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%%% ====================================================================
%%%  BibTeX-file{
%%%     author          = "Nelson H. F. Beebe",
%%%     version         = "1.04",
%%%     date            = "24 March 2021",
%%%     time            = "14:55:36 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        = "62491 5964 21481 242299",
%%%     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 1.04, the COMPLETE year coverage
%%%                        looked like this:
%%%
%%%                             2020 ( 174)    2021 (  94)
%%%
%%%                             Article:        268
%%%
%%%                             Total entries:  268
%%%
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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",
}

@Article{Anonymous:2020:PO,
  author =       "Anonymous",
  title =        "Pages 243--770 ({October 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "??--??",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  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:EBj,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "ii--ii",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30289-X",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030289X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Carrasco:2020:EIS,
  author =       "Marine Carrasco and Marcelo Moreira and Benoit Perron
                 and Victoria Zinde-Walsh",
  title =        "{Editors}' Introduction: Special issue in Honor of
                 {Jean-Marie Dufour} on Identification, Inference, and
                 Causality",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "243--246",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.040",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302645",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bertanha:2020:IIE,
  author =       "Marinho Bertanha and Marcelo J. Moreira",
  title =        "Impossible inference in econometrics: Theory and
                 applications",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "247--270",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.016",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301366",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Antoine:2020:TIS,
  author =       "Bertille Antoine and Eric Renault",
  title =        "Testing identification strength",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "271--293",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301378",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kiviet:2020:TII,
  author =       "Jan F. Kiviet",
  title =        "Testing the impossible: Identifying exclusion
                 restrictions",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "294--316",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.018",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030138X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lutkepohl:2020:IPI,
  author =       "Helmut L{\"u}tkepohl and George Milunovich and Minxian
                 Yang",
  title =        "Inference in partially identified heteroskedastic
                 simultaneous equations models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "317--345",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.019",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301391",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dovonon:2020:ISO,
  author =       "Prosper Dovonon and Alastair R. Hall and Frank
                 Kleibergen",
  title =        "Inference in second-order identified models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "346--372",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.020",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301408",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bontemps:2020:GAI,
  author =       "Christian Bontemps and Rohit Kumar",
  title =        "A geometric approach to inference in set-identified
                 entry games",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "373--389",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.021",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030141X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Tchatoka:2020:ETI,
  author =       "Firmin Doko Tchatoka and Jean-Marie Dufour",
  title =        "Exogeneity tests, incomplete models, weak
                 identification and non-{Gaussian} distributions:
                 Invariance and finite-sample distributional theory",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "390--418",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.022",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301421",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Khalaf:2020:MCT,
  author =       "Lynda Khalaf and Charles J. Saunders",
  title =        "{Monte Carlo} two-stage indirect inference {(2SIF)}
                 for autoregressive panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "419--434",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.023",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301433",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{MacKinnon:2020:RID,
  author =       "James G. MacKinnon and Matthew D. Webb",
  title =        "Randomization inference for difference-in-differences
                 with few treated clusters",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "435--450",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.024",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301445",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Davidson:2020:FIB,
  author =       "Russell Davidson and Mirza Troki{\'c}",
  title =        "The fast iterated bootstrap",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "451--475",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.025",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301457",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Goncalves:2020:BFM,
  author =       "S{\'\i}lvia Gon{\c{c}}alves and Benoit Perron",
  title =        "Bootstrapping factor models with cross sectional
                 dependence",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "476--495",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.026",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301469",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Andrews:2020:GRE,
  author =       "Donald W. K. Andrews and Xu Cheng and Patrik
                 Guggenberger",
  title =        "Generic results for establishing the asymptotic size
                 of confidence sets and tests",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "496--531",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.027",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301470",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Xu:2020:ILR,
  author =       "Ke-Li Xu",
  title =        "Inference of local regression in the presence of
                 nuisance parameters",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "532--560",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.028",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301482",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Komunjer:2020:LRT,
  author =       "Ivana Komunjer and Yinchu Zhu",
  title =        "Likelihood ratio testing in linear state space models:
                 an application to dynamic stochastic general
                 equilibrium models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "561--586",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.029",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301494",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Tuvaandorj:2020:RDD,
  author =       "Purevdorj Tuvaandorj",
  title =        "Regression discontinuity designs, white noise models,
                 and minimax",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "587--608",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.030",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301500",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Galbraith:2020:SRE,
  author =       "John W. Galbraith and Victoria Zinde-Walsh",
  title =        "Simple and reliable estimators of coefficients of
                 interest in a model with high-dimensional confounding
                 effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "609--632",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.031",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301512",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ghysels:2020:TLS,
