Journal of Econometrics,
Green Table of Contents
Volume 219, Issue 2,
Pages 201-542 (December 2020)
The term structure of equity and variance risk premia
Yacine Aït-Sahalia, Mustafa Karaman, Loriano Mancini
Pages 204-230
Point optimal testing with roots that are functionally local to unity
Anna Bykhovskaya, Peter C.B. Phillips
Pages 231-259
Score tests in GMM: Why use implied probabilities?
Saraswata Chaudhuri, Eric Renault
Pages 260-280
Asymptotic theory for time series with changing mean and variance
Violetta Dalla, Liudas Giraitis, Peter M. Robinson
Pages 281-313
Testing for a trend with persistent errors
Graham Elliott
Pages 314-328
Heterogeneous panel data models with cross-sectional dependence
Jiti Gao, Kai Xia, Huanjun Zhu
Pages 329-353
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
David Harris, Hsein Kew, A.M. Robert Taylor
Pages 354-388
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
Seok Young Hong, Oliver Linton
Pages 389-424
Hypothesis testing based on a vector of statistics
Maxwell L. King, Xibin Zhang, Muhammad Akram
Pages 425-455
High-dimensional predictive regression in the presence of cointegration
Bonsoo Koo, Heather M. Anderson, Myung Hwan Seo, Wenying Yao
Pages 456-477
High-frequency jump tests: Which test should we use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
Pages 478-487
Adjusted QMLE for the spatial autoregressive parameter
Federico Martellosio, Grant Hillier
Pages 488-506
Econometric analysis of production networks with dominant units
M. Hashem Pesaran, Cynthia Fan Yang
Pages 507-541