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Content
2016, Volume 192, Issue 2
- 451-467 Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
by Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert
- 468-484 Vector autoregressive moving average identification for macroeconomic modeling: A new methodology
by Poskitt, D.S.
- 485-498 Gaussian mixture vector autoregression
by Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti
- 499-513 TENET: Tail-Event driven NETwork risk
by Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining
2016, Volume 192, Issue 1
- 1-18 Exploiting the errors: A simple approach for improved volatility forecasting
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier
- 19-39 Bayesian semiparametric modeling of realized covariance matrices
by Jin, Xin & Maheu, John M.
- 40-54 Efficiency of thin and thick markets
by Gan, Li & Li, Qi
- 55-63 Root-T consistent density estimation in GARCH models
by Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen
- 64-85 Inference on co-integration parameters in heteroskedastic vector autoregressions
by Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert
- 86-104 Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
by Lee, Seojeong
- 105-118 Predictive quantile regression with persistent covariates: IVX-QR approach
by Lee, Ji Hyung
- 119-138 Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
by Aït-Sahalia, Yacine & Park, Joon Y.
- 139-151 Model averaging based on leave-subject-out cross-validation
by Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Zou, Guohua
- 152-167 Nonstationarity in time series of state densities
by Chang, Yoosoon & Kim, Chang Sik & Park, Joon Y.
- 168-189 A reexamination of stock return predictability
by Choi, Yongok & Jacewitz, Stefan & Park, Joon Y.
- 190-206 Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
by Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus
- 207-230 Testing for Granger causality with mixed frequency data
by Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji
- 231-268 Bootstrap inference for instrumental variable models with many weak instruments
by Wang, Wenjie & Kaffo, Maximilien
- 269-290 A dual approach to inference for partially identified econometric models
by Kaido, Hiroaki
- 291-312 Individual and time effects in nonlinear panel models with large N, T
by Fernández-Val, Iván & Weidner, Martin
- 313-328 The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
by Park, Yang-Ho
2016, Volume 191, Issue 2
- 276-292 Dynamic treatment effects
by Heckman, James J. & Humphries, John Eric & Veramendi, Gregory
- 293-301 Credible interval estimates for official statistics with survey nonresponse
by Manski, Charles F.
- 302-311 On independence conditions in nonseparable models: Observable and unobservable instruments
by Matzkin, Rosa L.
- 312-324 Real-time nowcasting of nominal GDP with structural breaks
by Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo
- 325-347 Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
by Park, Sujin & Hong, Seok Young & Linton, Oliver
- 348-359 A new approach to measuring and studying the characteristics of class membership: Examining poverty, inequality and polarization in urban China
by Anderson, Gordon & Farcomeni, Alessio & Pittau, Maria Grazia & Zelli, Roberto
- 360-373 Consistent tests for poverty dominance relations
by Barrett, Garry F. & Donald, Stephen G. & Hsu, Yu-Chin
- 374-383 A solution to aggregation and an application to multidimensional ‘well-being’ frontiers
by Maasoumi, Esfandiar & Racine, Jeffrey S.
- 384-397 Improving GDP measurement: A measurement-error perspective
by Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho
- 398-406 Price discounts and the measurement of inflation
by Fox, Kevin J. & Syed, Iqbal A.
- 407-413 A least squares approach to imposing within-region fixity in the International Comparisons Program
by Hill, Robert J.
- 414-425 Stochastic approach to computation of purchasing power parities in the International Comparison Program (ICP)
by Rao, D.S. Prasada & Hajargasht, Gholamreza
- 426-433 Measuring industry productivity and cross-country convergence
by Inklaar, Robert & Diewert, W. Erwin
2016, Volume 191, Issue 1
- 1-18 Efficient estimation of approximate factor models via penalized maximum likelihood
by Bai, Jushan & Liao, Yuan
- 19-32 Nonparametric errors in variables models with measurement errors on both sides of the equation
by De Nadai, Michele & Lewbel, Arthur
- 33-56 Long memory affine term structure models
by Goliński, Adam & Zaffaroni, Paolo
- 57-68 Testing for (in)finite moments
by Trapani, Lorenzo
- 69-85 Inference in VARs with conditional heteroskedasticity of unknown form
by Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten
- 86-109 Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
by Qian, Junhui & Su, Liangjun
- 110-128 Information theory for maximum likelihood estimation of diffusion models
by Choi, Hwan-sik
- 129-144 Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness
by Dette, Holger & Hoderlein, Stefan & Neumeyer, Natalie
- 145-163 Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
by Blazsek, Szabolcs & Escribano, Alvaro
- 164-175 Intergenerational long-term effects of preschool-structural estimates from a discrete dynamic programming model
by Heckman, James J. & Raut, Lakshmi K.
