J Econometrics


Journal of Econometrics, 234(1)



State-domain change point detection for nonlinear time series regression
Yan Cui, Jun Yang, Zhou Zhou [Google Scholar]

Improved marginal likelihood estimation via power posteriors and importance sampling
Yong Li, Nianling Wang, Jun Yu [Google Scholar]

Bias reduction in spot volatility estimation from options
Viktor Todorov, Yang Zhang [Google Scholar]

Maximum likelihood estimation of stochastic frontier models with endogeneity
Samuele Centorrino, María Pérez-Urdiales [Google Scholar]

Irregular identification of structural models with nonparametric unobserved heterogeneity
Juan Carlos Escanciano [Google Scholar]

Vector copulas
Yanqin Fan, Marc Henry [Google Scholar]

Most powerful test against a sequence of high dimensional local alternatives
Yi He, Sombut Jaidee, Jiti Gao [Google Scholar]

Conditional asymmetry in Power ARCH(∞) models
Julien Royer [Google Scholar]

Quantile regression with censoring and sample selection
Songnian Chen, Qian Wang [Google Scholar]

A new robust inference for predictive quantile regression
Zongwu Cai, Haiqiang Chen, Xiaosai Liao [Google Scholar]

Quasi score-driven models
F. Blasques, Christian Francq, Sébastien Laurent [Google Scholar]

Structural inference in sparse high-dimensional vector autoregressions
J. Krampe, E. Paparoditis, C. Trenkler [Google Scholar]

Identification of unobserved distribution factors and preferences in the collective household model
Stefan Hubner [Google Scholar]

Finite-sample corrected inference for two-step GMM in time series
Jungbin Hwang, Gonzalo Valdés [Google Scholar]

PELVE: Probability Equivalent Level of VaR and ES
Hengxin Li, Ruodu Wang [Google Scholar]