Terkko Navigator / Journal of business and economic statistics

Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models

System Estimation of Panel Data Models Under Long-Range Dependence

Adaptive Shrinkage in Bayesian Vector Autoregressive Models

Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models

Estimation and Inference of Distributional Partial Effects: Theory and Application

Too Connected to Fail? Inferring Network Ties From Price Co-Movements

Retail Agglomeration and Competition Externalities: Evidence from Openings and Closings of Multiline Department Stores in the U.S.

Functional Autoregression for Sparsely Sampled Data

Perceived Inflation Persistence

Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

On the Identification of Fractionally Cointegrated VAR Models With the [math] Condition

A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection

Inferences for a Partially Varying Coefficient Model With Endogenous Regressors

Regression Discontinuity Designs With Sample Selection

A New Class of Change Point Test Statistics of Rényi Type

Term Structures of Inflation Expectations and Real Interest Rates

External Validity in Fuzzy Regression Discontinuity Designs

The Promise and Pitfalls of Differences-in-Differences: Reflections on 16 and Pregnant and Other Applications

Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle

Heterogeneity and Unemployment Dynamics

A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity

Empirical likelihood for high frequency data

The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

Local Parametric Estimation in High Frequency Data

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Dynamic Vector Mode Regression

Stationary Points for Parametric Stochastic Frontier Models

Flexible Mixture-Amount Models Using Multivariate Gaussian Processes

Estimating and Testing Nonlinear Local Dependence Between Two Time Series

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

Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data

Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula

Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects

A Stochastic Frontier Model with Endogenous Treatment Status and Mediator

A Comparison of Two Quantile Models With Endogeneity

Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition

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

A New Approach to Identifying the Real Effects of Uncertainty Shocks

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

Learning and Index Option Returns

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

Is a Normal Copula the Right Copula?

Detecting Structural Differences in Tail Dependence of Financial Time Series

Dynamic Effects of Credit Shocks in a Data-Rich Environment

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

Markov-Switching Three-Pass Regression Filter

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

Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets