Journal of Econometrics

Title Publication Date Language Citations
Generalised residuals1987/01/01English236
The wild bootstrap, tamed at last2008/09/01English235
Dynamic discrete choice structural models: A survey2010/05/01English235
Specification testing in Markov-switching time-series models1996/01/01English233
Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S.2021/01/01English233
New methods for analyzing structural models of labor force dynamics1982/01/01English232
Regime switching for dynamic correlations2006/03/01English232
A comparison of two model averaging techniques with an application to growth empirics2010/02/01English231
Design-based analysis in Difference-In-Differences settings with staggered adoption2022/01/01English229
Testing for serial correlation, spatial autocorrelation and random effects using panel data2007/09/01English229
A consistent nonparametric test for nonlinear causality—Specification in time series regression2011/11/01English228
VAR for VaR: Measuring tail dependence using multivariate regression quantiles2015/07/01English227
The estimation of the degree of oligopoly power1982/08/01English226
Robust penalized quantile regression estimation for panel data2010/08/01English224
Estimating covariation: Epps effect, microstructure noise2011/01/01English223
HAC estimation in a spatial framework2007/09/01English223
Likelihood approximation by numerical integration on sparse grids2008/05/01English222
The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study2010/11/01English221
The three-pass regression filter: A new approach to forecasting using many predictors2015/06/01English221
Multiperiod corporate default prediction—A forward intensity approach2012/09/01English221
Stochastic frontier models1994/04/01English221
A pair-wise approach to testing for output and growth convergence2007/05/01English219
The frequency of price adjustment1986/04/01English219
Synchronization of cycles2006/05/01English218
Consistent ranking of volatility models2006/03/01English217
Bayes inference in regression models with ARMA (p, q) errors1994/09/01English217
A component model for dynamic correlations2011/09/01English213
Estimation of consumer demand systems with binding non-negativity constraints1983/04/01English210
Risk, jumps, and diversification2008/05/01English207
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets2011/01/01English205