Journal of Econometrics

Journal of Econometrics

ISSNs: 0304-4076

Additional searchable ISSN (electronic): 1872-6895

Elsevier BV, Netherlands

Scopus rating (2023): CiteScore 8.6 SJR 9.161 SNIP 4.206

Journal

Journal Metrics
1 - 20 out of 32Page size: 20

Research Output

  1. 2024
  2. Published

    Human Capital and Migration: a Cautionary Tale

    Navarro, S. & Zhou, J., Jul 2024, In: Journal of Econometrics. 243, 1-2, 105720.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  3. Online published

    Reprint of: The likelihood ratio test for structural changes in factor models

    Bai, J., Duan, J. & Han, X., 9 May 2024, (Online published) In: Journal of Econometrics. 105745.

    Research output: Journal Publications and Reviews › Reprint in journal › peer-review

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  4. Published

    A latent class Cox model for heterogeneous time-to-event data

    Pei, Y., Peng, H. & Xu, J., Feb 2024, In: Journal of Econometrics. 239, 2, 105351.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  5. Published

    The likelihood ratio test for structural changes in factor models

    Bai, J., Duan, J. & Han, X., Jan 2024, In: Journal of Econometrics. 238, 2, 105631.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  6. 2023
  7. Published

    Using Monotonicity Restrictions to Identify Models with Partially Latent Covariates

    Bang, M., Gao, W. Y., Postlewaite, A. & Sieg, H., Aug 2023, In: Journal of Econometrics. 235, 2, p. 892-921

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  8. Published

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

    Duan, J., Bai, J. & Han, X., Mar 2023, In: Journal of Econometrics. 233, 1, p. 209-236

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 10
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  9. 2022
  10. Published

    Factor investing: A Bayesian hierarchical approach

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

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  11. 2021
  12. 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 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  13. 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 - Publication in refereed journal › peer-review

    Scopus citations: 26
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  14. 2020
  15. 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 - Publication in refereed journal › peer-review

    Scopus citations: 22
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  16. Inference for the degree distributions of preferential attachment networks with zero-degree nodes

    Chan, N. H., Cheung, S. K. C. & Wong, S. P. S., May 2020, In: Journal of Econometrics. 216, 1, p. 220-234

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  17. 2019

  18. 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 - Publication in refereed journal › peer-review

    Scopus citations: 6
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  19. 2018

  20. Portmanteau-type tests for unit-root and cointegration

    Zhang, R. & Chan, N. H., 1 Dec 2018, In: Journal of Econometrics. 207, 2, p. 307-324

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 4
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  21. 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 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  22. 2016

  23. Semiparametric dynamic portfolio choice with multiple conditioning variables

    Chen, J., Li, D., Linton, O. & Lu, Z., 1 Oct 2016, In: Journal of Econometrics. 194, 2, p. 309-318

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 9
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  24. Generalized Yule-Walker Estimation for Spatio-Temporal Models with Unknown Diagonal Coefficients

    Dou, B., Parrella, M. L. & Yao, Q., Oct 2016, In: Journal of Econometrics. 194, 2, p. 369-382

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 29
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  25. 2015

  26. LASSO estimation of threshold autoregressive models

    Chan, N. H., Yau, C. Y. & Zhang, R., 1 Dec 2015, In: Journal of Econometrics. 189, 2, p. 285-296

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 32
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  27. A flexible semiparametric forecasting model for time series

    Li, D., Linton, O. & Lu, Z., 1 Jul 2015, In: Journal of Econometrics. 187, 1, p. 345-357

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 43
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  28. 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 - Publication in refereed journal › peer-review

    Scopus citations: 6
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  29. 2014

  30. 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 - Publication in refereed journal › peer-review

    Scopus citations: 3
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