Econometric Reviews

Article	Citations
List of referees	30
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	23
Inference and extrapolation in finite populations with special attention to clustering	17
Improved tests for stock return predictability	17
Best Paper Award	14
Model selection and model averaging for matrix exponential spatial models	12
Bayesian estimation of dynamic panel data gravity model	9
The variances of non-parametric estimates of the cross-sectional distribution of durations	8
Smoothed gradient least squares estimator for linear threshold models	8
A state-space approach to time-varying reduced-rank regression	8
Variable selection in linear regressions with possibly all strongly correlated covariates	8
Estimation of average treatment effects for massively unbalanced binary outcomes	7
MCMC conditional maximum likelihood for the two-way fixed-effects logit	7
Inferring inequality: Testing for median-preserving spreads in ordinal data	6
ANNOUNCEMENT	6
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	5
Estimation of counterfactual distributions with a continuous endogenous treatment	5
Testing for stationary or persistent coefficient randomness in predictive regressions	4
Panel data measures of price discovery	4
Robust inference on income inequality: t- statistic based approach	4
Estimation of average treatment effect based on a semiparametric propensity score	4
The application of multiple-output quantile regression to the US financial cycle	4
A hybrid nonparametric multivariate density estimator with applications to risk management	3
Right tail information and asset pricing	3
Extremal quantiles and stock price crashes	3

Estimating flow data models of international trade: dual gravity and spatial interactions	3
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	3
On the estimation of quantile treatment effects using a semiparametric propensity score	3
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	2
Best Paper Award: Econometric Reviews, 2024	2
Back Matter	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	2
Optimal model averaging for divergent-dimensional Poisson regressions	2
Quantile regression with interval data	2
Linear fixed-effects estimation with nonrepeated outcomes	2
Event count estimation	2
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	2
Forward detrending for heteroskedasticity-robust panel unit root testing	2
Semiparametric spatial autoregressive models with nonlinear endogeneity	2
A method to evaluate the rank condition for CCE estimators	2
Regularized maximum likelihood estimation for the random coefficients model	2
Estimation of random functions proxying for unobservables	1
Semiparametric transition models	1
A panel data model of length of stay in hospitals for hip replacements	1
Towards data-congruent models of the term structure of interest rates	1
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	1
Nonseparable panel models with index structure and correlated random effects	1
A unifying switching regime regression framework with applications in health economics	1
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	1
Global estimation of finite mixture and misclassification models with an application to multiple equilibria	1
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	1
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	1
A robust test for serial correlation in panel data models	1
Sequential and efficient GMM estimation of dynamic short panel data models	1
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models	1
Model averaging for generalized linear models in diverging model spaces with effective model size	1
The lower regression function and testing expectation dependence dominance hypotheses	1
A simple test of completeness in a class of nonparametric specification	1
Two-step series estimation and specification testing of (partially) linear models with generated regressors	1
Ordered correlation forest	1
Efficient semiparametric copula estimation of regression models with endogeneity	1
Optimal minimax rates of specification testing with data-driven bandwidth	1
List of reviewers for Econometric Reviews , volume 43	1
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	1
Spectral estimation for mixed causal-noncausal autoregressive models	1
Best Paper Award Econometric Reviews, 2019–2020	1
Econometric Reviews Honors Cheng Hsiao	1
Inference for the VEC(1) model with a heavy-tailed linear process errors*	1
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Semiparametric single-index estimation for average treatment effects	0
An IV estimator for a functional coefficient model with endogenous discrete treatments	0
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	0
Inference in the nonparametric stochastic frontier model	0

Generalized spatial matrix specifications	0
Estimation of dynamic panel data models with a lot of heterogeneity	0
Semiparametric estimation of signaling games with equilibrium refinement	0
Moment estimation for censored quantile regression	0
Monitoring the direction of the short-term trend of economic indicators	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Estimation of high-dimensional seemingly unrelated regression models	0
Testing independence between exogenous variables and unobserved errors	0
Testing rank similarity in the local average treatment effects model	0
Modeling heterogeneous treatment effects in the presence of endogeneity	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Testing for nonlinear cointegration under heteroskedasticity	0
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	0
Testing Granger non-causality in expectiles	0
Lassoed boosting and linear prediction in the equities market	0
Income and democracy: a semiparametric approach	0
Locally time-varying parameter regression	0
A new Bayesian model for contagion and interdependence	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Binary outcomes, OLS, 2SLS and IV probit	0
Bootstrap inference on a factor model based average treatment effects estimator	0
Panel data nowcasting	0
Latent local-to-unity models	0
Bounded tilting estimation	0
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Frequency domain local bootstrap in short and long memory time series	0
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	0
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	0
Specification tests for univariate diffusions	0
Boosting the HP filter for trending time series with long-range dependence	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
Time-dependent shrinkage of time-varying parameter regression models	0
Heavy tail robust estimation and inference for average treatment effects	0
Testing for time-varying factor loadings in high-dimensional factor models	0
Detecting multiple equilibria for continuous dependent variables	0
Nonparametric estimation of mediation effects with a general treatment	0
The two-way Mundlak estimator	0
Forecasting Levels in Loglinear Unit Root Models	0
Estimating production functions using costs when outputs are restricted	0
GLS estimation and confidence sets for the date of a single break in models with trends	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Smoothed maximum score estimation with nonparametrically generated covariates	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Market integration, systemic risk and diagnostic tests in large mixed panels	0
Efficient estimation with missing data and endogeneity	0
Inference in the presence of unknown rates	0
Editorial	0
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	0
Moment conditions for the quadratic regression model with measurement error	0
Yet another look at the omitted variable bias	0
State-dependent local projections– the dynamic effects of regime transitions	0
Robust nonparametric frontier estimation in two steps	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Powerful t-tests in the presence of nonclassical measurement error	0
Fellows and scholars of Econometric Reviews , 2024	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	0
A note on kernel density estimation for undirected dyadic data	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
A unified unit root test regardless of intercept	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†	0
Using machine learning for efficient flexible regression adjustment in economic experiments	0
Automatic variable selection for semiparametric spatial autoregressive model	0
Reconciling negative return skewness with positive time-varying risk premia	0
A robust score-driven filter for multivariate time series	0
In memory of Michael McAleer: special issue of Econometric Reviews	0
Best Paper Award Econometric Reviews, 2017–2018	0

Nonparametric estimation of additive models with errors-in-variables	0
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Indirect inference estimation of higher-order spatial autoregressive models	0
Confidence intervals for intentionally biased estimators	0
Determination of different types of fixed effects in three-dimensional panels*	0
Bandwidth selection for nonparametric regression with errors-in-variables	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Lag order selection for long-run variance estimation in econometrics	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
A control function approach to estimate panel data binary response model	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Random autoregressive models: A structured overview	0
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	0
Nonparametric multidimensional fixed effects panel data models	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Indian Buffet process factor model for counterfactual analysis	0
Inference in a similarity-based spatial autoregressive model	0
Forecasting vector autoregressions with mixed roots in the vicinity of unity	0
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Directional predictability tests	0