Journal of Econometrics

Article	Citations
Bond risk premiums at the zero lower bound	1187
Shrinkage estimators for periodic autoregressions	512
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	268
Neural Conformal Inference for jump diffusion processes	212
Inference in cluster randomized trials with matched pairs	204
A computational approach to identification of treatment effects for policy evaluation	122
On changepoint detection in functional data using empirical energy distance	98
Local linearization based subvector inference in moment inequality models	84
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	80
Simple subvector inference on sharp identified set in affine models	79
Efficiency bounds for moment condition models with mixed identification strength	79
Time-Varying Parameters in Econometrics: The editor’s foreword	65
Analyzing cross-validation for forecasting with structural instability	65
Nonparametric comparison of epidemic time trends: The case of COVID-19	63
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	60
Inference on covariance-mean regression	60
Efficient closed-form estimation of large spatial autoregressions	56
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	56
Locally robust inference for non-Gaussian linear simultaneous equations models	55
Semiparametric modeling of multiple quantiles	54
Bootstrapping out-of-sample predictability tests with real-time data	53
A multivariate realized GARCH model	52
Identification of semiparametric model coefficients, with an application to collective households	46
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	43
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	43

Parametric estimation of long memory in factor models	42
Quasi-Bayesian estimation and inference with control functions	40
Causal inference in network experiments: Regression-based analysis and design-based properties	40
Testing for jumps in a discretely observed price process with endogenous sampling times	38
Long-term volatility shapes the stock market’s sensitivity to news	37
A discrete-time hedging framework with multiple factors and fat tails: On what matters	36
From LATE to ATE: A Bayesian approach	34
Shrinkage methods for treatment choice	34
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	34
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	33
Limit theory and inference in non-cointegrated functional coefficient regression	32
You are what your parents expect: Height and local reference points	32
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	32
Identifying causal effects in experiments with spillovers and non-compliance	31
Feature-splitting algorithms for ultrahigh dimensional quantile regression	31
Residual-augmented IVX predictive regression	30
Stochastic properties of nonlinear locally-nonstationary filters	30
Editorial Board	30
Latent utility and permutation invariance: A revealed preference approach	29
High dimensional regression coefficient test with high frequency data	29
Nonseparable sample selection models with censored selection rules	29
Bregman model averaging for forecast combination	29
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	28
Initial conditions and Blundell–Bond estimators	28
Measuring tail risk	28
Robust likelihood estimation of dynamic panel data models	28
Identification and estimation of a search model with heterogeneous consumers and firms	27
GLS under monotone heteroskedasticity	27
Semiparametrically optimal cointegration test	26
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	26
Testing identification conditions of LATE in fuzzy regression discontinuity designs	26
Joint inference based on Stein-type averaging estimators in the linear regression model	26
Editorial Board	25
Editorial Board	24
Jump detection in high-frequency order prices	24
Decomposing informed trading in equity options	24
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	23
Cross-sectional dependence in idiosyncratic volatility	23
Incentive-driven inattention	23
High-dimensional conditionally Gaussian state space models with missing data	23
Semiparametric model averaging prediction for dichotomous response	22
SVARs with occasionally-binding constraints	22
A large confirmatory dynamic factor model for stock market returns in different time zones	22
Corrigendum to “Robust mutual fund selection with false discovery rate control” [Journal of Econometrics 252 (2025) 106121]	22
Estimating high dimensional monotone index models by iterative convex optimization	21
Editorial Board	21
Nonparametric Bayes subject to overidentified moment conditions	21
Weak identification with bounds in a class of minimum distance models	21
Distribution regression with censored selection	21
Policy evaluation during a pandemic	21

Hypothesis testing on high dimensional quantile regression	21
Editorial Board	20
Testing unconditional and conditional independence via mutual information	20
Relaxing conditional independence in an endogenous binary response model	20
Inference in models with partially identified control functions	20
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	19
Editorial Board	19
CRPS learning	19
Robust mutual fund selection with false discovery rate control	19
Functional time series approach to analyzing asset returns co-movements	19
Inequality and the zero lower bound	19
Panel data models with time-varying latent group structures	18
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	18
Identification of dynamic binary response models	18
A Correlated Random Coefficient panel model with time-varying endogeneity	18
Evaluating forecast performance with state dependence	18
Consistent causal inference for high-dimensional time series	17
Infinite Markov pooling of predictive distributions	17
Likelihood approach to dynamic panel models with interactive effects	17
Editorial Board	17
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	17
Estimation of continuous-time linear DSGE models from discrete-time measurements	16
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	16
Prices, profits, proxies, and production	16
A comparative analysis of two-way fixed effects estimators in staggered treatment designs	16
Logical differencing in dyadic network formation models with nontransferable utilities	16
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	16
Bootstrap specification tests for dynamic conditional distribution models	16
Editorial Board	16
Multiple treatments with strategic substitutes	15
Bayesian Methods in Economics and Finance: Editor’s Introduction	15
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	15
Editorial for special issue in honor of Francis X. Diebold	15
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	15
Penalized time-varying model averaging	15
Debiased machine learning of set-identified linear models	15
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	14
Parental beliefs about returns to child health investments	14
Reprint: Hypothesis testing on high dimensional quantile regression	14
On the performance of the Neyman Allocation with small pilots	14
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	14
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	14
Predictive ability tests with possibly overlapping models	14
Bayesian estimation of cluster covariance matrices of unknown form	14
State-dependent local projections	14
On testing for spatial or social network dependence in panel data allowing for network variability	14
Common volatility shocks driven by the global carbon transition	14
The robust F-statistic as a test for weak instruments	14
My experience of working for the JE-1991-2013	14
Estimating option pricing models using a characteristic function-based linear state space representation	14
Fast and accurate variational inference for models with many latent variables	14
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	14
Editorial Board	13
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	13
State-domain change point detection for nonlinear time series regression	13
Mind your language: Market responses to central bank speeches	13
Bipartite network influence analysis of a two-mode network	13
Identification of incomplete information allocation-transfer games in monotone equilibrium	13
A test of the selection on observables assumption using a discontinuously distributed covariate	13
Robust testing for explosive behavior with strongly dependent errors	13
Social connections and the sorting of workers to firms	13
No star is good news: A unified look at rerandomization based on p-va	13
Non-representative sampled networks: Estimation of network structural properties by weighting	13
Identifying latent group structures in spatial dynamic panels	13
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	13
Large volatility matrix analysis using global and national factor models	13
Maximum likelihood estimation of stochastic frontier models with endogeneity	13
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	13
Bespoke realized volatility: Tailored measures of risk for volatility prediction	13
Network and panel quantile effects via distribution regression	12
Estimating multinomial choice models with unobserved choice sets	12
A simple and computationally trivial estimator for grouped fixed effects models	12
Bootstraps for dynamic panel threshold models	12
Simultaneous inference for time-varying models	12
Regularizing stock return covariance matrices via multiple testing of correlations	12
Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters	12
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	12
On improvability of model selection by model averaging	12
Efficient quantile covariate adjusted response adaptive experiments	12
Themed issue: Quantile regression and data heterogeneity	12