- 176-195 Estimation of heterogeneous panels with structural breaks
by Baltagi, Badi H. & Feng, Qu & Kao, Chihwa
- 196-216 A direct approach to inference in nonparametric and semiparametric quantile models
by Fan, Yanqin & Liu, Ruixuan
- 217-230 Variation-based tests for volatility misspecification
by Papanicolaou, Alex & Giesecke, Kay
- 231-254 Sieve instrumental variable quantile regression estimation of functional coefficient models
by Su, Liangjun & Hoshino, Tadao
- 255-271 ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
by Medeiros, Marcelo C. & Mendes, Eduardo F.
2016, Volume 190, Issue 2
- 212-221 A weak instrument F-test in linear IV models with multiple endogenous variables
by Sanderson, Eleanor & Windmeijer, Frank
- 222-232 Endogenous network production functions with selectivity
by Horrace, William C. & Liu, Xiaodong & Patacchini, Eleonora
- 233-251 Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects
by Malikov, Emir & Kumbhakar, Subal C. & Sun, Yiguo
- 252-266 A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching
by Murtazashvili, Irina & Wooldridge, Jeffrey M.
- 267-279 Estimating production functions with control functions when capital is measured with error
by Kim, Kyoo il & Petrin, Amil & Song, Suyong
- 280-288 Endogeneity in stochastic frontier models
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter
- 289-300 A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers
by Glass, Anthony J. & Kenjegalieva, Karligash & Sickles, Robin C.
- 301-314 Directional distance functions: Optimal endogenous directions
by Atkinson, Scott E. & Tsionas, Mike G.
- 315-327 The good, the bad and the technology: Endogeneity in environmental production models
by Kumbhakar, Subal C. & Tsionas, Efthymios G.
- 328-340 Using information about technologies, markets and firm behaviour to decompose a proper productivity index
by O’Donnell, C.J.
- 341-348 Some models for stochastic frontiers with endogeneity
by Griffiths, William E. & Hajargasht, Gholamreza
- 349-359 Nonparametric instrumental variables estimation for efficiency frontier
by Cazals, Catherine & Fève, Frédérique & Florens, Jean-Pierre & Simar, Léopold
- 360-373 Unobserved heterogeneity and endogeneity in nonparametric frontier estimation
by Simar, Léopold & Vanhems, Anne & Van Keilegom, Ingrid
2016, Volume 190, Issue 1
- 1-17 Series estimation under cross-sectional dependence
by Lee, Jungyoon & Robinson, Peter M.
- 18-45 GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
by Hill, Jonathan B. & Prokhorov, Artem
- 46-61 Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
by Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M.
- 62-78 Adverse selection, moral hazard and the demand for Medigap insurance
by Keane, Michael & Stavrunova, Olena
- 79-99 Methods for measuring expectations and uncertainty in Markov-switching models
by Bianchi, Francesco
- 100-114 Testing for monotonicity under endogeneity
by Gutknecht, Daniel
- 115-132 Efficient shrinkage in parametric models
by Hansen, Bruce E.
- 133-147 Particle efficient importance sampling
by Scharth, Marcel & Kohn, Robert
- 148-175 Shrinkage estimation of dynamic panel data models with interactive fixed effects
by Lu, Xun & Su, Liangjun
- 176-196 A tale of two option markets: Pricing kernels and volatility risk
by Song, Zhaogang & Xiu, Dacheng
- 197-208 Grouped effects estimators in fixed effects models
by Bester, C. Alan & Hansen, Christian B.
2015, Volume 189, Issue 2
- 245-250 Frontiers in Time Series and Financial Econometrics: An overview
by Ling, Shiqing & McAleer, Michael & Tong, Howell
- 251-262 Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
by Asai, Manabu & McAleer, Michael
- 263-271 Prediction of Lévy-driven CARMA processes
by Brockwell, Peter J. & Lindner, Alexander
- 272-284 Functional index coefficient models with variable selection
by Cai, Zongwu & Juhl, Ted & Yang, Bingduo
- 285-296 LASSO estimation of threshold autoregressive models
by Chan, Ngai Hang & Yau, Chun Yip & Zhang, Rong-Mao
- 297-312 High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
by Chang, Jinyuan & Guo, Bin & Yao, Qiwei
- 313-320 Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
by Chen, Min & Zhu, Ke
- 321-334 Toward optimal model averaging in regression models with time series errors
by Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui
- 335-345 High dimensional dynamic stochastic copula models
by Creal, Drew D. & Tsay, Ruey S.