  author =       "Eric Ghysels and Jonathan B. Hill and Kaiji Motegi",
  title =        "Testing a large set of zero restrictions in regression
                 models, with an application to mixed frequency
                 {Granger} causality",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "633--654",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.032",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301524",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Amengual:2020:TDA,
  author =       "Dante Amengual and Marine Carrasco and Enrique
                 Sentana",
  title =        "Testing distributional assumptions using a continuum
                 of moments",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "655--689",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.033",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301536",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kim:2020:VRF,
  author =       "Jihyun Kim and Nour Meddahi",
  title =        "Volatility regressions with fat tails",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "690--713",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.034",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301548",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gourieroux:2020:SBE,
  author =       "C. Gourieroux and J. Jasiak and A. Monfort",
  title =        "Stationary bubble equilibria in rational expectation
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "714--735",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.035",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030155X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hallin:2020:SEM,
  author =       "Marc Hallin and Davide {La Vecchia}",
  title =        "A Simple {$R$}-estimation method for semiparametric
                 duration models",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "736--749",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.036",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301561",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gungor:2020:SST,
  author =       "Sermin Gungor and Richard Luger",
  title =        "Small-sample tests for stock return predictability
                 with possibly non-stationary regressors and
                 {GARCH}-type effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "218",
  number =       "2",
  pages =        "750--770",
  month =        oct,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.037",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301573",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:PN,
  author =       "Anonymous",
  title =        "Pages 1--200 ({November 2020})",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "??--??",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  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:EBk,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "ii--ii",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30322-5",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303225",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gimenes:2020:NII,
  author =       "Nathalie Gimenes and Emmanuel Guerre",
  title =        "Nonparametric identification of an interdependent
                 value model with buyer covariates from first-price
                 auction bids",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "1--18",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.12.018",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030110X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hahn:2020:STM,
  author =       "Jinyong Hahn and Jerry Hausman and Josh Lustig",
  title =        "Specification test on mixed logit models",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "19--37",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301184",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2020:UNI,
  author =       "Jia Li and Zhipeng Liao",
  title =        "Uniform nonparametric inference for time series",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "38--51",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.09.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301354",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lin:2020:RIS,
  author =       "Yingqian Lin and Yundong Tu",
  title =        "Robust inference for spurious regressions and
                 cointegrations involving processes moderately deviated
                 from a unit root",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "52--65",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.038",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301585",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bai:2020:EIC,
  author =       "Jushan Bai and Xu Han and Yutang Shi",
  title =        "Estimation and inference of change points in
                 high-dimensional factor models",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "66--100",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.08.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301172",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{SantAnna:2020:DRD,
  author =       "Pedro H. C. Sant'Anna and Jun Zhao",
  title =        "Doubly robust difference-in-differences estimators",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "101--122",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301901",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Sun:2020:TOK,
  author =       "Yixiao Sun and Jingjing Yang",
  title =        "Testing-optimal kernel choice in {HAR} inference",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "123--136",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030213X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Miao:2020:PTM,
  author =       "Ke Miao and Kunpeng Li and Liangjun Su",
  title =        "Panel threshold models with interactive fixed
                 effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "137--170",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.018",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302396",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Breunig:2020:IPE,
  author =       "Christoph Breunig and Enno Mammen and Anna Simoni",
  title =        "Ill-posed estimation in high-dimensional models with
                 instrumental variables",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "1",
  pages =        "171--200",
  month =        nov,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.043",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:50 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302335",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2020:EBl,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "ii--ii",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30359-6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303596",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gao:2020:SIJ,
  author =       "Jiti Gao and Heather Anderson and Tong Li",
  title =        "Special Issue of the {{\booktitle{Journal of
                 Econometrics}}} on {``Econometric Estimation and
                 Testing: Essays in Honour of Maxwell King''}",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "201--203",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300968",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ait-Sahalia:2020:TSE,
  author =       "Yacine A{\"\i}t-Sahalia and Mustafa Karaman and
                 Loriano Mancini",
  title =        "The term structure of equity and variance risk
                 premia",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "204--230",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030097X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bykhovskaya:2020:POT,
  author =       "Anna Bykhovskaya and Peter C. B. Phillips",
  title =        "Point optimal testing with roots that are functionally
                 local to unity",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "231--259",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300981",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chaudhuri:2020:STG,
  author =       "Saraswata Chaudhuri and Eric Renault",
  title =        "Score tests in {GMM}: Why use implied probabilities?",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "260--280",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300993",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dalla:2020:ATT,
  author =       "Violetta Dalla and Liudas Giraitis and Peter M.
