Current Index to Statistics
Journal of Econometrics
Explaining individual response using aggregated data
van Dijk, Bram
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
Rosen, Adam M.
Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both $n$ and $T$ are large
de Jong, Robert
A joint serial correlation test for linear panel data models
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
The wild bootstrap, tamed at last
Testing for structural change in regression quantiles
Local likelihood estimation of truncated regression and its partial derivatives: Theory and application
Park, Byeong U.
Introduction: Journal of econometrics special issue honoring the research contributions of Charles R. Nelson
Durlauf, Steven N.
Nason, James M.
The Beveridge-Nelson decomposition in retrospect and prospect
Nelson, Charles R.
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
Oh, Kum Hwa
Trend/cycle decomposition of regime-switching processes
Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
Andrews, Donald W. K.
Moreira, Marcelo J.
Stock, James H.
Methods for inference in large multiple-equation Markov-switching models
Sims, Christopher A.
Waggoner, Daniel F.
Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
Time series properties of ARCH processes with persistent covariates
Park, Joon Y.
Efficient forecast tests for conditional policy forecasts
Wright, Jonathan H.
Forecasting economic time series using targeted predictors
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine
Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H.
Least-squares forecast averaging
Hansen, Bruce E.
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
Diebold, Francis X.
Yue, Vivian Z.
Quality control for structural credit risk models
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru (Meg)
Gallant, A. Ronald
Lee, Beom S.
The limit distribution of the estimates in cointegrated regression models with multiple structural changes
Partial identification and testable restrictions in multi-unit auctions
Exact computation of max weighted score estimators
Pseudo-likelihood estimation and bootstrap inference fore structural discrete Markov decision models