- 346-359 A misspecification test for multiplicative error models of non-negative time series processes
by Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W.
- 360-370 Sample quantile analysis for long-memory stochastic volatility models
by Ho, Hwai-Chung
- 371-382 Testing for independence between functional time series
by Horváth, Lajos & Rice, Gregory
- 383-396 Statistical inference for panel dynamic simultaneous equations models
by Hsiao, Cheng & Zhou, Qiankun
- 397-414 Specification tests of calibrated option pricing models
by Jarrow, Robert & Kwok, Simon Sai Man
- 415-427 Asymptotic inference in multiple-threshold double autoregressive models
by Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel
- 428-436 A new hyperbolic GARCH model
by Li, Muyi & Li, Wai Keung & Li, Guodong
- 437-446 Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach
by Liu, Shouwei & Tse, Yiu-Kuen
- 447-456 Refinements in maximum likelihood inference on spatial autocorrelation in panel data
by Robinson, Peter M. & Rossi, Francesca
- 457-472 Statistical inference for conditional quantiles in nonlinear time series models
by So, Mike K.P. & Chung, Ray S.W.
- 473-484 Quasi-likelihood estimation of a threshold diffusion process
by Su, Fei & Chan, Kung-Sik
- 485-491 Threshold models in time series analysis—Some reflections
by Tong, Howell
- 492-506 Generalized ARMA models with martingale difference errors
by Zheng, Tingguo & Xiao, Han & Chen, Rong
2015, Volume 189, Issue 1
- 1-23 Robust inference on average treatment effects with possibly more covariates than observations
by Farrell, Max H.
- 24-40 Binary quantile regression with local polynomial smoothing
by Chen, Songnian & Zhang, Hanghui
- 41-53 Identification and shape restrictions in nonparametric instrumental variables estimation
by Freyberger, Joachim & Horowitz, Joel L.
- 54-69 A Bayesian chi-squared test for hypothesis testing
by Li, Yong & Liu, Xiao-Bin & Yu, Jun
- 70-82 Identification of mixture models using support variations
by D’Haultfœuille, Xavier & Février, Philippe
- 83-100 Adaptive estimation of the threshold point in threshold regression
by Yu, Ping
- 101-116 Unexplained factors and their effects on second pass R-squared’s
by Kleibergen, Frank & Zhan, Zhaoguo
- 117-131 Identification of complete information games
by Kline, Brendan
- 132-147 Regression discontinuity designs with unknown discontinuity points: Testing and estimation
by Porter, Jack & Yu, Ping
- 148-162 Smooth coefficient estimation of a seemingly unrelated regression
by Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F.
- 163-186 Sieve semiparametric two-step GMM under weak dependence
by Chen, Xiaohong & Liao, Zhipeng
- 187-206 Testing for factor loading structural change under common breaks
by Yamamoto, Yohei & Tanaka, Shinya
- 207-228 Robust inference in nonlinear models with mixed identification strength
by Cheng, Xu
- 229-244 Identification and estimation of games with incomplete information using excluded regressors
by Lewbel, Arthur & Tang, Xun
2015, Volume 188, Issue 2
- 316-326 Estimation of panel data partly specified Tobit regression with fixed effects
by Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia
- 327-345 A semiparametric model for heterogeneous panel data with fixed effects
by Boneva, Lena & Linton, Oliver & Vogt, Michael
- 346-362 Panel nonparametric regression with fixed effects
by Lee, Jungyoon & Robinson, Peter M.
- 363-377 Set identification of the censored quantile regression model for short panels with fixed effects
by Li, Tong & Oka, Tatsushi
- 378-392 Nonparametric identification in panels using quantiles
by Chernozhukov, Victor & Fernández-Val, Iván & Hoderlein, Stefan & Holzmann, Hajo & Newey, Whitney
- 393-420 Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
by Chudik, Alexander & Pesaran, M. Hashem
- 421-434 Binary response correlated random coefficient panel data models
by Gao, Yichen & Li, Cong & Liang, Zhongwen
- 435-446 Estimation of dynamic discrete models from time aggregated data
by Hong, Han & Li, Weiming & Wang, Boyu
- 447-465 Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
by Chen, Xiaohong & Christensen, Timothy M.
