Journal of Econometrics

Article	Citations
Editorial Board	3651
Editorial Board	3645
Editorial Board	2310
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers	638
The determinants of displaced workers’ wages: Sorting, matching, selection, and the Hartz reforms	392
Identification of semiparametric model coefficients, with an application to collective households	267
A computational approach to identification of treatment effects for policy evaluation	183
The variance of regression coefficients when the population is finite	123
Asymptotic properties of Bayesian inference in linear regression with a structural break	121
Probabilistic prediction for binary treatment choice: With focus on personalized medicine	66
Testing heterogeneous treatment effect with quantile regression under covariate-adaptive randomization	66
News-implied linkages and local dependency in the equity market	64
Treatment recommendation with distributional targets	63
Indirect inference estimation of dynamic panel data models	59
Two-step estimation of censored quantile regression for duration models with time-varying regressors	57
Identification-robust and simultaneous inference in multifactor asset pricing models	56
The chained difference-in-differences	53
The term structure of macroeconomic risks at the effective lower bound	52
Efficiency bounds for moment condition models with mixed identification strength	51
Regularizing stock return covariance matrices via multiple testing of correlations	51
Functional ecological inference	50
One-way or two-way factor model for matrix sequences?	46
Natural disasters as macroeconomic tail risks	45
Inference in Bayesian Proxy-SVARs	45
A penalized two-pass regression to predict stock returns with time-varying risk premia	40

Editorial Board	38
Real-time Bayesian learning and bond return predictability	37
Estimating unobserved individual heterogeneity using pairwise comparisons	36
Goodness-of-fit testing for time series models via distance covariance	35
Nonparametric identification and estimation of the extended Roy model	35
Estimation and inference for policy relevant treatment effects	35
Shrinkage estimators for periodic autoregressions	34
Bond risk premiums at the zero lower bound	34
The spread of COVID-19 in London: Network effects and optimal lockdowns	33
Gender differences in sorting on wages and risk	33
Inference without smoothing for large panels with cross-sectional and temporal dependence	32
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	32
Partially identifying competing risks models: An application to the war on cancer	32
Editorial Board	30
Overview: Time series analysis of higher moments and distributions of financial data	30
Introduction to the Journal of Econometrics Annals Issue on “Subjective Expectations and Probabilities in Economics”	29
Editorial Board	27
Quantile regression methods for first-price auctions	26
Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data	25
Identification of heterogeneous elasticities in gross-output production functions	25
Distributional counterfactual analysis in high-dimensional setup	25
Bounds on distributional treatment effect parameters using panel data with an application on job displacement	24
Estimation and identification of latent group structures in panel data	24
Parametric estimation of long memory in factor models	24
A User’s guide for inference in models defined by moment inequalities	24
Bias reduction in spot volatility estimation from options	24
Editorial Board	24
Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic	23
Semi-nonparametric estimation of random coefficients logit model for aggregate demand	23
A Bayesian robust chi-squared test for testing simple hypotheses	23
Bayesian factor-adjusted sparse regression	22
The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects	22
Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property	22
Introduction to the Annals Issue in Honor of Gary Chamberlain	21
Themed issue: Quantile regression and data heterogeneity	21
Refining set-identification in VARs through independence	21
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	21
(Machine) learning parameter regions	20
The Journal of Econometrics 2012–2018	20
Epilogue	20
Semiparametric Bayesian estimation in an ordinal probit model with application to life satisfaction across countries, age and gender	20
Nonparametric jump variation measures from options	20
Editorial Board	20
Time-Varying Parameters in Econometrics: The editor’s foreword	19
The distribution of rolling regression estimators	18
Using large samples in econometrics	18
Semiparametric estimation of long-term treatment effects	18
Estimation of complier expected shortfall treatment effects with a binary instrumental variable	18
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model	18
Inference on the best policies with many covariates	18

Analyzing cross-validation for forecasting with structural instability	18
Efficient estimation and filtering for multivariate jump–diffusions	18
Maximum likelihood estimation forα-stable double autoregressive mod	18
Shrinkage estimation of multiple threshold factor models	18
Fast inference for quantile regression with tens of millions of observations	17
Dynamic modeling for multivariate functional and longitudinal data	17
On model selection criteria for climate change impact studies	17
