TOC: J Econometrics


Journal of Econometrics, 162(2)

 ARC: Connections: ELMAR: TOC

Arrow Doodadareas: methods: journals

Journal of Econometrics 

Relevant ARCategory: Marketing Journals 

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading?
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard [Publisher] [Google Scholar]

Estimating features of a distribution from binomial data?
Arthur Lewbel, Daniel McFadden, Oliver Linton [Publisher] [Google Scholar]

A martingale approach for testing diffusion models based on infinitesimal operator?
Zhaogang Song [Publisher] [Google Scholar]

A bootstrap-assisted spectral test of white noise under unknown dependence
Xiaofeng Shao [Publisher] [Google Scholar]

Nonparametric model validations for hidden Markov models with applications in financial econometrics
Zhibiao Zhao [Publisher] [Google Scholar]

Estimation of fractional integration under temporal aggregation
Uwe Hassler [Publisher] [Google Scholar]

Estimating structural changes in regression quantiles?
Tatsushi Oka, Zhongjun Qu [Publisher] [Google Scholar]

A new class of asymptotically efficient estimators for moment condition models?
Yanqin Fan, Matthew Gentry, Tong Li [Publisher] [Google Scholar]

Fourth order pseudo maximum likelihood methods
Alberto Holly, Alain Monfort, Michael Rockinger [Publisher] [Google Scholar]

Integrated variance forecasting: Model based vs. reduced form
Natalia Sizova [Publisher] [Google Scholar]

Modeling frailty-correlated defaults using many macroeconomic covariates
Siem Jan Koopman, André Lucas, Bernd Schwaab [Publisher] [Google Scholar]

Generalized runs tests for the IID hypothesis
Jin Seo Cho, Halbert White [Publisher] [Google Scholar]

Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
Mingliang Li, Justin L. Tobias [Publisher] [Google Scholar]

Regression with imputed covariates: A generalized missing-indicator approach
Valentino Dardanoni, Salvatore Modica, Franco Peracchi [Publisher] [Google Scholar]

Bayesian estimation of an extended local scale stochastic volatility model
Philippe J. Deschamps [Publisher] [Google Scholar]

Stick-breaking autoregressive processes
J.E. Griffin, M.F.J. Steel [Publisher] [Google Scholar]