Journal of Econometrics

Article	Citations
Difference-in-differences with variation in treatment timing	2831
Difference-in-Differences with multiple time periods	2740
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects	1784
Doubly robust difference-in-differences estimators	430
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature	363
Design-based analysis in Difference-In-Differences settings with staggered adoption	308
Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S.	278
Autoencoder asset pricing models	225
Consumer panic in the COVID-19 pandemic	144
Measuring news sentiment	144
Identification and estimation of the SEIRD epidemic model for COVID-19	125
Cluster-robust inference: A guide to empirical practice	95
Estimating the COVID-19 infection rate: Anatomy of an inference problem	88
Model averaging prediction byK-fold cross-validation	67
Inference in Structural Vector Autoregressions identified with an external instrument	63
Can we measure inflation expectations using Twitter?	59
The term structure of equity and variance risk premia	57
Overlap in observational studies with high-dimensional covariates	52
Surveying business uncertainty	49
Autoregressive models for matrix-valued time series	48
Illuminating economic growth	47
Maximum likelihood estimation for score-driven models	46
Nowcasting in a pandemic using non-parametric mixed frequency VARs	44
Two-way fixed effects and differences-in-differences estimators with several treatments	43
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure	43

Estimating the fraction of unreported infections in epidemics with a known epicenter: An application to COVID-19	39
Time series analysis of COVID-19 infection curve: A change-point perspective	38
High dimensional minimum variance portfolio estimation under statistical factor models	37
Smoothed quantile regression with large-scale inference	36
Heterogeneous structural breaks in panel data models	35
Nonlinear factor models for network and panel data	35
On LASSO for predictive regression	35
On factor models with random missing: EM estimation, inference, and cross validation	34
Inference in Bayesian Proxy-SVARs	34
Time-varying general dynamic factor models and the measurement of financial connectedness	33
It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages	33
Volatility analysis with realized GARCH-Itô models	33
Panel forecasts of country-level Covid-19 infections	33
When will the Covid-19 pandemic peak?	30
Closed-form implied volatility surfaces for stochastic volatility models with jumps	30
On the robustness of the pooled CCE estimator	30
Beliefs about public debt and the demand for government spending	29
Tail risk and return predictability for the Japanese equity market	29
Instrument strength in IV estimation and inference: A guide to theory and practice	29
Dynamic spatial panel data models with common shocks	27
Time-varying model averaging	27
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	26
Semiparametric model averaging prediction for dichotomous response	26
Joint Bayesian inference about impulse responses in VAR models	26
Identifying latent group structures in nonlinear panels	25
The drift burst hypothesis	25
Econometric analysis of production networks with dominant units	25
Estimating and testing high dimensional factor models with multiple structural changes	25
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]	24
Labor market search, informality, and on-the-job human capital accumulation	24
A survey of preference estimation with unobserved choice set heterogeneity	24
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements	24
Estimation and inference of change points in high-dimensional factor models	24
Nowcasting the output gap	23
Nowcasting with large Bayesian vector autoregressions	22
Celebrating 40 years of panel data analysis: Past, present and future	22
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness	22
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with	22
High-frequency jump tests: Which test should we use?	21
Robust Bayesian inference in proxy SVARs	21
Identification of structural vector autoregressions through higher unconditional moments	21
Projected estimation for large-dimensional matrix factor models	21
Large dimensional latent factor modeling with missing observations and applications to causal inference	21
Factor models with local factors — Determining the number of relevant factors	20
Covariate-adjusted Fisher randomization tests for the average treatment effect	20
Factor-based imputation of missing values and covariances in panel data of large dimensions	20
Uniform nonparametric inference for time series	20
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections	20
Approximate factor models with weaker loadings	20
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables	19

Estimation of panel group structure models with structural breaks in group memberships and coefficients	18
Sparse HP filter: Finding kinks in the COVID-19 contact rate	18
GMM quantile regression	18
Recursive estimation in large panel data models: Theory and practice	18
Estimation and inference in semiparametric quantile factor models	18
Boosting high dimensional predictive regressions with time varying parameters	18
Testing continuity of a density via g-order statistics in the regression discontinuity design	18
Max-linear regression models with regularization	17
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure	17
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps	16
