237--248
Nianqing Liu and
Quang Vuong and
Haiqing Xu Rationalization and identification of
binary games with correlated types . . . 249--268
David Benatia and
Marine Carrasco and
Jean-Pierre Florens Functional linear regression with
functional response . . . . . . . . . . 269--291
Jianqing Fan and
Lingzhou Xue and
Jiawei Yao Sufficient forecasting using factor
models . . . . . . . . . . . . . . . . . 292--306
Matteo Barigozzi and
Marc Hallin Generalized dynamic factor models and
volatilities: estimation and forecasting 307--321
Francis X. Diebold and
Frank Schorfheide and
Minchul Shin Real-time forecast evaluation of DSGE
models with stochastic volatility . . . 322--332
Robert Engle and
Guillaume Roussellet and
Emil Siriwardane Scenario generation for long run
interest rate risk assessment . . . . . 333--347
Alain Monfort and
Fulvio Pegoraro and
Jean-Paul Renne and
Guillaume Roussellet Staying at zero with affine processes:
an application to term structure
modelling . . . . . . . . . . . . . . . 348--366
Serge Darolles and
Gaëlle Le Fol and
Gulten Mero Mixture of distribution hypothesis:
Analyzing daily liquidity frictions and
information flows . . . . . . . . . . . 367--383
Yacine A\"\it-Sahalia and
Dacheng Xiu Using principal component analysis to
estimate a high dimensional factor model
with high-frequency data . . . . . . . . 384--399
Ye Chen and
Peter C. B. Phillips and
Jun Yu Inference in continuous systems with
mildly explosive regressors . . . . . . 400--416
Jia Li and
Viktor Todorov and
George Tauchen and
Rui Chen Mixed-scale jump regressions with
bootstrap inference . . . . . . . . . . 417--432
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Dong Li and
Xingfa Zhang and
Ke Zhu and
Shiqing Ling The ZD-GARCH model: a new way to study
heteroscedasticity . . . . . . . . . . . 1--17
Mardi Dungey and
Deniz Erdemlioglu and
Marius Matei and
Xiye Yang Testing for mutually exciting jumps and
financial flights in high frequency data 18--44
Jin Seo Cho and
Peter C. B. Phillips Pythagorean generalization of testing
the equality of two symmetric positive
definite matrices . . . . . . . . . . . 45--56
Niansheng Tang and
Xiaodong Yan and
Puying Zhao Exponentially tilted likelihood
inference on growing dimensional
unconditional moment models . . . . . . 57--74
Gustavo Fruet Dias and
George Kapetanios Estimation and forecasting in vector
autoregressive moving average models for
rich datasets . . . . . . . . . . . . . 75--91
Abhimanyu Gupta and
Peter M. Robinson Pseudo maximum likelihood estimation of
spatial autoregressive models with
increasing dimension . . . . . . . . . . 92--107
Badi H. Baltagi and
Georges Bresson and
Anoop Chaturvedi and
Guy Lacroix Robust linear static panel data models
using $ \epsilon $-contamination . . . . 108--123
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--124 (January 2018) . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Xu Han Estimation and inference of dynamic
structural factor models with
over-identifying restrictions . . . . . 125--147
Songnian Chen and
Yahong Zhou and
Yuanyuan Ji Nonparametric identification and
estimation of sample selection models
under symmetry . . . . . . . . . . . . . 148--160
Federico Belotti and
Giuseppe Ilardi Consistent inference in fixed-effects
stochastic frontier models . . . . . . . 161--177
Eunju Hwang and
Dong Wan Shin Two-stage stationary bootstrapping for
bivariate average realized volatility
matrix under market microstructure noise
and asynchronicity . . . . . . . . . . . 178--195
Ying Zhu Sparse linear models and $
l_1$-regularized 2SLS with
high-dimensional endogenous regressors
and instruments . . . . . . . . . . . . 196--213
Sòren Johansen and
Morten Òrregaard Nielsen The cointegrated vector autoregressive
model with general deterministic terms 214--229
Huazhen Lin and
Lixian Pan and
Shaogao Lv and
Wenyang Zhang Efficient estimation and computation for
the generalised additive models with
unknown link function . . . . . . . . . 230--244
Bin Chen and
Liquan Huang Nonparametric testing for smooth
structural changes in panel data models 245--267
Christoph Breunig and
Enno Mammen and
Anna Simoni Nonparametric estimation in case of
endogenous selection . . . . . . . . . . 268--285
Youquan Pei and
Tao Huang and
Jinhong You Nonparametric fixed effects model for
panel data with locally stationary
regressors . . . . . . . . . . . . . . . 286--305
Hidehiko Ichimura and
Sokbae Lee Corrigendum to ``Characterization of the
asymptotic distribution of
semiparametric $M$-estimators'' [J.
