Journal of Econometrics

Article	Citations
Shrinkage estimators for periodic autoregressions	1426
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	300
Neural Conformal Inference for jump diffusion processes	253
Inference in cluster randomized trials with matched pairs	242
Local linearization based subvector inference in moment inequality models	146
Efficient closed-form estimation of large spatial autoregressions	106
Simple subvector inference on sharp identified set in affine models	105
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	89
Locally robust inference for non-Gaussian linear simultaneous equations models	87
Bond risk premiums at the zero lower bound	84
On changepoint detection in functional data using empirical energy distance	80
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	75
Parametric estimation of long memory in factor models	72
Long-term volatility shapes the stock market’s sensitivity to news	68
Efficiency bounds for moment condition models with mixed identification strength	67
On generalized CCE estimation	67
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	66
Causal inference in network experiments: Regression-based analysis and design-based properties	60
Quasi-Bayesian estimation and inference with control functions	57
Nonparametric comparison of epidemic time trends: The case of COVID-19	52
Time-Varying Parameters in Econometrics: The editor’s foreword	50
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	50
A computational approach to identification of treatment effects for policy evaluation	48
Testing for jumps in a discretely observed price process with endogenous sampling times	47
Bootstrapping out-of-sample predictability tests with real-time data	45

Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	44
Semiparametric estimation of duration model with time-varying regressors and fixed effects	43
A multivariate realized GARCH model	42
Semiparametric modeling of multiple quantiles	42
Inference on covariance-mean regression	40
From LATE to ATE: A Bayesian approach	39
A discrete-time hedging framework with multiple factors and fat tails: On what matters	39
Identifying causal effects in experiments with spillovers and non-compliance	36
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	36
Bregman model averaging for forecast combination	35
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	35
Shrinkage methods for treatment choice	35
You are what your parents expect: Height and local reference points	34
Feature-splitting algorithms for ultrahigh dimensional quantile regression	34
Editorial Board	34
Stochastic properties of nonlinear locally-nonstationary filters	33
Limit theory and inference in non-cointegrated functional coefficient regression	33
Editorial Board	33
Nonseparable sample selection models with censored selection rules	32
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	32
Initial conditions and Blundell–Bond estimators	31
Latent factor analysis in short panels	31
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	30
Latent utility and permutation invariance: A revealed preference approach	30
High dimensional regression coefficient test with high frequency data	29
Estimation and inference for large-dimensional generalized matrix factor models	29
Identification and estimation of a search model with heterogeneous consumers and firms	28
Joint inference based on Stein-type averaging estimators in the linear regression model	28
Semiparametrically optimal cointegration test	28
Measuring tail risk	28
Decomposing informed trading in equity options	28
Corrigendum to “Robust mutual fund selection with false discovery rate control” [Journal of Econometrics 252 (2025) 106121]	27
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	26
Estimation and inference for causal functions with multi-way clustered data	26
Cross-sectional dependence in idiosyncratic volatility	26
A large confirmatory dynamic factor model for stock market returns in different time zones	26
Editorial Board	26
Estimating high dimensional monotone index models by iterative convex optimization	25
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	25
Weak identification with bounds in a class of minimum distance models	25
Incentive-driven inattention	25
Editorial Board	25
GLS under monotone heteroskedasticity	24
GLS estimation of local projections: Trading robustness for efficiency	24
A sorted penalty estimator: Inference for a correlation-robust shrinkage method	24
Semiparametric model averaging prediction for dichotomous response	23
High-dimensional conditionally Gaussian state space models with missing data	23
Jump detection in high-frequency order prices	23
SVARs with occasionally-binding constraints	23
Policy evaluation during a pandemic	23

Distribution regression with censored selection	22
Testing identification conditions of LATE in fuzzy regression discontinuity designs	22
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	22
Editorial Board	22
Inference in models with partially identified control functions	21
Editorial Board	21
Editorial Board	21
Relaxing conditional independence in an endogenous binary response model	21
Inequality and the zero lower bound	20
Nonparametric Bayes subject to overidentified moment conditions	20
CRPS learning	20
Consistent causal inference for high-dimensional time series	20
Robust mutual fund selection with false discovery rate control	20
A Correlated Random Coefficient panel model with time-varying endogeneity	19
Identification of dynamic binary response models	19
Functional time series approach to analyzing asset returns co-movements	19
Evaluating forecast performance with state dependence	19
Hypothesis testing on high dimensional quantile regression	19
Doubly-robust inference for conditional average treatment effects with high-dimensional controls	19
Editorial Board	18
Testing unconditional and conditional independence via mutual information	18
Panel data models with time-varying latent group structures	18
On testing for spatial or social network dependence in panel data allowing for network variability	18
Likelihood approach to dynamic panel models with interactive effects	18
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	18
Testing for differences in high-frequency network connectedness from variance decompositions	18
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	18
Bootstrap specification tests for dynamic conditional distribution models	17
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	17
Penalized time-varying model averaging	17
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	17
A comparative analysis of two-way fixed effects estimators in staggered treatment designs	17
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	16
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	16
Multiple treatments with strategic substitutes	16
Prices, profits, proxies, and production	16
Editorial Board	16
Bayesian Methods in Economics and Finance: Editor’s Introduction	16
Estimation of continuous-time linear DSGE models from discrete-time measurements	16
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	16
Editorial for special issue in honor of Francis X. Diebold	16
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	16
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	16
The robust F-statistic as a test for weak instruments	15
Predictive ability tests with possibly overlapping models	15
State-dependent local projections	15
Debiased machine learning of set-identified linear models	15
Fast and accurate variational inference for models with many latent variables	15
Logical differencing in dyadic network formation models with nontransferable utilities	15
Common volatility shocks driven by the global carbon transition	15
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	15
Large volatility matrix analysis using global and national factor models	14
Infinite Markov pooling of predictive distributions	14
Reprint: Hypothesis testing on high dimensional quantile regression	14
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	14
Mind your language: Market responses to central bank speeches	14
On the performance of the Neyman Allocation with small pilots	14
My experience of working for the JE-1991-2013	14
Robust testing for explosive behavior with strongly dependent errors	14
Editorial Board	14
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	14
Parental beliefs about returns to child health investments	14
State-domain change point detection for nonlinear time series regression	13
No star is good news: A unified look at rerandomization based on p-va	13
Estimation and inference for unbalanced panel data models with interactive fixed effects	13
Maximum likelihood estimation of stochastic frontier models with endogeneity	13
On improvability of model selection by model averaging	13
Identification of incomplete information allocation-transfer games in monotone equilibrium	13
Bipartite network influence analysis of a two-mode network	13
Network and panel quantile effects via distribution regression	13
Estimating option pricing models using a characteristic function-based linear state space representation	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
Non-representative sampled networks: Estimation of network structural properties by weighting	13
Bayesian estimation of cluster covariance matrices of unknown form	13
Editorial Board	12
Indirect inference estimation of dynamic panel data models	12
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	12
Quantile control via random forest	12
Time-varying unobserved heterogeneity in earnings shocks	12

Identifying latent group structures in spatial dynamic panels	12
Themed issue: Quantile regression and data heterogeneity	12
Time varying Markov process with partially observed aggregate data: An application to coronavirus	12
Testing for peer effects without specifying the network structure	12
Dynamic factor copula models with estimated cluster assignments	12
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	12
Bootstraps for dynamic panel threshold models	12
Social connections and the sorting of workers to firms	12
Efficient quantile covariate adjusted response adaptive experiments	12
Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters	12
Inference on breaks in weak location time series models with the estimating function approach	12
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	12
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	12
Dynamic modeling for multivariate functional and longitudinal data	12
Dynamics and heterogeneity of subjective stock market expectations	11
Canonical correlation-based model selection for the multilevel factors	11
Using large samples in econometrics	11
Long-run risk in stationary vector autoregressive models	11
Regularizing fairness in optimal policy learning with distributional targets	11
A simple and computationally trivial estimator for grouped fixed effects models	11
Tensor time series imputation through tensor factor modelling	11
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	11
Regularizing stock return covariance matrices via multiple testing of correlations	11
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	11
A penalized two-pass regression to predict stock returns with time-varying risk premia	11
Identification and estimation of dynamic structural models with unobserved choices	11
Estimation of varying coefficient models with measurement error	11
On LASSO for predictive regression	11
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	11
Testing for sparse idiosyncratic components in factor-augmented regression models	11
A test for Kronecker Product Structure covariance matrix	11
Testing stochastic dominance with many conditioning variables	11
Faster estimation of dynamic discrete choice models using index invertibility	11
Strategic network formation with many agents	11
Nowcasting the output gap	11
Treatment recommendation with distributional targets	11
Partially identifying competing risks models: An application to the war on cancer	11
Synthetic Learner: Model-free inference on treatments over time	10
2SLS with multiple treatments	10
Latent complementarity in bundles models	10
Inference under covariate-adaptive randomization with imperfect compliance	10
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	10
Nuclear norm regularized estimation of panel regression models	10
GMM estimation for high-dimensional panel data models	10
Comparing stochastic volatility specifications for large Bayesian VARs	10
Adjustments with many regressors under covariate-adaptive randomizations	10
On superlevel sets of conditional densities and multivariate quantile regression	10
Dynamic discrete choice models with incomplete data: Sharp identification	10
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	10
Covariate adjustment in experiments with matched pairs	10
Approximate maximum likelihood for complex structural models	10
Isotonic regression discontinuity designs	10
Inference in predictive quantile regressions	10
Target PCA: Transfer learning large dimensional panel data	10
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	10
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	10
Autoregressive conditional betas	10
Nonparametric estimation for high-frequency data incorporating trading information	10
Dynamic conditional eigenvalue GARCH	10
Weak identification in discrete choice models	10
Multi-dimensional latent group structures with heterogeneous distributions	10
Local projections vs. VARs: Lessons from thousands of DGPs	10
An unbounded intensity model for point processes	10
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	10
Editorial Board	10
Cross-section bootstrap for CCE regressions	9
Self-perceptions about academic achievement: Evidence from Mexico City	9
High-dimensional conditional factor model	9
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	9
Model averaging prediction by K-fold cross-validation	9
Identification of mixtures of dynamic discrete choices	9
Large Bayesian SVARs with linear restrictions	9
Addressing endogeneity issues in a spatial autoregressive model using copulas	9
Establishment age and wages	9
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	9
Do firm effects drift? Evidence from Washington administrative data	9
Moments, shocks and spillovers in Markov-switching VAR models	9
Time-varying vector error-correction models: Estimation and inference	9
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	9
Distribution-invariant differential privacy	9
Taking advantage of biased proxies for forecast evaluation	9
Beliefs about public debt and the demand for government spending	9
Treatment effects in interactive fixed effects models with a small number of time periods	9
Approximate factor models with weaker loadings	9
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	9