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%%% ====================================================================
%%%  BibTeX-file{
%%%     author          = "Nelson H. F. Beebe",
%%%     version         = "1.02",
%%%     date            = "25 July 2020",
%%%     time            = "09:27:36 MDT",
%%%     filename        = "jeconometrics2020.bib",
%%%     address         = "University of Utah
%%%                        Department of Mathematics, 110 LCB
%%%                        155 S 1400 E RM 233
%%%                        Salt Lake City, UT 84112-0090
%%%                        USA",
%%%     telephone       = "+1 801 581 5254",
%%%     FAX             = "+1 801 581 4148",
%%%     URL             = "http://www.math.utah.edu/~beebe",
%%%     checksum        = "64905 2769 9995 112079",
%%%     email           = "beebe at math.utah.edu, beebe at acm.org,
%%%                        beebe at computer.org (Internet)",
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%%%                        Econometrics",
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%%%                        Journal of Econometrics (CODEN JECMB6,
%%%                        ISSN 0304-4076 (print), 1872-6895
%%%                        (electronic)), published by Elsevier, for
%%%                        the decade 2020--2029.
%%%
%%%                        Publication began with volume 1, number 1,
%%%                        in March 1973, with two issues per volume
%%%                        through volume 4 in 1976.  There were three
%%%                        issues per volume through volume 59 in 1993.
%%%                        Since then, there are only two issues per volume,
%%%                        and there are generally multiple volumes per
%%%                        year.
%%%
%%%                        The journal has a Web site at
%%%
%%%                            http://www.sciencedirect.com/science/journal/03044076
%%%
%%%                        At version 1.02, the COMPLETE year coverage
%%%                        looked like this:
%%%
%%%                             2020 ( 123)
%%%
%%%                             Article:        123
%%%
%%%                             Total entries:  123
%%%
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%%% ====================================================================
%%% Acknowledgement abbreviations:
@String{ack-nhfb = "Nelson H. F. Beebe,
                    University of Utah,
                    Department of Mathematics, 110 LCB,
                    155 S 1400 E RM 233,
                    Salt Lake City, UT 84112-0090, USA,
                    Tel: +1 801 581 5254,
                    FAX: +1 801 581 4148,
                    e-mail: \path|beebe@math.utah.edu|,
                            \path|beebe@acm.org|,
                            \path|beebe@computer.org| (Internet),
                    URL: \path|http://www.math.utah.edu/~beebe/|"}

%%% ====================================================================
%%% Journal abbreviations:
@String{j-J-ECONOMETRICS        = "Journal of Econometrics"}

%%% ====================================================================
%%% Bibliography entries, sorted in publication order with ``bibsort
%%% --byvolume'':
@Article{Anonymous:2020:EBa,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "ii--ii",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302313",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hillebrand:2020:EMC,
  author =       "Eric Hillebrand and Felix Pretis and Tommaso
                 Proietti",
  title =        "Econometric models of climate change: Introduction by
                 the guest editors",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "1--5",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301046",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Phillips:2020:EEE,
  author =       "Peter C. B. Phillips and Thomas Leirvik and Trude
                 Storelvmo",
  title =        "Econometric estimates of {Earth}'s transient climate
                 sensitivity",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "6--32",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301058",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Harvey:2020:MTS,
  author =       "Andrew Harvey and Ryoko Ito",
  title =        "Modeling time series when some observations are zero",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "33--45",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930106X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:LTF,
  author =       "Mengheng Li and Siem Jan Koopman and Rutger Lit and
                 Desislava Petrova",
  title =        "Long-term forecasting of {El Ni{\~n}o} events via
                 dynamic factor simulations",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "46--66",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301071",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Miftakhova:2020:SAH,
  author =       "Alena Miftakhova and Kenneth L. Judd and Thomas S.
                 Lontzek and Karl Schmedders",
  title =        "Statistical approximation of high-dimensional climate
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "67--80",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301083",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Friedrich:2020:AWB,
  author =       "Marina Friedrich and Stephan Smeekes and Jean-Pierre
                 Urbain",
  title =        "Autoregressive wild bootstrap inference for
                 nonparametric trends",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "81--109",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301095",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ikefuji:2020:EUC,
  author =       "Masako Ikefuji and Roger J. A. Laeven and Jan R.
