TOC: J Econometrics


Journal of Econometrics, 203(1)

Spatial weights matrix selection and model averaging for spatial autoregressive models
Xinyu Zhang, Jihai Yu

A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
A. Ronald Gallant, Han Hong, Ahmed Khwaja

A multivariate test against spurious long memory
Philipp Sibbertsen, Christian Leschinski, Marie Busch

Threshold regression with endogeneity
Ping Yu, Peter C.B. Phillips

Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Donggyu Kim, Xin-Bing Kong, Cui-Xia Li, Yazhen Wang

Autoregressive spatial spectral estimates
Abhimanyu Gupta

Sieve maximum likelihood estimation of the spatial autoregressive Tobit model
Xingbai Xu, Lung-fei Lee

Identification and estimation of nonseparable single-index models in panel data with correlated random effects
Pavel Cí?ek, Jinghua Lei

Extremal quantile regressions for selection models and the black–white wage gap
Xavier D’Haultfœuille, Arnaud Maurel, Yichong Zhang

Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
Mehmet Caner, Anders Bredahl Kock

Nonparametric specification testing via the trinity of tests
Abhimanyu Gupta