Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, :.
206 Key Publications
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Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21.
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Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187.
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He, Y. (2023). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, :.
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Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275.
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Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
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He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177.
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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):.
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Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.
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Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2):.
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Almeida, C., Fan, J., Freire, G. and Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3):995--1009.
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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.
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Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095.
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Juodis, A. and Sarafidis, V. (2022). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, 229(1):19--54.
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de Haan, L. and Zhou, C. (2022). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 00(0):.
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Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810.
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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.
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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.
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Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.
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Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205.