The Econometrics Journal

The Econometrics Journal

Current Issue

Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models

  • Author: Andrew J. Patton, Richard J. Smith
  • Journal Issue: Volume 19 Issue 1 (February 2016)
  • Published Online on 09 May 2016

An overview of the estimation of large covariance and precision matrices

  • Author: Jianqing Fan, Yuan Liao, Han Liu
  • Journal Issue: Volume 19 Issue 1 (February 2016)
  • Published Online on 28 March 2016

Generalized dynamic factor models and volatilities: recovering the market volatility shocks

  • Author: Matteo Barigozzi, Marc Hallin
  • Journal Issue: Volume 19 Issue 1 (February 2016)
  • Published Online on 03 November 2015

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Accepted Articles

Estimating a Nonparametric Triangular Model with Binary Endogenous Regressors

  • Author: Sung Jae Tun, Joris Pinkse, Haiqing Xu
  • Accepted manuscript online: 07 May 2016

Testing for Error Cross‐Sectional Independence Using Pairwise Augmented Regressions

  • Author: Guangyu Mao
  • Accepted manuscript online: 07 May 2016

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Editiorial Board

Managing Editor

Richard J. Smith, University of Cambridge

Richard J Smith

Co-Editors

Jaap Abbring, Tilburg University

Victor Chernozhukov,
Massachusetts Institute of Technology

Michael Jansson, Berkeley

Dennis Kristensen, University College London

Co-Editors Abbring, Chernozhukov, Jansson and Patton.

View full editorial information

News

Large Dimensional Models Special Issue now available

  • Published Date: 19 May 2016

The growing availability of financial and economic data has led to a need for econometric methods to analyze and model it. The papers in this Special... Read more

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EctJ Implements Replication Policy

The Econometrics Journal has a new Replication Policy for accepted papers

Supporting Information

To benefit readers of accepted papers a new facility for supporting material linked to the online published manuscript is available.

Large Dimensional Models

Special Issue 2016

The growing availability of financial and economic data has led to a need for econometric methods to analyze and model it. The papers in this Special Issue on Large Dimensional Models arise out of the invited presentations given in The Econometrics Journal Special Session on this topic at the Royal Economic Society Annual Conference held 7-9 April 2014 at the University of Manchester. Professors Jianqing Fanand Marc Hallin each addressed different aspects of this difficult and multi-faceted problem . Their conference presentations can be viewed on http://live.wavecast.co/res-annual-conference/session/large-dimensional-models-econometrics-journal-special-session/

The article that accompanies the presentation by Jianqing Fan, co-authored with Yuan Liao and Han Liu, provides a review of recent developments in the statistics and econometrics literatures on the estimation of covariance matrices and inverse covariance matrices, known as precision matrices. These matrices appear in a variety of economic problems, including factor analyses, portfolio decision problems, and undirected graph construction. This article reviews methods based on thresholding, penalized likelihood estimation, and a factor model-based approach, and discusses methods to ensure that the resulting covariance or precision matrix is positive definite in finite samples (not only asymptotically). Also covered are methods that are applicable to fat-tailed data, relaxing the common assumption of Gaussianity, which is important for potential applications to financial asset returns. http://onlinelibrary.wiley.com/doi/10.1111/ectj.12061/abstract

The paper accompanying the presentation by Marc Hallin, co-authored with Matteo Barigozzi, addresses a more specific problem in the area of high dimensional econometrics, namely that of decomposing asset return volatilities into a common market-wide component and an idiosyncratic component. There is much related work on this problem in the financial econometrics literature. However, most existing studies employ parametric models, while the analysis presented here is nonparametric. This allows the authors to draw conclusions that are more robust than those based on potentially mis-specified models. It is noteworthy that while the focus of this article is on a possible factor structure in asset return volatilities, the analysis explicitly considers the possibility that there is very likely to be a factor structure in asset returns and that this factor structure need not match the one, if present, in return volatilities. This article applies the procedure to daily returns on the constituents of the Standard & Poor 100 Index and finds evidence of a single factor in both returns and volatilities but with the explanatory power of the common factor much stronger for returns than for volatilities. http://onlinelibrary.wiley.com/doi/10.1111/ectj.12047/abstract

The organization of Special Sessions on subjects of current interest and importance at Royal Economic Society Annual Conferences is an initiative of the Editorial Board of The Econometrics Journal to enhance further the profile and reputation of the journal. The Editorial Board is responsible for the choice of topic and organization of the Special Session. The intention is by judicious choice of topics and speakers to encourage further a higher standard of submissions to The Econometrics Journal. The 2014 Special Session on Large Dimensional Models was organized by Andrew J. Patton and Richard J Smith, Co-Editor and Managing Editor of The Econometrics Journal respectively, with Andrew Patton overseeing the editorial process for the submitted papers arising from the Special Session. Of course, because of the time constraint imposed by the Special Session, the specific topics considered are necessarily restrictive but hopefully they do provide an impression of a few of the current frontiers pertaining to the econometrics of large dimensional models.

We would like to take this opportunity to thank the authors for responding to our request for submissions to this Special Issue with these timely papers. Especial appreciation is owed to the referees of the two aforementioned papers., N. Hautsch and S. Ng Without their assistance, this Special Issue would have not been possible.

Andrew J. Patton, Co-Editor and Richard J. Smith, Managing Editor. The Econometrics Journal

Related Links

RES 2016 Conference Interview with Andrew Chesher

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RES 2016 Conference "Model Selection and Inference" interview with Bruce Hansen

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Tribute to Edmond Malinvaud

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