                 Robinson",
  title =        "Asymptotic theory for time series with changing mean
                 and variance",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "281--313",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301007",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Elliott:2020:TTP,
  author =       "Graham Elliott",
  title =        "Testing for a trend with persistent errors",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "314--328",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301019",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gao:2020:HPD,
  author =       "Jiti Gao and Kai Xia and Huanjun Zhu",
  title =        "Heterogeneous panel data models with cross-sectional
                 dependence",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "329--353",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301020",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Harris:2020:LSE,
  author =       "David Harris and Hsein Kew and A. M. Robert Taylor",
  title =        "Level shift estimation in the presence of
                 non-stationary volatility with an application to the
                 unit root testing problem",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "354--388",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301032",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hong:2020:NEI,
  author =       "Seok Young Hong and Oliver Linton",
  title =        "Nonparametric estimation of infinite order regression
                 and its application to the risk-return tradeoff",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "389--424",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301044",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{King:2020:HTB,
  author =       "Maxwell L. King and Xibin Zhang and Muhammad Akram",
  title =        "Hypothesis testing based on a vector of statistics",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "425--455",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301056",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Koo:2020:HDP,
  author =       "Bonsoo Koo and Heather M. Anderson and Myung Hwan Seo
                 and Wenying Yao",
  title =        "High-dimensional predictive regression in the presence
                 of cointegration",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "456--477",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301068",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Maneesoonthorn:2020:HFJ,
  author =       "Worapree Maneesoonthorn and Gael M. Martin and
                 Catherine S. Forbes",
  title =        "High-frequency jump tests: Which test should we use?",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "478--487",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030107X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Martellosio:2020:AQS,
  author =       "Federico Martellosio and Grant Hillier",
  title =        "Adjusted {QMLE} for the spatial autoregressive
                 parameter",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "488--506",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301081",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Pesaran:2020:EAP,
  author =       "M. Hashem Pesaran and Cynthia Fan Yang",
  title =        "Econometric analysis of production networks with
                 dominant units",
  journal =      j-J-ECONOMETRICS,
  volume =       "219",
  number =       "2",
  pages =        "507--541",
  month =        dec,
  year =         "2020",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301093",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:EBa,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "ii--ii",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(20)30384-5",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303845",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Tamer:2021:IPE,
  author =       "Elie Tamer",
  title =        "Introduction to pandemic econometrics\slash {Covid-19}
                 pandemic",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "1--1",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.11.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303663",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Liu:2021:PFC,
  author =       "Laura Liu and Hyungsik Roger Moon and Frank
                 Schorfheide",
  title =        "Panel forecasts of country-level {Covid-19}
                 infections",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "2--22",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.08.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030347X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chernozhukov:2021:CIM,
  author =       "Victor Chernozhukov and Hiroyuki Kasahara and Paul
                 Schrimpf",
  title =        "Causal impact of masks, policies, behavior on early
                 {Covid-19} pandemic in the {U.S.}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "23--62",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.09.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303468",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Korolev:2021:IES,
  author =       "Ivan Korolev",
  title =        "Identification and estimation of the {SEIRD} epidemic
                 model for {COVID-19}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "63--85",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.038",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302621",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Keane:2021:CPC,
  author =       "Michael Keane and Timothy Neal",
  title =        "Consumer panic in the {COVID-19} pandemic",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "86--105",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.045",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302840",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hortacsu:2021:EFU,
  author =       "Ali Horta{\c{c}}su and Jiarui Liu and Timothy
                 Schwieg",
  title =        "Estimating the fraction of unreported infections in
                 epidemics with a known epicenter: an application to
                 {COVID-19}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "106--129",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.047",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030302X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2021:WWC,
  author =       "Shaoran Li and Oliver Linton",
  title =        "When will the {Covid-19} pandemic peak?",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "130--157",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.049",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303055",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Lee:2021:SHF,
  author =       "Sokbae Lee and Yuan Liao and Myung Hwan Seo and
                 Youngki Shin",
  title =        "Sparse {HP} filter: Finding kinks in the {COVID-19}
