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Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

Assessing causal effects in a longitudinal observational study with "truncated" outcomes due to unemployment and nonignorable missing data

Bia, Michela; Mattei, Alessandra; Mercatanti, Andrea - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 718-729

Persistent link: https://www.econbiz.de/10013534220

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions

Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397

Persistent link: https://www.econbiz.de/10012804123

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Nonparametric tests for treatment effect heterogeneity with duration outcomes

Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 816-832

Persistent link: https://www.econbiz.de/10012587986

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900

The evolving impact of global, region-specific, and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481

Persistent link: https://www.econbiz.de/10012499092

Equality-minded treatment choice

Kitagawa, Toru; Tetenov, Aleksey - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 561-574

Persistent link: https://www.econbiz.de/10012499100