Journal of Econometrics

Journal of Econometrics

ISSNs: 0304-4076

Additional searchable ISSN (Electronic): 1872-6895

Elsevier BV, Netherlands

Scopus rating (2022): CiteScore 7.2 SJR 5.744 SNIP 3.425

Journal

Journal Metrics

Research Output

  1. 2024
  2. Online published

    Human Capital and Migration: a Cautionary Tale

    Navarro, S. & Zhou, J., 11 Mar 2024, (Online published) In: Journal of Econometrics. 105720.

    Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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  3. 2023
  4. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

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  5. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 6
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  6. 2022
  7. Online published

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

    Pei, Y., Peng, H. & Xu, J., 23 Nov 2022, (Online published) In: Journal of Econometrics.

    Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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  8. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 2
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  9. 2021
  10. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 1
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  11. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 19
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  12. 2020
  13. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 14
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  14. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 1
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  15. 2019
  16. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 6
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  17. 2018
  18. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 4
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  19. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 2
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  20. 2016
  21. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 26
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  22. 2015
  23. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 31
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  24. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 6
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  25. 2014
  26. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 3
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  27. 2013
  28. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 92
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  29. 2012
  30. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 38
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  31. 2011
  32. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 7
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  33. 2010
  34. 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 ReviewsRGC 21 - Publication in refereed journalpeer-review

    Scopus citations: 16
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