Econometrics 159 (2) (2010) 252--266] 306--307
Anonymous Announcement . . . . . . . . . . . . . . 308--308
Anonymous Announcement . . . . . . . . . . . . . . 309--309
Anonymous Pages 125--310 (February 2018) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Xinyu Zhang and
Jihai Yu Spatial weights matrix selection and
model averaging for spatial
autoregressive models . . . . . . . . . 1--18
A. Ronald Gallant and
Han Hong and
Ahmed Khwaja A Bayesian approach to estimation of
dynamic models with small and large
number of heterogeneous players and
latent serially correlated states . . . 19--32
Philipp Sibbertsen and
Christian Leschinski and
Marie Busch A multivariate test against spurious
long memory . . . . . . . . . . . . . . 33--49
Ping Yu and
Peter C. B. Phillips Threshold regression with endogeneity 50--68
Donggyu Kim and
Xin-Bing Kong and
Cui-Xia Li and
Yazhen Wang Adaptive thresholding for large
volatility matrix estimation based on
high-frequency financial data . . . . . 69--79
Abhimanyu Gupta Autoregressive spatial spectral
estimates . . . . . . . . . . . . . . . 80--95
Xingbai Xu and
Lung-fei Lee Sieve maximum likelihood estimation of
the spatial autoregressive Tobit model 96--112
Pavel Cízek and
Jinghua Lei Identification and estimation of
nonseparable single-index models in
panel data with correlated random
effects . . . . . . . . . . . . . . . . 113--128
Xavier D'Haultf\oeuille and
Arnaud Maurel and
Yichong Zhang Extremal quantile regressions for
selection models and the black-white
wage gap . . . . . . . . . . . . . . . . 129--142
Mehmet Caner and
Anders Bredahl Kock Asymptotically honest confidence regions
for high dimensional parameters by the
desparsified conservative Lasso . . . . 143--168
Abhimanyu Gupta Nonparametric specification testing via
the trinity of tests . . . . . . . . . . 169--185
Anonymous Pages 1--186 (March 2018) . . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Yingying Li and
Zhiyuan Zhang and
Yichu Li A unified approach to volatility
estimation in the presence of both
rounding and random market
microstructure noise . . . . . . . . . . 187--222
Jia Li and
Andrew J. Patton Asymptotic inference about predictive
accuracy using high frequency data . . . 223--240
Timothy B. Armstrong On the choice of test statistic for
conditional moment inequalities . . . . 241--255
H. Peter Boswijk and
Roger J. A. Laeven and
Xiye Yang Testing for self-excitation in jumps . . 256--266
Maria Kalli and
Jim E. Griffin Bayesian nonparametric vector
autoregressive models . . . . . . . . . 267--282
Irene Botosaru and
Yuya Sasaki Nonparametric heteroskedasticity in
persistent panel processes: an
application to earnings dynamics . . . . 283--296
Dante Amengual and
Dacheng Xiu Resolution of policy uncertainty and
sudden declines in volatility . . . . . 297--315
Bulat Gafarov and
Matthias Meier and
José Luis Montiel Olea Delta-method inference for a class of
set-identified SVARs . . . . . . . . . . 316--327
Ruli Xiao Identification and estimation of
incomplete information games with
multiple equilibria . . . . . . . . . . 328--343
Masayuki Hirukawa and
Artem Prokhorov Consistent estimation of linear
regression models using matched data . . 344--358
Yiguo Sun and
Emir Malikov Estimation and inference in
functional-coefficient spatial
autoregressive panel data models with
fixed effects . . . . . . . . . . . . . 359--378
Anonymous Pages 187--378 (April 2018) . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Giuseppe De Luca and
Jan R. Magnus and
Franco Peracchi Weighted-average least squares
estimation of generalized linear models 1--17
Zhi Liu and
Xin-Bing Kong and
Bing-Yi Jing Estimating the integrated volatility
using high-frequency data with zero
durations . . . . . . . . . . . . . . . 18--32
Kay Giesecke and
Gustavo Schwenkler Filtered likelihood for point processes 33--53
Guillaume Chevillon and
Alain Hecq and
Sébastien Laurent Generating univariate fractional
integration within a large VAR(1) . . . 54--65
Tatsushi Oka and
Pierre Perron Testing for common breaks in a multiple
equations system . . . . . . . . . . . . 66--85
Michal Kolesár Minimum distance approach to inference
with many instruments . . . . . . . . . 86--100
Iliyan Georgiev and
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for parameter instability in
predictive regression models . . . . . . 101--118
Joachim Freyberger and
Yoshiyasu Rai Uniform confidence bands:
Characterization and optimality . . . . 119--130
Anonymous Pages 1--130 (May 2018) . . . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Scott E. Atkinson and
Daniel Primont and
Mike G. Tsionas Statistical inference in efficient
production with bad inputs and outputs
using latent prices and optimal
directions . . . . . . . . . . . . . . . 131--146
Yoon-Jin Lee and
Ryo Okui and
Mototsugu Shintani Asymptotic inference for dynamic panel
estimators of infinite order
autoregressive processes . . . . . . . . 147--158
Soohun Kim and
Georgios Skoulakis Ex-post risk premia estimation and asset
pricing tests using large cross
sections: The regression-calibration
approach . . . . . . . . . . . . . . . . 159--188
Gaurab Aryal and
Serafin Grundl and
Dong-Hyuk Kim and
Yu Zhu Empirical relevance of ambiguity in
first-price auctions . . . . . . . . . . 189--206
Ying-Ying Lee Efficient propensity score regression
estimators of multivalued treatment
effects for the treated . . . . . . . . 207--222
Serge Darolles and
Christian Francq and
Sébastien Laurent Asymptotics of Cholesky GARCH models and
time-varying conditional betas . . . . . 223--247
Valentina Corradi and
