Journal of Business & Economic Statistics

Title Publication Date Language Citations
Determining the Number of Primitive Shocks in Factor Models2007/01/01English344
A Comparison of Alternative Models for the Demand for Medical Care1983/04/01317
Production Frontiers and Panel Data1984/10/01317
Dynamic Equicorrelation2012/04/01English317
Bayesian Analysis of Stochastic Volatility Models1994/10/01313
Estimation of Common Long-Memory Components in Cointegrated Systems1995/01/01300
Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso2007/07/01English299
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents2011/01/01English297
On the Fit of New Keynesian Models2007/04/01English295
Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence1992/07/01293
Dynamic Conditional Correlation: On Properties and Estimation2013/07/01English291
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates1998/07/01291
Estimation and Inference in Two-Step Econometric Models1985/10/01286
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules2011/07/01English284
Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility2011/07/01English282
Out-of-Sample Forecast Tests Robust to the Choice of Window Size2012/07/01English281
The Message in Daily Exchange Rates: A Conditional-Variance Tale1989/07/01275
Tests for Parameter Instability in Regressions with I(1) Processes1992/07/01274
Tests for Skewness, Kurtosis, and Normality for Time Series Data2005/01/01English268
Forecasting with Bayesian Vector Autoregressions: Five Years of Experience1986/01/01259
Estimation of Common Long-Memory Components in Cointegrated Systems1995/01/01English251
Wealth Accumulation Over the Life Cycle and Precautionary Savings2003/07/01English250
Macroeconomic Forecasting With Mixed-Frequency Data2008/10/01English245
MCMC Analysis of Diffusion Models With Application to Finance2001/04/01English245
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests2015/01/02English245
Modeling Heteroscedasticity in Daily Foreign-Exchange Rates1989/07/01242
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling2012/07/01English242
Nonstationarity and Level Shifts with an Application to Purchasing Power Parity1992/07/01240
Persistence in Variance, Structural Change, and the GARCH Model1990/04/01239
Testing for a Unit Root in a Time Series with a Changing Mean1990/04/01232