Journal of Econometrics

Article	Citations
Editorial Board	3153
Editorial Board	3089
On uniform inference in nonlinear models with endogeneity	1968
Is Newey–West optimal among first-order kernels?	470
Editorial Board	327
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach	225
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers	163
The determinants of displaced workers’ wages: Sorting, matching, selection, and the Hartz reforms	102
Identification of semiparametric model coefficients, with an application to collective households	78
A computational approach to identification of treatment effects for policy evaluation	63
The variance of regression coefficients when the population is finite	59
On model selection criteria for climate change impact studies	53
The law of large numbers for large stable matchings	52
Asymptotic properties of Bayesian inference in linear regression with a structural break	52
Identification of dynamic games with unobserved heterogeneity and multiple equilibria	48
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	48
Second-order corrected likelihood for nonlinear panel models with fixed effects	48
Estimation and inference of seller’s expected revenue in first-price auctions	48
Detecting granular time series in large panels	44
Testing heterogeneous treatment effect with quantile regression under covariate-adaptive randomization	41
Probabilistic prediction for binary treatment choice: With focus on personalized medicine	38
News-implied linkages and local dependency in the equity market	38
Indirect inference estimation of dynamic panel data models	35
Treatment recommendation with distributional targets	35
Robust realized integrated beta estimator with application to dynamic analysis of integrated beta	35

Testing high-dimensional covariance matrices under the elliptical distribution and beyond	34
Time-varying unobserved heterogeneity in earnings shocks	34
Two-step estimation of censored quantile regression for duration models with time-varying regressors	33
One-way or two-way factor model for matrix sequences?	33
Editorial Board	33
Real-time Bayesian learning and bond return predictability	32
Fast inference for quantile regression with tens of millions of observations	31
Hybrid quantile estimation for asymmetric power GARCH models	30
Estimation and inference for policy relevant treatment effects	29
Estimating unobserved individual heterogeneity using pairwise comparisons	29
Semiparametric approach to estimation of marginal mean effects and marginal quantile effects	27
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model	27
Nonparametric identification and estimation of the extended Roy model	27
The term structure of macroeconomic risks at the effective lower bound	27
A new generalized exponentially weighted moving average quantile model and its statistical inference	26
Goodness-of-fit testing for time series models via distance covariance	26
Understanding temporal aggregation effects on kurtosis in financial indices	26
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	25
Parsimony inducing priors for large scale state–space models	25
The spread of COVID-19 in London: Network effects and optimal lockdowns	25
Overview: Implementation of structural dynamic models: Methodology and applications	24
Jackknife empirical likelihood for inequality constraints on regular functionals	24
Gender differences in sorting on wages and risk	24
Inference without smoothing for large panels with cross-sectional and temporal dependence	23
Testing stochastic dominance with many conditioning variables	22
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia	22
Quasi score-driven models	22
Partially identifying competing risks models: An application to the war on cancer	22
Distributional counterfactual analysis in high-dimensional setup	21
Time-varying forecast combination for factor-augmented regressions with smooth structural changes	21
Identification of heterogeneous elasticities in gross-output production functions	21
Computing semiparametric efficiency bounds in discrete choice models with strategic-interactions and rational expectations	20
Efficiency bounds for moment condition models with mixed identification strength	20
Editorial Board	20
Dynamic modeling for multivariate functional and longitudinal data	20
Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data	20
A User’s guide for inference in models defined by moment inequalities	19
Efficient quantile covariate adjusted response adaptive experiments	18
Dynamic factor copula models with estimated cluster assignments	18
Shrinkage estimation of multiple threshold factor models	18
Parametric estimation of long memory in factor models	18
Estimation and identification of latent group structures in panel data	18
Bounds on distributional treatment effect parameters using panel data with an application on job displacement	18
A penalized two-pass regression to predict stock returns with time-varying risk premia	18
Estimation and variable selection for high-dimensional spatial dynamic panel data models	17
Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence	17
Time-varying forecast combination for high-dimensional data	17
The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects	16
Semi-nonparametric estimation of random coefficients logit model for aggregate demand	16
Bias reduction in spot volatility estimation from options	16