Mervyn J. Silvapulle and
Norman R. Swanson Testing for jumps and jump intensity
path dependence . . . . . . . . . . . . 248--267
Bertille Antoine and
Otilia Boldea Efficient estimation with time-varying
information and the New Keynesian
Phillips Curve . . . . . . . . . . . . . 268--300
Xin-Bing Kong and
Cheng Liu Testing against constant factor loading
matrix with large panel high-frequency
data . . . . . . . . . . . . . . . . . . 301--319
Anonymous Pages 131--320 (June 2018) . . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Roxana Halbleib and
Dennis Kristensen and
Eric Renault and
David Veredas Issue of the Annals of Econometrics on
Indirect Estimation Methods in Finance
and Economics . . . . . . . . . . . . . 1--5
Joachim Grammig and
Eva-Maria Küchlin A two-step indirect inference approach
to estimate the long-run risk asset
pricing model . . . . . . . . . . . . . 6--33
Francisco Blasques and
Artem Duplinskiy Penalized indirect inference . . . . . . 34--54
Saraswata Chaudhuri and
David T. Frazier and
Eric Renault Indirect Inference with endogenously
missing exogenous variables . . . . . . 55--75
Prosper Dovonon and
Alastair R. Hall The asymptotic properties of GMM and
indirect inference under second-order
identification . . . . . . . . . . . . . 76--111
Jean-Jacques Forneron and
Serena Ng The ABC of simulation estimation with
auxiliary statistics . . . . . . . . . . 112--139
A. Ronald Gallant and
George Tauchen Exact Bayesian moment based inference
for the distribution of the small-time
movements of an Itô semimartingale . . . 140--155
Liang Jiang and
Xiaohu Wang and
Jun Yu New distribution theory for the
estimation of structural break point in
mean . . . . . . . . . . . . . . . . . . 156--176
Marianne Bruins and
James A. Duffy and
Michael P. Keane and
Anthony A. Smith Generalized indirect inference for
discrete choice models . . . . . . . . . 177--203
Rolf Golombek and
Arvid Raknerud Exit dynamics of start-up firms:
Structural estimation using indirect
inference . . . . . . . . . . . . . . . 204--225
Christian Gourieroux and
Joann Jasiak Misspecification of noncausal order in
autoregressive processes . . . . . . . . 226--248
Gabriele Fiorentini and
Alessandro Galesi and
Enrique Sentana A spectral EM algorithm for dynamic
factor models . . . . . . . . . . . . . 249--279
Giorgio Calzolari and
Roxana Halbleib Estimating stable latent factor models
by indirect inference . . . . . . . . . 280--301
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Federico Zincenko Nonparametric estimation of first-price
auctions with risk-averse bidders . . . 303--335
Kim Christensen and
Ulrich Hounyo and
Mark Podolskij Is the diurnal pattern sufficient to
explain intraday variation in
volatility? A nonparametric assessment 336--362
Huazhen Lin and
Fanyin Zhou and
Qiuxia Wang and
Ling Zhou and
Jing Qin Robust and efficient estimation for the
treatment effect in causal inference and
missing data problems . . . . . . . . . 363--380
Christian Francq and
Jean-Michel Zako\"\ian Estimation risk for the VaR of
portfolios driven by semi-parametric
multivariate models . . . . . . . . . . 381--401
Grant Hillier and
Federico Martellosio Exact and higher-order properties of the
MLE in spatial autoregressive models,
with applications to inference . . . . . 402--422
Zhenlin Yang Unified $M$-estimation of fixed-effects
spatial dynamic models with short panels 423--447
Johan Vikström and
Geert Ridder and
Martin Weidner Bounds on treatment effects on
transitions . . . . . . . . . . . . . . 448--469
Guangyu Mao and
Zhengjun Zhang Stochastic tail index model for high
frequency financial data with Bayesian
analysis . . . . . . . . . . . . . . . . 470--487
Rohit Kumar Patra and
Emilio Seijo and
Bodhisattva Sen A consistent bootstrap procedure for the
maximum score estimator . . . . . . . . 488--507
Richard A. Davis and
Holger Drees and
Johan Segers and
Michal Warchol Inference on the tail process with
application to financial time series
modeling . . . . . . . . . . . . . . . . 508--525
Anonymous Pages 303--526 (August 2018) . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Yanqin Fan and
Ruixuan Liu Partial identification and inference in
censored quantile regression . . . . . . 1--38
Le-Yu Chen and
Sokbae Lee Best subset binary prediction . . . . . 39--56
Jinyuan Chang and
Yumou Qiu and
Qiwei Yao and
Tao Zou Confidence regions for entries of a
large precision matrix . . . . . . . . . 57--82
Fabian Dunker and
Stefan Hoderlein and
Hiroaki Kaido and
Robert Sherman Nonparametric identification of the
distribution of random coefficients in
binary response static games of complete
information . . . . . . . . . . . . . . 83--102
Simon Clinet and
Yoann Potiron Efficient asymptotic variance reduction
when estimating volatility in high
frequency data . . . . . . . . . . . . . 103--142
Matt Goldman and
David M. Kaplan Comparing distributions by multiple
testing across quantiles or CDF values 143--166
Thierry Post and
Selçuk Karabati and
Stelios Arvanitis Portfolio optimization based on
stochastic dominance and empirical
likelihood . . . . . . . . . . . . . . . 167--186
Matteo Barigozzi and
Haeran Cho and
Piotr Fryzlewicz Simultaneous multiple change-point and
factor analysis for high-dimensional
time series . . . . . . . . . . . . . . 187--225
Clifford Lam and
Phoenix Feng A nonparametric eigenvalue-regularized
integrated covariance matrix estimator
for asset return data . . . . . . . . . 226--257
Ke-Li Xu A semi-nonparametric estimator of
regression discontinuity design with
discrete duration outcomes . . . . . . . 258--278
