Journal of Econometrics

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
Simple subvector inference on sharp identified set in affine models	43
Identification of semiparametric model coefficients, with an application to collective households	43
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	42
Semiparametric modeling of multiple quantiles	41

A computational approach to identification of treatment effects for policy evaluation	41
Editorial Board	40
You are what your parents expect: Height and local reference points	39
Identifying causal effects in experiments with spillovers and non-compliance	36
Stochastic properties of nonlinear locally-nonstationary filters	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
Measuring tail risk	31
High dimensional regression coefficient test with high frequency data	31
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	30
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	30
Limit theory and inference in non-cointegrated functional coefficient regression	29
Covariate-adjusted Fisher randomization tests for the average treatment effect	28
Latent utility and permutation invariance: A revealed preference approach	27
Residual-augmented IVX predictive regression	27
Nonseparable sample selection models with censored selection rules	27
Simple estimators and inference for higher-order stochastic volatility models	27
Initial conditions and Blundell–Bond estimators	26
Robust likelihood estimation of dynamic panel data models	26
Identification and estimation of a search model with heterogeneous consumers and firms	25
GLS under monotone heteroskedasticity	25
Semiparametrically optimal cointegration test	25
Incentive-driven inattention	25
Testing identification conditions of LATE in fuzzy regression discontinuity designs	25
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	24
Editorial Board	24
Editorial Board	24
Joint inference based on Stein-type averaging estimators in the linear regression model	24
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	24
Cross-sectional dependence in idiosyncratic volatility	23
A large confirmatory dynamic factor model for stock market returns in different time zones	23
Semiparametric model averaging prediction for dichotomous response	23
Estimating high dimensional monotone index models by iterative convex optimization	22
Policy evaluation during a pandemic	22
High-dimensional conditionally Gaussian state space models with missing data	22
Editorial Board	21
Nonparametric Bayes subject to overidentified moment conditions	21
Relaxing conditional independence in an endogenous binary response model	21
Boosting high dimensional predictive regressions with time varying parameters	21
SVARs with occasionally-binding constraints	21
Inference in models with partially identified control functions	21
Testing unconditional and conditional independence via mutual information	20
Functional time series approach to analyzing asset returns co-movements	20
Likelihood approach to dynamic panel models with interactive effects	20
Editorial Board	20
Editorial Board	20
Hypothesis testing on high dimensional quantile regression	20
An improved bootstrap test for restricted stochastic dominance	20
Consistent causal inference for high-dimensional time series	19

Panel data models with time-varying latent group structures	19
Inference after estimation of breaks	19
A Correlated Random Coefficient panel model with time-varying endogeneity	18
Inequality and the zero lower bound	18
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	18
Evaluating forecast performance with state dependence	17
Identification of dynamic binary response models	17
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	17
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	17
Bayesian Methods in Economics and Finance: Editor’s Introduction	16
CRPS learning	16
On testing for spatial or social network dependence in panel data allowing for network variability	16
Inference in Structural Vector Autoregressions identified with an external instrument	16
Editorial Board	16
The robust F-statistic as a test for weak instruments	16
Bootstrap specification tests for dynamic conditional distribution models	15
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	15
Robust estimation with exponentially tilted Hellinger distance	15
Logical differencing in dyadic network formation models with nontransferable utilities	15
Multiple treatments with strategic substitutes	15
Editorial Board	15
Editorial for special issue in honor of Francis X. Diebold	15
Prices, profits, proxies, and production	15
The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions	15
Debiased machine learning of set-identified linear models	14
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	14
Editorial Board	14
Penalized time-varying model averaging	14
Sieve estimation of option-implied state price density	14
Predictive ability tests with possibly overlapping models	14
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	14
Infinite Markov pooling of predictive distributions	14
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	14
Estimation of continuous-time linear DSGE models from discrete-time measurements	14
Common volatility shocks driven by the global carbon transition	14
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	14
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	14
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	14
A Note from the Editors	13
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	13
A test of the selection on observables assumption using a discontinuously distributed covariate	13
Fast and accurate variational inference for models with many latent variables	13
My experience of working for the JE-1991-2013	13
Bipartite network influence analysis of a two-mode network	13
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	13
Reprint: Hypothesis testing on high dimensional quantile regression	13
State-dependent local projections	13
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	13
Robust testing for explosive behavior with strongly dependent errors	13
Network and panel quantile effects via distribution regression	13
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	13
Editorial Board	13
Bayesian estimation of cluster covariance matrices of unknown form	12
Large volatility matrix analysis using global and national factor models	12
On improvability of model selection by model averaging	12
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	12
Non-representative sampled networks: Estimation of network structural properties by weighting	12
Parental beliefs about returns to child health investments	12
Mind your language: Market responses to central bank speeches	12
On the performance of the Neyman Allocation with small pilots	12
Social connections and the sorting of workers to firms	12
Identifying latent group structures in spatial dynamic panels	12
Estimating multinomial choice models with unobserved choice sets	12
No star is good news: A unified look at rerandomization based on p-va	12
Estimating option pricing models using a characteristic function-based linear state space representation	12
State-domain change point detection for nonlinear time series regression	12
Maximum likelihood estimation of stochastic frontier models with endogeneity	12
Simultaneous inference for time-varying models	12
Treatment recommendation with distributional targets	11
An empirical total survey error decomposition using data combination	11
Quantile control via random forest	11
Time-varying unobserved heterogeneity in earnings shocks	11
Editorial Board	11
Overview: Implementation of structural dynamic models: Methodology and applications	11
Estimation of varying coefficient models with measurement error	11
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	11
Partially identifying competing risks models: An application to the war on cancer	11
Testing stochastic dominance with many conditioning variables	11
Indirect inference estimation of dynamic panel data models	11
Regularizing stock return covariance matrices via multiple testing of correlations	11

