J Econometrics


Journal of Econometrics, 224(1)



Annals Issue: PI Day

Edited by Serena Ng, Zhongjun Qu, Timothy J. Vogelsang

Annals Issue: PI-Day Honoring Pierre Perron
Serena Ng, Zhongjun Qu, Timothy Vogelsang [Google Scholar]

Continuous record Laplace-based inference about the break date in structural change models
Alessandro Casini, Pierre Perron [Google Scholar]

Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration
Josep LluĂ­s Carrion-i-Silvestre, Dukpa Kim [Google Scholar]

Inference after estimation of breaks
Isaiah Andrews, Toru Kitagawa, Adam McCloskey [Google Scholar]

Boosting high dimensional predictive regressions with time varying parameters
Kashif Yousuf, Serena Ng [Google Scholar]

Sieve estimation of option-implied state price density
Junwen Lu, Zhongjun Qu [Google Scholar]

Inference in time series models using smoothed-clustered standard errors
Seunghwa Rho, Timothy J. Vogelsang [Google Scholar]

Dynamic spatial panel data models with common shocks
Jushan Bai, Kunpeng Li [Google Scholar]

Bootstrapping non-stationary stochastic volatility
H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev, Anders Rahbek [Google Scholar]

Simple estimators and inference for higher-order stochastic volatility models
Md. Nazmul Ahsan, Jean-Marie Dufour [Google Scholar]

Simple tests for stock return predictability with good size and power properties
David I. Harvey, Stephen J. Leybourne, A.M. Robert Taylor [Google Scholar]

Consistent inference for predictive regressions in persistent economic systems
Torben G. Andersen, Rasmus T. Varneskov [Google Scholar]