Anonymous Pages 1--278 (September 2018) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Zongwu Cai and
Yongmiao Hong and
Cheng Hsiao Advance in theoretical econometrics ---
Essays in honor of Takeshi Amemiya . . . 279--281
Peter M. Robinson and
Carlos Velasco Inference on trending panel data . . . . 282--304
Bryan S. Graham and
Jinyong Hahn and
Alexandre Poirier and
James L. Powell A quantile correlated random
coefficients panel data model . . . . . 305--335
Fei Jin and
Lung-fei Lee Irregular N2SLS and LASSO estimation of
the matrix exponential spatial
specification model . . . . . . . . . . 336--358
Tingting Cheng and
Jiti Gao and
Peter C. B. Phillips A frequentist approach to Bayesian
asymptotics . . . . . . . . . . . . . . 359--378
Han Hong and
Jessie Li The numerical delta method . . . . . . . 379--394
Brantly Callaway and
Tong Li and
Tatsushi Oka Quantile treatment effects in difference
in differences models under dependence
restrictions and with only two time
periods . . . . . . . . . . . . . . . . 395--413
Yuying Sun and
Ai Han and
Yongmiao Hong and
Shouyang Wang Threshold autoregressive models for
interval-valued time series data . . . . 414--446
Miguel A. Delgado and
Xiaojun Song Nonparametric tests for conditional
symmetry . . . . . . . . . . . . . . . . 447--471
Yan-Yu Chiou and
Mei-Yuan Chen and
Jau-er Chen Nonparametric regression with multiple
thresholds: Estimation and inference . . 472--514
Songnian Chen and
Xi Wang Semiparametric estimation of panel data
models without monotonicity or
separability . . . . . . . . . . . . . . 515--530
Zongwu Cai and
Linna Chen and
Ying Fang A semiparametric quantile panel data
model with an application to estimating
the growth effect of FDI . . . . . . . . 531--553
Liangjun Su and
Gaosheng Ju Identifying latent grouped patterns in
panel data models with interactive fixed
effects . . . . . . . . . . . . . . . . 554--573
Kunpeng Li and
Qi Li and
Lina Lu Quasi maximum likelihood analysis of
high dimensional constrained factor
models . . . . . . . . . . . . . . . . . 574--612
Hyungsik Roger Moon and
Matthew Shum and
Martin Weidner Estimation of random coefficients logit
demand models with interactive fixed
effects . . . . . . . . . . . . . . . . 613--644
Cheng Hsiao Panel models with interactive effects 645--673
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Shujie Ma and
Liangjun Su Estimation of large dimensional factor
models with an unknown number of breaks 1--29
Songnian Chen Sequential estimation of censored
quantile regression models . . . . . . . 30--52
Juwon Seo Tests of stochastic monotonicity with
improved power . . . . . . . . . . . . . 53--70
Tim Bollerslev and
Andrew J. Patton and
Rogier Quaedvlieg Modeling and forecasting (un)reliable
realized covariances for more reliable
financial decisions . . . . . . . . . . 71--91
Xiaodong Liu and
Ingmar R. Prucha A robust test for network generated
dependence . . . . . . . . . . . . . . . 92--113
Cheng Hsiao and
Qiankun Zhou Incidental parameters, initial
conditions and sample size in
statistical inference for dynamic panel
data models . . . . . . . . . . . . . . 114--128
Kengo Kato and
Yuya Sasaki Uniform confidence bands in
deconvolution with unknown error
distribution . . . . . . . . . . . . . . 129--161
Qianqian Zhu and
Yao Zheng and
Guodong Li Linear double autoregression . . . . . . 162--174
Zijian Guo and
Hyunseung Kang and
T. Tony Cai and
Dylan S. Small Testing endogeneity with high
dimensional covariates . . . . . . . . . 175--187
Wenjie Wang and
Firmin Doko Tchatoka On Bootstrap inconsistency and
Bonferroni-based size-correction for the
subset Anderson--Rubin test under
conditional homoskedasticity . . . . . . 188--211
Chaohua Dong and
Oliver Linton Additive nonparametric models with time
variable and both stationary and
nonstationary regressors . . . . . . . . 212--236
Yong Li and
Jun Yu and
Tao Zeng Specification tests based on MCMC output 237--260
Anonymous Pages 1--260 (November 2018) . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Qiying Wang and
Dongsheng Wu and
Ke Zhu Model checks for nonlinear cointegrating
regression . . . . . . . . . . . . . . . 261--284
Philipp Ketz Subvector inference when the true
parameter vector may be near or at the
boundary . . . . . . . . . . . . . . . . 285--306
Rongmao Zhang and
Ngai Hang Chan Portmanteau-type tests for unit-root and
cointegration . . . . . . . . . . . . . 307--324
Zifeng Zhao and
Zhengjun Zhang and
Rong Chen Modeling maxima with autoregressive
conditional Fréchet model . . . . . . . . 325--351
Carlos Carvalho and
Ricardo Masini and
Marcelo C. Medeiros ArCo: an artificial counterfactual
approach for high-dimensional panel
time-series data . . . . . . . . . . . . 352--380
Jungbin Hwang and
Yixiao Sun Should we go one step further? An
accurate comparison of one-step and
two-step procedures in a generalized
method of moments framework . . . . . . 381--405
Benedikt M. Pötscher and
David Preinerstorfer Controlling the size of autocorrelation
robust tests . . . . . . . . . . . . . . 406--431
Jialiang Li and
Wenyang Zhang and
Efang Kong Factor models for asset returns based on
transformed factors . . . . . . . . . . 432--448
Anonymous Pages 261--448 (December 2018) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Oliver Linton and
Zhengjun Zhang Editorial for the special issue on
financial engineering and risk
management for JoE . . . . . . . . . . . 1--4
Jianqing Fan and
Weichen Wang and
Yiqiao Zhong Robust covariance estimation for
approximate factor models . . . . . . . 5--22
