Journal of Business & Economic Statistics

Article	Citations
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates	82
Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome	78
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring	39
Drift Bursts in Pure Jumps: Detection and Application to Bitcoin	33
High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times	29
When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage	27
Estimation of Leverage Effect: Kernel Function and Efficiency	27
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity	27
High-dimensional Multivariate Realized Volatility Forecasting with Community Network Structure	26
A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network	25
Comment: Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly	23
Robust Reproducible Network Exploration	23
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis	22
Robust Estimation for Threshold Autoregressive Moving-Average Models	21
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency	20
LASSO for Stochastic Frontier Models with Many Efficient Firms	20
Procurements with Bidder Asymmetry in Cost and Risk-Aversion	19
Large Order-Invariant Bayesian VARs with Stochastic Volatility	19
Bonferroni Type Tests for Return Predictability and the Initial Condition	18
Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data	16
Getting the ROC into Sync	16
Panel Quantile GARCH Models under Homogeneity	15
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach	14
Bounding Omitted Variable Bias Using Auxiliary Data: With an Application to Estimate Neighborhood Effects	14
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters	14

On the Combination of Naive and Mean-Variance Portfolio Strategies	13
A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data	13
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model	12
Combining Forecasts - On Why Averaging Beats Optimal Linear Weights	12
Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition	12
A Network View on Portfolio Risk	11
Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data	11
Associate Editors	11
Semiparametric Estimation of Treatment Effects in Observational Studies with Heterogeneous Partial Interference	11
Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng	11
Two-Sample Testing for Tail Copulas with an Application to Equity Indices	11
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse	11
Rejoinder	10
Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare”	10
Filtering and Smoothing in State-Space Models with Multiple Regimes*	10
Correcting for Endogeneity in Models with Bunching	10
Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters	10
Sectoral Uncertainty: A Hierarchical-Volatility Approach	10
A Design-Based Perspective on Synthetic Control Methods	9
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market	9
Identification of SVAR Models by Combining Sign Restrictions With External Instruments	9
A Scalable Frequentist Model Averaging Method	9
Testing for nontrivial cointegration	9
Bayesian Methodology for Adaptive Sparsity and Shrinkage in Regression	9
High-Dimensional Quantile Vector Autoregression with Influencers and Communities	9
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods	8
Nonparametric Option Pricing with Generalized Entropic Estimators	8
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	8
Factor Modeling for High-Dimensional Functional Time Series	8
Fast Variational Bayes Methods for Multinomial Probit Models	8
An Improved Divide-and-Conquer Approach to Estimating Mean Functional, with Application to Average Treatment Effect Estimation	8
Multiple-Attribute Lorenz Functions and Gini Indices: A Measure Transportation Approach	8
Dynamic CoVaR Modeling and Estimation	8
Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)	8
Probabilistic Forecast Reconciliation under the Gaussian Framework	7
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects	7
Forecasting Inflation Using Economic Narratives	7
Partially Linear Single-Index Models and Functional Principal Component Analysis of Spatially and Temporally Indexed Point Processes	7
Determination of the Effective Cointegration Rank in High-Dimensional Time-Series Predictive Regressions	7
Binary Outcomes and Linear Interactions	7
Model Checking in Partially Linear Spatial Autoregressive Models	7
Bootstrap Model Averaging	7
Multi-Horizon Uniform Superior Predictive Ability Revisited	7
Theory Coherent Shrinkage of Time-Varying Parameters in VARs	7
CCE Estimation of Heterogeneous Panel Quantile Regression Models with Relatively Small T	7
Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve	7
Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience	6
Partial Effects in Time-Varying Linear Transformation Panel Models with Endogeneity	6
Reduced-Rank Envelope Vector Autoregressive Model	6
Tests for Jumps in Yield Spreads	6

Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock	6
Spatial Correlation Robust Inference in Linear Regression and Panel Models	6
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions	6
Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering	6
A Neural Phillips Curve and a Deep Output Gap	6
Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification	6
Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics	6
News-Driven Uncertainty Fluctuations	5
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors	5
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs	5
A Modified Randomization Test for the Level of Clustering	5
Inference on Consensus Ranking of Distributions	5
Bayesian Dynamic Matrix Factor Models	5
Corporate Probability of Default: A Single-Index Hazard Model Approach	5
Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly”	5
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities	5
Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods	5
Reduced Rank Spatio-Temporal Models	5
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns	4
Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap	4
Extreme Changes in Changes	4
Fast, Order-Invariant Bayesian Inference in VARs Using the Eigendecomposition of the Error Covariance Matrix	4
Inflation Measurement with High-Frequency Data	4
Testing for Asset Price Bubbles Using Options Data	4
Causal Inference Using Antidotal Variables	4
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed	4
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure	4
Regime-Specific Return Predictability in Quantiles	4
Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach	4
Trends in Earnings Volatility Using Linked Administrative and Survey Data	4
Culling the Herd of Moments with Penalized Empirical Likelihood	4
Change-Point Detection in Time Series Using Mixed Integer Programming	4
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound	4
Design Strategies for Networked Experiments via Interference Balancing	4
From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference	4
Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models	4
On Bivariate Time-Varying Price Staleness	4
Nonparametric Causal Inference with Functional Covariates	4
Factor Network Autoregressions	4
Mitigating Process Distortion While Preserving Accounting Relations in Hierarchical Time Series	4
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models	4
Invalid Proxies and Volatility Changes	4
On Smooth Transition Interval Autoregressive Models	4
Smoothing Variances Across Time: Adaptive Stochastic Volatility	4
The Effects of Temporal Aggregation on MIDAS Regressions	4
Extreme Quantile Treatment Effects under Endogeneity	4
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators	3
Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection	3
Regressions under Adverse Conditions	3
Two-Directional Simultaneous Inference for High-Dimensional Models	3
Asset Pricing via the Conditional Quantile Variational Autoencoder	3
A Panel Data Estimator for the Distribution and Quantiles of Marginal Effects in Nonlinear Structural Models with an Application to the Demand for Junk Food	3
Endogenous Kink Threshold Regression	3
How to Compare Copula Forecasts?	3
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median	3
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions	3
Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments	3
Another Look at Dependence: The Most Predictable Aspects of Time Series	3
Rejoinder	3
Social Interactions with Endogeneity	3
Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder	3
Estimation and Inference for a Semiparametric Time–Varying Panel Data Model	3
Estimation of a Structural Break Point in Linear Regression Models	3
Inference in Semiparametric Formation Models for Directed Networks	3
On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV	3
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models	3
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests	3
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence	3
Distinguishing Time-Varying Factor Models	3
Statistical comparison of forecasts made at different frequencies	3
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators	3
Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring	3
Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng	3
The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model	3
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting	2
Probabilistic Quantile Factor Analysis	2
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability	2
Linking Frequentist and Bayesian Change-Point Methods	2
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary	2
Positive-Definite Converging Kernel Estimation of Long-Run Variance	2