                 contact rate",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "158--180",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.08.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620303365",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Manski:2021:ECI,
  author =       "Charles F. Manski and Francesca Molinari",
  title =        "Estimating the {COVID-19} infection rate: Anatomy of
                 an inference problem",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "181--192",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.041",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301676",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Toulis:2021:ECP,
  author =       "Panos Toulis",
  title =        "Estimation of {Covid-19} prevalence from serology
                 tests: a partial identification approach",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "1",
  pages =        "193--213",
  month =        jan,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.10.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:51 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030350X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:EBb,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "ii--ii",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(21)00005-1",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407621000051",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Sarafidis:2021:CYP,
  author =       "Vasilis Sarafidis and Tom Wansbeek",
  title =        "Celebrating 40 years of panel data analysis: Past,
                 present and future",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "215--226",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301822",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dhaene:2021:SOC,
  author =       "Geert Dhaene and Yutao Sun",
  title =        "Second-order corrected likelihood for nonlinear panel
                 models with fixed effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "227--252",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301196",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Aristodemou:2021:SIP,
  author =       "Eleni Aristodemou",
  title =        "Semiparametric identification in panel data discrete
                 response models",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "253--271",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301202",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Wang:2021:ILG,
  author =       "Wuyi Wang and Liangjun Su",
  title =        "Identifying latent group structures in nonlinear
                 panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "272--295",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301214",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:NFM,
  author =       "Mingli Chen and Iv{\'a}n Fern{\'a}ndez-Val and Martin
                 Weidner",
  title =        "Nonlinear factor models for network and panel data",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "296--324",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301238",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Juodis:2021:RPC,
  author =       "Arturas Juodis and Hande Karabiyik and Joakim
                 Westerlund",
  title =        "On the robustness of the pooled {CCE} estimator",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "325--348",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301834",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Baltagi:2021:ETH,
  author =       "Badi H. Baltagi and Chihwa Kao and Fa Wang",
  title =        "Estimating and testing high dimensional factor models
                 with multiple structural changes",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "349--365",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030124X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Andreou:2021:PVV,
  author =       "Elena Andreou and Eric Ghysels",
  title =        "Predicting the {VIX} and the volatility risk premium:
                 the role of short-run funding spreads {Volatility
                 Factors}",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "366--398",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301251",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Breitung:2021:EHP,
  author =       "J{\"o}rg Breitung and Nazarii Salish",
  title =        "Estimation of heterogeneous panels with systematic
                 slope variations",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "399--415",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301263",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Norkute:2021:IVE,
  author =       "Milda Norkute and Vasilis Sarafidis and Takashi
                 Yamagata and Guowei Cui",
  title =        "Instrumental variable estimation of dynamic linear
                 panel data models with defactored regressors and a
                 multifactor error structure",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "416--446",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301275",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Okui:2021:HSB,
  author =       "Ryo Okui and Wendun Wang",
  title =        "Heterogeneous structural breaks in panel data models",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "447--473",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301287",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Trapani:2021:ITH,
  author =       "Lorenzo Trapani",
  title =        "Inferential theory for heterogeneity and cointegration
                 in large panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "474--503",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301299",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kapetanios:2021:EIM,
  author =       "George Kapetanios and Laura Serlenga and Yongcheol
                 Shin",
  title =        "Estimation and inference for multi-dimensional
                 heterogeneous panel datasets with hierarchical
                 multi-factor error structure",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "504--531",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301305",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Yang:2021:EAE,
  author =       "Yimin Yang and Peter Schmidt",
  title =        "An econometric approach to the estimation of
                 multi-level models",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "532--543",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301317",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Brownlees:2021:DGT,
  author =       "Christian Brownlees and Geert Mesters",
  title =        "Detecting granular time series in large panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "544--561",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301329",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Koo:2021:ENM,
