Journal of Econometrics

Article	Citations
Analyzing cross-validation for forecasting with structural instability	4009
Time-Varying Parameters in Econometrics: The editor’s foreword	3948
Efficiency bounds for moment condition models with mixed identification strength	2503
Bond risk premiums at the zero lower bound	771
Shrinkage estimators for periodic autoregressions	410
Semiparametric modeling of multiple quantiles	205
Local linearization based subvector inference in moment inequality models	145
Parametric estimation of long memory in factor models	144
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	82
Inference on covariance-mean regression	78
Nonparametric comparison of epidemic time trends: The case of COVID-19	68
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	68
Locally robust inference for non-Gaussian linear simultaneous equations models	58
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	58
Bootstrapping out-of-sample predictability tests with real-time data	57
Inference in cluster randomized trials with matched pairs	55
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	55
A discrete-time hedging framework with multiple factors and fat tails: On what matters	53
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	46
A computational approach to identification of treatment effects for policy evaluation	45
Efficient closed-form estimation of large spatial autoregressions	45
Simple subvector inference on sharp identified set in affine models	42
A multivariate realized GARCH model	39
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	39
Identification of semiparametric model coefficients, with an application to collective households	39

Editorial Board	38
Measuring tail risk	36
You are what your parents expect: Height and local reference points	35
Simple estimators and inference for higher-order stochastic volatility models	35
Identifying causal effects in experiments with spillovers and non-compliance	34
Stochastic properties of nonlinear locally-nonstationary filters	33
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	33
Latent utility and permutation invariance: A revealed preference approach	32
From LATE to ATE: A Bayesian approach	31
High dimensional regression coefficient test with high frequency data	30
Covariate-adjusted Fisher randomization tests for the average treatment effect	29
Robust likelihood estimation of dynamic panel data models	28
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	27
Limit theory and inference in non-cointegrated functional coefficient regression	27
Feature-splitting algorithms for ultrahigh dimensional quantile regression	26
Nonseparable sample selection models with censored selection rules	25
Initial conditions and Blundell–Bond estimators	25
Testing identification conditions of LATE in fuzzy regression discontinuity designs	25
Residual-augmented IVX predictive regression	25
GLS under monotone heteroskedasticity	25
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	25
SVARs with occasionally-binding constraints	24
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	24
Editorial Board	24
Semiparametrically optimal cointegration test	24
Joint inference based on Stein-type averaging estimators in the linear regression model	23
Editorial Board	23
Incentive-driven inattention	23
A large confirmatory dynamic factor model for stock market returns in different time zones	22
Cross-sectional dependence in idiosyncratic volatility	22
Identification and estimation of a search model with heterogeneous consumers and firms	22
Editorial Board	22
Semiparametric model averaging prediction for dichotomous response	21
Estimating high dimensional monotone index models by iterative convex optimization	21
High-dimensional conditionally Gaussian state space models with missing data	21
Time-varying model averaging	21
Policy evaluation during a pandemic	20
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	20
Editorial Board	20
Inference in models with partially identified control functions	19
Nonparametric Bayes subject to overidentified moment conditions	19
Relaxing conditional independence in an endogenous binary response model	19
Editorial Board	19
Boosting high dimensional predictive regressions with time varying parameters	19
Testing unconditional and conditional independence via mutual information	18
An improved bootstrap test for restricted stochastic dominance	18
Editorial Board	18
Functional time series approach to analyzing asset returns co-movements	18
Hypothesis testing on high dimensional quantile regression	18
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	18

Evaluating forecast performance with state dependence	18
Likelihood approach to dynamic panel models with interactive effects	17
Identification of dynamic binary response models	17
Inference after estimation of breaks	17
Consistent causal inference for high-dimensional time series	17
Inference in Structural Vector Autoregressions identified with an external instrument	17
Inequality and the zero lower bound	16
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	16
Panel data models with time-varying latent group structures	16
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	16
CRPS learning	15
Bayesian Methods in Economics and Finance: Editor’s Introduction	15
Editorial Board	15
The robust F-statistic as a test for weak instruments	15
Logical differencing in dyadic network formation models with nontransferable utilities	15
Editorial for special issue in honor of Francis X. Diebold	15
A Correlated Random Coefficient panel model with time-varying endogeneity	15
On testing for spatial or social network dependence in panel data allowing for network variability	15
Prices, profits, proxies, and production	15
Bootstrap specification tests for dynamic conditional distribution models	15
Estimation of continuous-time linear DSGE models from discrete-time measurements	14
Robust estimation with exponentially tilted Hellinger distance	14
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	14
Multiple treatments with strategic substitutes	14
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	14
State-dependent local projections	13
The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions	13
Predictive ability tests with possibly overlapping models	13
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	13
Debiased machine learning of set-identified linear models	13
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	13
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	13
Editorial Board	13
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	13
A weighted sieve estimator for nonparametric time series models with nonstationary variables	13
Penalized time-varying model averaging	13
Infinite Markov pooling of predictive distributions	13
Editorial Board	13
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	13
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	13
Common volatility shocks driven by the global carbon transition	12
My experience of working for the JE-1991-2013	12
Reprint: Hypothesis testing on high dimensional quantile regression	12
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	12
Sieve estimation of option-implied state price density	12
Editorial Board	12
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	12
Robust testing for explosive behavior with strongly dependent errors	12
A Note from the Editors	12
Fast and accurate variational inference for models with many latent variables	12
State-domain change point detection for nonlinear time series regression	12
Bipartite network influence analysis of a two-mode network	12
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	12
On the performance of the Neyman Allocation with small pilots	11
Social connections and the sorting of workers to firms	11
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	11
Estimating option pricing models using a characteristic function-based linear state space representation	11
Estimating multinomial choice models with unobserved choice sets	11
No star is good news: A unified look at rerandomization based on p-va	11
Large volatility matrix analysis using global and national factor models	11
Mind your language: Market responses to central bank speeches	11
Bayesian estimation of cluster covariance matrices of unknown form	11
Indirect inference for locally stationary models	11
A test of the selection on observables assumption using a discontinuously distributed covariate	11
Limit theorems for network dependent random variables	11
On improvability of model selection by model averaging	11
Maximum likelihood estimation of stochastic frontier models with endogeneity	11
Simultaneous inference for time-varying models	11
Network and panel quantile effects via distribution regression	11
Identifying latent group structures in spatial dynamic panels	11
Parental beliefs about returns to child health investments	11
Non-representative sampled networks: Estimation of network structural properties by weighting	10
Editorial Board	10
Overview: Implementation of structural dynamic models: Methodology and applications	10
Testing stochastic dominance with many conditioning variables	10
Using large samples in econometrics	10
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	10
Dynamics and heterogeneity of subjective stock market expectations	10
Estimation of varying coefficient models with measurement error	10
Partially identifying competing risks models: An application to the war on cancer	10

