Journal of Econometrics,
Green Table of Contents
Volume 216, Issue 1,
Pages 1-326 (May 2020)
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
Matteo Barigozzi, Marc Hallin
Pages 4-34
A robust procedure to build dynamic factor models with cluster structure
Andrés M. Alonso, Pedro Galeano, Daniel Peña
Pages 35-52
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Threshold factor models for high-dimensional time series
Xialu Liu, Rong Chen
Pages 53-70
Factor-adjusted regularized model selection
Jianqing Fan, Yuan Ke, Kaizheng Wang
Pages 71-85
High-frequency factor models and regressions
Yacine Aït-Sahalia, Ilze Kalnina, Dacheng Xiu
Pages 86-105
Testing serial correlations in high-dimensional time series via extreme value theory
Ruey S. Tsay
Pages 106-117
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Variable selection for high-dimensional regression models with time series and heteroscedastic errors
Hai-Tang Chiou, Meihui Guo, Ching-Kang Ing
Pages 118-136
Dynamic conditional angular correlation
Riad Jarjour, Kung-Sik Chan
Pages 137-150
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Twisted probabilities, uncertainty, and prices
Lars Peter Hansen, Bálint Szőke, Lloyd S. Han, Thomas J. Sargent
Pages 151-174
Estimation for double-nonlinear cointegration
Yingqian Lin, Yundong Tu, Qiwei Yao
Pages 175-191
Asymptotic theory for near integrated processes driven by tempered linear processes
Farzad Sabzikar, Qiying Wang, Peter C.B. Phillips
Pages 192-202
Two-mode network autoregressive model for large-scale networks
Danyang Huang, Feifei Wang, Xuening Zhu, Hansheng Wang
Pages 203-219
Inference for the degree distributions of preferential attachment networks with zero-degree nodes
N.H. Chan, Simon K.C. Cheung, Samuel P.S. Wong
Pages 220-234
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Robust causality test of infinite variance processes
Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti
Pages 235-245
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Noncausal vector AR processes with application to economic time series
Richard A. Davis, Li Song
Pages 246-267
Double machine learning with gradient boosting and its application to the Big N audit quality effect
Jui-Chung Yang, Hui-Ching Chuang, Chung-Ming Kuan
Pages 268-283
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Pairwise local Fisher and naive Bayes: Improving two standard discriminants
Håkon Otneim, Martin Jullum, Dag Tjøstheim
Pages 284-304
Multiscale clustering of nonparametric regression curves
Michael Vogt, Oliver Linton
Pages 305-325