期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
This article proposes a general class of tests to examine whether the error term is a martingale difference sequence in a multivariate time series mod......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
We study a class of nonparametric volatility estimators based on the Laplace transform, which are robust to the presence of the endogeneity of observa......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
In missing data problems, missing not at random is difficult to handle since the response probability or propensity score is confounded with the outco......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
This article studies a high-dimensional factor model with sparse idiosyncratic covariance matrix in continuous time, using asynchronous high-frequency......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
This article considers the estimation of the integration orders of the latent factors in an approximate factor model. Both the common factors and idio......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
This article considers the problem of model averaging for regression models that can be nonlinear in their parameters and variables. We consider a non......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ()
This article proposes a new family of multifrequency-band tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet tr......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (3)
Two broad classes of consumption dynamics-long-run risks and rare disasters-have proven successful in explaining the equity premium puzzle when used i......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (3)
We propose a new seasonal adjustment method based on the Regularized Singular Value Decomposition (RSVD) of the matrix obtained by reshaping the seaso......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (1)
For conditional time-varying factor models with high-dimensional assets, this article proposes a high-dimensional alpha (HDA) test to assess whether t......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (1)
The standard kernel estimator of copula densities suffers from boundary biases and inconsistency due to unbounded densities. Transforming the domain o......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (1)
What explains the sharp movements of the yield curve upon the release of major U.S. macroeconomic announcements? To answer this question, we estimate ......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 0; ()
One income or wealth distribution is said to Lorenz dominate another when the Lorenz curve for the former is nowhere below that of the latter, indicat......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 0; ()
This study primarily seeks to answer the following question: How do social networks evolve over time and affect individual economic activity? To provi......
期刊： JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 0; ()
This article proposes several tests for detecting serial correlation and ARCH effect in high-dimensional data. The dimension of data may go to infinit......
