Journal of Business & Economic Statistics

Article	Citations
Robust Signal Recovery for High-Dimensional Linear Log-Contrast Models with Compositional Covariates	84
High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times	60
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring	53
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity	41
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil	32
When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage	26
Kernel Averaging Estimators	24
Drift Bursts in Pure Jumps: Detection and Application to Bitcoin	23
Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration Outcome	23
Procurements with Bidder Asymmetry in Cost and Risk-Aversion	21
LASSO for Stochastic Frontier Models with Many Efficient Firms	20
Skilled Mutual Fund Selection: False Discovery Control Under Dependence	20
Robust Estimation for Threshold Autoregressive Moving-Average Models	19
Posterior Average Effects	17
Dynamic Score-Driven Independent Component Analysis	16
Discussion of “Co-citation and Co-authorship Networks of Statisticians” by Pengsheng Ji, Jiashun Jin, Zheng Tracy Ke, and Wanshan Li	16
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis	16
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency	15
Large Order-Invariant Bayesian VARs with Stochastic Volatility	15
A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network	15
Estimation of Leverage Effect: Kernel Function and Efficiency	15
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model	14
Robust Reproducible Network Exploration	14
Getting the ROC into Sync	14
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach	14

Optimal Shrinkage-Based Portfolio Selection in High Dimensions	13
Bonferroni Type Tests for Return Predictability and the Initial Condition	13
Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition *	13
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	13
Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira	13
Associate Editors	12
Panel Quantile GARCH Models under Homogeneity	12
On the Combination of Naive and Mean-Variance Portfolio Strategies	12
Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters	12
A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data	12
Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data	12
Two-Sample Testing for Tail Copulas with an Application to Equity Indices	11
Discussion of “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Sílvia Gonçalves and Serena Ng	11
Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse	11
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas	10
Reconciling Trends in Male Earnings Volatility: Evidence from the SIPP Survey and Administrative Data	10
A Scalable Frequentist Model Averaging Method	10
Rejoinder	10
Discussion of Levon Barseghyan and Francesca Molinari’s “Risk Preference Types, Limited Consideration, and Welfare”	10
Correcting for Endogeneity in Models with Bunching	9
A Design-Based Perspective on Synthetic Control Methods	9
Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market	9
Sectoral Uncertainty: A Hierarchical-Volatility Approach	9
Multi-Threshold Structural Equation Model	9
Multiple-Attribute Lorenz Functions and Gini Indices: A Measure Transportation Approach	8
High-dimensional Quantile Vector Autoregression with Influencers and Communities	8
Theory coherent shrinkage of time-varying parameters in VARs	8
Identification of SVAR Models by Combining Sign Restrictions With External Instruments	8
Learning Human Activity Patterns Using Clustered Point Processes With Active and Inactive States	8
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods	8
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions	8
Nonparametric Option Pricing with Generalized Entropic Estimators	8
Factor Modeling for High-Dimensional Functional Time Series	8
Model Checking in Partially Linear Spatial Autoregressive Models	8
Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects	7
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach	7
Forecasting Inflation Using Economic Narratives	7
Determination of the effective cointegration rank in high-dimensional time-series predictive regressions	7
Context-Dependent Heterogeneous Preferences: A Comment on Barseghyan and Molinari (2023)	7
An Improved Divide-and-Conquer Approach to Estimating Mean Functional, with Application to Average Treatment Effect Estimation	7
Probabilistic Forecast Reconciliation under the Gaussian Framework	7
Tests for Jumps in Yield Spreads	7
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	7
Circularly Projected Common Factors for Grouped Data	7
Binary Outcomes and Linear Interactions †	7
Fast Variational Bayes Methods for Multinomial Probit Models	7
Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering	6
Partially Linear Single-Index Models and Functional Principal Component Analysis of Spatially and Temporally Indexed Point Processes	6
Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience	6
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs	6

Corporate Probability of Default: A Single-Index Hazard Model Approach	6
Reconciled Estimates of Monthly GDP in the United States	6
Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve	6
Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock	6
Reduced-Rank Envelope Vector Autoregressive Model	6
Transformed Estimation for Panel Interactive Effects Models	6
Estimating Trends in Male Earnings Volatility with the Panel Study of Income Dynamics	6
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions	6
A Neural Phillips Curve and a Deep Output Gap	6
Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification	6
Reduced Rank Spatio-Temporal Models	6
Spatial Correlation Robust Inference in Linear Regression and Panel Models	6
Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design	5
Bayesian Dynamic Matrix Factor Models	5
Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods	5
Extreme Changes in Changes	5
Survey Response Behavior as a Proxy for Unobserved Ability: Theory and Evidence	5
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors	5
Trends in Earnings Volatility Using Linked Administrative and Survey Data	5
Partial Effects in Time-Varying Linear Transformation Panel Models with Endogeneity*	5
Inference on Consensus Ranking of Distributions	5
A Modified Randomization Test for the Level of Clustering	5
Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities	5
News-Driven Uncertainty Fluctuations	4
Culling the Herd of Moments with Penalized Empirical Likelihood	4
Nonparametric Causal Inference with Functional Covariates	4
Discussion of “Co-citation and Co-authorship Networks of Statisticians”	4
Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap	4
On smooth transition interval autoregressive models	4
A Unified Framework for Specification Tests of Continuous Treatment Effect Models	4
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns	4
QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units	4
Inflation measurement with high-frequency data	4
Discussion on “Text Selection”	4
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound	4
Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix	4
Using Survey Information for Improving the Density Nowcasting of U.S. GDP	4
Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models	4
Mitigating Process Distortion While Preserving Accounting Relations in Hierarchical Time Series	4
Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach	4
From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference	4
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure	4
Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic	4
Factor Network Autoregressions	4
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence	3
Two-Directional Simultaneous Inference for High-Dimensional Models	3
The Effects of Temporal Aggregation on MIDAS Regressions	3
Regressions under Adverse Conditions	3
Another Look at Dependence: The Most Predictable Aspects of Time Series	3
Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection	3
Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median	3
On “Imputation of Counterfactual Outcomes When the Errors Are Predictable”: Viewing the PUP as the DID and the LDV	3
Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments	3
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests	3
Testing for Asset Price Bubbles Using Options Data	3
On Bivariate Time-Varying Price Staleness	3
Distinguishing Time-Varying Factor Models	3
Test for Market Timing Using Daily Fund Returns	3
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models	3
Social Interactions with Endogeneity*	3
Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng	3
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators	3
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed	3
Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models	3
Extreme Quantile Treatment Effects under Endogeneity	3
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions	3
Inference in Semiparametric Formation Models for Directed Networks	3
Asset Pricing via the Conditional Quantile Variational Autoencoder	3
Imputation of Counterfactual Outcomes when the Errors are Predictable: Rejoinder	3
Probabilistic Quantile Factor Analysis	2
Panel Data Quantile Regression for Treatment Effect Models	2
Estimation of a Structural Break Point in Linear Regression Models	2
Predicting the Global Minimum Variance Portfolio	2
Estimation and Inference for a Semiparametric Time–Varying Panel Data Model	2
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability	2
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*	2
Dynamic Network Quantile Regression Model	2
Narrative Restrictions and Proxies: Rejoinder	2
Likelihood Ratio Tests for Lorenz Dominance	2
Change-Point Detection for Object-Valued Time Series	2

Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments	2
Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets	2
Rejoinder: “Co-citation and Co-authorship Networks of Statisticians”	2
Positive-Definite Converging Kernel Estimation of Long-Run Variance	2
Estimation and Inference on Time-Varying FAVAR Models	2
Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity	2
Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators	2
The permanent and temporary effects of stock splits on liquidity in a dynamic semiparametric model	2
Linking Frequentist and Bayesian Change-Point Methods	2
