Econometrics

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  Subject Areas on Research

  • "Markov Processes, Economic Analysis and Migration" 
  • A Bayesian Semiparametric Competing Risk Model with Unobserved Heterogeneity 
  • A Bayesian mixed logit–probit model for multinomial choice 
  • A Dynamic Model of Demand for Houses and Neighborhoods 
  • A Gaussian approximation scheme for computation of option prices in stochastic volatility models 
  • A Poisson mixture model of discrete choice 
  • A Statistical Inquiry into the Plausibility of Recursive Utility 
  • A Unique Costly Contemplation Representation 
  • A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 
  • A heteroscedasticity-consistent covariance matrix estimator for time series regressions 
  • A reduced form framework for modeling volatility of speculative prices based on realized variation measures 
  • A single-blind controlled competition among tests for nonlinearity and chaos 
  • A wavelet-based spectral method for extracting self-similarity measures in time-varying two-dimensional rainfall maps 
  • ARCH modeling in finance 
  • AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS 
  • Ability sorting and the returns to college major 
  • Activity signature functions for high-frequency data analysis 
  • Adaptive estimation of continuous-time regression models using high-frequency data 
  • Affirmative Action in Higher Education: How Do Admission and Financial Aid Rules Affect Future Earnings? 
  • Alternative models for stock price dynamics 
  • An Empirical Analysis of Life Cycle Fertility and Female Labor Supply 
  • An Empirical Bayes Procedure for Improving Individual-Level Estimates and Predictions From Finite Mixtures of Multinomial Logit Models 
  • An instrumental variable random-coefficients model for binary outcomes 
  • Another look at the identification at infinity of sample selection models 
  • Anticipating Regret: Why Fewer Options May Be Better 
  • Approximating High-dimensional Dynamic Models: Sieve Value Function Iteration 
  • Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates 
  • Asymptotic inference about predictive accuracy using high frequency data 
  • Bayesian Analysis of Latent Threshold Dynamic Models 
  • Bayesian Dynamic Factor Models and Portfolio Allocation 
  • Bayesian Inference on Periodicities and Component Spectral Structure in Time Series 
  • Bayesian Models for Non-linear Autoregressions 
  • Bayesian analysis of concurrent time series with application to regional IBM revenue data 
  • Bayesian estimation of manufacturing effects in a fuel economy model 
  • Bayesian estimation of random-coefficients choice models using aggregate data 
  • Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models 
  • Bayesian input in Stein estimation and a new minimax empirical Bayes estimator 
  • Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set 
  • Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model 
  • COMPARISON OF INFERENTIAL METHODS IN PARTIALLY IDENTIFIED MODELS IN TERMS OF ERROR IN COVERAGE PROBABILITY 
  • Calibrating ensemble forecasting models with sparse data in the social sciences 
  • Can Speculative Trading Explain the Volume–Volatility Relation? 
  • Cointegration and Long-Run Asset Allocation 
  • Collinearity and the use of latent root regression for combining GNP forecasts 
  • Combining Economic Forecasts 
  • Combining Economic Forecasts 
  • Combining forecasts: A philosophical basis and some current issues 
  • Combining forecasts: A review and annotated bibliography 
  • Comment 
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  • Comment [6] (multiple letters) 
  • Comment on "Commitment vs. Flexibility" 
  • Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 
  • Common Persistence in Conditional Variances 
  • Common factors in conditional distributions for bivariate time series 
  • Comparing dynamic equilibrium models to data: a Bayesian approach 
  • Comparison of inferential methods in partially identified models in terms of error in coverage probability 
  • Computations for constrained linear models 
  • Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity 
  • Confidence Intervals for Half-Life Deviations From Purchasing Power Parity 
  • Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities 
  • Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models 
  • Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 
  • Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 
  • Convergence Properties of the Likelihood of Computed Dynamic Models 
  • Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities 
  • Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White 
  • Corrigendum to “Estimating stochastic volatility diffusion using conditional moments of integrated volatility” [J. Econom. 109 (2002) 33–65] 
  • Cross-validated SNP density estimates 
  • Daily House Price Indices: Construction, Modeling, and Longer-run Predictions 
  • Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 
  • Data-based ranking of realised volatility estimators 
  • Demand Fluctuations in the Ready-Mix Concrete Industry 
  • Diagnostic testing and evaluation of maximum likelihood models 
  • Diagnostic verification of probability forecasts 
  • Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models 
  • Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions 
  • Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 
  • Dynamic Bayesian predictive synthesis in time series forecasting 
  • Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach 
  • Dynamic Preference for Flexibility 
  • Dynamic Product Positioning in Differentiated Product Markets: The Effect of Fees for Musical Performance Rights on the Commercial Radio Industry 
  • Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 
  • ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 
  • Econometric GNP forecasts: Incremental information relative to naive extrapolation 
  • Editor's Report 
  • Editor's Report 
  • Editor's introduction 
  • Editor's introduction 
  • Efficient bayesian learning in non-linear dynamic models 
  • Empirical model particularities and belief in the natural rate hypothesis 
  • Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 
  • Estimating and testing a quantile regression model with interactive effects 
  • Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity 
  • Estimating dynamic equilibrium economies: linear versus nonlinear likelihood 
  • Estimating stochastic volatility diffusion using conditional moments of integrated volatility 
  • Estimation of Jump Tails 
  • Estimation of Seemingly Unrelated Tobit Regressions via the EM Algorithm 
  • Estimation of multivariate models for time series of possibly different lengths 
  • Estimation of stochastic volatility models with diagnostics 
  • Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale 
  • Expectations hypotheses tests at Long Horizons 
  • Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression 
  • Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model 
  • Explicitly infinite-dimensional Bayesian analysis of production technologies 
  • Exploiting the errors: A simple approach for improved volatility forecasting 
  • Extraneous expert information 
  • Extremal quantile regressions for selection models and the black–white wage gap 
  • Financial econometrics: Past developments and future challenges 
  • Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm 
  • Forecast Rationality Tests Based on Multi-Horizon Bounds 
  • Forecast comparisons in unstable environments 
  • Forecasting life expectancy in an international context 
  • Fractionally integrated generalized autoregressive conditional heteroskedasticity 
  • Frontiers of financial econometrics and financial engineering 
  • Generalized Instrumental Variable Models 
  • Generalized Method of Integrated Moments for High-Frequency Data 
  • Generalized autoregressive conditional heteroskedasticity 
  • Goodness of fit for seemingly unrelated regressions 
  • Goodness-of-fit tests for functional data 
  • Gradients in spatial response surfaces with application to urban land values 
  • Habit Persistence and Teen Sex: Could Increased Access to Contraception Have Unintended Consequences for Teen Pregnancies? 
  • Habit, Long-Run Risks, Prospect? A Statistical Inquiry 
  • Hailfinder: A Bayesian system for forecasting severe weather 
  • Hansen–Jagannathan Bounds as Classical Tests of Asset-Pricing Models 
  • Have economic models’ forecasting performance for US output growth and inflation changed over time, and when? 
  • Health and wages: evidence on men and women in urban Brazil. 
