Journal of Econometrics

Journal of Econometrics

ISSNs: 0304-4076

Additional searchable ISSN (Electronic): 1872-6895

Elsevier BV, Netherlands

Scopus rating (2021): CiteScore 4.1 SJR 3.523 SNIP 2.475

Journal

Journal Metrics

Research Output

  1. 2022
  2. Online published

    Using Monotonicity Restrictions to Identify Models with Partially Latent Covariates

    Bang, M., Gao, W. Y., Postlewaite, A. & Sieg, H., 15 Sep 2022, (Online published) In: Journal of Econometrics.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  3. Published

    Factor investing: A Bayesian hierarchical approach

    Feng, G. & He, J., Sep 2022, In: Journal of Econometrics. 230, 1, p. 183-200

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  4. Online published

    Quasi-maximum likelihood estimation of break point in high-dimensional factor models

    Duan, J., Bai, J. & Han, X., 25 Mar 2022, (Online published) In: Journal of Econometrics.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 2
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  5. 2021
  6. Published

    Solving Euler equations via two-stage nonparametric penalized splines

    Cui, L., Hong, Y. & Li, Y., Jun 2021, In: Journal of Econometrics. 222, 2, p. 1024-1056

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  7. Published

    Volatility analysis with realized GARCH-Itô models

    Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y. & Wang, Y., May 2021, In: Journal of Econometrics. 222, 1, Part B, p. 393-410

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 10
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  8. 2020
  9. Published

    Estimation and inference of change points in high-dimensional factor models

    Bai, J., Han, X. & Shi, Y., Nov 2020, In: Journal of Econometrics. 219, 1, p. 66-100

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 9
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  10. 2019
  11. What do mean impacts miss? Distributional effects of corporate diversification

    Xiao, Z. & Xu, L., Nov 2019, In: Journal of Econometrics. 213, 1, p. 92-120 29 p.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  12. 2018
  13. Published

    Estimation and inference of dynamic structural factor models with over-identifying restrictions

    Han, X., Feb 2018, In: Journal of Econometrics. 202, 2, p. 125-147

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 1
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  14. 2015
  15. Published

    Tests for overidentifying restrictions in Factor-Augmented VAR models

    Han, X., Feb 2015, In: Journal of Econometrics. 184, 2, p. 394-419

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 6
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  16. 2014
  17. On empirical likelihood statistical functions

    Yuan, A., Xu, J. & Zheng, G., Jan 2014, In: Journal of Econometrics. 178, PART 3, p. 613-623

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 2
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  18. 2013
  19. Published

    Model averaging by jackknife criterion in models with dependent data

    Zhang, X., Wan, A. T. K. & Zou, G., Jun 2013, In: Journal of Econometrics. 174, 2, p. 82-94

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 73
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  20. 2012
  21. Statistical tests for multiple forecast comparison

    Mariano, R. S. & Preve, D., Jul 2012, In: Journal of Econometrics. 169, 1, p. 123-130

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 26
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  22. 2011
  23. Linear programming-based estimators in simple linear regression

    Preve, D. & Medeiros, M. C., 3 Nov 2011, In: Journal of Econometrics. 165, 1, p. 128-136

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 7
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  24. 2010
  25. Published

    Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

    Zhou, Y., Wan, A. T. K., Xie, S. & Wang, X., Nov 2010, In: Journal of Econometrics. 159, 1, p. 183-201

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 14
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  26. Published

    Least squares model averaging by Mallows criterion

    Wan, A. T. K., Zhang, X. & Zou, G., Jun 2010, In: Journal of Econometrics. 156, 2, p. 277-283

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 144
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  27. 2003
  28. Published

    Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

    Wan, A. T. K. & Zou, G., May 2003, In: Journal of Econometrics. 114, 1, p. 165-196

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 11
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  29. 1998
  30. Published

    Asymptotic Bayesian analysis based on a limited information estimator

    Kwan, Y. K., Nov 1998, In: Journal of Econometrics. 88, 1, p. 99-121

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 18
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  31. 1996
  32. Published

    A causality-in-variance test and its application to financial market prices

    Cheung, Y. & Ng, L. K., May 1996, In: Journal of Econometrics. 72, 1-2, p. 33-48

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 313
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  33. 1994
  34. On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

    Cheung, Y. & Diebold, F. X., Jun 1994, In: Journal of Econometrics. 62, 2, p. 301-316

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

    Scopus citations: 88
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