A Revealed Preference Approach to Identification and Inference in Producer-Consumer Models	2
Double Machine Learning for Sample Selection Models	2
Forecasting with Economic News	2
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary	2
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector	2
Causal Machine Learning for Moderation Effects	2
Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components	2
Inference in Games Without Equilibrium Restriction: An Application to Restaurant Competition in Opening Hours	2
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting	2
Endogenous Kink Threshold Regression	2
Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring	2
Discussion of “Risk Preference Types, Limited Consideration, and Welfare” by Levon Barseghyan and Francesca Molinari	2
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”	2
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics	2
-Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model	2
Rerandomization and Covariate Adjustment in Split-Plot Designs	2
Unconditional Quantile Regression for Streaming Datasets	2
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models	2
Optimal Covariate Balancing Conditions in Propensity Score Estimation	2
Network-Assisted High-Dimensional Factor Model Estimation	2
Estimation of Sparsity-Induced Weak Factor Models	1
A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r *	1
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices	1
Precision Least Squares: Estimation and Inference in High-Dimensions	1
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks	1
Robust Conditional Kurtosis and the Cross-Section of International Stock Returns	1
Extreme Value Estimation for Heterogeneous Data	1
Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models	1
Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients	1
Constrained Polynomial Likelihood	1
Difference-in-Differences Estimator of Quantile Treatment Effect on the Treated	1
An Oracle Inequality for Multivariate Dynamic Quantile Forecasting	1
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models	1
Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence	1
Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects	1
Fully Data-Driven Normalized and Exponentiated Kernel Density Estimator with Hyvärinen Score	1
Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing	1
Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data	1
Identification of a Triangular Two Equation System Without Instruments	1
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance	1
Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory	1
Model-Based Co-Clustering in Customer Targeting Utilizing Large-Scale Online Product Rating Networks	1
Systemic Contagion	1
Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility	1
Leveraging Unlabeled Data for Superior ROC Curve Estimation via a Semiparametric Approach	1
Teacher-to-Classroom Assignment and Student Achievement	1
Variational Inference for Large Bayesian Vector Autoregressions	1
Instability of Factor Strength in Asset Returns	1
Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors	1
A Time-Varying Network for Cryptocurrencies	1
Estimation of the Local Conditional Tail Average Treatment Effect	1
Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics	1
Uniform Nonparametric Inference for Spatially Dependent Panel Data	1
Correcting for Misclassified Binary Regressors Using Instrumental Variables	1
Efficient and Robust Estimation of the Generalized LATE Model	1
Structural Breaks in Grouped Heterogeneity	1
Group Sparse β -Model for Network	1
Trending Time-Varying Coefficient Spatial Panel Data Models	1
Bayesian Dynamic Tensor Regression	1
Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances	1
Covariate-Assisted Community Detection in Multi-Layer Networks	1
Testing For Global Covariate Effects in Dynamic Interaction Event Networks	1
Consistent Estimation of Multiple Breakpoints in Dependence Measures	1
Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions	1
Estimating State Price Densities Implied by American Options	1
Detecting Weak Distribution Shifts via Displacement Interpolation	1
Modeling Extreme Events: Time-Varying Extreme Tail Shape	1
Can a Machine Correct Option Pricing Models?	1
A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market	1
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models	1
Nonparametric Quantile Regression and Uniform Inference with Unknown Error Distribution	1
Testing Quantile Forecast Optimality	1
Large Hybrid Time-Varying Parameter VARs	1
Identification and Estimation of Multinomial Choice Models with Latent Special Covariates	1
Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation	1
Combining Instrumental Variable Estimators for a Panel Data Model with Factors	1
Dynamic Realized Minimum Variance Portfolio Models	1
Detecting Multiple Level Shifts in Bounded Time Series	1
Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models	1
Tail Risk Inference via Expectiles in Heavy-Tailed Time Series	1
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects	1
Co-citation and Co-authorship Networks of Statisticians	1
Seasonal adjustment of time series observed at mixed frequencies using singular value decomposition with wavelet thresholding	1