Markus Pelger Large-dimensional factor modeling based
on high-frequency observations . . . . . 23--42
Chaoxing Dai and
Kun Lu and
Dacheng Xiu Knowing factors or factor loadings, or
neither? Evaluating estimators of large
covariance matrices with noisy and
asynchronous data . . . . . . . . . . . 43--79
Jean Jacod and
Yingying Li and
Xinghua Zheng Estimating the integrated volatility
with tick observations . . . . . . . . . 80--100
Per A. Mykland and
Lan Zhang and
Dachuan Chen The algebra of two scales estimation,
and the S-TSRV: High frequency
estimation that is robust to sampling
times . . . . . . . . . . . . . . . . . 101--119
F. M. Bandi and
B. Perron and
A. Tamoni and
C. Tebaldi The scale of predictability . . . . . . 120--140
Xiaohui Liu and
Bingduo Yang and
Zongwu Cai and
Liang Peng A unified test for predictability of
asset returns regardless of properties
of predicting variables . . . . . . . . 141--159
Xiaohong Chen and
Oliver Linton and
Stefan Schneeberger and
Yanping Yi Semiparametric estimation of the bid-ask
spread in extended roll models . . . . . 160--178
José E. Figueroa-López and
Cecilia Mancini Optimum thresholding using mean and
conditional mean squared error . . . . . 179--210
Zhaoxing Gao and
Yingying Ma and
Hansheng Wang and
Qiwei Yao Banded spatio-temporal autoregressions 211--230
Dong Wang and
Xialu Liu and
Rong Chen Factor models for matrix-valued
high-dimensional time series . . . . . . 231--248
Ting Chen and
Zhenyu Gao and
Jibao He and
Wenxi Jiang and
Wei Xiong Daily price limits and destructive
market behavior . . . . . . . . . . . . 249--264
Harrison Hong and
Frank Weikai Li and
Jiangmin Xu Climate risks and market efficiency . . 265--281
Cathy Yi-Hsuan Chen and
Wolfgang Karl Härdle and
Yarema Okhrin Tail event driven networks of SIFIs . . 282--298
Yu Chen and
Zhicheng Wang and
Zhengjun Zhang Mark to market value at risk . . . . . . 299--321
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Anonymous Announcement . . . . . . . . . . . . . . 323--323
Hans Manner and
Florian Stark and
Dominik Wied Testing for structural breaks in factor
copula models . . . . . . . . . . . . . 324--345
Liquan Huang and
Umair Khalil and
Nese Yildiz Identification and estimation of a
triangular model with multiple
endogenous variables and insufficiently
many instrumental variables . . . . . . 346--366
Patrick Richard Residual bootstrap tests in linear
models with many regressors . . . . . . 367--394
Donggyu Kim and
Jianqing Fan Factor GARCH-Itô models for
high-frequency data with application to
large volatility matrix prediction . . . 395--417
Chong Liang and
Melanie Schienle Determination of vector error correction
models in high dimensions . . . . . . . 418--441
Hiroyuki Kasahara and
Katsumi Shimotsu Asymptotic properties of the maximum
likelihood estimator in regime switching
econometric models . . . . . . . . . . . 442--467
Yu-Chin Hsu and
Shu Shen Testing treatment effect heterogeneity
in regression discontinuity designs . . 468--486
Pierre Nguimkeu and
Augustine Denteh and
Rusty Tchernis On the estimation of treatment effects
with endogenous misreporting . . . . . . 487--506
Natalia Bailey and
M. Hashem Pesaran and
L. Vanessa Smith A multiple testing approach to the
regularisation of large sample
correlation matrices . . . . . . . . . . 507--534
Jakob Guldbæk Mikkelsen and
Eric Hillebrand and
Giovanni Urga Consistent estimation of time-varying
loadings in high-dimensional factor
models . . . . . . . . . . . . . . . . . 535--562
Yutec Sun and
Masakazu Ishihara A computationally efficient fixed point
approach to dynamic structural demand
estimation . . . . . . . . . . . . . . . 563--584
Fei Jin and
Lung-fei Lee GEL estimation and tests of spatial
autoregressive models . . . . . . . . . 585--612
Patrick Gagliardini and
Christian Gouriéroux Identification by Laplace transforms in
nonlinear time series and panel models
with unobserved stochastic dynamic
effects . . . . . . . . . . . . . . . . 613--637
Barbara Rossi and
Tatevik Sekhposyan Alternative tests for correct
specification of conditional predictive
densities . . . . . . . . . . . . . . . 638--657
Anonymous Pages 323--658 (February 2019) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Songnian Chen Quantile regression for duration models
with time-varying regressors . . . . . . 1--17
Ulrich K. Müller and
Yulong Wang Nearly weighted risk minimal unbiased
estimation . . . . . . . . . . . . . . . 18--34
Jun Liao and
Xianpeng Zong and
Xinyu Zhang and
Guohua Zou Model averaging based on
leave-subject-out cross-validation for
vector autoregressions . . . . . . . . . 35--60
Jianqing Fan and
Donggyu Kim Structured volatility matrix estimation
for non-synchronized high-frequency
financial data . . . . . . . . . . . . . 61--78
Antonio Merlo and
Xun Tang New results on the identification of
stochastic bargaining models . . . . . . 79--93
Chuhui Li and
D. S. Poskitt and
Xueyan Zhao The bivariate probit model, maximum
likelihood estimation, pseudo true
parameters and partial identification 94--113
Andras Fulop and
Junye Li Bayesian estimation of dynamic asset
pricing models with informative
observations . . . . . . . . . . . . . . 114--138
Atsushi Inoue and
Lutz Kilian Corrigendum to ``Inference on impulse
response functions in structural VAR
models'' [J. Econometrics 177 (2013)
1--13] . . . . . . . . . . . . . . . . . 139--143
Anonymous Pages 1--144 (March 2019) . . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Xuening Zhu and
Xiangyu Chang and
Runze Li and
Hansheng Wang Portal nodes screening for large scale
social networks . . . . . . . . . . . . 145--157