                 Magnus and Chris Muris",
  title =        "Expected utility and catastrophic risk in a stochastic
                 economy-climate model",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "110--129",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301101",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kim:2020:IRC,
  author =       "Dukpa Kim and Tatsushi Oka and Francisco Estrada and
                 Pierre Perron",
  title =        "Inference related to common breaks in a multivariate
                 system with joined segmented trends with applications
                 to global and hemispheric temperatures",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "130--152",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301113",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Rivas:2020:TDC,
  author =       "Mar{\'\i}a Dolores {Gadea Rivas} and Jes{\'u}s
                 Gonzalo",
  title =        "Trends in distributional characteristics: Existence of
                 global warming",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "153--174",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301125",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bruns:2020:MMG,
  author =       "Stephan B. Bruns and Zsuzsanna Csereklyei and David I.
                 Stern",
  title =        "A multicointegration model of global climate change",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "175--197",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301137",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Holt:2020:GHT,
  author =       "Matthew T. Holt and Timo Ter{\"a}svirta",
  title =        "Global hemispheric temperatures and co-shifting: a
                 vector shifting-mean autoregressive analysis",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "198--215",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301149",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Wagner:2020:FMO,
  author =       "Martin Wagner and Peter Grabarczyk and Seung Hyun
                 Hong",
  title =        "Fully modified {OLS} estimation and inference for
                 seemingly unrelated cointegrating polynomial
                 regressions and the environmental {Kuznets} curve for
                 carbon dioxide emissions",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "216--255",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301150",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Pretis:2020:EMC,
  author =       "Felix Pretis",
  title =        "Econometric modelling of climate systems: the
                 equivalence of energy balance models and cointegrated
                 vector autoregressions",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "256--273",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301162",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chang:2020:ETT,
  author =       "Yoosoon Chang and Robert K. Kaufmann and Chang Sik Kim
                 and J. Isaac Miller and Joon Y. Park and Sungkeun
                 Park",
  title =        "Evaluating trends in time series of distributions: a
                 spatial fingerprint of human effects on climate",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "1",
  pages =        "274--294",
  month =        jan,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.05.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301216",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PFa,
  author =       "Anonymous",
  title =        "Pages 295--540 ({February 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "??--??",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBb,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "ii--ii",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302659",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:AAA,
  author =       "Anonymous",
  title =        "Annual Award Announcement",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "iii--iii",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302684",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dalderop:2020:NFC,
  author =       "Jeroen Dalderop",
  title =        "Nonparametric filtering of conditional state-price
                 densities",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "295--325",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930168X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Park:2020:VDM,
  author =       "Yang-Ho Park",
  title =        "Variance disparity and market frictions",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "326--348",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301654",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Almeida:2020:NAH,
  author =       "Caio Almeida and Kym Ardison and Ren{\'e} Garcia",
  title =        "Nonparametric assessment of hedge fund performance",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "349--378",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301617",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Fan:2020:REI,
  author =       "Yanqin Fan and Fang Han and Wei Li and Xiao-Hua Zhou",
  title =        "On rank estimators in increasing dimensions",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "379--412",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301678",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chalak:2020:MEM,
  author =       "Karim Chalak and Daniel Kim",
  title =        "Measurement error in multiple equations: {Tobin}'s $q$
                 and corporate investment, saving, and debt",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "413--432",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301575",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{She:2020:IHT,
  author =       "Rui She and Shiqing Ling",
  title =        "Inference in heavy-tailed vector error correction
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "433--450",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301691",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Miao:2020:PTR,
  author =       "Ke Miao and Liangjun Su and Wendun Wang",
  title =        "Panel threshold regressions with latent group
                 structures",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "451--481",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301708",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Cai:2020:HDM,
  author =       "T. Tony Cai and Jianchang Hu and Yingying Li and
                 Xinghua Zheng",
  title =        "High-dimensional minimum variance portfolio estimation
                 based on high-frequency data",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "482--494",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301630",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Solvsten:2020:REM,
  author =       "Mikkel S{\o}lvsten",
  title =        "Robust estimation with many instruments",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "495--512",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301721",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Klein:2020:MRP,
  author =       "Nadja Klein and Helmut Herwartz and Thomas Kneib",
  title =        "Modelling regional patterns of inefficiency: a
                 {Bayesian} approach to geoadditive panel stochastic
                 frontier analysis with an application to cereal
                 production in {England} and {Wales}",
  journal =      j-J-ECONOMETRICS,
  volume =       "214",
  number =       "2",
  pages =        "513--539",