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction	16
Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit	16
Disentangling moral hazard and adverse selection in private health insurance	16
Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration	16
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	16
Understanding migration aversion using elicited counterfactual choice probabilities	16
Initial conditions and Blundell–Bond estimators	16
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty	16
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks	16
Spatial dynamic panel data models with correlated random effects	15
Continuous record Laplace-based inference about the break date in structural change models	15
Fast and accurate variational inference for models with many latent variables	15
Do firm effects drift? Evidence from Washington administrative data	15
A doubly corrected robust variance estimator for linear GMM	15
Limit theorems for network dependent random variables	15
Nonparametric difference-in-differences in repeated cross-sections with continuous treatments	15
Nonparametric estimation of large covariance matrices with conditional sparsity	15
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia	15
An explainable attention network for fraud detection in claims management	15
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors	15
On improvability of model selection by model averaging	14
High-dimensional predictive regression in the presence of cointegration	14
Estimation and inference in spatial models with dominant units	14
A GMM approach to estimate the roughness of stochastic volatility	14
Testing for episodic predictability in stock returns	14
Maternal subjective expectations about the technology of skill formation predict investments in children one year later	14
ExpectHill estimation, extreme risk and heavy tails	14
Identification of structural multivariate GARCH models	14
An empirical total survey error decomposition using data combination	14
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	13
Linear IV regression estimators for structural dynamic discrete choice models	13
High-dimensional VARs with common factors	13
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia	13
Simultaneous inference for time-varying models	13
Stationary vine copula models for multivariate time series	13
Estimation of heterogeneous panels with systematic slope variations	13
Consistent inference for predictive regressions in persistent economic systems	12
Self-perceptions about academic achievement: Evidence from Mexico City	12
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	12
Heterogeneous panel data models with cross-sectional dependence	12
Volatility measurement with pockets of extreme return persistence	12
Testing high-dimensional covariance matrices under the elliptical distribution and beyond	12
Estimation of Covid-19 prevalence from serology tests: A partial identification approach	12
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	12
Treatment effects in interactive fixed effects models with a small number of time periods	12
Firm pay dynamics	11
Macroeconomic uncertainty prices when beliefs are tenuous	11
Employer policies and the immigrant–native earnings gap	11
Identification in nonparametric models for dynamic treatment effects	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Lasso inference for high-dimensional time series	11
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root	11
A weighted sieve estimator for nonparametric time series models with nonstationary variables	11
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff	11
Comparing stochastic volatility specifications for large Bayesian VARs	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Estimation and inference in heterogeneous spatial panels with a multifactor error structure	11
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	11
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	11
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure	11
Nonstationary panel models with latent group structures and cross-section dependence	11
Panel threshold models with interactive fixed effects	11
Community network auto-regression for high-dimensional time series	10
Global temperatures and greenhouse gases: A common features approach	10
Forward-selected panel data approach for program evaluation	10
Time-varying instrumental variable estimation	10
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity	10
SVARs with occasionally-binding constraints	10
Robust likelihood estimation of dynamic panel data models	10
Dynamic factor copula models with estimated cluster assignments	10

Permutation test for heterogeneous treatment effects with a nuisance parameter	10
Profile GMM estimation of panel data models with interactive fixed effects	10
Heterogeneity in households’ stock market beliefs	10
Quasi-maximum likelihood estimation of break point in high-dimensional factor models	9
Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”	9
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions	9
Testing and relaxing the exclusion restriction in the control function approach	9
The role of heterogeneous risk preferences, discount rates, and earnings expectations in college major choice	9
Asset selection based on high frequency Sharpe ratio	9
Testing the existence of moments for GARCH processes	9
Efficient size correct subset inference in homoskedastic linear instrumental variables regression	9
Quantile regression methods for first-price auctions	9