What is a standard error?	17
Semiparametric approach to estimation of marginal mean effects and marginal quantile effects	17
A new generalized exponentially weighted moving average quantile model and its statistical inference	17
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach	17
Estimation and inference of seller’s expected revenue in first-price auctions	17
Optimal nonparametric range-based volatility estimation	17
Locally robust inference for non-Gaussian linear simultaneous equations models	17
Robust realized integrated beta estimator with application to dynamic analysis of integrated beta	16
The law of large numbers for large stable matchings	16
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	16
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia	16
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times	16
Reprint of: The likelihood ratio test for structural changes in factor models	16
Estimation of varying coefficient models with measurement error	15
An integrated panel data approach to modelling economic growth	15
Robust Bayesian inference in proxy SVARs	15
Overview: Implementation of structural dynamic models: Methodology and applications	15
A doubly corrected robust variance estimator for linear GMM	15
Dynamics and heterogeneity of subjective stock market expectations	14
Nonparametric comparison of epidemic time trends: The case of COVID-19	14
Identification of dynamic games with unobserved heterogeneity and multiple equilibria	14
Parsimony inducing priors for large scale state–space models	14
Time series estimation of the dynamic effects of disaster-type shocks	14
Inference on covariance-mean regression	14
Testing stochastic dominance with many conditioning variables	14
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	13
Spatial autoregressions with an extended parameter space and similarity-based weights	13
A discrete-time hedging framework with multiple factors and fat tails: On what matters	13
A dynamic conditional score model for the log correlation matrix	13
High dimensional semiparametric moment restriction models	13
Understanding temporal aggregation effects on kurtosis in financial indices	13
Fully modified least squares cointegrating parameter estimation in multicointegrated systems	13
Testing the martingale difference hypothesis in high dimension	13
Time-varying unobserved heterogeneity in earnings shocks	13
Hybrid quantile estimation for asymmetric power GARCH models	13
An empirical total survey error decomposition using data combination	13
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	13
Time varying Markov process with partially observed aggregate data: An application to coronavirus	12
Testing for observation-dependent regime switching in mixture autoregressive models	12
The Observed Asymptotic Variance: Hard edges, and a regression approach	12
Bootstrapping out-of-sample predictability tests with real-time data	12
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence	12
Simple and trustworthy cluster-robust GMM inference	12
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	12
Inference in cluster randomized trials with matched pairs	12
Testing high-dimensional covariance matrices under the elliptical distribution and beyond	12
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	12
Validating approximate slope homogeneity in large panels	12
Efficient quantile covariate adjusted response adaptive experiments	12
A Multi-Kink quantile regression model with common structure for panel data analysis	11
Improved marginal likelihood estimation via power posteriors and importance sampling	11
Quantile control via random forest	11
Semiparametric modeling of multiple quantiles	11
Local linearization based subvector inference in moment inequality models	11
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	11
On LASSO for predictive regression	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Corrigendum to “Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78]	11
Time-varying forecast combination for factor-augmented regressions with smooth structural changes	11
The wisdom of the crowd and prediction markets	11
Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model	11
Is Newey–West optimal among first-order kernels?	11
Better bunching, nicer notching	11
Introduction to the Themed Issue: Macroeconometrics	11
Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models	11
Editorial Board	11
Dynamic factor copula models with estimated cluster assignments	10
Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing	10
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	10
Estimation and variable selection for high-dimensional spatial dynamic panel data models	10
Time-varying forecast combination for high-dimensional data	10
Quasi score-driven models	10
Efficient closed-form estimation of large spatial autoregressions	10

Joint Bayesian inference about impulse responses in VAR models	10
Time-varying instrumental variable estimation	10
Quasi-maximum likelihood estimation of break point in high-dimensional factor models	10
On uniform inference in nonlinear models with endogeneity	10
Higher-order least squares inference for spatial autoregressions	10
Cluster-robust inference: A guide to empirical practice	10
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	9
Tail behavior of ACD models and consequences for likelihood-based estimation	9