  month =        feb,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Tue Jan 28 06:39:00 MST 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301587",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PM,
  author =       "Anonymous",
  title =        "Pages 1--304 ({March 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "??--??",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBc,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "ii--ii",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30031-2",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300312",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hounyo:2020:ILD,
  author =       "Ulrich Hounyo and Rasmus T. Varneskov",
  title =        "Inference for local distributions at high sampling
                 frequencies: a bootstrap approach",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "1--34",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301836",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Boot:2020:DMS,
  author =       "Tom Boot and Andreas Pick",
  title =        "Does modeling a structural break improve forecast
                 accuracy?",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "35--59",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.07.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301824",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lu:2020:DIT,
  author =       "Xun Lu and Liangjun Su",
  title =        "Determining individual or time effects in panel data
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "60--83",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.07.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301861",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lu:2020:GFT,
  author =       "Xiaohui Lu and Xu Zheng",
  title =        "A goodness-of-fit test for copulas based on martingale
                 transformation",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "84--117",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930185X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Wang:2020:UDP,
  author =       "Luheng Wang and Zhao Chen and Christina Dan Wang and
                 Runze Li",
  title =        "Ultrahigh dimensional precision matrix estimation via
                 refitted cross validation",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "118--130",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930171X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Adusumilli:2020:IDF,
  author =       "Karun Adusumilli and Daisuke Kurisu and Taisuke Otsu
                 and Yoon-Jae Whang",
  title =        "Inference on distribution functions under measurement
                 error",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "131--164",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930199X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jiang:2020:NSI,
  author =       "Feiyu Jiang and Dong Li and Ke Zhu",
  title =        "Non-standard inference for augmented double
                 autoregressive models with null volatility
                 coefficients",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "165--183",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301885",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ishihara:2020:IET,
  author =       "Takuya Ishihara",
  title =        "Identification and estimation of time-varying
                 nonseparable panel data models without stayers",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "184--208",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301873",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Horvath:2020:SMC,
  author =       "Lajos Horv{\'a}th and Zhenya Liu and Gregory Rice and
                 Shixuan Wang",
  title =        "Sequential monitoring for changes from stationarity to
                 mild non-stationarity",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "209--238",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301964",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2020:SEC,
  author =       "Songnian Chen and Qian Wang",
  title =        "Semiparametric estimation of a censored regression
                 model with endogeneity",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "239--256",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301848",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lieberman:2020:HSL,
  author =       "Offer Lieberman and Peter C. B. Phillips",
  title =        "Hybrid stochastic local unit roots",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "257--285",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.05.023",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301897",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Williams:2020:NID,
  author =       "Benjamin Williams",
  title =        "Nonparametric identification of discrete choice models
                 with lagged dependent variables",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "1",
  pages =        "286--304",
  month =        mar,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619301812",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PA,
  author =       "Anonymous",
  title =        "Pages 305--632 ({April 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "??--??",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBd,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "ii--ii",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30049-X",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030049X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2020:PGH,
  author =       "Songnian Chen and Hanghui Zhang",
  title =        "$n$-prediction of generalized heteroscedastic
                 transformation regression models",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "305--340",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302003",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jiang:2020:TSH,
  author =       "Bibo Jiang and Ye Lu and Joon Y. Park",
  title =        "Testing for Stationarity at High Frequency",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "341--374",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302015",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hu:2020:EPF,
  author =       "Yingyao Hu and Guofang Huang and Yuya Sasaki",
  title =        "Estimating production functions with robustness
                 against errors in the proxy variables",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "375--398",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.05.024",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302027",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gao:2020:NII,
  author =       "Wayne Yuan Gao",
  title =        "Nonparametric identification in index models of link
                 formation",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "399--413",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302039",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Philip:2020:EPP,
  author =       "R. Philip",
  title =        "Estimating permanent price impact via machine
                 learning",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "414--449",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302052",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Inoue:2020:UVI,
  author =       "Atsushi Inoue and Lutz Kilian",
  title =        "The uniform validity of impulse response inference in
                 autoregressions",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "450--472",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302040",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Arcidiacono:2020:IDD,
