Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253:.
223 Key Publications
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Vos, \.D. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253:. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248:. -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249:. -
Frazier, D., Renault, E., Zhang, L. and Zhao, X. (2025). Weak Identification in Discrete Choice Models Journal of Econometrics, 248:. -
Margaritella, L. and Sessinou, R. (2025). Precision Least Squares: Estimation and Inference in High-Dimensions Journal of Business and Economic Statistics, 43(4):884--896. -
Paap, R. and Franses, \.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:. -
Bertsch, C., Hull, I., Lumsdaine, \RobinL.\ and Zhang, X. (2025). Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches Journal of Econometrics, 249:. -
\de Santis\, R., Goeman, \JelleJ.\, Hemerik, J., Davenport, S. and Finos, L. (2025). Inference in generalized linear models with robustness to misspecified variances Journal of the American Statistical Association, https://doi.org/10.1080/01621459.2025.2491775(552):2762--2771. -
Blasques, F., Gorgi, P. and Koopman, \S.J.\ (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models Journal of Business and Economic Statistics, 43(4):926--940. -
\van Os\, B. and \van Dijk\, D. (2025). Dynamic Conditional Correlations with Partial Information Pooling Journal of Business and Economic Statistics, 44(1):309--320. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A):. -
Opschoor, D. and Dijk, D.V. (2025). Slow Expectation–Maximization Convergence in Low-Noise Dynamic Factor Models Journal of Applied Econometrics, 40(7):829--845. -
\van 't Hoff\, N.A.L., Lewbel, A. and Mellace, G. (2025). Limited Monotonicity and the Combined Compliers LATE Review of Economics and Statistics, :. -
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29. -
\de Haan\, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Menkveld, A., Caskurlu, T., Vladimirov, V. and Project\, \.C.A. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390. -
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578. -
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):. -
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.