Journal of Econometrics

Article	Citations
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	1643
Local linearization based subvector inference in moment inequality models	310
Simple subvector inference on sharp identified set in affine models	272
Locally robust inference for non-Gaussian linear simultaneous equations models	165
Bond risk premiums at the zero lower bound	118
Parametric estimation of long memory in factor models	97
Long-term volatility shapes the stock market’s sensitivity to news	94
Efficiency bounds for moment condition models with mixed identification strength	90
On generalized CCE estimation	81
Quasi-Bayesian estimation and inference with control functions	79
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	79
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	73
A discrete-time hedging framework with multiple factors and fat tails: On what matters	72
Time-Varying Parameters in Econometrics: The editor’s foreword	69
A computational approach to identification of treatment effects for policy evaluation	64
Testing for jumps in a discretely observed price process with endogenous sampling times	61
Semiparametric estimation of duration model with time-varying regressors and fixed effects	53
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	53
On changepoint detection in functional data using empirical energy distance	52
Semiparametric modeling of multiple quantiles	50
Nonparametric comparison of epidemic time trends: The case of COVID-19	48
Shrinkage estimators for periodic autoregressions	46
Efficient closed-form estimation of large spatial autoregressions	45
Neural Conformal Inference for jump diffusion processes	45
A multivariate realized GARCH model	45

Inference on covariance-mean regression	44
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	43
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	42
Causal inference in network experiments: Regression-based analysis and design-based properties	41
Bootstrapping out-of-sample predictability tests with real-time data	41
Inference in cluster randomized trials with matched pairs	40
From LATE to ATE: A Bayesian approach	39
Editorial Board	37
Stochastic properties of nonlinear locally-nonstationary filters	36
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	35
Nonseparable sample selection models with censored selection rules	35
High dimensional regression coefficient test with high frequency data	34
Limit theory and inference in non-cointegrated functional coefficient regression	34
Identifying causal effects in experiments with spillovers and non-compliance	33
Initial conditions and Blundell–Bond estimators	33
Shrinkage methods for treatment choice	33
Editorial Board	33
Estimation and inference for large-dimensional generalized matrix factor models	31
Measuring tail risk	31
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	31
Feature-splitting algorithms for ultrahigh dimensional quantile regression	30
Latent utility and permutation invariance: A revealed preference approach	30
Latent factor analysis in short panels	30
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	30
You are what your parents expect: Height and local reference points	30
Bregman model averaging for forecast combination	30
Corrigendum to “Robust mutual fund selection with false discovery rate control” [Journal of Econometrics 252 (2025) 106121]	29
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	29
Decomposing informed trading in equity options	29
Estimation and inference for causal functions with multi-way clustered data	29
Semiparametrically optimal cointegration test	29
Estimating high dimensional monotone index models by iterative convex optimization	28
Cross-sectional dependence in idiosyncratic volatility	27
Weak identification with bounds in a class of minimum distance models	27
Editorial Board	27
A large confirmatory dynamic factor model for stock market returns in different time zones	27
Editorial Board	27
GLS estimation of local projections: Trading robustness for efficiency	26
Jump detection in high-frequency order prices	26
Incentive-driven inattention	25
GLS under monotone heteroskedasticity	25
Semiparametric model averaging prediction for dichotomous response	25
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	25
Testing identification conditions of LATE in fuzzy regression discontinuity designs	24
High-dimensional conditionally Gaussian state space models with missing data	24
A sorted penalty estimator: Inference for a correlation-robust shrinkage method	23
SVARs with occasionally-binding constraints	23
Editorial Board	23
Identification and estimation of a search model with heterogeneous consumers and firms	23
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	23