  author =       "Peter Arcidiacono and Robert A. Miller",
  title =        "Identifying dynamic discrete choice models off short
                 panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "473--485",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2018.12.025",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302064",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Yang:2020:TIR,
  author =       "Xiye Yang",
  title =        "Time-invariant restrictions of volatility functionals:
                 Efficient estimation and specification tests",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "486--516",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302088",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hollstein:2020:VRB,
  author =       "Fabian Hollstein and Chardin Wese Simen",
  title =        "Variance risk: a bird's eye view",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "517--535",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302076",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:DMN,
  author =       "Z. Merrick Li and Roger J. A. Laeven and Michel H.
                 Vellekoop",
  title =        "Dependent microstructure noise and integrated
                 volatility estimation from high-frequency data",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "536--558",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302106",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Martin:2020:IEM,
  author =       "Gael M. Martin and K. Nadarajah and D. S. Poskitt",
  title =        "Issues in the estimation of mis-specified models of
                 fractionally integrated processes",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "559--573",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930209X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Liu:2020:IEP,
  author =       "Ruiqi Liu and Zuofeng Shang and Yonghui Zhang and
                 Qiankun Zhou",
  title =        "Identification and estimation in panel models with
                 overspecified number of groups",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "574--590",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302118",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Zhu:2020:MSA,
  author =       "Xuening Zhu and Danyang Huang and Rui Pan and Hansheng
                 Wang",
  title =        "Multivariate spatial autoregressive model for large
                 scale social networks",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "591--606",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2018.11.018",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930212X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:KBI,
  author =       "Degui Li and Peter C. B. Phillips and Jiti Gao",
  title =        "Kernel-based Inference in Time-Varying Coefficient
                 Cointegrating Regression",
  journal =      j-J-ECONOMETRICS,
  volume =       "215",
  number =       "2",
  pages =        "607--632",
  month =        apr,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:37 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302210",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBe,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "ii--ii",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30069-5",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300695",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2020:IAI,
  author =       "Rong Chen and Ruey S. Tsay",
  title =        "Introduction of the annals issue: Statistical learning
                 for dependent data --- A celebration of the 85th
                 birthday of {Professor George C. Tiao}",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "1--3",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300075",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Barigozzi:2020:GDF,
  author =       "Matteo Barigozzi and Marc Hallin",
  title =        "Generalized dynamic factor models and volatilities:
                 Consistency, rates, and prediction intervals",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "4--34",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300087",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Alonso:2020:RPB,
  author =       "Andr{\'e}s M. Alonso and Pedro Galeano and Daniel
                 Pe{\~n}a",
  title =        "A robust procedure to build dynamic factor models with
                 cluster structure",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "35--52",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300099",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Liu:2020:TFM,
  author =       "Xialu Liu and Rong Chen",
  title =        "Threshold factor models for high-dimensional time
                 series",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "53--70",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300105",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Fan:2020:FAR,
  author =       "Jianqing Fan and Yuan Ke and Kaizheng Wang",
  title =        "Factor-adjusted regularized model selection",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "71--85",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300117",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ait-Sahalia:2020:HFF,
  author =       "Yacine A{\"\i}t-Sahalia and Ilze Kalnina and Dacheng
                 Xiu",
  title =        "High-frequency factor models and regressions",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "86--105",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300129",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Tsay:2020:TSC,
  author =       "Ruey S. Tsay",
  title =        "Testing serial correlations in high-dimensional time
                 series via extreme value theory",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "106--117",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300130",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chiou:2020:VSH,
  author =       "Hai-Tang Chiou and Meihui Guo and Ching-Kang Ing",
  title =        "Variable selection for high-dimensional regression
                 models with time series and heteroscedastic errors",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "118--136",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300142",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jarjour:2020:DCA,
  author =       "Riad Jarjour and Kung-Sik Chan",
  title =        "Dynamic conditional angular correlation",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "137--150",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300154",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hansen:2020:TPU,
  author =       "Lars Peter Hansen and B{\'a}lint Sz{\H{o}}ke and Lloyd
                 S. Han and Thomas J. Sargent",
  title =        "Twisted probabilities, uncertainty, and prices",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "151--174",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300166",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lin:2020:EDN,
  author =       "Yingqian Lin and Yundong Tu and Qiwei Yao",
  title =        "Estimation for double-nonlinear cointegration",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "175--191",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300178",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Sabzikar:2020:ATN,
  author =       "Farzad Sabzikar and Qiying Wang and Peter C. B.