A New Estimator for Conditional Expectile-Based Value-at-Risk of a Linear Predictive Regression	2
Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression	2
Life-Cycle Bias Adjustment and Intergenerational Association in Crime	2
Narrative Restrictions and Proxies: Rejoinder	2
Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets	2
Change-Point Detection for Object-Valued Time Series	2
Testing for Change-Points in Heavy-Tailed Time Series—A Winsorized CUSUM Approach	2
Unconditional Quantile Regression for Streaming Datasets	2
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures	2
Panel Data Quantile Regression for Treatment Effect Models	2
Dynamic Network Quantile Regression Model	2
Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity	2
High dimensional threshold factor models with common stochastic trends	2
Likelihood Ratio Tests for Lorenz Dominance	2
Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly	2
Can a Machine Correct Option Pricing Models?	2
Forecasting with Economic News	2
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector	2
A Dantzig-type Large Portfolio Optimization Model and Its Efficient Fitting Algorithm*	2
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”	2
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	2
Rerandomization and Covariate Adjustment in Split-Plot Designs	2
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics	2
Estimation and Inference on Time-Varying FAVAR Models	2
Double Machine Learning for Sample Selection Models	2
A Revealed Preference Approach to Identification and Inference in Producer-Consumer Models	2
Network-Assisted High-Dimensional Factor Model Estimation	2
Instability of Factor Strength in Asset Returns	2
Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments	2
Teacher-to-Classroom Assignment and Student Achievement	2
Causal Machine Learning for Moderation Effects	2
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices	1
Variational Inference for Large Bayesian Vector Autoregressions	1
A Time-Varying Network for Cryptocurrencies	1
Unit Averaging for Heterogeneous Panels	1
Group Sparse β -Model for Network	1
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics	1
Seasonal Adjustment of Time Series Observed at Mixed Frequencies Using Singular Value Decomposition with Wavelet Thresholding	1
Transfer Learning for Spatial Autoregressive Models with Application to U.S. Presidential Election Prediction	1
Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data	1
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects	1
Tail Risk Inference via Expectiles in Heavy-Tailed Time Series	1
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates	1
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation	1
Inference on Dynamic Spatial Autoregressive Models with Change Point Detection	1
Testing For Global Covariate Effects in Dynamic Interaction Event Networks	1
Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution	1
Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions	1
Large Hybrid Time-Varying Parameter VARs	1
Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated	1
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks	1
Leveraging Unlabeled Data for Superior ROC Curve Estimation via a Semiparametric Approach	1
Identification of a Triangular Two Equation System Without Instruments	1
Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory	1
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance	1
Systemic Contagion	1
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models	1
Consistent Estimation of Multiple Breakpoints in Dependence Measures	1
Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models	1
Precision Least Squares: Estimation and Inference in High-Dimensions	1
Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing	1
A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market	1
Dynamic Realized Minimum Variance Portfolio Models	1
Robust Conditional Kurtosis and the Cross-Section of International Stock Returns	1
Model-Based Co-Clustering in Customer Targeting Utilizing Large-Scale Online Product Rating Networks	1
Modeling Extreme Events: Time-Varying Extreme Tail Shape	1
Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility	1
Discussion of “Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly”	1
Detecting Weak Distribution Shifts via Displacement Interpolation	1
Trending Time-Varying Coefficient Spatial Panel Data Models	1
Estimating State Price Densities Implied by American Options	1
Uniform Nonparametric Inference for Spatially Dependent Panel Data	1
Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors	1
Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances	1
Constrained Polynomial Likelihood	1
Distribution-free shrinkage of high-dimensional mean vector*	1
Estimation of the Local Conditional Tail Average Treatment Effect	1
Efficient and Robust Estimation of the Generalized LATE Model	1
Testing Quantile Forecast Optimality	1