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

Regularizing fairness in optimal policy learning with distributional targets	13
Social connections and the sorting of workers to firms	13
Mind your language: Market responses to central bank speeches	13
Testing for peer effects without specifying the network structure	13
Efficient quantile covariate adjusted response adaptive experiments	13
Tensor time series imputation through tensor factor modelling	13
Dynamic factor copula models with estimated cluster assignments	12
Regularizing stock return covariance matrices via multiple testing of correlations	12
Time-varying unobserved heterogeneity in earnings shocks	12
Dynamics and heterogeneity of subjective stock market expectations	12
A penalized two-pass regression to predict stock returns with time-varying risk premia	12
Estimation of varying coefficient models with measurement error	12
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	12
Faster estimation of dynamic discrete choice models using index invertibility	12
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	12
Using large samples in econometrics	12
Editorial Board	12
A simple and computationally trivial estimator for grouped fixed effects models	12
Time varying Markov process with partially observed aggregate data: An application to coronavirus	12
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	12
Inference in predictive quantile regressions	12
Identification and estimation of dynamic structural models with unobserved choices	12
On LASSO for predictive regression	12
Quantile control via random forest	12
Dynamic modeling for multivariate functional and longitudinal data	12
Inference on breaks in weak location time series models with the estimating function approach	12
Indirect inference estimation of dynamic panel data models	12
Partially identifying competing risks models: An application to the war on cancer	12
Multi-dimensional latent group structures with heterogeneous distributions	12
Treatment recommendation with distributional targets	12
Nuclear norm regularized estimation of panel regression models	11
Comparing stochastic volatility specifications for large Bayesian VARs	11
Testing for sparse idiosyncratic components in factor-augmented regression models	11
GMM estimation for high-dimensional panel data models	11
On superlevel sets of conditional densities and multivariate quantile regression	11
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	11
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	11
An unbounded intensity model for point processes	11
Long-run risk in stationary vector autoregressive models	11
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	11
2SLS with multiple treatments	11
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	11
Synthetic Learner: Model-free inference on treatments over time	11
Editorial Board	11
Nowcasting the output gap	11
Adjustments with many regressors under covariate-adaptive randomizations	11
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	11
Target PCA: Transfer learning large dimensional panel data	11
Local projections vs. VARs: Lessons from thousands of DGPs	11
Autoregressive conditional betas	11
Nonparametric estimation for high-frequency data incorporating trading information	11
A test for Kronecker Product Structure covariance matrix	11
Dynamic discrete choice models with incomplete data: Sharp identification	11
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	11
Addressing endogeneity issues in a spatial autoregressive model using copulas	10
Cross-section bootstrap for CCE regressions	10
Dynamic conditional eigenvalue GARCH	10
Canonical correlation-based model selection for the multilevel factors	10
High-dimensional conditional factor model	10
Moments, shocks and spillovers in Markov-switching VAR models	10
Weak identification in discrete choice models	10
Treatment effects in interactive fixed effects models with a small number of time periods	10
Identification of mixtures of dynamic discrete choices	10
Isotonic regression discontinuity designs	10
A solution to the global identification problem in DSGE models	9
Stable outcomes and information in games: An empirical framework	9
Efficient sampling for realized variance estimation in time-changed diffusion models	9
Large Bayesian SVARs with linear restrictions	9
AIC for many-regressor heteroskedastic regressions	9
Establishment age and wages	9
Editorial Board	9
Approximate maximum likelihood for complex structural models	9
Covariate adjustment in experiments with matched pairs	9
Sparse quantile regression	9
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	9
Bootstrap analysis of mutual fund performance	9
Taking advantage of biased proxies for forecast evaluation	9
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	9
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	9
Distribution-invariant differential privacy	9
Inference under covariate-adaptive randomization with imperfect compliance	9
Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach	9
Approximate factor models with weaker loadings	9
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors	9
Self-perceptions about academic achievement: Evidence from Mexico City	9
Model averaging prediction by K-fold cross-validation	9
Do firm effects drift? Evidence from Washington administrative data	9
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	9
Beliefs about public debt and the demand for government spending	9
Bounding program benefits when participation is misreported	8
Robust inference in first-price auctions: Overbidding as an identifying restriction	8
Semiparametric estimation of latent variable asset pricing models	8
Global robust Bayesian analysis in large models	8
Editorial Board	8
Identifying the effects of a program offer with an application to Head Start	8