Journal of Econometrics

Article	Citations
Bond risk premiums at the zero lower bound	5255
Shrinkage estimators for periodic autoregressions	5048
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	3206
Neural Conformal Inference for jump diffusion processes	1128
Inference in cluster randomized trials with matched pairs	496
A computational approach to identification of treatment effects for policy evaluation	264
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	199
Efficiency bounds for moment condition models with mixed identification strength	196
Simple subvector inference on sharp identified set in affine models	111
Locally robust inference for non-Gaussian linear simultaneous equations models	94
Parametric estimation of long memory in factor models	79
Time-Varying Parameters in Econometrics: The editor’s foreword	77
Analyzing cross-validation for forecasting with structural instability	76
Nonparametric comparison of epidemic time trends: The case of COVID-19	74
Inference on covariance-mean regression	64
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	63
Efficient closed-form estimation of large spatial autoregressions	62
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	58
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	57
A discrete-time hedging framework with multiple factors and fat tails: On what matters	54
Semiparametric modeling of multiple quantiles	53
Bootstrapping out-of-sample predictability tests with real-time data	52
A multivariate realized GARCH model	50
On changepoint detection in functional data using empirical energy distance	50
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	49

Long-term volatility shapes the stock market’s sensitivity to news	44
Identification of semiparametric model coefficients, with an application to collective households	41
Testing for jumps in a discretely observed price process with endogenous sampling times	41
Causal inference in network experiments: Regression-based analysis and design-based properties	39
Local linearization based subvector inference in moment inequality models	39
From LATE to ATE: A Bayesian approach	38
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	38
You are what your parents expect: Height and local reference points	36
Stochastic properties of nonlinear locally-nonstationary filters	34
Identifying causal effects in experiments with spillovers and non-compliance	34
Editorial Board	33
Robust likelihood estimation of dynamic panel data models	32
Residual-augmented IVX predictive regression	32
Feature-splitting algorithms for ultrahigh dimensional quantile regression	32
Bregman model averaging for forecast combination	30
Initial conditions and Blundell–Bond estimators	30
Limit theory and inference in non-cointegrated functional coefficient regression	30
Nonseparable sample selection models with censored selection rules	30
Measuring tail risk	29
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	29
High dimensional regression coefficient test with high frequency data	29
Covariate-adjusted Fisher randomization tests for the average treatment effect	29
Identification and estimation of a search model with heterogeneous consumers and firms	28
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	28
Testing identification conditions of LATE in fuzzy regression discontinuity designs	28
Shrinkage methods for treatment choice	28
Latent utility and permutation invariance: A revealed preference approach	28
GLS under monotone heteroskedasticity	28
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	28
Semiparametrically optimal cointegration test	27
Editorial Board	26
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	26
Joint inference based on Stein-type averaging estimators in the linear regression model	26
Editorial Board	25
High-dimensional conditionally Gaussian state space models with missing data	24
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	24
Cross-sectional dependence in idiosyncratic volatility	24
Policy evaluation during a pandemic	23
Incentive-driven inattention	23
A large confirmatory dynamic factor model for stock market returns in different time zones	23
Editorial Board	22
Estimating high dimensional monotone index models by iterative convex optimization	22
Semiparametric model averaging prediction for dichotomous response	22
SVARs with occasionally-binding constraints	22
Weak identification with bounds in a class of minimum distance models	22
Testing unconditional and conditional independence via mutual information	21
Distribution regression with censored selection	21
Inference in models with partially identified control functions	21
Nonparametric Bayes subject to overidentified moment conditions	21
Hypothesis testing on high dimensional quantile regression	21

Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	21
Functional time series approach to analyzing asset returns co-movements	20
Relaxing conditional independence in an endogenous binary response model	20
Likelihood approach to dynamic panel models with interactive effects	20
Editorial Board	20
CRPS learning	20
Editorial Board	20
Evaluating forecast performance with state dependence	19
Consistent causal inference for high-dimensional time series	19
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	19
Panel data models with time-varying latent group structures	19
Identification of dynamic binary response models	19
Inequality and the zero lower bound	19
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	18
A Correlated Random Coefficient panel model with time-varying endogeneity	18
Robust mutual fund selection with false discovery rate control	18
A comparative analysis of two-way fixed effects estimators in staggered treatment designs	17
Common volatility shocks driven by the global carbon transition	17
Estimation of continuous-time linear DSGE models from discrete-time measurements	17
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	17
Editorial Board	17
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	17
Infinite Markov pooling of predictive distributions	17
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	16
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	16
Logical differencing in dyadic network formation models with nontransferable utilities	16
Editorial Board	16
Prices, profits, proxies, and production	16
Bootstrap specification tests for dynamic conditional distribution models	16
Editorial for special issue in honor of Francis X. Diebold	15
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	15
Bayesian Methods in Economics and Finance: Editor’s Introduction	15
Predictive ability tests with possibly overlapping models	15
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	15
Debiased machine learning of set-identified linear models	15
Multiple treatments with strategic substitutes	15
On testing for spatial or social network dependence in panel data allowing for network variability	14
The robust F-statistic as a test for weak instruments	14
On the performance of the Neyman Allocation with small pilots	14
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	14
Reprint: Hypothesis testing on high dimensional quantile regression	14
Penalized time-varying model averaging	14
State-dependent local projections	14
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	14
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	14
My experience of working for the JE-1991-2013	14
Estimating option pricing models using a characteristic function-based linear state space representation	14
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	14
Fast and accurate variational inference for models with many latent variables	14
Large volatility matrix analysis using global and national factor models	14
A Note from the Editors	14
Robust testing for explosive behavior with strongly dependent errors	14
Bayesian estimation of cluster covariance matrices of unknown form	13
A test of the selection on observables assumption using a discontinuously distributed covariate	13
Mind your language: Market responses to central bank speeches	13
Simultaneous inference for time-varying models	13
Network and panel quantile effects via distribution regression	13
Editorial Board	13
Maximum likelihood estimation of stochastic frontier models with endogeneity	13
No star is good news: A unified look at rerandomization based on p-va	13
Identifying latent group structures in spatial dynamic panels	13
Social connections and the sorting of workers to firms	13
Estimating multinomial choice models with unobserved choice sets	13
Parental beliefs about returns to child health investments	13
On improvability of model selection by model averaging	13
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	13
Non-representative sampled networks: Estimation of network structural properties by weighting	12
Bespoke realized volatility: Tailored measures of risk for volatility prediction	12
Themed issue: Quantile regression and data heterogeneity	12
Estimation of varying coefficient models with measurement error	12
Editorial Board	12
Time varying Markov process with partially observed aggregate data: An application to coronavirus	12
State-domain change point detection for nonlinear time series regression	12
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	12
Efficient quantile covariate adjusted response adaptive experiments	12
Partially identifying competing risks models: An application to the war on cancer	12
Time-varying unobserved heterogeneity in earnings shocks	12
A penalized two-pass regression to predict stock returns with time-varying risk premia	12
A simple and computationally trivial estimator for grouped fixed effects models	12
Bipartite network influence analysis of a two-mode network	12