  author =       "Bonsoo Koo and Davide {La Vecchia} and Oliver Linton",
  title =        "Estimation of a nonparametric model for bond prices
                 from cross-section and time series information",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "562--588",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301330",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Khalaf:2021:DPM,
  author =       "Lynda Khalaf and Maral Kichian and Charles J. Saunders
                 and Marcel Voia",
  title =        "Dynamic panels with {MIDAS} covariates: Nonlinearity,
                 estimation and fit",
  journal =      j-J-ECONOMETRICS,
  volume =       "220",
  number =       "2",
  pages =        "589--605",
  month =        feb,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301342",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:PM,
  author =       "Anonymous",
  title =        "Pages 1--336 ({March 2021})",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "??--??",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  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:2021:EBc,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "ii--ii",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(21)00021-X",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762100021X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Perera:2021:BBP,
  author =       "Indeewara Perera and Mervyn J. Silvapulle",
  title =        "Bootstrap based probability forecasting in
                 multiplicative error models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "1--24",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.01.022",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300440",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Aradillas-Lopez:2021:CSE,
  author =       "Andr{\'e}s Aradillas-L{\'o}pez",
  title =        "Computing semiparametric efficiency bounds in discrete
                 choice models with strategic-interactions and rational
                 expectations",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "25--42",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.02.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300452",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{vandenBerg:2021:GSA,
  author =       "Gerard. J. van den Berg and Lena Janys and Enno Mammen
                 and Jens Perch Nielsen",
  title =        "A general semiparametric approach to inference with
                 marker-dependent hazard rate models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "43--67",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.05.025",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300439",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:JEL,
  author =       "Ruxin Chen and Rami V. Tabri",
  title =        "Jackknife empirical likelihood for inequality
                 constraints on regular functionals",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "68--77",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300373",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kleibergen:2021:ESC,
  author =       "Frank Kleibergen",
  title =        "Efficient size correct subset inference in
                 homoskedastic linear instrumental variables
                 regression",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "78--96",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S030440762030052X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Daouia:2021:EEE,
  author =       "Abdelaati Daouia and St{\'e}phane Girard and Gilles
                 Stupfler",
  title =        "{ExpectHill} estimation, extreme risk and heavy
                 tails",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "97--117",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.02.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300543",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Catania:2021:HMS,
  author =       "Leopoldo Catania and Roberto {Di Mari}",
  title =        "Hierarchical {Markov}-switching models for
                 multivariate integer-valued time-series",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "118--137",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.02.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300531",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bugni:2021:TCD,
  author =       "Federico A. Bugni and Ivan A. Canay",
  title =        "Testing continuity of a density via $g$-order
                 statistics in the regression discontinuity design",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "138--159",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.02.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620300579",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Barbosa:2021:LIR,
  author =       "Jos{\'e} Diogo Barbosa and Marcelo J. Moreira",
  title =        "Likelihood inference and the role of initial
                 conditions for the dynamic panel data model",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "160--179",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.039",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620301652",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Qu:2021:ESM,
  author =       "Xi Qu and Lung-fei Lee and Chao Yang",
  title =        "Estimation of a {SAR} model with endogenous spatial
                 weights constructed by bilateral variables",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "180--197",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302281",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Huang:2021:NPM,
  author =       "Wenxin Huang and Sainan Jin and Peter C. B. Phillips
                 and Liangjun Su",
  title =        "Nonstationary panel models with latent group
                 structures and cross-section dependence",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "198--222",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302165",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Escanciano:2021:OLI,
  author =       "Juan Carlos Escanciano and Wei Li",
  title =        "Optimal Linear Instrumental Variables Approximations",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "223--246",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302153",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Smeekes:2021:AAT,
  author =       "Stephan Smeekes and Etienne Wijler",
  title =        "An automated approach towards sparse single-equation
                 cointegration modelling",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "247--276",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.021",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302190",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Pang:2021:EMB,
  author =       "Tianxiao Pang and Lingjie Du and Terence Tai-Leung
                 Chong",
  title =        "Estimating multiple breaks in nonstationary