                 Phillips",
  title =        "Asymptotic theory for near integrated processes driven
                 by tempered linear processes",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "192--202",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030018X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Huang:2020:TMN,
  author =       "Danyang Huang and Feifei Wang and Xuening Zhu and
                 Hansheng Wang",
  title =        "Two-mode network autoregressive model for large-scale
                 networks",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "203--219",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300191",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chan:2020:IDD,
  author =       "N. H. Chan and Simon K. C. Cheung and Samuel P. S.
                 Wong",
  title =        "Inference for the degree distributions of preferential
                 attachment networks with zero-degree nodes",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "220--234",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300208",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Akashi:2020:RCT,
  author =       "Fumiya Akashi and Masanobu Taniguchi and Anna Clara
                 Monti",
  title =        "Robust causality test of infinite variance processes",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "235--245",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.016",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030021X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Davis:2020:NVA,
  author =       "Richard A. Davis and Li Song",
  title =        "Noncausal vector {AR} processes with application to
                 economic time series",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "246--267",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300221",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Yang:2020:DML,
  author =       "Jui-Chung Yang and Hui-Ching Chuang and Chung-Ming
                 Kuan",
  title =        "Double machine learning with gradient boosting and its
                 application to the Big {$N$} audit quality effect",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "268--283",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.018",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300245",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Otneim:2020:PLF,
  author =       "H{\aa}kon Otneim and Martin Jullum and Dag
                 Tj{\o}stheim",
  title =        "Pairwise local {Fisher} and naive {Bayes}: Improving
                 two standard discriminants",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "284--304",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.019",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300257",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Vogt:2020:MCN,
  author =       "Michael Vogt and Oliver Linton",
  title =        "Multiscale clustering of nonparametric regression
                 curves",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "1",
  pages =        "305--325",
  month =        may,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.020",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300269",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PJa,
  author =       "Anonymous",
  title =        "Pages 327--536 ({June 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "??--??",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBf,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "ii--ii",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30114-7",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301147",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:EEH,
  author =       "Kunpeng Li and Guowei Cui and Lina Lu",
  title =        "Efficient estimation of heterogeneous coefficients in
                 panel data models with common shocks",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "327--353",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302222",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Luo:2020:UHA,
  author =       "Yao Luo",
  title =        "Unobserved heterogeneity in auctions under restricted
                 stochastic dominance",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "354--374",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.07.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302246",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lee:2020:AIP,
  author =       "Jungyoon Lee and Peter M. Robinson",
  title =        "Adaptive inference on pure spatial models",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "375--393",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302234",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jun:2020:CPC,
  author =       "Sung Jae Jun and Joris Pinkse",
  title =        "Counterfactual prediction in complete information
                 games: Point prediction under partial identification",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "394--429",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.02.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302258",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Barone-Adesi:2020:OMT,
  author =       "Giovanni Barone-Adesi and Nicola Fusari and Antonietta
                 Mira and Carlo Sala",
  title =        "Option market trading activity and the estimation of
                 the pricing kernel: a {Bayesian} approach",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "430--449",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930226X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:DIC,
  author =       "Yong Li and Jun Yu and Tao Zeng",
  title =        "Deviance information criterion for latent variable
                 models and misspecified models",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "450--493",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302271",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Brauning:2020:DFN,
  author =       "Falk Br{\"a}uning and Siem Jan Koopman",
  title =        "The dynamic factor network model with an application
                 to international trade",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "494--515",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302398",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Zhao:2020:SWE,
  author =       "Puying Zhao and David Haziza and Changbao Wu",
  title =        "Survey weighted estimating equation inference with
