Journal of Econometrics

Journal of Econometrics

ISSNs: 0304-4076

Additional searchable ISSN (Electronic): 1872-6895

Elsevier BV, Netherlands

Scopus rating (2020): CiteScore 3.3 SJR 3.769 SNIP 2.511

Journal

Journal Metrics

Research Output

  1. 2021
  2. Online published

    Factor investing: A Bayesian hierarchical approach

    Feng, G. & He, J., 27 Nov 2021, (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

    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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  4. 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: 7
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  5. 2020
  6. 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: 3
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  7. 2019
  8. 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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  9. 2018
  10. 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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  11. 2015
  12. 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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  13. 2013
  14. 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: 68
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  15. 2012
  16. 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: 17
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  17. 2011
  18. 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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  19. 2010
  20. 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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  21. 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: 126
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  22. 2003
  23. 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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  24. 1998
  25. Published

    Asymptotic Bayesian analysis based on a limited information estimator

    Kwan, Y. K., 2 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: 17
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  26. 1996
  27. 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: 294
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  28. 1994
  29. 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: 86
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