A penalized two-pass regression to predict stock returns with time-varying risk premia	11
Using large samples in econometrics	10
Efficient quantile covariate adjusted response adaptive experiments	10
A simple and computationally trivial estimator for grouped fixed effects models	10
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	10
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	10
On LASSO for predictive regression	10
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	10
Dynamic modeling for multivariate functional and longitudinal data	10
Time-varying instrumental variable estimation	10
Identification and estimation of dynamic structural models with unobserved choices	10
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	10
Dynamic factor copula models with estimated cluster assignments	10
Themed issue: Quantile regression and data heterogeneity	10
Time varying Markov process with partially observed aggregate data: An application to coronavirus	10
Tensor time series imputation through tensor factor modelling	10
Editorial Board	10
Dynamics and heterogeneity of subjective stock market expectations	10
GMM estimation for high-dimensional panel data models	9
Long-run risk in stationary vector autoregressive models	9
Comparing stochastic volatility specifications for large Bayesian VARs	9
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	9
2SLS with multiple treatments	9
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Nowcasting the output gap	9
Editorial Board	9
Nonparametric estimation for high-frequency data incorporating trading information	9
A test for Kronecker Product Structure covariance matrix	9
Synthetic Learner: Model-free inference on treatments over time	9
Inference in predictive quantile regressions	9
Adjustments with many regressors under covariate-adaptive randomizations	9
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	9
Dynamic discrete choice models with incomplete data: Sharp identification	9
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	9
Target PCA: Transfer learning large dimensional panel data	9
Latent complementarity in bundles models	9
Autoregressive conditional betas	9
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	9
Multi-dimensional latent group structures with heterogeneous distributions	9
Treatment effects in interactive fixed effects models with a small number of time periods	8
Isotonic regression discontinuity designs	8
Do firm effects drift? Evidence from Washington administrative data	8
Dynamic conditional eigenvalue GARCH	8
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	8
On superlevel sets of conditional densities and multivariate quantile regression	8
Editorial Board	8
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	8
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	8
Approximate maximum likelihood for complex structural models	8
Identification of mixtures of dynamic discrete choices	8
Weak identification in discrete choice models	8
Local projections vs. VARs: Lessons from thousands of DGPs	8
An unbounded intensity model for point processes	8
Canonical correlation-based model selection for the multilevel factors	8
Cross-section bootstrap for CCE regressions	8
Distribution-invariant differential privacy	8
Establishment age and wages	8
Covariate adjustment in experiments with matched pairs	8
Moments, shocks and spillovers in Markov-switching VAR models	8
Testing for sparse idiosyncratic components in factor-augmented regression models	8
Self-perceptions about academic achievement: Evidence from Mexico City	8
Inference under covariate-adaptive randomization with imperfect compliance	8
Faster estimation of dynamic discrete choice models using index invertibility	8
β in the tails	8
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	8
Approximate factor models with weaker loadings	8
Editorial Board	7
Estimating time-varying networks for high-dimensional time series	7
High frequency market making: The role of speed	7
Stationary vine copula models for multivariate time series	7
Uniform inference in linear panel data models with two-dimensional heterogeneity	7
Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach	7
Editorial Board	7
Beliefs about public debt and the demand for government spending	7
Identification and estimation of partial effects in nonlinear semiparametric panel models	7
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors	7
Testing for parameter instability and structural change in persistent predictive regressions	7
Bias in local projections	7
Specification tests for time-varying coefficient models	7
One instrument to rule them all: The bias and coverage of just-ID IV	7
Functional coefficient panel modeling with communal smoothing covariates	7
Experience as Co-Editor, A. Ronald Gallant	7
Stable outcomes and information in games: An empirical framework	7
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	7
Using monotonicity restrictions to identify models with partially latent covariates	7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	7
Factor investing: A Bayesian hierarchical approach	7
Sparse quantile regression	7
Estimating the variance of a combined forecast: Bootstrap-based approach	7
Estimation and inference in factor copula models with exogenous covariates	7
Editorial Board	7
Model averaging prediction byK-fold cross-validation	7
Bootstrap analysis of mutual fund performance	7
Most powerful test against a sequence of high dimensional local alternatives	7