- 466-473 Testing error serial correlation in fixed effects nonparametric panel data models
by Green, Carl & Long, Wei & Hsiao, Cheng
- 474-489 Model selection in the presence of incidental parameters
by Lee, Yoonseok & Phillips, Peter C.B.
- 490-501 A data-driven smooth test of symmetry
by Fang, Ying & Li, Qi & Wu, Ximing & Zhang, Daiqiang
- 502-513 Optimal smoothing in nonparametric conditional quantile derivative function estimation
by Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li
- 514-525 Subjective mortality risk and bequests
by Gan, Li & Gong, Guan & Hurd, Michael & McFadden, Daniel
- 526-544 Nonparametric estimation of structural labor supply and exact welfare change under nonconvex piecewise-linear budget sets
by Gan, Li & Ju, Gaosheng & Zhu, Xi
- 545-557 The treatment-effect estimation: A case study of the 2008 economic stimulus package of China
by Ouyang, Min & Peng, Yulei
- 558-568 Home-purchase restriction, property tax and housing price in China: A counterfactual analysis
by Du, Zaichao & Zhang, Lin
2015, Volume 188, Issue 1
- 1-21 Large sample properties of the matrix exponential spatial specification with an application to FDI
by Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei
- 22-39 Nonparametric identification and estimation of transformation models
by Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis
- 40-58 Jackknife model averaging for quantile regressions
by Lu, Xun & Su, Liangjun
- 59-93 New tools for understanding the local asymptotic power of panel unit root tests
by Westerlund, Joakim & Larsson, Rolf
- 94-110 Higher-order improvements of the sieve bootstrap for fractionally integrated processes
by Poskitt, D.S. & Grose, Simone D. & Martin, Gael M.
- 111-134 Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
by Hayakawa, Kazuhiko & Pesaran, M. Hashem
- 135-149 Identification and estimation in a correlated random coefficients binary response model
by Hoderlein, Stefan & Sherman, Robert
- 150-165 Generalised density forecast combinations
by Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N.
- 166-181 Structural-break models under mis-specification: Implications for forecasting
by Koo, Bonsoo & Seo, Myung Hwan
- 182-195 Two-step estimation of network-formation models with incomplete information
by Leung, Michael P.
- 196-218 Specification and structural break tests for additive models with applications to realized variance data
by Fengler, M.R. & Mammen, E. & Vogt, M.
- 219-235 Estimation of heterogeneous autoregressive parameters with short panel data
by Mavroeidis, Sophocles & Sasaki, Yuya & Welch, Ivo
- 236-249 Heterogeneity and selection in dynamic panel data
by Sasaki, Yuya
- 250-263 Extremum estimation and numerical derivatives
by Hong, Han & Mahajan, Aprajit & Nekipelov, Denis
- 264-280 Maximum likelihood estimation of a spatial autoregressive Tobit model
by Xu, Xingbai & Lee, Lung-fei
- 281-300 Quantile cointegration in the autoregressive distributed-lag modeling framework
by Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol
- 301-312 Semiparametric single-index panel data models with cross-sectional dependence
by Dong, Chaohua & Gao, Jiti & Peng, Bin
2015, Volume 187, Issue 2
- 403-407 Econometric analysis of financial derivatives: An overview
by Chang, Chia-Lin & McAleer, Michael
- 408-417 Pricing with finite dimensional dependence
by Gourieroux, C. & Monfort, A.
- 418-435 Market-based estimation of stochastic volatility models
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena
- 436-446 Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
by Asai, Manabu & McAleer, Michael
- 447-457 Model-based pricing for financial derivatives
by Zhu, Ke & Ling, Shiqing
- 458-471 Stock return and cash flow predictability: The role of volatility risk
by Bollerslev, Tim & Xu, Lai & Zhou, Hao
- 472-485 A stochastic dominance approach to financial risk management strategies
by Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio
- 486-497 Option pricing with non-Gaussian scaling and infinite-state switching volatility
by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco
- 498-511 What is beneath the surface? Option pricing with multifrequency latent states
by Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus
- 512-520 Quanto option pricing in the presence of fat tails and asymmetric dependence
by Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho
- 521-531 Smile from the past: A general option pricing framework with multiple volatility and leverage components
by Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio
- 532-546 The fine structure of equity-index option dynamics
by Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George
- 547-556 A non-linear dynamic model of the variance risk premium
by Eraker, Bjørn & Wang, Jiakou
- 557-579 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert
- 580-592 The long and the short of the risk-return trade-off
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo
- 593-605 COMFORT: A common market factor non-Gaussian returns model
by Paolella, Marc S. & Polak, Paweł
- 606-621 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
by Duong, Diep & Swanson, Norman R.
