Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21.
310 Key Publications
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Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):1--3. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112. -
Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65. -
Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2). -
Camehl, A. and Rieth, M. (2023). Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks. American Economic Journal: Macroeconomics, 15(4):217--248.
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Mayer, A. and Wied, D. (2023). Estimation and inference in factor copula models with exogenous covariates Journal of Econometrics, 235(2):1500--1521. -
Telg, S., Dubinova, A. and Lucas, A. (2023). Covid-19, credit risk management modeling, and government support Journal of Banking and Finance, 147:1--13.
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Gorgi, P. and Koopman, S.J. (2023). Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects Journal of Econometrics, 237(2):1--21. -
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18. -
Zhang, X. and Zhang, X. (2023). Optimal model averaging based on forward-validation Journal of Econometrics, 237(2). -
Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095. -
Juodis, A. and Sarafidis, V. (2022). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, 229(1):19--54. -
Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84. -
Einmahl, J., Ferreira, A., De Haan, L., Neves, C. and Zhou, C. (2022). Spatial dependence and space-time trend in extreme events Annals of Statistics, 50(1):30--52. -
Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810. -
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Yue, Y. (2022). Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities Journal of the American Statistical Association, 117(537):82--93. -
De Luca, G., Magnus, JanR. and Peracchi, F. (2022). Sampling properties of the Bayesian posterior mean with an application to WALS estimation Journal of Econometrics, 230(2):299--317. -
Wan, P. and Davis, R. (2022). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, 227(1):4--24.