Journal of Business & Economic Statistics

Article	Citations
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity	97
Drift Bursts in Pure Jumps: Detection and Application to Bitcoin	67
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates	43
When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage	35
High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times	32
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil	29
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring	25
Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome	25
Discussion of “Co-citation and Co-authorship Networks of Statisticians” by Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke, and Wanshan Li	21
LASSO for Stochastic Frontier Models with Many Efficient Firms	21
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency	20
Robust Estimation for Threshold Autoregressive Moving-Average Models	19
A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network	19
Estimation of Leverage Effect: Kernel Function and Efficiency	18
Comment: Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly	18
Dynamic Score-Driven Independent Component Analysis	17
Procurements with Bidder Asymmetry in Cost and Risk-Aversion	17
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis	17
Skilled Mutual Fund Selection: False Discovery Control Under Dependence	16
Robust Reproducible Network Exploration	16
Large Order-Invariant Bayesian VARs with Stochastic Volatility	15
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	15
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach	15
Bonferroni Type Tests for Return Predictability and the Initial Condition	14
Panel Quantile GARCH Models under Homogeneity	14

A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data	14
Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition	13
On the Combination of Naive and Mean-Variance Portfolio Strategies	13
Getting the ROC into Sync	12
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters	12
Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data	12
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model	12
Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng	11
Associate Editors	11
Bounding Omitted Variable Bias Using Auxiliary Data: With an Application to Estimate Neighborhood Effects	11
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
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse	10
Rejoinder	10
Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data	10
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas	10
A Design-Based Perspective on Synthetic Control Methods	9
A Scalable Frequentist Model Averaging Method	9
Sectoral Uncertainty: A Hierarchical-Volatility Approach	9
Multi-Threshold Structural Equation Model	9
Correcting for Endogeneity in Models with Bunching	9
Identification of SVAR Models by Combining Sign Restrictions With External Instruments	8
High-Dimensional Quantile Vector Autoregression with Influencers and Communities	8
Multiple-Attribute Lorenz Functions and Gini Indices: A Measure Transportation Approach	8
Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States	8
Nonparametric Option Pricing with Generalized Entropic Estimators	8
Dynamic CoVaR Modeling and Estimation	8
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market	8
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods	8
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions	8
Determination of the Effective Cointegration Rank in High-Dimensional Time-Series Predictive Regressions	7
Binary Outcomes and Linear Interactions †	7
Circularly Projected Common Factors for Grouped Data	7
Factor Modeling for High-Dimensional Functional Time Series	7
Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)	7
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects	7
Forecasting Inflation Using Economic Narratives	7
An Improved Divide-and-Conquer Approach to Estimating Mean Functional, with Application to Average Treatment Effect Estimation	7
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	7
Probabilistic Forecast Reconciliation under the Gaussian Framework	7
Theory Coherent Shrinkage of Time-Varying Parameters in VARs	7
A Neural Phillips Curve and a Deep Output Gap	6
Tests for Jumps in Yield Spreads	6
Model Checking in Partially Linear Spatial Autoregressive 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
Reduced Rank Spatio-Temporal Models	6
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions	6
Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve	6
Spatial Correlation Robust Inference in Linear Regression and Panel Models	6

Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering	6
Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience	6
Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock	6
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs	6
Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence	6
Reconciled Estimates of Monthly GDP in the United States	6
Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics	6
Fast Variational Bayes Methods for Multinomial Probit Models	6
Partially Linear Single-Index Models and Functional Principal Component Analysis of Spatially and Temporally Indexed Point Processes	6
Partial Effects in Time-Varying Linear Transformation Panel Models with Endogeneity*	6
Reduced-Rank Envelope Vector Autoregressive Model	6
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors	6
Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods	5
Bayesian Dynamic Matrix Factor Models	5
Trends in Earnings Volatility Using Linked Administrative and Survey Data	5
Culling the Herd of Moments with Penalized Empirical Likelihood	5
Change-Point Detection in Time Series Using Mixed Integer Programming*	5
Inference on Consensus Ranking of Distributions	5
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities	5
Extreme Changes in Changes	5
A Modified Randomization Test for the Level of Clustering	5
Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly”	5
Mitigating Process Distortion While Preserving Accounting Relations in Hierarchical Time Series	5
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns	5
News-Driven Uncertainty Fluctuations	5
Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach	4
On Smooth Transition Interval Autoregressive Models	4
QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units	4
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure	4
Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models	4
Extreme Quantile Treatment Effects under Endogeneity	4
Nonparametric Causal Inference with Functional Covariates	4
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound	4
Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap	4
Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix	4
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	4
On Bivariate Time-Varying Price Staleness	4
Invalid Proxies and Volatility Changes	4
Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design	4
Inflation Measurement with High-Frequency Data	4
Using Survey Information for Improving the Density Nowcasting of U.S. GDP	4
Factor Network Autoregressions	4
From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference	4
The Effects of Temporal Aggregation on MIDAS Regressions	4
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models	4
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions	3
Another Look at Dependence: The Most Predictable Aspects of Time Series	3
Two-Directional Simultaneous Inference for High-Dimensional Models	3
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed	3
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median	3
Inference in Semiparametric Formation Models for Directed Networks	3
Endogenous Kink Threshold Regression	3
Linking Frequentist and Bayesian Change-Point Methods	3
Rejoinder	3
Estimation of a Structural Break Point in Linear Regression Models	3
Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments	3
Distinguishing Time-Varying Factor Models	3
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators	3
Smoothing Variances Across Time: Adaptive Stochastic Volatility	3
Regressions under Adverse Conditions	3
On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV	3
Predicting the Global Minimum Variance Portfolio	3
Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring	3
Estimation and Inference on Time-Varying FAVAR Models	3
Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder	3
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators	3
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models	3
Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection	3
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests	3
Testing for Asset Price Bubbles Using Options Data	3
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence	3
Asset Pricing via the Conditional Quantile Variational Autoencoder	3
The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model	3
Estimation and Inference for a Semiparametric Time–Varying Panel Data Model	3
Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity	3
Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng	3
Social Interactions with Endogeneity	3
Likelihood Ratio Tests for Lorenz Dominance	2
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary	2
Model-Based Co-Clustering in Customer Targeting Utilizing Large-Scale Online Product Rating Networks	2

Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly	2
Detecting Weak Distribution Shifts via Displacement Interpolation	2
A Revealed Preference Approach to Identification and Inference in Producer-Consumer Models	2
Unit Averaging for Heterogeneous Panels	2
-Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model	2
Can a Machine Correct Option Pricing Models?	2
Double Machine Learning for Sample Selection Models	2
Testing for Change-Points in Heavy-Tailed Time Series—A Winsorized CUSUM Approach	2
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics	2
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector	2
Dynamic Network Quantile Regression Model	2
Unconditional Quantile Regression for Streaming Datasets	2
Testing For Global Covariate Effects in Dynamic Interaction Event Networks	2
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”	2
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks	2
Positive-Definite Converging Kernel Estimation of Long-Run Variance	2
Extreme Value Estimation for Heterogeneous Data	2
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	2
Narrative Restrictions and Proxies: Rejoinder	2
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability	2
Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments	2
Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets	2
Instability of Factor Strength in Asset Returns	2
Panel Data Quantile Regression for Treatment Effect Models	2
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting	2
Change-Point Detection for Object-Valued Time Series	2
Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility	2
Rejoinder: “Co-citation and Co-authorship Networks of Statisticians”	2
Teacher-to-Classroom Assignment and Student Achievement	2
Probabilistic Quantile Factor Analysis	2
Network-Assisted High-Dimensional Factor Model Estimation	2
A new estimator for conditional expectile-based value-at-risk of a linear predictive regression	2
Forecasting with Economic News	2
Rerandomization and Covariate Adjustment in Split-Plot Designs	2
Causal Machine Learning for Moderation Effects	2
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance	1
Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models	1
Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects	1
Estimation of the Local Conditional Tail Average Treatment Effect	1
Group Sparse β -Model for Network	1
Estimating State Price Densities Implied by American Options	1
Estimation of Sparsity-Induced Weak Factor Models	1
Seasonal Adjustment of Time Series Observed at Mixed Frequencies Using Singular Value Decomposition with Wavelet Thresholding	1
Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions	1
Covariate-Assisted Community Detection in Multi-Layer Networks	1
Variational Inference for Large Bayesian Vector Autoregressions	1
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models	1
Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution	1
A Ridge-Regularized Jackknifed Anderson-Rubin Test	1
Leveraging Unlabeled Data for Superior ROC Curve Estimation via a Semiparametric Approach	1
Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence	1
Robust Conditional Kurtosis and the Cross-Section of International Stock Returns	1
Identification of Latent Subgroups for Time-varying Panel Data Models	1
Discussion of “Dynamic Causal Effects in a Nonlinear World: The Good, the Bad, and the Ugly”	1
Homogeneity Pursuit in Clustered Data Analysis When Cluster Sizes Are Small	1
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models	1
Combining Instrumental Variable Estimators for a Panel Data Model with Factors	1
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation	1
Constrained Polynomial Likelihood	1
Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models	1
Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory	1
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices	1
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects	1
Modeling Extreme Events: Time-Varying Extreme Tail Shape	1
Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score	1
Dynamic Realized Minimum Variance Portfolio Models	1
Testing Quantile Forecast Optimality	1
Bootstrap Inference for Panel Data Quantile Regression	1
Large Hybrid Time-Varying Parameter VARs	1
An Oracle Inequality for Multivariate Dynamic Quantile Forecasting	1
Inference on Dynamic Spatial Autoregressive Models with Change Point Detection	1
A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r *	1
A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market	1
Testing for Unobserved Heterogeneity via k-means Clustering	1
Bayesian Dynamic Tensor Regression	1
Dynamic Peer Groups of Arbitrage Characteristics	1
Uniform Nonparametric Inference for Spatially Dependent Panel Data	1
Correcting for Misclassified Binary Regressors Using Instrumental Variables	1
Efficient and Robust Estimation of the Generalized LATE Model	1
Systemic Contagion	1
A Time-Varying Network for Cryptocurrencies	1
Consistent Estimation of Multiple Breakpoints in Dependence Measures	1
Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated	1
Trending Time-Varying Coefficient Spatial Panel Data Models	1
Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing	1
Identification of a Triangular Two Equation System Without Instruments	1
Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors	1
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics	1
The Factor Structure of Disagreement	1
Precision Least Squares: Estimation and Inference in High-Dimensions	1
Structural Breaks in Grouped Heterogeneity	1
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates	1
GDP Solera: The Ideal Vintage Mix	1
Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data	1
Detecting Multiple Level Shifts in Bounded Time Series	1