Publications

PUBLISHED AND FORTHCOMING PEER REVIEWED PAPERS

  1. Hill, J.B. and Li, T. (2024). A Bootstrapped Test of Covariance Stationarity Based on Orthonormal Transformations: Bernoulli (conditionally accepted) (paper, ArXiv, appendix)
  2. Hill, J. B. (2024). Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting: Journal of Business and Economics Statistic: in press.
  3. 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.
  4. Hill, J. B. (2021). Weak-Identification Robust Wild Bootstrap applied to a Consistent Model Specification Test, Econometric Theory 37, 409-463.
  5. Hill, J. B. and Motegi, K. (2020). A Max-Correlation White Noise Test for Weakly Dependent Time Series, Econometric Theory 36, 907-960.
  6. Hill, J. B. and Motegi, K. (2019). Testing the White Noise Hypothesis of Stock Markets, Economic Modeling 76, 231-242.
  7. 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.
  8. McCloskey, A. and J. B. Hill (2017). Parameter Estimation Robust to Low-Frequency Contamination. Journal of Business and Economic Statistics 35, 598-610.
  9. Hill, J. B. and A. Prokhorov (2016). GEL Estimation for GARCH Models with Robust Empirical Likelihood Inference. Journal of Econometrics 190, 18-45
  10. Ghysels, E., J. B. Hill, and K. Motegi (2016). Testing for Granger Causality with Mixed Frequency Data. Journal of Econometrics 192, 207-230
  11. 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
  12. Aguilar, M. and J. B. Hill (2015). Robust Score and Portmanteau Tests of Volatility Spillover. Journal of Econometrics 184, 37-61.
  13. Hill, J. B. (2015). Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series. Journal of Financial Econometrics 13, 1-44
  14. Hill, J. B. (2015). Robust Generalized Empirical Likelihood for Heavy Tailed Autoregressions with Conditionally Heteroscedastic Errors. Journal of Multivariate Analysis 135, 131-152
  15. Hill, J. B. (2015). Tail Index Estimation for a Filtered Dependent Time Series. Statistica Sinica 25, 609-630.
  16. Hill, J. B. (2015). Robust Estimation and Inference for Heavy Tailed GARCH. Bernoulli 21,1629-1669.
  17. Hill, J. B. and L. Peng (2014). Unified Interval Estimation for Random Coefficient Autoregressive Models. Journal of Time Series Analysis 35, 282-297.
  18. 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.
  19. Hill, J. B. (2013). Least Tail-Trimmed Squares for Infinite Variance Autoregressions. Journal of Time Series Analysis 34, 168-186.
  20. Hill, J. B. (2013). Stochastically Weighted Average Conditional Moment Tests of Functional Form. Studies in Nonlinear Dynamics and Econometrics 17, 121-141
  21. Hill, J. B. and M. Aguilar (2013). Moment Condition Tests for Heavy Tailed Time Series Journal of Econometrics 172, 255-274.
  22. Hill, J. B. (2013). Consistent GMM Residuals-Based Tests of Functional Form. Econometric Reviews 32, 361-383.
  23. 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.
  24. 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.
  25. Hill, J. B. (2011). Tail and Non-Tail Memory with Applications to Extreme Value and Robust Statistics. Econometric Theory 27, 844-884.
  26. Anbarci, N., J. B. Hill, and H. Kirmanoglu (2011). Institutions and Growth Volatility. Economic Papers 30, 233–252.
  27. Hill, J. B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data. Econometric Theory 26, 1398-1436.
  28. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.
  29. 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.
  30. 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.
  31. 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.
  32. Hill, J. B. (2006). Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite Variance Processes, Canadian Journal of Statistics 34, 453-473.
  33. 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

  1. 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
  2. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.

INVITED CONTRIBUTIONS

  1. Hill, J. B. (2012). Dependence and Stochastic Limit Theory, in S. Anatolyev (ed.) Quantile.
  2. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.