Markus Bibinger and
Christopher Neely and
Lars Winkelmann Estimation of the discontinuous leverage
effect: Evidence from the NASDAQ order
book . . . . . . . . . . . . . . . . . . 158--184
Jianning Kong and
Peter C. B. Phillips and
Donggyu Sul Weak $ \sigma $-convergence: Theory and
applications . . . . . . . . . . . . . . 185--207
Yubo Tao and
Peter C. B. Phillips and
Jun Yu Random coefficient continuous systems:
Testing for extreme sample path behavior 208--237
Marek Jaroci\'nski and
Albert Marcet Priors about observables in vector
autoregressions . . . . . . . . . . . . 238--255
Nian Yang and
Nan Chen and
Xiangwei Wan A new delta expansion for multivariate
diffusions via the Itô--Taylor expansion 256--288
Simon Clinet and
Yoann Potiron Testing if the market microstructure
noise is fully explained by the
informational content of some variables
from the limit order book . . . . . . . 289--337
Lajos Horváth and
Lorenzo Trapani Testing for randomness in a random
coefficient autoregression model . . . . 338--352
Clément Cerovecki and
Christian Francq and
Siegfried Hörmann and
Jean-Michel Zako\"\ian Functional GARCH models: the
quasi-likelihood approach and its
applications . . . . . . . . . . . . . . 353--375
Francis J. DiTraglia and
Camilo García-Jimeno Identifying the effect of a
mis-classified, binary, endogenous
regressor . . . . . . . . . . . . . . . 376--390
Tom Boot and
Didier Nibbering Forecasting using random subspace
methods . . . . . . . . . . . . . . . . 391--406
Anonymous Pages 145-406 (April 2019) . . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Sylvia Kaufmann and
Sylvia Frühwirth-Schnatter and
Herman K. van Dijk Editorial introduction on complexity and
big data in economics and finance:
Recent developments from a Bayesian
perspective . . . . . . . . . . . . . . 1--3
John Geweke and
Garland Durham Sequentially adaptive Bayesian learning
algorithms for inference and
optimization . . . . . . . . . . . . . . 4--25
Edward Herbst and
Frank Schorfheide Tempered particle filtering . . . . . . 26--44
Petros Dellaportas and
Mike G. Tsionas Importance sampling from posterior
distributions using copula-like
approximations . . . . . . . . . . . . . 45--57
Daniele Bianchi and
Monica Billio and
Roberto Casarin and
Massimo Guidolin Modeling systemic risk with Markov
Switching Graphical SUR models . . . . . 58--74
Angela Bitto and
Sylvia Frühwirth-Schnatter Achieving shrinkage in a time-varying
parameter model framework . . . . . . . 75--97
Gregor Kastner Sparse Bayesian time-varying covariance
estimation in many dimensions . . . . . 98--115
Sylvia Kaufmann and
Christian Schumacher Bayesian estimation of sparse dynamic
factor models with order-independent and
ex-post mode identification . . . . . . 116--134
Gary Koop and
Dimitris Korobilis and
Davide Pettenuzzo Bayesian compressed vector
autoregressions . . . . . . . . . . . . 135--154
Kenichiro McAlinn and
Mike West Dynamic Bayesian predictive synthesis in
time series forecasting . . . . . . . . 155--169
N. Bastürk and
A. Borowska and
S. Grassi and
L. Hoogerheide and
H. K. van Dijk Forecast density combinations of dynamic
models and data driven portfolio
strategies . . . . . . . . . . . . . . . 170--186
Mark Fisher and
Mark J. Jensen Bayesian inference and prediction of a
multiple-change-point panel model with
nonparametric priors . . . . . . . . . . 187--202
Vegard H. Larsen and
Leif A. Thorsrud The value of news for economic
developments . . . . . . . . . . . . . . 203--218
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Yacine A\"\it-Sahalia and
Andrew W. Lo and
Whitney K. Newey Annals Issue in Honor of Jerry A.
Hausman: Editors' Introduction . . . . . 1--3
Jerry Hausman An Econometric Life . . . . . . . . . . 4--10
Paul L. Joskow Jerry Hausman . . . . . . . . . . . . . 11--15
Magali Beffy and
Richard Blundell and
Antoine Bozio and
Guy Laroque and
Maxime Tô Labour supply and taxation with
restricted choices . . . . . . . . . . . 16--46
Sören Blomquist and
Laurent Simula Marginal deadweight loss when the income
tax is nonlinear . . . . . . . . . . . . 47--60
Matthew Harding and
Carlos Lamarche A panel quantile approach to attrition
bias in Big Data: Evidence from a
randomized experiment . . . . . . . . . 61--82
Rosa L. Matzkin Constructive identification in some
nonseparable discrete choice models . . 83--103
Victor Chernozhukov and
Iván Fernández-Val and
Whitney K. Newey Nonseparable multinomial choice models
in cross-section and panel data . . . . 104--116
Leah Isakov and
Andrew W. Lo and
Vahid Montazerhodjat Is the FDA too conservative or too
aggressive?: a Bayesian decision
analysis of clinical trial design . . . 117--136
Jeffrey M. Wooldridge Correlated random effects models with
unbalanced panels . . . . . . . . . . . 137--150
Jason Abrevaya Missing dependent variables in
fixed-effects models . . . . . . . . . . 151--165
Tiemen Woutersen and
Jerry A. Hausman Increasing the power of specification
tests . . . . . . . . . . . . . . . . . 166--175
Yacine A\"\it-Sahalia and
Dacheng Xiu A Hausman test for the presence of
market microstructure noise in high
frequency data . . . . . . . . . . . . . 176--205
Zhonghao Fu and
Yongmiao Hong A model-free consistent test for
structural change in regression possibly
with endogeneity . . . . . . . . . . . . 206--242
Guido M. Kuersteiner Invariance principles for dependent
processes indexed by Besov classes with
an application to a Hausman test for
linearity . . . . . . . . . . . . . . . 243--261
Jinyong Hahn and
Geert Ridder Three-stage semi-parametric inference:
Control variables and differentiability 262--293
Isaiah Andrews On the structure of IV estimands . . . . 294--307
Susanne M. Schennach Convolution without independence . . . . 308--318
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Shaojun Guo and
Dong Li and
Muyi Li Strict stationarity testing and GLAD
estimation of double autoregressive
models . . . . . . . . . . . . . . . . . 319--337
Yuan Liao and
Anna Simoni Bayesian inference for partially
identified smooth convex models . . . . 338--360
Ying-Ying Lee and
Debopam Bhattacharya Applied welfare analysis for discrete
choice with interval-data on income . . 361--387
Andrew J. Patton and
Johanna F. Ziegel and
Rui Chen Dynamic semiparametric models for
expected shortfall (and Value-at-Risk) 388--413
Jin Yan and
Hong Il Yoo Semiparametric estimation of the random
utility model with rank-ordered choice
data . . . . . . . . . . . . . . . . . . 414--438
Xin-Bing Kong and
Zhi Liu and
Wang Zhou A rank test for the number of factors
with high-frequency data . . . . . . . . 439--460
Michele Bergamelli and
Annamaria Bianchi and
Lynda Khalaf and
Giovanni Urga Combining $p$-values to test for
multiple structural breaks in
cointegrated regressions . . . . . . . . 461--482
Laurens Cherchye and
Thomas Demuynck and
Bram De Rock Bounding counterfactual demand with
unobserved heterogeneity and endogenous
expenditures . . . . . . . . . . . . . . 483--506
Jun Ma and
Vadim Marmer and
Artyom Shneyerov Inference for first-price auctions with
Guerre, Perrigne, and Vuong's estimator 507--538
Levent Kutlu and
Kien C. Tran and
Mike G. Tsionas A time-varying true individual effects
model with endogenous regressors . . . . 539--559
Yu Sun and
Karen X. Yan Inference on Difference-in-Differences
average treatment effects: a fixed-$b$
approach . . . . . . . . . . . . . . . . 560--588
Harold D. Chiang and
Yu-Chin Hsu and
Yuya Sasaki Robust uniform inference for quantile
treatment effects in regression
discontinuity designs . . . . . . . . . 589--618
Anonymous Pages 319-618 (August 2019) . . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Francis X. Diebold and
Eric Ghysels and
Per Mykland and
Lan Zhang Big data in dynamic predictive
econometric modeling . . . . . . . . . . 1--3
Torben G. Andersen and
Nicola Fusari and
Viktor Todorov and
Rasmus T. Varneskov Unified inference for nonlinear factor
models from panels with fixed and large
time span . . . . . . . . . . . . . . . 4--25
Martin M. Andreasen and
Jens H. E. Christensen and
Glenn D. Rudebusch Term Structure Analysis with Big Data:
One-Step Estimation Using Bond Prices 26--46
Andrii Babii and
Xi Chen and
Eric Ghysels Commercial and Residential Mortgage
Defaults: Spatial Dependence with
Frailty . . . . . . . . . . . . . . . . 47--77
Jushan Bai and
Serena Ng Rank regularized estimation of
approximate factor models . . . . . . . 78--96
Monica Billio and
Roberto Casarin and
Luca Rossini Bayesian nonparametric sparse VAR models 97--115
Tim Bollerslev and
Nour Meddahi and
Serge Nyawa High-dimensional multivariate realized
volatility estimation . . . . . . . . . 116--136
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Large Bayesian vector autoregressions
with stochastic volatility and
non-conjugate priors . . . . . . . . . . 137--154
Jia Chen and
Degui Li and
Oliver Linton A new semiparametric estimation approach
for large dynamic covariance matrices
with multiple conditioning variables . . 155--176
Jianqing Fan and
Wenyan Gong and
Ziwei Zhu Generalized high-dimensional trace
regression via nuclear norm
regularization . . . . . . . . . . . . . 177--202
Galina Hale and
Jose A. Lopez Monitoring banking system connectedness
with big data . . . . . . . . . . . . . 203--220
Nikolaus Hautsch and
Stefan Voigt Large-scale portfolio allocation under
transaction costs and model uncertainty 221--240
Dimitris Korobilis and
Davide Pettenuzzo Adaptive hierarchical priors for
high-dimensional vector autoregressions 241--271
Per Aslak Mykland Combining statistical intervals and
market prices: the worst case state
price distribution . . . . . . . . . . . 272--285
Katerina Petrova A quasi-Bayesian local likelihood
approach to time varying parameter VAR
models . . . . . . . . . . . . . . . . . 286--306
Alexei Onatski and
Chen Wang Extreme canonical correlations and
high-dimensional cointegration analysis 307--322
Simon C. Smith and
Allan Timmermann and
Yinchu Zhu Variable selection in panel models with
breaks . . . . . . . . . . . . . . . . . 323--344
Xuening Zhu and
Weining Wang and
Hansheng Wang and
Wolfgang Karl Härdle Network quantile autoregression . . . . 345--358
Anonymous Pages 359--678 (October 2019) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
F. Blasques and
P. Gorgi and
S. J. Koopman Accelerating score-driven time series
models . . . . . . . . . . . . . . . . . 359--376
Nazarii Salish and
Alexander Gleim A moment-based notion of time dependence
for functional time series . . . . . . . 377--392
Antoine A. Djogbenou and
James G. MacKinnon and
Morten Òrregaard Nielsen Asymptotic theory and wild bootstrap
inference with clustered errors . . . . 393--412
Philipp Ketz On asymptotic size distortions in the
random coefficients logit model . . . . 413--432
Xirong Chen and
Degui Li and
Qi Li and
Zheng Li Nonparametric estimation of conditional
quantile functions in the presence of
irrelevant covariates . . . . . . . . . 433--450
Ryo Okui and
Takahide Yanagi Panel data analysis with heterogeneous
dynamics . . . . . . . . . . . . . . . . 451--475
Heng Chen and
Yanqin Fan Identification and wavelet estimation of
weighted ATE under discontinuous and
