27 Key Publications

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  Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1).

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  DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917.
• Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.

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  Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1).

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  Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.

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  Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2).

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  Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22.