Terkko Navigator / Journal of business and economic statistics

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models

A Stochastic Frontier Model with Endogenous Treatment Status and Mediator

Flexible Mixture-Amount Models Using Multivariate Gaussian Processes

Dynamic Effects of Credit Shocks in a Data-Rich Environment

Markov-Switching Three-Pass Regression Filter

Identification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching

A Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing?

Learning and Index Option Returns

Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models

Is a Normal Copula the Right Copula?

A New Approach to Identifying the Real Effects of Uncertainty Shocks

Detecting Structural Differences in Tail Dependence of Financial Time Series

Words are the New Numbers: A Newsy Coincident Index of the Business Cycle

The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

A Comparison of Two Quantile Models With Endogeneity

Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data

Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula

Measuring Granger Causality in Quantiles

Testing the Multivariate Regular Variation Model

Threshold Regression With a Threshold Boundary

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Generic Conditions for Forecast Dominance

A Correction for Regression Discontinuity Designs With Group-Specific Mismeasurement of the Running Variable

Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes

Who is the Key Player? A Network Analysis of Juvenile Delinquency

Multidimensional Economic Dispersion Index and Application

Incorporating Graphical Structure of Predictors in Sparse Quantile Regression

Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths

An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data

Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets

Dynamic Semiparametric Factor Model With Structural Breaks

A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments

Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data

Bayesian Inference for Regression Copulas

Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure

Unified Tests for a Dynamic Predictive Regression

Fitting Vast Dimensional Time-Varying Covariance Models

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Dynamic Two Stage Modeling for Category-Level and Brand-Level Purchases Using Potential Outcome Approach With Bayes Inference

What Happens After an Investment Spike—Investment Events and Firm Performance

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model

Exponential-Type GARCH Models With Linear-in-Variance Risk Premium

Copula-Based Random Effects Models for Clustered Data

Equality-Minded Treatment Choice

Wild Bootstrap and Asymptotic Inference With Multiway Clustering

A Nodewise Regression Approach to Estimating Large Portfolios

Sharp Bounds on Functionals of the Joint Distribution in the Analysis of Treatment Effects

The Impact of Food Prices on Conflict Revisited

High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms