Journal of Business & Economic Statistics

Article	Citations
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates	82
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity	57
Kernel Averaging Estimators	48
When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage	40
Drift bursts in pure jumps: detection and application to Bitcoin	31
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil	26
High-Dimensional Model-Assisted Inference for Local Average Treatment Effects With Instrumental Variables	22
High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times	21
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring	21
Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome	20
Skilled Mutual Fund Selection: False Discovery Control Under Dependence	19
LASSO for Stochastic Frontier Models with Many Efficient Firms	19
Procurements with Bidder Asymmetry in Cost and Risk-Aversion	19
Robust Estimation for Threshold Autoregressive Moving-Average Models	18
Posterior Average Effects	17
Large Order-Invariant Bayesian VARs with Stochastic Volatility	16
Discussion of “Co-citation and Co-authorship Networks of Statisticians” by Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke, and Wanshan Li	15
Dynamic Score-Driven Independent Component Analysis	15
A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network	14
Estimation of Leverage Effect: Kernel Function and Efficiency	14
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis	14
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency	14
Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira	13
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	13
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach	13

Bonferroni Type Tests for Return Predictability and the Initial Condition	13
Getting the ROC into Sync	13
Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data	13
A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data	12
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters	12
Optimal Shrinkage-Based Portfolio Selection in High Dimensions	12
On the Combination of Naive and Mean-Variance Portfolio Strategies	12
Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng	11
Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition *	11
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse	11
Panel Quantile GARCH Models under Homogeneity	11
Associate Editors	11
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model	11
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas	10
A Scalable Frequentist Model Averaging Method	10
Rejoinder	10
Identification of SVAR Models by Combining Sign Restrictions With External Instruments	10
Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data	10
Two-Sample Testing for Tail Copulas with an Application to Equity Indices	10
Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare”	10
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market	9
Sectoral Uncertainty: A Hierarchical-Volatility Approach	9
Correcting for Endogeneity in Models with Bunching	9
A Design-Based Perspective on Synthetic Control Methods	8
Multiple-Attribute Lorenz Functions and Gini Indices: A Measure Transportation Approach	8
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects	8
Model Checking in Partially Linear Spatial Autoregressive Models	8
Nonparametric Option Pricing with Generalized Entropic Estimators	8
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions	8
Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)	8
Multi-Threshold Structural Equation Model	8
Factor Modeling for High-Dimensional Functional Time Series	8
Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States	8
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	8
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach	7
Fast Variational Bayes Methods for Multinomial Probit Models	7
Tests for Jumps in Yield Spreads	7
Partially Linear Single-Index Models and Functional Principal Component Analysis of Spatially and Temporally Indexed Point Processes	7
An Improved Divide-and-Conquer Approach to Estimating Mean Functional, with Application to Average Treatment Effect Estimation	7
Probabilistic Forecast Reconciliation under the Gaussian Framework	7
Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics	7
Forecasting Inflation Using Economic Narratives	7
Circularly Projected Common Factors for Grouped Data	7
Theory coherent shrinkage of time-varying parameters in VARs	7
Reconciled Estimates of Monthly GDP in the United States	7
Least squares estimation in nonstationary nonlinear cohort panels with learning from experience*	6
Reduced Rank Spatio-Temporal Models	6
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs	6
Spatial Correlation Robust Inference in Linear Regression and Panel Models	6
Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve	6

Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions	6
Reduced-Rank Envelope Vector Autoregressive Model	6
Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design	6
Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering	6
Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock	6
Transformed Estimation for Panel Interactive Effects Models	6
Corporate Probability of Default: A Single-Index Hazard Model Approach	6
Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification	6
A Neural Phillips Curve and a Deep Output Gap	6
Culling the Herd of Moments with Penalized Empirical Likelihood	5
Bayesian Dynamic Matrix Factor Models	5
Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods	5
QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units	5
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models	5
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors	5
Extreme Changes in Changes	5
Trends in Earnings Volatility Using Linked Administrative and Survey Data	5
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns	5
Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence	5
Inference on Consensus Ranking of Distributions	5
A Modified Randomization Test for the Level of Clustering	5
Mitigating Process Distortion While Preserving Accounting Relations in Hierarchical Time Series	5
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities	5
News-Driven Uncertainty Fluctuations	5
On smooth transition interval autoregressive models	4
Using Survey Information for Improving the Density Nowcasting of U.S. GDP	4
Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap	4
Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models	4
Discussion on “Text Selection”	4
Regressions under Adverse Conditions	4
A Unified Framework for Specification Tests of Continuous Treatment Effect Models	4
Nonparametric Causal Inference with Functional Covariates	4
Factor Network Autoregressions	4
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	4
On Bivariate Time-Varying Price Staleness	4
Testing for Asset Price Bubbles Using Options Data	4
Inflation measurement with high-frequency data	4
Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach	4
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound	4
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure	4
The Effects of Temporal Aggregation on MIDAS Regressions	4
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed	4
From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference	4
Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic	4
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions	3
Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection	3
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence	3
Extreme Quantile Treatment Effects under Endogeneity	3
On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV	3
Social Interactions with Endogeneity*	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
Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments	3
Another Look at Dependence: The Most Predictable Aspects of Time Series	3
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators	3
Test for Market Timing Using Daily Fund Returns	3
Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng	3
Asset Pricing via the Conditional Quantile Variational Autoencoder	3
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators	3
Estimation and Inference on Time-Varying FAVAR Models	3
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models	3
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests	3
Two-Directional Simultaneous Inference for High-Dimensional Models	3
Distinguishing Time-Varying Factor Models	3
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median	3
Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder	3
Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity	3
Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring	3
Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets	2
Dynamic Network Quantile Regression Model	2
Rerandomization and Covariate Adjustment in Split-Plot Designs	2
Linking Frequentist and Bayesian Change-Point Methods	2
Rejoinder: “Co-citation and Co-authorship Networks of Statisticians”	2
-Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model	2
A Revealed Preference Approach to Identification and Inference in Producer-Consumer Models	2
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability	2
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks	2
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models	2
Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments	2

Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models	2
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector	2
Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components	2
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics	2
Likelihood Ratio Tests for Lorenz Dominance	2
Positive-Definite Converging Kernel Estimation of Long-Run Variance	2
Endogenous Kink Threshold Regression	2
Correction	2
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”	2
Network-Assisted High-Dimensional Factor Model Estimation	2
Double Machine Learning for Sample Selection Models	2
LATE With Missing or Mismeasured Treatment	2
Narrative Restrictions and Proxies: Rejoinder	2
Change-Point Detection for Object-Valued Time Series	2
Unconditional Quantile Regression for Streaming Datasets	2
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting	2
Optimal Covariate Balancing Conditions in Propensity Score Estimation	2
Panel Data Quantile Regression for Treatment Effect Models	2
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary	2
Predicting the Global Minimum Variance Portfolio	2
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*	2
Probabilistic Quantile Factor Analysis	2
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	2
Inference in Games Without Equilibrium Restriction: An Application to Restaurant Competition in Opening Hours	2
Extreme Value Estimation for Heterogeneous Data	2
Forecasting with Economic News	2
Instability of Factor Strength in Asset Returns	2
Causal Machine Learning for Moderation Effects	2
A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market	1
Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects	1
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics	1
Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions	1
Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors	1
Testing For Global Covariate Effects in Dynamic Interaction Event Networks	1
Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution	1
Can a Machine Correct Option Pricing Models?	1
Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data	1
Correcting for Misclassified Binary Regressors Using Instrumental Variables	1
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation	1
A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r *	1
Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing	1
Trending Time-Varying Coefficient Spatial Panel Data Models	1
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models	1
Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures	1
Testing Quantile Forecast Optimality	1
Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory	1
Seasonal adjustment of time series observed at mixed frequencies using singular value decomposition with wavelet thresholding	1
Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated	1
Large Hybrid Time-Varying Parameter VARs	1
A Time-Varying Network for Cryptocurrencies	1
Modeling Extreme Events: Time-Varying Extreme Tail Shape	1
Model-Based Co-Clustering in Customer Targeting Utilizing Large-Scale Online Product Rating Networks	1
Constrained Polynomial Likelihood	1
Detecting Weak Distribution Shifts via Displacement Interpolation	1
Variational Inference for Large Bayesian Vector Autoregressions	1
Estimation of Sparsity-Induced Weak Factor Models	1
Efficient and Robust Estimation of the Generalized LATE Model	1
Combining Instrumental Variable Estimators for a Panel Data Model with Factors	1
Bayesian Dynamic Tensor Regression	1
Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score	1
Group Sparse β -Model for Network	1
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects	1
Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data	1
Estimating State Price Densities Implied by American Options	1
Dynamic Realized Minimum Variance Portfolio Models	1
Detecting Multiple Level Shifts in Bounded Time Series	1
Leveraging Unlabeled Data for Superior ROC Curve Estimation via a Semiparametric Approach	1
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance	1
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates	1
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices	1
Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models	1
Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility	1
Estimation of the Local Conditional Tail Average Treatment Effect	1
Teacher-to-Classroom Assignment and Student Achievement	1
Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models	1
Precision Least Squares: Estimation and Inference in High-Dimensions	1
Co-citation and Co-authorship Networks of Statisticians	1
Structural Breaks in Grouped Heterogeneity	1
Tail Risk Inference via Expectiles in Heavy-Tailed Time Series	1
Covariate-Assisted Community Detection in Multi-Layer Networks	1
Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients	1
Consistent Estimation of Multiple Breakpoints in Dependence Measures	1
Uniform Nonparametric Inference for Spatially Dependent Panel Data	1
Identification of a Triangular Two Equation System Without Instruments	1
Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances	1
Systemic Contagion	1