                 nuisance functionals",
  journal =      j-J-ECONOMETRICS,
  volume =       "216",
  number =       "2",
  pages =        "516--536",
  month =        jun,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302404",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PJb,
  author =       "Anonymous",
  title =        "Pages 1--202 ({July 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "??--??",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBg,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "ii--ii",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30162-7",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301627",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Rothe:2020:EDF,
  author =       "Christoph Rothe and Dominik Wied",
  title =        "Estimating derivatives of function-valued parameters
                 in a class of moment condition models",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "1--19",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302416",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ait-Sahalia:2020:HFT,
  author =       "Yacine A{\"\i}t-Sahalia and Celso Brunetti",
  title =        "High frequency traders and the price process",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "20--45",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302428",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dufays:2020:RPC,
  author =       "Arnaud Dufays and Jeroen V. K. Rombouts",
  title =        "Relevant parameter changes in structural break
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "46--78",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302441",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gold:2020:IHD,
  author =       "David Gold and Johannes Lederer and Jing Tao",
  title =        "Inference for high-dimensional instrumental variables
                 regression",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "79--111",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302386",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Botosaru:2020:NAD,
  author =       "Irene Botosaru",
  title =        "Nonparametric analysis of a duration model with
                 stochastic unobserved heterogeneity",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "112--139",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.06.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930243X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chambers:2020:FDE,
  author =       "Marcus J. Chambers",
  title =        "Frequency domain estimation of cointegrating vectors
                 with mixed frequency and mixed sample data",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "140--160",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030004X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kitagawa:2020:PDN,
  author =       "Toru Kitagawa and Jos{\'e} Luis Montiel Olea and
                 Jonathan Payne and Amilcar Velez",
  title =        "Posterior distribution of nondifferentiable
                 functions",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "161--175",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300014",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Linton:2020:CCD,
  author =       "Oliver Linton and Jianbin Wu",
  title =        "A coupled component {DCS-EGARCH} model for intraday
                 and overnight volatility",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "1",
  pages =        "176--201",
  month =        jul,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:38 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300038",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBh,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "ii--ii",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30177-9",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301779",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Rombouts:2020:NFE,
  author =       "Jeroen V. K. Rombouts and Olivier Scaillet and David
                 Veredas and Jean-Michel Zakoian",
  title =        "Nonlinear financial econometrics {JoE} special issue
                 introduction",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "203--206",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302453",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Nguyen:2020:LVU,
  author =       "Giang Nguyen and Robert Engle and Michael Fleming and
                 Eric Ghysels",
  title =        "Liquidity and volatility in the {U.S. Treasury}
                 market",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "207--229",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302465",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Han:2020:LEP,
  author =       "Hyojin Han and Stanislav Khrapov and Eric Renault",
  title =        "The leverage effect puzzle revisited: Identification
                 in discrete time",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "230--258",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302490",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Laurent:2020:VEJ,
  author =       "S{\'e}bastien Laurent and Shuping Shi",
  title =        "Volatility estimation and jump detection for
                 drift-diffusion processes",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "259--290",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302507",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Arvanitis:2020:STM,
  author =       "Stelios Arvanitis and Olivier Scaillet and Nikolas
                 Topaloglou",
  title =        "Spanning tests for {Markowitz} stochastic dominance",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "291--311",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302519",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Rombouts:2020:DVR,
  author =       "Jeroen V. K. Rombouts and Lars Stentoft and Francesco
                 Violante",
  title =        "Dynamics of variance risk premia: a new model for
                 disentangling the price of risk",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "312--334",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302520",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Borowska:2020:PCP,
  author =       "Agnieszka Borowska and Lennart Hoogerheide and Siem
                 Jan Koopman and Herman K. van Dijk",
  title =        "Partially censored posterior for robust and efficient