- 622-633 Divided governments and futures prices
by Sojli, Elvira & Tham, Wing Wah
2015, Volume 187, Issue 1
- 1-17 Model selection tests for moment inequality models
by Shi, Xiaoxia
- 18-42 Learning, confidence, and option prices
by Shaliastovich, Ivan
- 43-56 A Quadratic Kalman Filter
by Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume
- 57-73 Explicit form of approximate transition probability density functions of diffusion processes
by Choi, Seungmoon
- 74-81 Sharp bounds on treatment effects in a binary triangular system
by Mourifié, Ismael
- 82-94 K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?
by Kaufmann, Sylvia
- 95-112 Cross-validation for selecting a model selection procedure
by Zhang, Yongli & Yang, Yuhong
- 113-130 A bootstrapped spectral test for adequacy in weak ARMA models
by Zhu, Ke & Li, Wai Keung
- 131-153 Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
by Lee, Donghoon & Song, Kyungchul
- 154-168 Nonparametric tests for constant tail dependence with an application to energy and finance
by Bücher, Axel & Jäschke, Stefan & Wied, Dominik
- 169-188 VAR for VaR: Measuring tail dependence using multivariate regression quantiles
by White, Halbert & Kim, Tae-Hwan & Manganelli, Simone
- 189-200 Semiparametric model building for regression models with time-varying parameters
by Zhang, Ting
- 201-216 Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference
by Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan
- 217-237 A test of the null of integer integration against the alternative of fractional integration
by Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter
- 238-255 Estimation in generalised varying-coefficient models with unspecified link functions
by Zhang, Wenyang & Li, Degui & Xia, Yingcun
- 256-274 Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
by Caner, Mehmet & Fan, Qingliang
- 275-292 Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study
by Li, Xianghong & Smith, Barry
- 293-311 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
by Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin
- 312-322 IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large
by Hsiao, Cheng & Zhang, Junwei
- 323-344 Nonparametric specification tests for stochastic volatility models based on volatility density
by Zu, Yang
- 345-357 A flexible semiparametric forecasting model for time series
by Li, Degui & Linton, Oliver & Lu, Zudi
- 358-375 Instrumental variable and variable addition based inference in predictive regressions
by Breitung, Jörg & Demetrescu, Matei
- 376-384 Testing linearity using power transforms of regressors
by Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B.
- 385-401 Non-nested testing of spatial correlation
by Delgado, Miguel A. & Robinson, Peter M.
2015, Volume 186, Issue 2
- 280-293 Forecasting with factor-augmented regression: A frequentist model averaging approach
by Cheng, Xu & Hansen, Bruce E.
- 294-316 The three-pass regression filter: A new approach to forecasting using many predictors
by Kelly, Bryan & Pruitt, Seth
- 317-324 On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
by Chatterjee, A. & Gupta, S. & Lahiri, S.N.
- 325-344 Oracle inequalities for high dimensional vector autoregressions
by Kock, Anders Bredahl & Callot, Laurent
- 345-366 Some new asymptotic theory for least squares series: Pointwise and uniform results
by Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo
- 367-387 Risks of large portfolios
by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng
- 388-406 Asymptotic analysis of the squared estimation error in misspecified factor models
by Onatski, Alexei
- 407-426 Bootstrap inference for linear dynamic panel data models with individual fixed effects
by Gonçalves, Sílvia & Kaffo, Maximilien
- 427-442 Regularized LIML for many instruments
by Carrasco, Marine & Tchuente, Guy
- 443-464 Select the valid and relevant moments: An information-based LASSO for GMM with many moments
by Cheng, Xu & Liao, Zhipeng
- 465-476 Instrumental variable estimation in functional linear models
by Florens, Jean-Pierre & Van Bellegem, Sébastien
2015, Volume 186, Issue 1
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