Econometric Reviews

Article	Citations
List of referees	34
ANNOUNCEMENT	23
Variable selection in linear regressions with possibly all strongly correlated covariates	22
Time series quantile regression kink with an unknown threshold	20
Optimal model averaging for divergent-dimensional Poisson regressions	13
List of reviewers for Econometric Reviews , volume 43	11
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	11
Estimation of counterfactual distributions with a continuous endogenous treatment	11
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	10
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	10
Estimation of random functions proxying for unobservables	8
Nonstationary heterogeneous panels with multiple structural changes	7
Using machine learning for efficient flexible regression adjustment in economic experiments	7
Directional predictability tests	7
Nonseparable panel models with index structure and correlated random effects	6
GLS estimation and confidence sets for the date of a single break in models with trends	6
A note on kernel density estimation for undirected dyadic data	5
Bootstrap inference on a factor model based average treatment effects estimator	4
Time-dependent shrinkage of time-varying parameter regression models	4
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	4
Forecasting vector autoregressions with mixed roots in the vicinity of unity	4
Towards a raw-data dynamic structural model with its descriptive applications	4
In memory of Michael McAleer: special issue of Econometric Reviews	4
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	4
Estimation of dynamic panel data models with a lot of heterogeneity	4

Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	4
Indirect inference estimation of higher-order spatial autoregressive models	3
Powerful t-tests in the presence of nonclassical measurement error	3
Robust inference on income inequality: t- statistic based approach	3
High-dimensional mixed data sampling models with a covariate-dependent threshold	3
Quantile regression with interval data	3
Inference in a similarity-based spatial autoregressive model	3
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	3
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	3
Testing independence between exogenous variables and unobserved errors	2
Ordered correlation forest	2
Latent local-to-unity models	2
Regularized maximum likelihood estimation for the random coefficients model	2
Estimation of average treatment effect based on a semiparametric propensity score	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
Efficient semiparametric copula estimation of regression models with endogeneity	2
Spectral estimation for mixed causal-noncausal autoregressive models	2
Quantile means and quantile share standard errors and a toolbox of distributional statistics	2
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach	2
The application of multiple-output quantile regression to the US financial cycle	2
Model averaging for generalized linear models in diverging model spaces with effective model size	2
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	2
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	2
The variances of non-parametric estimates of the cross-sectional distribution of durations	2
Model selection and model averaging for matrix exponential spatial models	2
Specification tests for univariate diffusions	1
Determination of different types of fixed effects in three-dimensional panels*	1
Automatic variable selection for semiparametric spatial autoregressive model	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
A method to evaluate the rank condition for CCE estimators	1
Bayesian estimation of dynamic panel data gravity model	1
Best Paper Award: Econometric Reviews, 2024	1
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	1
Panel data nowcasting	1
Fellows and scholars of Econometric Reviews , 2024	1
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	1
An IV estimator for a functional coefficient model with endogenous discrete treatments	1
A simple test of completeness in a class of nonparametric specification	1
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	1
Testing rank similarity in the local average treatment effects model	1
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	1
Right tail information and asset pricing	1
Short panel data quantile regression model with flexible correlated effects	1
Bandwidth selection for nonparametric regression with errors-in-variables	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1
Income and democracy: a semiparametric approach	1
Monitoring the direction of the short-term trend of economic indicators	1

Robust nonparametric frontier estimation in two steps	1
Semiparametric transition models	1
Inferring inequality: Testing for median-preserving spreads in ordinal data	1
Optimal minimax rates of specification testing with data-driven bandwidth	1
Estimation bias in the Ornstein-Uhlenbeck process with flow data	1
Testing for time-varying factor loadings in high-dimensional factor models	1
A hybrid nonparametric multivariate density estimator with applications to risk management	1
Indian Buffet process factor model for counterfactual analysis	1
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	1
Sequential and efficient GMM estimation of dynamic short panel data models	0
Frequency domain local bootstrap in short and long memory time series	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Testing for nonlinear cointegration under heteroskedasticity	0
Linear fixed-effects estimation with nonrepeated outcomes	0
Market integration, systemic risk and diagnostic tests in large mixed panels	0
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
A unifying switching regime regression framework with applications in health economics	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Two-step series estimation and specification testing of (partially) linear models with generated regressors	0
Lag order selection for long-run variance estimation in econometrics	0
Estimation of high-dimensional seemingly unrelated regression models	0
Test for serial correlation in panel data models with interactive fixed effects	0
Econometric Reviews Honors Cheng Hsiao	0
A robust score-driven filter for multivariate time series	0
Smoothed gradient least squares estimator for linear threshold models	0
Inference and extrapolation in finite populations with special attention to clustering	0
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
The two-way Mundlak estimator	0
Confidence intervals for intentionally biased estimators	0
Boosting the HP filter for trending time series with long-range dependence	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	0
Best Paper Award Econometric Reviews, 2017–2018	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Best Paper Award	0
Reconciling negative return skewness with positive time-varying risk premia	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Smoothed maximum score estimation with nonparametrically generated covariates	0
Back Matter	0
The lower regression function and testing expectation dependence dominance hypotheses	0
Lassoed boosting and linear prediction in the equities market	0
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	0
A panel data model of length of stay in hospitals for hip replacements	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
A new Bayesian model for contagion and interdependence	0
Heavy tail robust estimation and inference for average treatment effects	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Forecasting Levels in Loglinear Unit Root Models	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	0
Nonparametric multidimensional fixed effects panel data models	0
Yet another look at the omitted variable bias	0
A unified unit root test regardless of intercept	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
A robust test for serial correlation in panel data models	0
Inference in the nonparametric stochastic frontier model	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Locally time-varying parameter regression	0
Bounded tilting estimation	0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Nonparametric estimation of additive models with errors-in-variables	0
Estimating production functions using costs when outputs are restricted	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
Nonparametric estimation of mediation effects with a general treatment	0
Moment estimation for censored quantile regression	0
A control function approach to estimate panel data binary response model	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0

Nonparametric bootstrap confidence sets for the quantile ratio	0
Detecting multiple equilibria for continuous dependent variables	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Best Paper Award Econometric Reviews, 2019–2020	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Estimating heterogeneous effects in static binary response panel data models	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Semiparametric single-index estimation for average treatment effects	0
Event count estimation	0
Moment conditions for the quadratic regression model with measurement error	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
Editorial	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0
Inference in the presence of unknown rates	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Generalized spatial matrix specifications	0
Efficient estimation with missing data and endogeneity	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Towards data-congruent models of the term structure of interest rates	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Testing Granger non-causality in expectiles	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Binary outcomes, OLS, 2SLS and IV probit	0
Using generalized impulse response functions to estimate nonlinear dynamic models	0
A state-space approach to time-varying reduced-rank regression	0
State-dependent local projections– the dynamic effects of regime transitions	0
Improved tests for stock return predictability	0
Extremal quantiles and stock price crashes	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0