kink incentive assignment mechanisms . . 476--502
Patrick Gagliardini and
Elisa Ossola and
Olivier Scaillet A diagnostic criterion for approximate
factor structure . . . . . . . . . . . . 503--521
Cecilia Machado and
Azeem M. Shaikh and
Edward J. Vytlacil Instrumental variables and the sign of
the average treatment effect . . . . . . 522--555
Kim Christensen and
Martin Thyrsgaard and
Bezirgen Veliyev The realized empirical distribution
function of stochastic variance with
application to goodness-of-fit testing 556--583
Yannis Bilias and
Kostas Florios and
Spyros Skouras Exact computation of Censored Least
Absolute Deviations estimator . . . . . 584--606
Guohua Feng and
Bin Peng and
Liangjun Su and
Thomas Tao Yang Semi-parametric single-index panel data
models with interactive fixed effects:
Theory and practice . . . . . . . . . . 607--622
David T. Frazier and
Tatsushi Oka and
Dan Zhu Indirect inference with a non-smooth
criterion function . . . . . . . . . . . 623--645
Liangjun Su and
Takuya Ura and
Yichong Zhang Non-separable models with
high-dimensional data . . . . . . . . . 646--677
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
Victor Chernozhukov and
Antonio F. Galvao and
Xuming He and
Zhijie Xiao Quantile regression . . . . . . . . . . 1--3
Alexandre Belloni and
Victor Chernozhukov and
Denis Chetverikov and
Iván Fernández-Val Conditional quantile processes based on
series or many regressors . . . . . . . 4--29
Xiaohong Chen and
Demian Pouzo and
James L. Powell Penalized sieve GEL for weighted average
derivatives of nonparametric quantile IV
regressions . . . . . . . . . . . . . . 30--53
Yingying Zhang and
Huixia Judy Wang and
Zhongyi Zhu Quantile-regression-based clustering for
panel data . . . . . . . . . . . . . . . 54--67
Jiaying Gu and
Stanislav Volgushev Panel data quantile regression with
grouped fixed effects . . . . . . . . . 68--91
Zhijie Xiao and
Lan Xu What do mean impacts miss?
Distributional effects of corporate
diversification . . . . . . . . . . . . 92--120
Luciano de Castro and
Antonio F. Galvao and
David M. Kaplan and
Xin Liu Smoothed GMM for quantile models . . . . 121--144
José A. F. Machado and
J. M. C. Santos Silva Quantiles via moments . . . . . . . . . 145--173
Thomas Parker Asymptotic inference for the constrained
quantile regression process . . . . . . 174--189
Andreas Hagemann Placebo inference on treatment effects
when the number of clusters is small . . 190--209
Sergio Firpo and
Geert Ridder Partial identification of the treatment
effect distribution and its functionals 210--234
Alexander Giessing and
Xuming He On the predictive risk in misspecified
quantile regression . . . . . . . . . . 235--260
Rui Fan and
Ji Hyung Lee Predictive quantile regressions under
persistence and conditional
heteroskedasticity . . . . . . . . . . . 261--280
Stephen Portnoy Edgeworth's time series model: Not AR(1)
but same covariance structure . . . . . 281--288
Gib Bassett Review of median stable distributions
and Schröder's equation . . . . . . . . . 289--295
Anonymous Pages 297--632 (December 2019) . . . . . ??
Anonymous Editorial Board . . . . . . . . . . . . ii--ii
K. Giesecke and
G. Schwenkler Simulated likelihood estimators for
discretely observed jump-diffusions . . 297--320
Gabriele Fiorentini and
Enrique Sentana Consistent non-Gaussian pseudo maximum
likelihood estimators . . . . . . . . . 321--358
Otilia Boldea and
Adriana Cornea-Madeira and
Alastair R. Hall Bootstrapping structural change tests 359--397
Humberto Moreira and
Marcelo J. Moreira Optimal two-sided tests for instrumental
variables regression with
heteroskedastic and autocorrelated
errors . . . . . . . . . . . . . . . . . 398--433
Tuo Liu and
Lung-fei Lee A likelihood ratio test for spatial
model selection . . . . . . . . . . . . 434--458
Cavit Pakel Bias reduction in nonlinear and dynamic
panels in the presence of cross-section
dependence . . . . . . . . . . . . . . . 459--492
Marc S. Paolella and
Pawe\l Polak and
Patrick S. Walker Regime switching dynamic correlations
for asymmetric and fat-tailed
conditional returns . . . . . . . . . . 493--515
Kengo Kato and
Yuya Sasaki Uniform confidence bands for
nonparametric errors-in-variables
regression . . . . . . . . . . . . . . . 516--555
Luis Orea and
Inmaculada C. Álvarez A new stochastic frontier model with
cross-sectional effects in both noise
and inefficiency terms . . . . . . . . . 556--577
Davide La Vecchia and
Elvezio Ronchetti Saddlepoint approximations for short and
long memory time series: a frequency
domain approach . . . . . . . . . . . . 578--592
Ling Zhou and
Huazhen Lin and
Kani Chen and
Hua Liang Efficient estimation and computation of
parameters and nonparametric functions
in generalized semi/non-parametric
regression models . . . . . . . . . . . 593--607
Oliver Linton and
Zhijie Xiao Efficient estimation of nonparametric
regression in the presence of dynamic
heteroskedasticity . . . . . . . . . . . 608--631
Mark Bognanni Comment on ``Large Bayesian vector
autoregressions with stochastic
volatility and non-conjugate priors'' 498--505
Andrea Carriero and
Joshua Chan and
Todd E. Clark and
Massimiliano Marcellino Corrigendum to ``Large Bayesian vector
autoregressions with stochastic
volatility and non-conjugate priors''
[J. Econometrics \bf 212 (1) (2019)
137--154] . . . . . . . . . . . . . . . 506--512
Davide Pettenuzzo and
Yong Song and
Allan Timmermann Corrigendum to ``Predictability of stock
returns and asset allocation under
structural breaks'' [J. Econometrics \bf
164 (2011) 60--78] . . . . . . . . . . . 513--517