Parental beliefs about returns to child health investments	9
A spatial panel quantile model with unobserved heterogeneity	9
Identification and estimation of spillover effects in randomized experiments	9
Vehicle size choice and automobile externalities: A dynamic analysis	9
Reflections on “Testing for unit roots in heterogeneous panels”	9
Semiparametrically efficient estimation of the average linear regression function	9
Who should get vaccinated? Individualized allocation of vaccines over SIR network	9
Local regression distribution estimators	9
A Bayesian robust chi-squared test for testing simple hypotheses	9
An automated approach towards sparse single-equation cointegration modelling	9
Semiparametric identification in panel data discrete response models	9
One instrument to rule them all: The bias and coverage of just-ID IV	9
From zero to hero: Realized partial (co)variances	9
Factor investing: A Bayesian hierarchical approach	9
Optimal model averaging based on forward-validation	9
Twisting the demand curve: Digitalization and the older workforce	9
Mixed membership estimation for social networks	8
Generalized aggregation of misspecified models: With an application to asset pricing	8
PELVE: Probability Equivalent Level of VaR and ES	8
Local mispricing and microstructural noise: A parametric perspective	8
Parsimony inducing priors for large scale state–space models	8
Dynamic decisions under subjective expectations: A structural analysis	8
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models	8
Control variables, discrete instruments, and identification of structural functions	8
Time series estimation of the dynamic effects of disaster-type shocks	8
Infinite Markov pooling of predictive distributions	8
Adaptive robust large volatility matrix estimation based on high-frequency financial data	8
Inference in ordered response games with complete information	8
Simple and trustworthy cluster-robust GMM inference	8
Semiparametric estimation of dynamic discrete choice models	7
How should parameter estimation be tailored to the objective?	7
A simple joint model for returns, volatility and volatility of volatility	7
Testing for observation-dependent regime switching in mixture autoregressive models	7
An integrated panel data approach to modelling economic growth	7
A new robust inference for predictive quantile regression	7
Testing for the appropriate level of clustering in linear regression models	7
Social connections and the sorting of workers to firms	7
Simple tests for stock return predictability with good size and power properties	7
Uncovering heterogeneous social effects in binary choices	7
Estimating multiple breaks in nonstationary autoregressive models	7
How well do structural demand models work? Counterfactual predictions in school choice	7
The wisdom of the crowd and prediction markets	7
Dynamics and heterogeneity of subjective stock market expectations	7
Quasi score-driven models	7
Bayesian Artificial Neural Networks for frontier efficiency analysis	7
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models	7
An econometric approach to the estimation of multi-level models	7
Posterior-based Wald-type statistics for hypothesis testing	7
Estimation and inference of treatment effects with L2-boosting in high-dimensional settings	7
Policy evaluation during a pandemic	7
High-dimensional test for alpha in linear factor pricing models with sparse alternatives	7
Testing the martingale difference hypothesis in high dimension	7
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence	7
A discrete-time hedging framework with multiple factors and fat tails: On what matters	7
Integrated likelihood based inference for nonlinear panel data models with unobserved effects	7
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models	7
Penalized time-varying model averaging	7
Sparse spatio-temporal autoregressions by profiling and bagging	7
Incentive-driven inattention	6
Spurious functional-coefficient regression models and robust inference with marginal integration	6
Local projections vs. VARs: Lessons from thousands of DGPs	6
Canonical correlation-based model selection for the multilevel factors	6
Refining set-identification in VARs through independence	6
Bias reduction in spot volatility estimation from options	6
Testing-optimal kernel choice in HAR inference	6
Sufficient statistics for unobserved heterogeneity in structural dynamic logit models	6
Are bond returns predictable with real-time macro data?	6
Adjusted QMLE for the spatial autoregressive parameter	6
Hierarchical Markov-switching models for multivariate integer-valued time-series	6
A test for Kronecker Product Structure covariance matrix	6
Fully modified least squares cointegrating parameter estimation in multicointegrated systems	6
One-way or two-way factor model for matrix sequences?	6
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models	6
Maximum likelihood estimation of latent Markov models using closed-form approximations	6
Nonparametric estimation of jump diffusion models	6
Academic and non-academic investments at university: The role of expectations, preferences and constraints	6
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	6
Detection of units with pervasive effects in large panel data models	6
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	6
The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects	6
Detecting granular time series in large panels	6
Bootstrap based probability forecasting in multiplicative error models	6
Semiparametric partially linear varying coefficient modal regression	6