Journal of Econometrics

Article	Citations
Analyzing cross-validation for forecasting with structural instability	4134
Time-Varying Parameters in Econometrics: The editor’s foreword	4070
Efficiency bounds for moment condition models with mixed identification strength	2577
Bond risk premiums at the zero lower bound	818
Shrinkage estimators for periodic autoregressions	421
Local linearization based subvector inference in moment inequality models	213
Parametric estimation of long memory in factor models	155
A multivariate realized GARCH model	154
Nonparametric comparison of epidemic time trends: The case of COVID-19	87
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	86
Locally robust inference for non-Gaussian linear simultaneous equations models	72
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	70
Inference in cluster randomized trials with matched pairs	59
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	59
Bootstrapping out-of-sample predictability tests with real-time data	59
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	56
A discrete-time hedging framework with multiple factors and fat tails: On what matters	56
On changepoint detection in functional data using empirical energy distance	55
Inference on covariance-mean regression	48
Efficient closed-form estimation of large spatial autoregressions	46
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	46
Simple subvector inference on sharp identified set in affine models	43
Semiparametric modeling of multiple quantiles	40
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	40
A computational approach to identification of treatment effects for policy evaluation	40

Identification of semiparametric model coefficients, with an application to collective households	40
Editorial Board	39
Identifying causal effects in experiments with spillovers and non-compliance	36
You are what your parents expect: Height and local reference points	36
Stochastic properties of nonlinear locally-nonstationary filters	35
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	34
Latent utility and permutation invariance: A revealed preference approach	34
From LATE to ATE: A Bayesian approach	33
Nonseparable sample selection models with censored selection rules	30
Feature-splitting algorithms for ultrahigh dimensional quantile regression	29
High dimensional regression coefficient test with high frequency data	28
Residual-augmented IVX predictive regression	27
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	27
Initial conditions and Blundell–Bond estimators	27
Robust likelihood estimation of dynamic panel data models	27
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	27
Limit theory and inference in non-cointegrated functional coefficient regression	27
Covariate-adjusted Fisher randomization tests for the average treatment effect	26
Simple estimators and inference for higher-order stochastic volatility models	26
GLS under monotone heteroskedasticity	25
Measuring tail risk	25
SVARs with occasionally-binding constraints	24
Editorial Board	24
Semiparametrically optimal cointegration test	24
Testing identification conditions of LATE in fuzzy regression discontinuity designs	24
Joint inference based on Stein-type averaging estimators in the linear regression model	23
Estimating high dimensional monotone index models by iterative convex optimization	23
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	23
Identification and estimation of a search model with heterogeneous consumers and firms	23
Editorial Board	22
Incentive-driven inattention	22
Editorial Board	22
High-dimensional conditionally Gaussian state space models with missing data	22
Policy evaluation during a pandemic	21
A large confirmatory dynamic factor model for stock market returns in different time zones	21
Semiparametric model averaging prediction for dichotomous response	21
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	21
Editorial Board	21
Cross-sectional dependence in idiosyncratic volatility	21
Editorial Board	20
Boosting high dimensional predictive regressions with time varying parameters	20
Nonparametric Bayes subject to overidentified moment conditions	20
Relaxing conditional independence in an endogenous binary response model	20
Inference in models with partially identified control functions	20
Functional time series approach to analyzing asset returns co-movements	19
An improved bootstrap test for restricted stochastic dominance	19
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	19
Inference after estimation of breaks	18
Hypothesis testing on high dimensional quantile regression	18
Consistent causal inference for high-dimensional time series	18

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

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