                 risk evaluation",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "335--355",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302532",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Francq:2020:VHS,
  author =       "Christian Francq and Jean-Michel Zako{\"\i}an",
  title =        "{Virtual Historical Simulation} for estimating the
                 conditional {VaR} of large portfolios",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "356--380",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302544",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Boudt:2020:NCE,
  author =       "Kris Boudt and Dries Cornilly and Tim Verdonck",
  title =        "Nearest comoment estimation with unobserved factors",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "381--397",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302556",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dominicy:2020:FMH,
  author =       "Yves Dominicy and Matias Heikkil{\"a} and Pauliina
                 Ilmonen and David Veredas",
  title =        "Flexible multivariate {Hill} estimators",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "398--410",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302568",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bollerslev:2020:MLE,
  author =       "Tim Bollerslev and Andrew J. Patton and Rogier
                 Quaedvlieg",
  title =        "Multivariate leverage effects and realized
                 semicovariance {GARCH} models",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "411--430",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302581",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hafner:2020:EMC,
  author =       "Christian M. Hafner and Oliver B. Linton and Haihan
                 Tang",
  title =        "Estimation of a multiplicative correlation structure
                 in the large dimensional case",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "431--470",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302593",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dhaene:2020:IOI,
  author =       "Geert Dhaene and Jianbin Wu",
  title =        "Incorporating overnight and intraday returns into
                 multivariate {GARCH} volatility models",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "471--495",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440761930260X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bauwens:2020:NRC,
  author =       "Luc Bauwens and Edoardo Otranto",
  title =        "Nonlinearities and regimes in conditional correlations
                 with different dynamics",
  journal =      j-J-ECONOMETRICS,
  volume =       "217",
  number =       "2",
  pages =        "496--522",
  month =        aug,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407619302611",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PS,
  author =       "Anonymous",
  title =        "Pages 1--242 ({September 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "??--??",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBi,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "ii--ii",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30187-1",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301871",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lettau:2020:ELA,
  author =       "Martin Lettau and Markus Pelger",
  title =        "Estimating latent asset-pricing factors",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "1--31",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300051",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kolokolov:2020:SIP,
  author =       "Aleksey Kolokolov and Giulia Livieri and Davide
                 Pirino",
  title =        "Statistical inferences for price staleness",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "32--81",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.021",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300270",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jeong:2020:SDM,
  author =       "Hanbat Jeong and Lung-fei Lee",
  title =        "Spatial dynamic models with intertemporal
                 optimization: Specification and estimation",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "82--104",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030035X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chan:2020:RSS,
  author =       "Joshua C. C. Chan and Eric Eisenstat and Rodney W.
                 Strachan",
  title =        "Reducing the state space dimension in a large
                 {TVP-VAR}",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "105--118",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300348",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Fan:2020:PBC,
  author =       "Jianqing Fan and Yang Feng and Lucy Xia",
  title =        "A projection-based conditional dependence measure with
                 applications to high-dimensional undirected graphical
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "119--139",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.016",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300403",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Martinez-Iriarte:2020:ATU,
  author =       "Juli{\'a}n Mart{\'\i}nez-Iriarte and Yixiao Sun and
                 Xuexin Wang",
  title =        "Asymptotic {$F$} tests under possibly weak
                 identification",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "140--177",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300063",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Galvao:2020:UAN,
  author =       "Antonio F. Galvao and Jiaying Gu and Stanislav
                 Volgushev",
  title =        "On the unbiased asymptotic normality of quantile
                 regression with fixed effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "178--215",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300415",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bertanha:2020:RDD,
  author =       "Marinho Bertanha",
  title =        "Regression discontinuity design with many thresholds",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "1",
  pages =        "216--241",
  month =        sep,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Sat Jul 25 09:23:39 MDT 2020",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300361",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}