                 autoregressive models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "277--311",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302116",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kaplan:2021:FPB,
  author =       "David M. Kaplan and Longhao Zhuo",
  title =        "Frequentist properties of {Bayesian} inequality
                 tests",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "1",
  pages =        "312--336",
  month =        mar,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Fri Feb 5 16:12:52 MST 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "http://www.sciencedirect.com/science/article/pii/S0304407620302359",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:PA,
  author =       "Anonymous",
  title =        "Pages 337--676 ({April 2021})",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "??--??",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  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:2021:EBd,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "ii--ii",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(21)00032-4",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407621000324",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Yang:2021:EDP,
  author =       "Kai Yang and Lung-fei Lee",
  title =        "Estimation of dynamic panel spatial vector
                 autoregression: Stability and spatial multivariate
                 cointegration",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "337--367",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S030440762030227X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:ROE,
  author =       "Qihui Chen",
  title =        "Robust and optimal estimation for partially linear
                 instrumental variables models with partial
                 identification",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "368--380",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302293",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Breunig:2021:VRC,
  author =       "Christoph Breunig",
  title =        "Varying random coefficient models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "381--408",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.049",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S030440762030244X",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Yang:2021:THD,
  author =       "Xinxin Yang and Xinghua Zheng and Jiaqi Chen",
  title =        "Testing high-dimensional covariance matrices under the
                 elliptical distribution and beyond",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "409--423",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302384",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Li:2021:SDP,
  author =       "Liyao Li and Zhenlin Yang",
  title =        "Spatial dynamic panel data models with correlated
                 random effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "424--454",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.016",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302372",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Barigozzi:2021:LDD,
  author =       "Matteo Barigozzi and Marco Lippi and Matteo Luciani",
  title =        "Large-dimensional Dynamic Factor Models: Estimation of
                 Impulse-Response Functions with {$ I(1) $} cointegrated
                 factors",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "455--482",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302219",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hou:2021:RLF,
  author =       "Lei Hou and Kunpeng Li and Qi Li and Min Ouyang",
  title =        "Revisiting the location of {FDI} in {China}: a panel
                 data approach with heterogeneous shocks",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "483--509",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.047",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302426",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Kapetanios:2021:DUP,
  author =       "G. Kapetanios and M. H. Pesaran and S. Reese",
  title =        "Detection of units with pervasive effects in large
                 panel data models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "510--541",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.05.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302141",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Blasques:2021:MOO,
  author =       "F. Blasques and P. Gorgi and S. J. Koopman",
  title =        "Missing observations in observation-driven time series
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "542--568",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.043",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302670",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Norkute:2021:FAA,
  author =       "Milda Norkute and Joakim Westerlund",
  title =        "The factor analytical approach in near unit root
                 interactive effects panels",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "569--590",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.03.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302682",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Pesaran:2021:EIS,
  author =       "M. Hashem Pesaran and Cynthia Fan Yang",
  title =        "Estimation and inference in spatial models with
                 dominant units",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "591--615",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.04.045",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302360",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Bu:2021:DCI,
  author =       "Ruijun Bu and Kaddour Hadri and Dennis Kristensen",
  title =        "Diffusion copulas: Identification and estimation",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "616--643",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.06.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302104",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{DAmour:2021:OOS,
  author =       "Alexander D'Amour and Peng Ding and Avi Feller and
                 Lihua Lei and Jasjeet Sekhon",
  title =        "Overlap in observational studies with high-dimensional
                 covariates",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "644--654",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.10.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302694",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Buccheri:2021:CTL,
  author =       "Giuseppe Buccheri and Fulvio Corsi and Franco Flandoli
                 and Giulia Livieri",
  title =        "The continuous-time limit of score-driven volatility
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "221",
  number =       "2",
  pages =        "655--675",
  month =        apr,