Regularizing stock return covariance matrices via multiple testing of correlations	12
Testing stochastic dominance with many conditioning variables	12
Treatment recommendation with distributional targets	12
Indirect inference estimation of dynamic panel data models	12
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	11
Dynamics and heterogeneity of subjective stock market expectations	11
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	11
Dynamic modeling for multivariate functional and longitudinal data	11
On LASSO for predictive regression	11
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	11
Dynamic factor copula models with estimated cluster assignments	11
Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters	11
Identification and estimation of dynamic structural models with unobserved choices	11
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	11
Using large samples in econometrics	11
Quantile control via random forest	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Tensor time series imputation through tensor factor modelling	11
Long-run risk in stationary vector autoregressive models	11
Editorial Board	10
Inference in predictive quantile regressions	10
Dynamic discrete choice models with incomplete data: Sharp identification	10
Multi-dimensional latent group structures with heterogeneous distributions	10
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	10
On superlevel sets of conditional densities and multivariate quantile regression	10
Target PCA: Transfer learning large dimensional panel data	10
Nonparametric estimation for high-frequency data incorporating trading information	10
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	10
Comparing stochastic volatility specifications for large Bayesian VARs	10
Editorial Board	10
Faster estimation of dynamic discrete choice models using index invertibility	10
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	10
A test for Kronecker Product Structure covariance matrix	10
2SLS with multiple treatments	10
Adjustments with many regressors under covariate-adaptive randomizations	10
Editorial Board	9
Canonical correlation-based model selection for the multilevel factors	9
Testing for sparse idiosyncratic components in factor-augmented regression models	9
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	9
Autoregressive conditional betas	9
Weak identification in discrete choice models	9
Beliefs about public debt and the demand for government spending	9
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	9
Treatment effects in interactive fixed effects models with a small number of time periods	9
β in the tails	9
Local projections vs. VARs: Lessons from thousands of DGPs	9
Nowcasting the output gap	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Synthetic Learner: Model-free inference on treatments over time	9
Approximate maximum likelihood for complex structural models	9
Taking advantage of biased proxies for forecast evaluation	9
Covariate adjustment in experiments with matched pairs	9
Identification of mixtures of dynamic discrete choices	9
Moments, shocks and spillovers in Markov-switching VAR models	9
An unbounded intensity model for point processes	9
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	9
GMM estimation for high-dimensional panel data models	9
Latent complementarity in bundles models	9
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	9
Inference under covariate-adaptive randomization with imperfect compliance	9
Self-perceptions about academic achievement: Evidence from Mexico City	9
Establishment age and wages	9
Group fused Lasso for large factor models with multiple structural breaks	8
Experience as Co-Editor, A. Ronald Gallant	8
Estimation and inference in factor copula models with exogenous covariates	8
Approximate factor models with weaker loadings	8
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors	8
Bias in local projections	8
Do firm effects drift? Evidence from Washington administrative data	8
Addressing endogeneity issues in a spatial autoregressive model using copulas	8
Editorial Board	8
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	8
Sparse quantile regression	8
Most powerful test against a sequence of high dimensional local alternatives	8
Editorial Board	8
Multivariate stochastic volatility models based on generalized Fisher transformation	8
Model averaging prediction by K-fold cross-validation	8
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	8
Isotonic regression discontinuity designs	8
Functional coefficient panel modeling with communal smoothing covariates	8
Using monotonicity restrictions to identify models with partially latent covariates	8
Specification tests for time-varying coefficient models	8
Large Bayesian SVARs with linear restrictions	8
A solution to the global identification problem in DSGE models	8
Time-varying vector error-correction models: Estimation and inference	8
Dynamic conditional eigenvalue GARCH	8
Cross-section bootstrap for CCE regressions	8
Distribution-invariant differential privacy	8
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	8
Factor investing: A Bayesian hierarchical approach	8
Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations	7
Quantile analysis of “hazard-rate” game models	7
High dimensional factor analysis with weak factors	7
Identifying the effects of a program offer with an application to Head Start	7
Editorial Board	7