  • Heteroscedastic Transformation Models With Covariate Dependent Censoring 
  • High-dimensional copula-based distributions with mixed frequency data 
  • IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA 
  • Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns 
  • Identification of Treatment Effects Under Conditional Partial Independence 
  • Identification of Treatment Effects Under Conditional Partial Independence 
  • Identification of first-price auctions with non-separable unobserved heterogeneity 
  • Identification of panel data models with endogenous censoring 
  • Imposing curvature restrictions on flexible functional forms 
  • Improved estimation of the disturbance variance in a linear regression model 
  • Inference in High-Dimensional Panel Models With an Application to Gun Control 
  • Inference in successive sampling discovery models 
  • Inference on an extended Roy model, with an application to schooling decisions in France 
  • Inference on endogenously censored regression models using conditional moment inequalities 
  • Inference theory for volatility functional dependencies 
  • Information criteria for impulse response function matching estimation of DSGE models 
  • Informational content of special regressors in heteroskedastic binary response models 
  • Intersection Bounds: Estimation and Inference 
  • Intertemporal Preferences and Labor Supply 
  • Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference 
  • Irregular Identification, Support Conditions, and Inverse Weight Estimation 
  • Irregular leadership changes in 2014: Forecasts using ensemble, split-population duration models 
  • Isotone Equilibrium in Games of Incomplete Information 
  • Judgmental aggregation strategies depend on whether the self is involved 
  • Jump Regressions 
  • Jump tails, extreme dependencies, and the distribution of stock returns 
  • Jumps and betas: A new framework for disentangling and estimating systematic risks 
  • Leverage and Volatility Feedback Effects in High-Frequency Data 
  • Linear constraints and the efficiency of combined forecasts 
  • Local NLLS estimation of semi-parametric binary choice models 
  • Long-term equity anticipation securities and stock market volatility dynamics 
  • Market efficiency, asset returns, and the size of the risk premium in global equity markets 
  • Measuring the Dynamic Efficiency Costs of Regulators' Preferences: Municipal Water Utilities in the Arid West 
  • Methods for measuring expectations and uncertainty in Markov-switching models 
  • Modeling Dependence in High Dimensions With Factor Copulas 
  • Modeling Heteroscedasticity in Daily Foreign-Exchange Rates 
  • Modeling and Forecasting Realized Volatility 
  • Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 
  • Modeling and pricing long memory in stock market volatility 
  • Modeling college major choices using elicited measures of expectations and counterfactuals 
  • Modeling voter choice to predict the final outcome of two-stage elections 
  • Modelling the persistence of conditional variances 
  • Multi-Index Binary Response Analysis of Large Data Sets 
  • Multiple Imputation of Missing or Faulty Values Under Linear Constraints 
  • News note 
  • No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications 
  • Noninformative Priors and Bayesian Testing for the AR(1) Model 
  • Nonlinear Dynamic Structures 
  • Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns 
  • Nonparametric estimation of structural models for high-frequency currency market data 
  • Notes on financial econometrics 
  • Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes 
  • ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 
  • OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY 
  • On seeking a best performance measure or a best forecasting method 
  • On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 
  • On the asymptotic normality of Fourier flexible form estimates 
  • Optimal combinations of realised volatility estimators 
  • Partial identification and testable restrictions in multi-unit auctions 
  • Partial rank estimation of duration models with general forms of censoring 
  • Periodic Autoregressive Conditional Heteroscedasticity 
  • Population forecasting: Guest editors' introduction 
  • Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 
  • Post-Selection Inference for Generalized Linear Models With Many Controls 
  • Posterior inference in curved exponential families under increasing dimensions 
  • Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 
  • Predicting the efficacy of future training programs using past experiences at other locations 
  • Prediction in dynamic models with time-dependent conditional variances 
  • Preference for Flexibility and Random Choice 
  • Probability forecasting 
  • Program Evaluation and Causal Inference With High-Dimensional Data 
  • Properties of optimal forecasts under asymmetric loss and nonlinearity 
  • Purebred or hybrid?: Reproducing the volatility in term structure dynamics 
  • Qualitative and asymptotic performance of SNP density estimators 
  • Quantile regression under random censoring 
  • Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 
  • REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL 
  • Random Serial Dictatorship and the Core from Random Endowments in House Allocation Problems 
  • Rank Tests at Jump Events 
  • Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models 
  • Realized Beta: Persistence and Predictability 
  • Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models 
  • Realized Laplace transforms for estimation of jump diffusive volatility models 
  • Realized jumps on financial markets and predicting credit spreads 
  • Realized volatility forecasting and market microstructure noise 
  • Recursive Predictability Tests for Real-Time Data 
  • Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle 
  • Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle 
  • Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle 
  • Rejoinder 
  • Remarks on my Term atJBES 
  • Remarks on my Term atJBES 
  • Reply 
  • Reply 
  • Representing Preferences with a Unique Subjective State Space: A Corrigendum 
  • Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation 
  • Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation 
  • Risk Measure Inference 
  • Risk Preferences and the Macroeconomic Announcement Premium 
  • Risk, jumps, and diversification 
  • Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method 
  • Robust firm pricing with panel data 
  • Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 
  • SEMI-PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGES 
  • SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL 
  • SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL 
  • SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS 
  • SPECIFICATION TEST FOR MISSING FUNCTIONAL DATA 
  • Screening probability forecasts: contrasts between choosing and combining 
  • Seemingly unrelated nonlinear regressions 
  • Semi-parametric estimation of program impacts on dispersion of potential wages 
  • Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications 
  • Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data 
  • Set identification via quantile restrictions in short panels 
  • Simple robust averages of forecasts: Some empirical results 
  • Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models 
  • Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models 
  • Small-Sample Properties of GMM-Based Wald Tests 
  • Small-sample confidence intervals for multivariate impulse response functions at long horizons 
  • Solving Nonlinear Dynamic Models on Parallel Computers 
  • Solving the Stochastic Growth Model by Policy-Function Iteration 
  • Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations 
  • Some causal lessons from macroeconomics 
  • Some new asymptotic theory for least squares series: Pointwise and uniform results 
  • Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain 
  • Spatial Modeling of House Prices Using Normalized Distance-Weighted Sums of Stationary Processes 
  • Spatially Disaggregated Real Estate Indices 
  • Spatio-Temporal Modeling of Residential Sales Data 
  • Specification tests for partially identified models defined by moment inequalities 
  • Statistical analyses of freeway traffic flows 
  • Statistical and measurement issues in assessing the welfare status of aged individuals and populations 
  • Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation 
  • Stock return and cash flow predictability: The role of volatility risk 
  • Student Solutions Manual to Accompany Health Economics 
  • Subjective intervention in formal models 
  • TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION 
  • Testing Target-Zone Models Using Efficient Method of Moments 
  • Testing for Causal Effects in a Generalized Regression Model With Endogenous Regressors 
  • Testing for jumps in noisy high frequency data 
  • Testing for weak identification in possibly nonlinear models 
  • The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous 
  • The Economics of Collusion: Cartels and Bidding Rings 
  • The Effective Sample Size 
  • The Elite Illusion: Achievement Effects at Boston and New York Exam Schools 
  • The Exhaustion and Depletion of Natural Resources 
  • The Message in Daily Exchange Rates 
  • The Message in Daily Exchange Rates: A Conditional-Variance Tale 
  • The Message in Daily Exchange Rates: A Conditional-Variance Tale 
  • The Price Variability-Volume Relationship on Speculative Markets 
  • The Realized Laplace Transform of Volatility 
  • The Relative Contribution of Jumps to Total Price Variance 
  • The Role of Statistics in Accounting, Marketing, Finance, and Production 
  • The accuracy of extrapolation (time series) methods: Results of a forecasting competition 
  • The effect of nonstationarity on combined forecasts 
  • The fine structure of equity-index option dynamics 
  • The profitability of currency speculation 
  • The relative efficiency of method of moments estimators 
  • The use of probability elicitation in the high-level nuclear waste regulation program 
  • TheJournal of Business & Economic Statistics:The First 10 Years and a Look Ahead 
  • Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations 
  • Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 
  • Time-varying jump tails 
  • Time-varying jump tails 
  • Trade Liberalization and Labor Market Dynamics 
  • Two Books on the New Macroeconometrics 
  • Two-stage rank estimation of quantile index models 
  • Two-step estimation of semiparametric censored regression models 
  • Unbiased determination of production technologies 
  • Understanding models’ forecasting performance 
  • Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution 
  • Volatility Forecasting With Range-Based EGARCH Models 
  • Volatility activity: Specification and estimation 
  • Volatility forecast comparison using imperfect volatility proxies 
  • Volatility jumps 
  • Volatility puzzles: a simple framework for gauging return-volatility regressions 
  • Volume, volatility, and leverage: A dynamic analysis 
  • WEIGHTED AND TWO-STAGE LEAST SQUARES ESTIMATION OF SEMIPARAMETRIC TRUNCATED REGRESSION MODELS 
  • Waiting for News in the Market for Lemons 
  • Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances 
  • Which moments to match? 
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  Keywords of People

  • Collard-Wexler, Allan, Professor of Economics, Economics
  • Kirkpatrick, Justin, Student, Environmental Sciences and Policy
  • Wang, Zhenxuan, Student, Nicholas School of the Environment