Econometrics

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  Subject Areas on Research

  • "Arbitrage Pricing Theory as a Restricted Nonlinear Regression Model: NLITSUR Estimates" 
  • "Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data" 
  • "Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution" 
  • "Weaker MSE Criteria and Tests for Linear Restrictions in Regression Models with Nonspherical Disturbances" 
  • A Dynamic Model of Demand for Houses and Neighborhoods 
  • 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 practical guide to compact infinite dimensional parameter spaces 
  • A reduced form framework for modeling volatility of speculative prices based on realized variation measures 
  • A wavelet-based spectral method for extracting self-similarity measures in time-varying two-dimensional rainfall maps 
  • ARCH modeling in finance. A review of the theory and empirical evidence 
  • 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 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 
  • Automatic inference of the contemporaneous causal order of a system of equations 
  • Bayesian Analysis of Financial Event Study Data 
  • Bayesian Analysis of Latent Threshold Dynamic Models 
  • Bayesian Forecasting of Many Count-Valued Time Series 
  • Bayesian analysis of concurrent time series with application to regional IBM revenue data 
  • Bayesian dynamic factor models and portfolio allocation 
  • Bayesian estimation of manufacturing effects in a fuel economy model 
  • Bayesian forecasting and portfolio decisions using dynamic dependent factor models 
  • Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models 
  • Bayesian inference on periodicities and component spectral structure in time series 
  • Bayesian input in Stein estimation and a new minimax empirical Bayes estimator 
  • Bayesian models for non-linear autoregressions 
  • Bayesian statistics two: Proceedings of the second Valencia international meeting on Bayesian statistics 
  • 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 
  • Comment 
  • Comment 
  • Comment 
  • Comment [2] (multiple letters) 
  • 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 Possibly Misspecified Forecasts 
  • Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter 
  • Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity 
  • Conditional quantile processes based on series or many regressors 
  • Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities 
  • Consumption Dynamics During Recessions 
  • Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 
  • 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 
  • Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions 
  • Dan Nelson Remembered. 
  • 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 
  • Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes 
  • Dynamic Bayesian predictive synthesis in time series forecasting 
  • Dynamic Mixture-Averse Preferences 
  • Dynamic Preference for Flexibility 
  • Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 
  • Dynamic factor volatility modeling: A bayesian latent threshold approach 
  • Dynamic semiparametric models for expected shortfall (and Value-at-Risk) 
  • EFFICIENT ESTIMATION of INTEGRATED VOLATILITY FUNCTIONALS under GENERAL VOLATILITY DYNAMICS 
  • ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 
  • Econometric GNP forecasts: Incremental information relative to naive extrapolation 
  • Editor's introduction 
  • Editor's introduction 
  • Editors' introduction 
  • Editor’s report 
  • Editor’s report 
  • Efficient bayesian learning in non‐linear dynamic models 
  • Empirical model particularities and belief in the natural rate hypothesis 
  • Equilibrium in a Production Economy with an Income Tax 
  • Equity trading volume and volatility: Latent information arrivals and common long-run dependencies 
  • Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415) 
  • Estimating stochastic volatility diffusion using conditional moments of integrated volatility 
  • Estimation of jump tails 
  • Estimation of multivariate models for time series of possibly different lengths 
  • Estimation of seemingly unrelated tobit regressions via the em algorithm 
  • Estimation of stochastic volatility models with diagnostics 
  • Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale 
  • Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model 
  • 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 
  • Farms, Families, and Markets: New Evidence on Completeness of Markets in Agricultural Settings. 
  • Financial econometrics: Past developments and future challenges 
  • Finite mixture distributions, sequential likelihood and the EM algorithm 
  • Forecast rationality tests based on multi-horizon bounds 
  • 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 Jump Regressions for Local Moments 
  • Generalized Method of Integrated Moments for High-Frequency Data 
  • Generalized autoregressive conditional heteroskedasticity 
  • Goodness of fit for seemingly unrelated regressions. Glahn's R² y.x and Hooper's r̄² 
  • 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? 
  • Hailfinder: A Bayesian system for forecasting severe weather 
  • Health and wages: evidence on men and women in urban Brazil. 
  • High-dimensional copula-based distributions with mixed frequency data 
  • High-dimensional multivariate realized volatility estimation 
  • IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA 
  • Identification and inference in linear stochastic discount factor models with excess returns 
  • Identification and inference on regressions with missing covariate data 
  • Identification of Treatment Effects Under Conditional Partial Independence 
  • Identification of first-price auctions with non-separable unobserved heterogeneity 
  • Identifying dynamic discrete choice models off short panels 
  • Improved Estimation of a Disturbance Variance 
  • 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 theory for volatility functional dependencies 
  • 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 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 
  • 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 
  • Mixed-scale jump regressions with bootstrap inference 
  • Modeling Dependence in High Dimensions With Factor Copulas 
  • Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions 
  • Modeling and forecasting of Brazilian reservoir inflows via dynamic linear models 
