J Econometrics


Journal of Econometrics, 232(2)



Cluster-robust inference: A guide to empirical practice
James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb [Google Scholar]

Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Igor L. Kheifets, Peter C.B. Phillips [Google Scholar]

High dimensional semiparametric moment restriction models
Chaohua Dong, Jiti Gao, Oliver Linton [Google Scholar]

Second-order refinements for t-ratios with many instruments
Yukitoshi Matsushita, Taisuke Otsu [Google Scholar]

Smoothed quantile regression with large-scale inference
Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou [Google Scholar]

Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
Xiaohu Wang, Weilin Xiao, Jun Yu [Google Scholar]

A discrete-time hedging framework with multiple factors and fat tails: On what matters
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin [Google Scholar]

Estimating the variance of a combined forecast: Bootstrap-based approach
Ulrich Hounyo, Kajal Lahiri [Google Scholar]

When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
Peter C.B. Phillips, Ying Wang [Google Scholar]

Relaxing conditional independence in an endogenous binary response model
Alyssa Carlson [Google Scholar]

Scalable inference for a full multivariate stochastic volatility model
Petros Dellaportas, Michalis K. Titsias, Katerina Petrova, Anastasios Plataniotis [Google Scholar]

A simple joint model for returns, volatility and volatility of volatility
Yashuang (Dexter) Ding [Google Scholar]

Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang, Haipeng Shen [Google Scholar]

Why randomize? Minimax optimality under permutation invariance
Yuehao Bai [Google Scholar]

Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares
Irene Botosaru, Chris Muris, Krishna Pendakur [Google Scholar]