PUBLISHED AND FORTHCOMING PEER REVIEWED PAPERS
- Hill, J. B. (2025). Mixingale and Physical Dependence Equality with Applications, Statistics and Probability Letters 221.
- Chaudhuri, S. and J. B. Hill (2024). Robust Estimation and Inference for Average Treatment Effects, Econometric Reviews: in press.
- Hill, J.B. and Li, T. (2025). A Bootstrapped Test of Covariance Stationarity Based on Orthonormal Transformations: Bernoulli 31, 1527–1551.
- Hill, J. B. (2025). Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting: Journal of Business and Economics Statistic 43, 55-67.
- Hill, J. B. (2024). A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative, Journal of Statistical Planning and Inference, 129.
- Hill, J. B. (2021). Weak-Identification Robust Wild Bootstrap applied to a Consistent Model Specification Test, Econometric Theory 37, 409-463.
- Hill, J. B. and Motegi, K. (2020). A Max-Correlation White Noise Test for Weakly Dependent Time Series, Econometric Theory 36, 907-960.
- Hill, J. B. and Motegi, K. (2019). Testing the White Noise Hypothesis of Stock Markets, Economic Modeling 76, 231-242.
- Hill, J. B.,Ghysels, E. and Motegi, K. (2020). Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality: Journal of Econometrics 218, 633-654.
- McCloskey, A. and J. B. Hill (2017). Parameter Estimation Robust to Low-Frequency Contamination. Journal of Business and Economic Statistics 35, 598-610.
- Hill, J. B. and A. Prokhorov (2016). GEL Estimation for GARCH Models with Robust Empirical Likelihood Inference. Journal of Econometrics 190, 18-45
- Ghysels, E., J. B. Hill, and K. Motegi (2016). Testing for Granger Causality with Mixed Frequency Data. Journal of Econometrics 192, 207-230
- Hill, J .B., D. Li,, and L. Peng (2016). Unified Interval Estimation for an AR(1) Process with Dependent Errors. Statistica Sinica 26, 119-136
- Aguilar, M. and J. B. Hill (2015). Robust Score and Portmanteau Tests of Volatility Spillover. Journal of Econometrics 184, 37-61.
- Hill, J. B. (2015). Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series. Journal of Financial Econometrics 13, 1-44
- Hill, J. B. (2015). Robust Generalized Empirical Likelihood for Heavy Tailed Autoregressions with Conditionally Heteroscedastic Errors. Journal of Multivariate Analysis 135, 131-152
- Hill, J. B. (2015). Tail Index Estimation for a Filtered Dependent Time Series. Statistica Sinica 25, 609-630.
- Hill, J. B. (2015). Robust Estimation and Inference for Heavy Tailed GARCH. Bernoulli 21,1629-1669.
- Hill, J. B. and L. Peng (2014). Unified Interval Estimation for Random Coefficient Autoregressive Models. Journal of Time Series Analysis 35, 282-297.
- Hill, J. B. and A. Shneyerov (2013). Are There Common Values in First-Price Auctions? A Tail-Index Nonparametric Test. Journal of Econometrics 174, 144-164.
- Hill, J. B. (2013). Least Tail-Trimmed Squares for Infinite Variance Autoregressions. Journal of Time Series Analysis 34, 168-186.
- Hill, J. B. (2013). Stochastically Weighted Average Conditional Moment Tests of Functional Form. Studies in Nonlinear Dynamics and Econometrics 17, 121-141
- Hill, J. B. and M. Aguilar (2013). Moment Condition Tests for Heavy Tailed Time Series Journal of Econometrics 172, 255-274.
- Hill, J. B. (2013). Consistent GMM Residuals-Based Tests of Functional Form. Econometric Reviews 32, 361-383.
- Hill, J. B. (2012). Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form: in X. Chen and N. Swanson (ed.’s), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., 241-274. Springer: New York.
- Hill, J. B. (2011). Extremal Memory of Stochastic Volatility with an Application to Tail Shape Inference. Journal of Statistical Planning and Inference 141, 663-676.
- Hill, J. B. (2011). Tail and Non-Tail Memory with Applications to Extreme Value and Robust Statistics. Econometric Theory 27, 844-884.
- Anbarci, N., J. B. Hill, and H. Kirmanoglu (2011). Institutions and Growth Volatility. Economic Papers 30, 233–252.
- Hill, J. B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data. Econometric Theory 26, 1398-1436.
- Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.
- Hill, J. B. (2009). On Functional Central Limit Theorems for Dependent, Heterogeneous Arrays with Applications to Tail Index and Tail Dependence Estimation. Journal of Statistical Planning and Inference 139, 2091-2110.
- Hill, J. B. (2008). Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition and Neural Network Alternatives. Annales D’Economie et de Statistique 90, 145-179.
- Hill, J. B. (2007). Efficient Tests of Long-Run Causation in Trivariate VAR Processes with Rolling Window Study of the Money-Income Relationship. Journal of Applied Econometrics 22, 747-765.
- Hill, J. B. (2006). Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite Variance Processes, Canadian Journal of Statistics 34, 453-473.
- Carlos, A., J. B. Hill and N. Moyen (2002). Royal African Company Share Prices during the South Sea Bubble. Explorations in Economic History 39, 61-87.
BOOK CHAPTERS
- Hill, J. B. (2012). Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form: in X. Chen and N. Swanson (ed.’s), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert White Jr., pp. 241-274. Springer: New York
- Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.
INVITED CONTRIBUTIONS
- Hill, J. B. (2012). Dependence and Stochastic Limit Theory, in S. Anatolyev (ed.) Quantile.
- Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.