Lasso inference for high-dimensional time series	9
Change-point analysis of time series with evolutionary spectra	9
High-dimensional test for alpha in linear factor pricing models with sparse alternatives	9
Introducing How-To papers	9
Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence	9
Time-varying general dynamic factor models and the measurement of financial connectedness	9
Identification and estimation of dynamic structural models with unobserved choices	9
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression	9
Identification-robust nonparametric inference in a linear IV model	9
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	9
Measuring tail risk	9
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks	9
Estimation of treatment effects under endogenous heteroskedasticity	9
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements	9
Estimation and inference in spatial models with dominant units	9
The effects of training incidence and planned training duration on labor market transitions	8
Editorial Board	8
Editorial Board	8
Editorial Board	8
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	8
Simple estimators and inference for higher-order stochastic volatility models	8
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	8
Identification and estimation of unconditional policy effects of an endogenous binary treatment: An unconditional MTE approach	8
Editorial Board	8
Improved estimation of semiparametric dynamic copula models with filtered nonstationarity	8
Score-type tests for normal mixtures	8
Editorial Board	8
Inference on quantile processes with a finite number of clusters	8
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model	8
On uniform confidence intervals for the tail index and the extreme quantile	8
Distinguishing incentive from selection effects in auction-determined contracts	8
Editorial Board	8
Long-run risk in stationary vector autoregressive models	8
Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis	8
Estimation and inference about tail features with tail censored data	8
Bayesian estimation of long-run risk models using sequential Monte Carlo	8
Unconditional effects of general policy interventions	8
Some impossibility results for inference with cluster dependence with large clusters	7
Feature-splitting algorithms for ultrahigh dimensional quantile regression	7
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model	7
Generalized linear models with structured sparsity estimators	7
What is a standard error? (And how should we compute it?)	7
Detection of units with pervasive effects in large panel data models	7
Causal inference of general treatment effects using neural networks with a diverging number of confounders	7
Matching points: Supplementing instruments with covariates in triangular models	7
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions	7
A structural analysis of simple contracts	7
Mental health and abortions among young women: time-varying unobserved heterogeneity, health behaviors, and risky decisions	7
Editorial Board	7
Whitney Newey’s contributions to econometrics	7
Journal of econometrics: The first 20 years	7
Beyond RCP8.5: Marginal mitigation using quasi-representative concentration pathways	7
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	7
Extreme expectile estimation for short-tailed data	7
Stochastic properties of nonlinear locally-nonstationary filters	7
Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics	7
Dynamic discrete choice models with incomplete data: Sharp identification	7
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates	7
An information–Theoretic approach to partially identified auction models	7
Editorial Board	7
Testing many restrictions under heteroskedasticity	7
Overview: Structural econometrics honoring Daniel McFadden	7
High dimensional regression coefficient test with high frequency data	7
Volatility analysis with realized GARCH-Itô models	6
Hybrid unadjusted Langevin methods for high-dimensional latent variable models	6
Reprint of: Robust inference on correlation under general heterogeneity	6
Multi-dimensional latent group structures with heterogeneous distributions	6
You are what your parents expect: Height and local reference points	6
Structural VAR models in the Frequency Domain	6
The likelihood of mixed hitting times	6
A test for Kronecker Product Structure covariance matrix	6
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	6
GMM estimation for high-dimensional panel data models	6
Spatial dynamic panel data models with correlated random effects	6
Synthetic Learner: Model-free inference on treatments over time	6
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	6
How well do structural demand models work? Counterfactual predictions in school choice	6
Latent complementarity in bundles models	6
Who should get vaccinated? Individualized allocation of vaccines over SIR network	6
Latent utility and permutation invariance: A revealed preference approach	6
From LATE to ATE: A Bayesian approach	6
Testing for time stochastic dominance	6
Sampling properties of the Bayesian posterior mean with an application to WALS estimation	6
2SLS with multiple treatments	6
Nowcasting the output gap	6
Covariate-adjusted Fisher randomization tests for the average treatment effect	6
Surveying business uncertainty	6