  • Modeling and forecasting realized volatility 
  • Modeling and pricing long memory in stock market volatility 
  • Modeling college major choices using elicited measures of expectations and counterfactuals 
  • Modeling heteroscedasticity in daily foreign-exchange rates 
  • Modelling the persistence of conditional variances 
  • Multiple Imputation of Missing or Faulty Values Under Linear Constraints 
  • Multivariate leverage effects and realized semicovariance GARCH models 
  • News Notes 
  • 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 
  • Nonlinear Dynamic Structures 
  • Nonparametric estimation of structural models for high-frequency currency market data 
  • Nonparametric identification and estimation in a Roy model with common nonpecuniary returns 
  • Nonstationary Spatial Modeling through Normalized Distance-Weighted Sums of Stationary Processes 
  • Notes on financial econometrics 
  • Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 
  • ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS 
  • Occupation density estimation for noisy high-frequency data 
  • 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 
  • Optimal combinations of realised volatility estimators 
  • Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty 
  • Partial identification and testable restrictions in multi-unit auctions 
  • Periodic autoregressive conditional heteroscedasticity 
  • Population forecasting: Guest editors' introduction 
  • 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 childlessness for recent cohorts of American women. 
  • 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 
  • Probabilistic forecasting of heterogeneous consumer transaction–sales time series 
  • Probability forecasting 
  • Program Evaluation and Causal Inference With High-Dimensional Data 
  • Projecting the future size and health status of the U.S. elderly population. 
  • Properties of optimal forecasts under asymmetric loss and nonlinearity 
  • 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 
  • Realized Beta: Persistence and Predictability 
  • Realized Laplace transforms for estimation of jump diffusive volatility models 
  • Realized Semicovariances 
  • Realized jumps on financial markets and predicting credit spreads 
  • Realized volatility forecasting and market microstructure noise 
  • Reference analysis of the DLM 
  • Regime shifts, risk premiums in the term structure, and the business cycle 
  • Rejoinder 
  • Remarks on my term at JBES 
  • Reply 
  • Reply 
  • Representing preferences with a unique subjective state space: A corrigendum 
  • Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation 
  • Risk Independence and Multiattributed Utility Functions 
  • 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 
  • Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models 
  • Salvaging Falsified Instrumental Variable Models 
  • Screening probability forecasts: contrasts between choosing and combining 
  • Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications 
  • Semiparametric Estimation of Long-Memory Volatility Dependencies 
  • Set identification via quantile restrictions in short panels 
  • Simple robust averages of forecasts: Some empirical results 
  • Simple versus complex methods 
  • Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models 
  • Solutions: Derivation of the OLS Estimator Without Using Calculus 
  • 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 test for missing functional 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 
  • Stock return and cash flow predictability: The role of volatility risk 
  • Subjective intervention in formal models 
  • Sufficient Conditions for Extracting Least Cost Resources First 
  • TRYGVE HAAVELMO'S EXPERIMENTAL METHODOLOGY and SCENARIO ANALYSIS in A COINTEGRATED VECTOR AUTOREGRESSION 
  • Testing continuity of a density via g-order statistics in the regression discontinuity design 
  • Testing for jumps in noisy high frequency data 
  • Testing target-zone models using efficient method of moments 
  • The Effective Sample Size 
  • The Effects of Combining Forecasts and the Improvement of the Overall Forecasting Process 
  • The Price Variability-Volume Relationship on Speculative Markets 
  • The Realized Laplace Transform of Volatility 
  • The Relative Contribution of Jumps to Total Price Variance 
  • The accuracy of extrapolation (time series) methods: Results of a forecasting competition 
  • The distributional impacts of minimum wage increases when both labor supply and labor demand are endogenous 
  • The effect of nonstationarity on combined forecasts 
  • The exhaustion and depletion of natural resources. 
  • The fine structure of equity-index option dynamics 
  • The journal of business & economic statistics: The first 10 years and a look ahead 
  • The message in daily exchange rates: A conditional-variance tale 
  • The profitability of currency speculation 
  • The relative efficiency of method of moments estimators 
  • The role of statistics in accounting, marketing, finance, and production 
  • The use of probability elicitation in the high-level nuclear waste regulation program 
  • Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 
  • Time-varying jump tails 
  • Trade Liberalization and Labor Market Dynamics 
  • Uncertainty about processes that shift over time: Modeling and analysis 
  • Understanding Cryptocurrencies 
  • Uniform nonparametric inference for time series 
  • Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution 
  • Variation and efficiency of high-frequency betas 
  • Volatility activity: Specification and estimation 
  • Volatility forecast comparison using imperfect volatility proxies 
  • Volatility forecasting with range-based EGARCH models 
  • Volatility jumps 
  • Volatility puzzles: A simple framework for gauging return-volatility regressions 
  • Volume, volatility, and leverage: A dynamic analysis 
  • Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances 
  • Which moments to match? 
  • Why do some combinations perform better than others? 
  • noninformative priors and bayesian testing for the ar(1) model 
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  Keywords of People

  • Collard-Wexler, Allan, Professor of Economics, Economics
  • Salim Saker Chaves, Leonardo, Student, Economics
  • Wang, Zhenxuan, Student, Nicholas School of the Environment