OOIR: Observatory of International Research

Papers

(The H4-Index of Journal of Econometrics is 33. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-08-01 to 2025-08-01.)

Article	Citations
Analyzing cross-validation for forecasting with structural instability	4365
Time-Varying Parameters in Econometrics: The editor’s foreword	4268
Bond risk premiums at the zero lower bound	2706
Shrinkage estimators for periodic autoregressions	881
Local linearization based subvector inference in moment inequality models	433
Parametric estimation of long memory in factor models	222
A multivariate realized GARCH model	167
Nonparametric comparison of epidemic time trends: The case of COVID-19	159
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	90
Locally robust inference for non-Gaussian linear simultaneous equations models	87
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	72
Bootstrapping out-of-sample predictability tests with real-time data	71
Inference in cluster randomized trials with matched pairs	61
Inference on covariance-mean regression	59
A discrete-time hedging framework with multiple factors and fat tails: On what matters	59
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	59
Efficiency bounds for moment condition models with mixed identification strength	57
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	57
On changepoint detection in functional data using empirical energy distance	49
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	48
Efficient closed-form estimation of large spatial autoregressions	46
Identification of semiparametric model coefficients, with an application to collective households	43
Simple subvector inference on sharp identified set in affine models	43
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	42
A computational approach to identification of treatment effects for policy evaluation	41

Semiparametric modeling of multiple quantiles	41
Editorial Board	40
You are what your parents expect: Height and local reference points	39
Stochastic properties of nonlinear locally-nonstationary filters	36
Identifying causal effects in experiments with spillovers and non-compliance	36
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	35
From LATE to ATE: A Bayesian approach	34
Feature-splitting algorithms for ultrahigh dimensional quantile regression	33