A penalized two-pass regression to predict stock returns with time-varying risk premia	10
Treatment recommendation with distributional targets	10
Time-varying unobserved heterogeneity in earnings shocks	10
An empirical total survey error decomposition using data combination	10
Long-run risk in stationary vector autoregressive models	9
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	9
On LASSO for predictive regression	9
Quantile control via random forest	9
Time varying Markov process with partially observed aggregate data: An application to coronavirus	9
Indirect inference estimation of dynamic panel data models	9
Efficient quantile covariate adjusted response adaptive experiments	9
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Dynamic discrete choice models with incomplete data: Sharp identification	9
Identification and estimation of dynamic structural models with unobserved choices	9
Editorial Board	9
Tensor time series imputation through tensor factor modelling	9
Time-varying instrumental variable estimation	9
Dynamic modeling for multivariate functional and longitudinal data	9
Dynamic factor copula models with estimated cluster assignments	9
Nonparametric estimation for high-frequency data incorporating trading information	9
Nowcasting the output gap	9
Editorial Board	9
Themed issue: Quantile regression and data heterogeneity	9
Regularizing stock return covariance matrices via multiple testing of correlations	9
Simple and trustworthy cluster-robust GMM inference	9
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	9
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	9
Inference in predictive quantile regressions	9
GMM estimation for high-dimensional panel data models	8
An unbounded intensity model for point processes	8
Self-perceptions about academic achievement: Evidence from Mexico City	8
Establishment age and wages	8
Local projections vs. VARs: Lessons from thousands of DGPs	8
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	8
Adjustments with many regressors under covariate-adaptive randomizations	8
A test for Kronecker Product Structure covariance matrix	8
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	8
Latent complementarity in bundles models	8
2SLS with multiple treatments	8
Isotonic regression discontinuity designs	8
Dynamic conditional eigenvalue GARCH	8
Cross-section bootstrap for CCE regressions	8
Target PCA: Transfer learning large dimensional panel data	8
Inference under covariate-adaptive randomization with imperfect compliance	8
On superlevel sets of conditional densities and multivariate quantile regression	8
Autoregressive conditional betas	8
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	8
Testing for sparse idiosyncratic components in factor-augmented regression models	8
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	8
Weak identification in discrete choice models	8
Editorial Board	8
Canonical correlation-based model selection for the multilevel factors	8
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	8
Multi-dimensional latent group structures with heterogeneous distributions	8
Comparing stochastic volatility specifications for large Bayesian VARs	8
Solving Euler equations via two-stage nonparametric penalized splines	8
Synthetic Learner: Model-free inference on treatments over time	8
Covariate adjustment in experiments with matched pairs	7
Approximate maximum likelihood for complex structural models	7
Beliefs about public debt and the demand for government spending	7
Stable outcomes and information in games: An empirical framework	7
A solution to the global identification problem in DSGE models	7
Bootstrap analysis of mutual fund performance	7
Experience as Co-Editor, A. Ronald Gallant	7
Identification of mixtures of dynamic discrete choices	7
Treatment effects in interactive fixed effects models with a small number of time periods	7
β in the tails	7
Approximate factor models with weaker loadings	7
Editorial Board	7
Estimation and inference in factor copula models with exogenous covariates	7
Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores	7
Stationary vine copula models for multivariate time series	7
Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach	7
Model averaging prediction byK-fold cross-validation	7
Distribution-invariant differential privacy	7
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	7
Moments, shocks and spillovers in Markov-switching VAR models	7
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	7
Editorial Board	7
Identification and estimation of partial effects in nonlinear semiparametric panel models	7
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	7
Large Bayesian SVARs with linear restrictions	7
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	7
Do firm effects drift? Evidence from Washington administrative data	7
Global robust Bayesian analysis in large models	6
Statistical inference for the low dimensional parameters of linear regression models in the presence of high-dimensional data: An orthogonal projection approach	6
Semiparametric estimation of latent variable asset pricing models	6
A post-screening diagnostic study for ultrahigh dimensional data	6
Nonparametric identification and estimation of stochastic block models from many small networks	6
Loss aversion and the welfare ranking of policy interventions	6
A time-varying parameter model for local explosions	6
Identifying latent factors based on high-frequency data	6
Robust estimation of integrated and spot volatility	6
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions	6