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.042",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:25 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302669",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:EBe,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "ii--ii",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(21)00063-4",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407621000634",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hong:2021:OSE,
  author =       "Han Hong and Michael Keane and Clifford Winston",
  title =        "Overview: Structural econometrics honoring {Daniel
                 McFadden}",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "1--3",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.023",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302451",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Crawford:2021:SPE,
  author =       "Gregory S. Crawford and Rachel Griffith and Alessandro
                 Iaria",
  title =        "A survey of preference estimation with unobserved
                 choice set heterogeneity",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "4--43",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.024",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302463",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Horowitz:2021:UPL,
  author =       "Joel L. Horowitz and Lars Nesheim",
  title =        "Using penalized likelihood to select parameters in a
                 random coefficients multinomial logit model",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "44--55",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2019.11.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620300427",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hong:2021:BEU,
  author =       "Han Hong and Huiyu Li and Jessie Li",
  title =        "{BLP} estimation using {Laplace} transformation and
                 overlapping simulation draws",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "56--72",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.026",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302487",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Newey:2021:CVD,
  author =       "Whitney Newey and Sami Stouli",
  title =        "Control variables, discrete instruments, and
                 identification of structural functions",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "73--88",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.027",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302499",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Webb:2021:ACD,
  author =       "Ryan Webb and Nitin Mehta and Ifat Levy",
  title =        "Assessing consumer demand with noisy neural
                 measurements",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "89--106",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.028",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302505",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Keane:2021:ECC,
  author =       "Michael Keane and Jonathan Ketcham and Nicolai
                 Kuminoff and Timothy Neal",
  title =        "Evaluating consumers' choices of {Medicare Part D}
                 plans: a study in behavioral welfare economics",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "107--140",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.029",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302517",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Powell:2021:DMH,
  author =       "David Powell and Dana Goldman",
  title =        "Disentangling moral hazard and adverse selection in
                 private health insurance",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "141--160",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.030",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302529",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Pathak:2021:HWD,
  author =       "Parag A. Pathak and Peng Shi",
  title =        "How well do structural demand models work?
                 {Counterfactual} predictions in school choice",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "161--195",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.031",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302530",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Winston:2021:VSC,
  author =       "Clifford Winston and Jia Yan",
  title =        "Vehicle size choice and automobile externalities: a
                 dynamic analysis",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "196--218",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.032",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302542",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Hall:2021:EES,
  author =       "George Hall and John Rust",
  title =        "Estimation of endogenously sampled time series: the
                 case of commodity price speculation in the steel
                 market",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "219--243",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.033",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302554",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Jenkins:2021:BWA,
  author =       "Mark Jenkins and Paul Liu and Rosa L. Matzkin and
                 Daniel L. McFadden",
  title =        "The browser war --- Analysis of {Markov Perfect
                 Equilibrium} in markets with dynamic demand effects",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "244--260",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.034",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302566",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{McFadden:2021:E,
  author =       "Daniel McFadden",
  title =        "Epilogue",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "261--263",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2021.03.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407621000592",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Anonymous:2021:EBf,
  author =       "Anonymous",
  title =        "{Editorial Board}",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "ii--ii",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/S0304-4076(21)00077-4",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407621000774",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Linton:2021:ESI,
  author =       "Oliver Linton and Viktor Todorov and Zhengjun Zhang",
  title =        "Editorial for the special issue on financial
                 econometrics in the age of the digital economy",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "265--268",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.001",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301913",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Fan:2021:AFM,
  author =       "Jianqing Fan and Yuan Ke and Yuan Liao",
  title =        "Augmented factor models with applications to
                 validating market risk factors and forecasting bond