A penalized two-pass regression to predict stock returns with time-varying risk premia	11
Editorial Board	11
Dynamics and heterogeneity of subjective stock market expectations	11
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Partially identifying competing risks models: An application to the war on cancer	11
Time-varying unobserved heterogeneity in earnings shocks	11
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	11
Testing for peer effects without specifying the network structure	11
Estimation of varying coefficient models with measurement error	11
Using large samples in econometrics	11
Treatment recommendation with distributional targets	11
Testing stochastic dominance with many conditioning variables	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	11
Indirect inference estimation of dynamic panel data models	11
GMM estimation for high-dimensional panel data models	10
Latent complementarity in bundles models	10
Editorial Board	10
A test for Kronecker Product Structure covariance matrix	10
On LASSO for predictive regression	10
Dynamic modeling for multivariate functional and longitudinal data	10
Tensor time series imputation through tensor factor modelling	10
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	10
Nowcasting the output gap	10
Editorial Board	10
Dynamic discrete choice models with incomplete data: Sharp identification	10
Long-run risk in stationary vector autoregressive models	10
Strategic network formation with many agents	10
Quantile control via random forest	10
Faster estimation of dynamic discrete choice models using index invertibility	10
Inference in predictive quantile regressions	10
On superlevel sets of conditional densities and multivariate quantile regression	10
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	10
Identification and estimation of dynamic structural models with unobserved choices	10
Target PCA: Transfer learning large dimensional panel data	10
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	10
Dynamic factor copula models with estimated cluster assignments	10
2SLS with multiple treatments	9
Multi-dimensional latent group structures with heterogeneous distributions	9
Local projections vs. VARs: Lessons from thousands of DGPs	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	9
Treatment effects in interactive fixed effects models with a small number of time periods	9
An unbounded intensity model for point processes	9
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	9
Adjustments with many regressors under covariate-adaptive randomizations	9
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	9
Establishment age and wages	9
Weak identification in discrete choice models	9
Moments, shocks and spillovers in Markov-switching VAR models	9
Beliefs about public debt and the demand for government spending	9
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	9
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	9
Autoregressive conditional betas	9
Comparing stochastic volatility specifications for large Bayesian VARs	9
Nonparametric estimation for high-frequency data incorporating trading information	9
Do firm effects drift? Evidence from Washington administrative data	9
Approximate factor models with weaker loadings	9
Canonical correlation-based model selection for the multilevel factors	9
Synthetic Learner: Model-free inference on treatments over time	9
Testing for sparse idiosyncratic components in factor-augmented regression models	9
Dynamic conditional eigenvalue GARCH	8
Model averaging prediction by K-fold cross-validation	8
Taking advantage of biased proxies for forecast evaluation	8
Approximate maximum likelihood for complex structural models	8
Time-varying vector error-correction models: Estimation and inference	8
Specification tests for time-varying coefficient models	8
Experience as Co-Editor, A. Ronald Gallant	8
Estimation and inference in factor copula models with exogenous covariates	8
Multivariate stochastic volatility models based on generalized Fisher transformation	8
Distribution-invariant differential privacy	8
Isotonic regression discontinuity designs	8
Self-perceptions about academic achievement: Evidence from Mexico City	8
Covariate adjustment in experiments with matched pairs	8
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	8
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors	8
Sparse quantile regression	8
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	8
Editorial Board	8
Most powerful test against a sequence of high dimensional local alternatives	8
Editorial Board	8
Identification of mixtures of dynamic discrete choices	8
β in the tails	8
Cross-section bootstrap for CCE regressions	8
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	8
Addressing endogeneity issues in a spatial autoregressive model using copulas	8
Large Bayesian SVARs with linear restrictions	8
Editorial Board	8
A solution to the global identification problem in DSGE models	8
Using monotonicity restrictions to identify models with partially latent covariates	8
Inference under covariate-adaptive randomization with imperfect compliance	8
Identifying the effects of a program offer with an application to Head Start	7
Identifying latent factors based on high-frequency data	7
Robust estimation of integrated and spot volatility	7