期刊： JOURNAL OF ECONOMETRICS, 2021; 221 (2)
We develop tests for high-dimensional covariance matrices under a generalized elliptical model. Our tests are based on a central limit theorem for lin......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (1)
In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicator......
期刊： JOURNAL OF ECONOMETRICS, 2021; 221 (2)
This paper introduces dynamic panel spatial vector autoregressive models. We study features of dynamics and spatial interactions that an SVAR model ca......
期刊： JOURNAL OF ECONOMETRICS, 2021; 221 (2)
This paper studies robust and optimal estimation of the slope coefficients in a partially linear instrumental variables model with nonparametric parti......
期刊： JOURNAL OF ECONOMETRICS, 2021; 221 (2)
Foreign Direct Investment (FDI) is viewed as a primary driving force in shaping the global economy and receives particular attention in empirical stud......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (1)
We propose a high dimensional minimum variance portfolio estimator under statistical factor models, and show that our estimated portfolio enjoys sharp......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (1)
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and d......
期刊： JOURNAL OF ECONOMETRICS, 2021; 223 (1)
An important problem with the model averaging approach is the choice of weights. In this paper, a generalized Mallows model averaging (GMMA) criterion......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (2)
We identify and estimate heterogeneous social effects within groups of individuals that make binary choices. These heterogeneous social effects, which......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (2)
Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc......
期刊： JOURNAL OF ECONOMETRICS, 2021; 224 (2)
Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this recursive estimator. The recu......
期刊： JOURNAL OF ECONOMETRICS, 2021; 224 (1)
This paper studies dynamic spatial panel data models with common shocks to deal with both weak and strong cross-sectional correlations. Weak correlati......
期刊： JOURNAL OF ECONOMETRICS, 2021; 224 (2)
In this paper, we empirically examine how unfair (i.e. negatively assortive) matching between colleges and students affects the medium-run allocative ......
期刊： JOURNAL OF ECONOMETRICS, 2021; 222 (1)
The no-arbitrage condition is a cornerstone concept in financial market research. However, the arbitrage mechanism that is inherent in the trading pro......
期刊： JOURNAL OF ECONOMETRICS, 2021; 223 (1)
This paper studies estimation of covariance matrices with conditional sparse structure. We overcome the challenge of estimating dense matrices using a......