                 risk premia",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "269--294",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.002",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301925",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ma:2021:EIS,
  author =       "Shujie Ma and Oliver Linton and Jiti Gao",
  title =        "Estimation and inference in semiparametric quantile
                 factor models",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "295--323",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.003",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301937",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Barigozzi:2021:TVG,
  author =       "Matteo Barigozzi and Marc Hallin and Stefano Soccorsi
                 and Rainer von Sachs",
  title =        "Time-varying general dynamic factor models and the
                 measurement of financial connectedness",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "324--343",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.004",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301949",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Andersen:2021:TRR,
  author =       "Torben G. Andersen and Viktor Todorov and Masato
                 Ubukata",
  title =        "Tail risk and return predictability for the {Japanese}
                 equity market",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "344--363",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.005",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301950",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ait-Sahalia:2021:CFI,
  author =       "Yacine A{\"\i}t-Sahalia and Chenxu Li and Chen Xu Li",
  title =        "Closed-form implied volatility surfaces for stochastic
                 volatility models with jumps",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "364--392",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.006",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301962",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Song:2021:VAR,
  author =       "Xinyu Song and Donggyu Kim and Huiling Yuan and
                 Xiangyu Cui and Zhiping Lu and Yong Zhou and Yazhen
                 Wang",
  title =        "Volatility analysis with realized {GARCH--It{\^o}}
                 models",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "393--410",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.007",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301974",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Mykland:2021:OAV,
  author =       "Per A. Mykland and Lan Zhang",
  title =        "The Observed Asymptotic Variance: Hard edges, and a
                 regression approach",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "411--428",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.008",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301986",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gu:2021:AAP,
  author =       "Shihao Gu and Bryan Kelly and Dacheng Xiu",
  title =        "Autoencoder asset pricing models",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "429--450",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.009",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620301998",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Gospodinov:2021:GAM,
  author =       "Nikolay Gospodinov and Esfandiar Maasoumi",
  title =        "Generalized aggregation of misspecified models: With
                 an application to asset pricing",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "451--467",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.010",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302001",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:IAM,
  author =       "Shiyi Chen and Michael T. Chng and Qingfu Liu",
  title =        "The implied arbitrage mechanism in financial markets",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "468--483",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.011",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302013",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:EEM,
  author =       "Xiaohong Chen and Zhuo Huang and Yanping Yi",
  title =        "Efficient estimation of multivariate
                 semi-nonparametric {GARCH} filtered copula models",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "484--501",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.012",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302025",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Ding:2021:HDM,
  author =       "Yi Ding and Yingying Li and Xinghua Zheng",
  title =        "High dimensional minimum variance portfolio estimation
                 under statistical factor models",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "502--515",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.013",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302037",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Fiorentini:2021:NTA,
  author =       "Gabriele Fiorentini and Enrique Sentana",
  title =        "New testing approaches for mean-variance
                 predictability",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "516--538",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.014",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302049",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Chen:2021:AMM,
  author =       "Rong Chen and Han Xiao and Dan Yang",
  title =        "Autoregressive models for matrix-valued time series",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "539--560",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.015",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302050",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Dai:2021:WCP,
  author =       "Min Dai and Yanwei Jia and Steven Kou",
  title =        "The wisdom of the crowd and prediction markets",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "561--578",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.016",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302062",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}

@Article{Cui:2021:MLR,
  author =       "Qiurong Cui and Yuqing Xu and Zhengjun Zhang and
                 Vincent Chan",
  title =        "Max-linear regression models with regularization",
  journal =      j-J-ECONOMETRICS,
  volume =       "222",
  number =       "1",
  pages =        "579--600",
  month =        "????",
  year =         "2021",
  CODEN =        "JECMB6",
  DOI =          "https://doi.org/10.1016/j.jeconom.2020.07.017",
  ISSN =         "0304-4076 (print), 1872-6895 (electronic)",
  ISSN-L =       "0304-4076",
  bibdate =      "Wed Mar 24 14:52:26 MDT 2021",
  bibsource =    "http://www.math.utah.edu/pub/tex/bib/jeconometrics2020.bib",
  URL =          "https://www.sciencedirect.com/science/article/pii/S0304407620302074",
  acknowledgement = ack-nhfb,
  fjournal =     "Journal of Econometrics",
  journal-URL =  "http://www.sciencedirect.com/science/journal/03044076",
}