Semiparametric estimation of long-term treatment effects	16
A Bayesian robust chi-squared test for testing simple hypotheses	16
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence	16
Estimation of varying coefficient models with measurement error	16
Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic	16
Inferential theory for heterogeneity and cointegration in large panels	16
An integrated panel data approach to modelling economic growth	16
Inference on covariance-mean regression	15
Introduction to the Annals Issue in Honor of Gary Chamberlain	15
Nonparametric jump variation measures from options	15
Overview: Time series analysis of higher moments and distributions of financial data	15
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	15
Editorial Board	15
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	15
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	15
Editorial Board	15
Quantile regression methods for first-price auctions	15
Introduction to the Journal of Econometrics Annals Issue on “Subjective Expectations and Probabilities in Economics”	15
Editorial Board	14
A dynamic conditional score model for the log correlation matrix	14
Epilogue	14
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	14
Time-Varying Parameters in Econometrics: The editor’s foreword	14
The Observed Asymptotic Variance: Hard edges, and a regression approach	14
The Journal of Econometrics 2012–2018	14
Dynamics and heterogeneity of subjective stock market expectations	14
(Machine) learning parameter regions	14
Regularizing stock return covariance matrices via multiple testing of correlations	13
Efficient closed-form estimation of large spatial autoregressions	13
Locally robust inference for non-Gaussian linear simultaneous equations models	13
What is a standard error?	13
Frequentist properties of Bayesian inequality tests	13
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks	13
The distribution of rolling regression estimators	12
Cluster-robust inference: A guide to empirical practice	12
The chained difference-in-differences	12
Shrinkage estimators for periodic autoregressions	12
Identification-robust and simultaneous inference in multifactor asset pricing models	12
Bootstrapping out-of-sample predictability tests with real-time data	12
Functional ecological inference	12
Estimation of complier expected shortfall treatment effects with a binary instrumental variable	11
Efficient estimation and filtering for multivariate jump–diffusions	11
Analyzing cross-validation for forecasting with structural instability	11
Robust Bayesian inference in proxy SVARs	11
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	11
Time-varying instrumental variable estimation	11
Bayesian factor-adjusted sparse regression	11
A general semiparametric approach to inference with marker-dependent hazard rate models	11
Tail behavior of ACD models and consequences for likelihood-based estimation	11
Fully modified least squares cointegrating parameter estimation in multicointegrated systems	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Nonstationary panel models with latent group structures and cross-section dependence	11
Using large samples in econometrics	11
Local linearization based subvector inference in moment inequality models	10
Joint Bayesian inference about impulse responses in VAR models	10
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	10
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times	10
Inference on the best policies with many covariates	10
Nonparametric comparison of epidemic time trends: The case of COVID-19	10
Testing for observation-dependent regime switching in mixture autoregressive models	10
Optimal nonparametric range-based volatility estimation	10
Editorial Board	10
Maximum likelihood estimation forα-stable double autoregressive mod	10
High dimensional semiparametric moment restriction models	10
Simple and trustworthy cluster-robust GMM inference	10
Quasi-maximum likelihood estimation of break point in high-dimensional factor models	10
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	10
Testing the martingale difference hypothesis in high dimension	9
Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model	9
The wisdom of the crowd and prediction markets	9
Higher-order least squares inference for spatial autoregressions	9
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	9
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	9
A discrete-time hedging framework with multiple factors and fat tails: On what matters	9
Inference in Bayesian Proxy-SVARs	9
On LASSO for predictive regression	9
Lasso inference for high-dimensional time series	9
Time series estimation of the dynamic effects of disaster-type shocks	9
Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit	9
Quantile control via random forest	9

An empirical total survey error decomposition using data combination	9
Refining set-identification in VARs through independence	9
Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models	9
Bond risk premiums at the zero lower bound	9
A doubly corrected robust variance estimator for linear GMM	9
A Multi-Kink quantile regression model with common structure for panel data analysis	9
Spatial autoregressions with an extended parameter space and similarity-based weights	9
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure	9
Better bunching, nicer notching	9
Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property	9
Improved marginal likelihood estimation via power posteriors and importance sampling	9
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	8
Comparing stochastic volatility specifications for large Bayesian VARs	8
Validating approximate slope homogeneity in large panels	8
Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis	8
Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing	8
Introduction to the Themed Issue: Macroeconometrics	8
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	8
Corrigendum to “Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78]	8
High dimensional regression coefficient test with high frequency data	8
Reprint of: The likelihood ratio test for structural changes in factor models	8
Natural disasters as macroeconomic tail risks	8
On LASSO for high dimensional predictive regression	8
Themed issue: Quantile regression and data heterogeneity	8
Inference in cluster randomized trials with matched pairs	8
Identifying causal effects in experiments with spillovers and non-compliance	8
Semiparametric modeling of multiple quantiles	8
Testing many restrictions under heteroskedasticity	7
Nonseparable sample selection models with censored selection rules	7
Overview: Structural econometrics honoring Daniel McFadden	7
Editorial Board	7
Distinguishing incentive from selection effects in auction-determined contracts	7
Detection of units with pervasive effects in large panel data models	7
Canonical correlation-based model selection for the multilevel factors	7
Model selection in utility-maximizing binary prediction	7
Editorial Board	7
Testing for time stochastic dominance	7
Identification-robust nonparametric inference in a linear IV model	7
Inference in ordered response games with complete information	7
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables	7
Dynamic discrete choice models with incomplete data: Sharp identification	7
Editorial Board	7
Spatial dynamic panel data models with correlated random effects	7
Journal of econometrics: The first 20 years	7
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression	7
Autoencoder asset pricing models	7
IV methods for Tobit models	7
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness	7
A comparison of the GB2 and skewed generalized log-t distributions with an application in finance	7
Some impossibility results for inference with cluster dependence with large clusters	7
Editorial Board	7
Introducing How-To papers	7
Model averaging prediction for time series models with a diverging number of parameters	7
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models	7
Testing the eigenvalue structure of spot and integrated covariance	7
A test for Kronecker Product Structure covariance matrix	7
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	6
Multi-dimensional latent group structures with heterogeneous distributions	6
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty	6
Testing the existence of moments for GARCH processes	6
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions	6
Generalized linear models with structured sparsity estimators	6
Solving Euler equations via two-stage nonparametric penalized splines	6
Editorial Board	6
Beyond RCP8.5: Marginal mitigation using quasi-representative concentration pathways	6
Who should get vaccinated? Individualized allocation of vaccines over SIR network	6
The effects of training incidence and planned training duration on labor market transitions	6
An information–Theoretic approach to partially identified auction models	6
Editorial Board	6
Nonparametric estimation for high-frequency data incorporating trading information	6
Extreme expectile estimation for short-tailed data	6
Asymptotic properties of correlation-based principal component analysis	6
Reproducibility and transparency versus privacy and confidentiality: Reflections from a data editor	6
Nonparametric estimation of large covariance matrices with conditional sparsity	6
On superlevel sets of conditional densities and multivariate quantile regression	6
Heterogeneity in households’ stock market beliefs	6
Hybrid unadjusted Langevin methods for high-dimensional latent variable models	6
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	6
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates	6
Score-type tests for normal mixtures	6
Improved estimation of semiparametric dynamic copula models with filtered nonstationarity	6
Inference on quantile processes with a finite number of clusters	6
Editorial Board	6
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	6
Hierarchical Markov-switching models for multivariate integer-valued time-series	6
Local mispricing and microstructural noise: A parametric perspective	6
SONIC: SOcial Network analysis with Influencers and Communities	6
Mental health and abortions among young women: time-varying unobserved heterogeneity, health behaviors, and risky decisions	6
Whitney Newey’s contributions to econometrics	6
Editorial Board	6
Semi-parametric single-index predictive regression models with cointegrated regressors	6
Identification and estimation of unconditional policy effects of an endogenous binary treatment: An unconditional MTE approach	5
On uniform confidence intervals for the tail index and the extreme quantile	5
An unbounded intensity model for point processes	5
Covariate-adjusted Fisher randomization tests for the average treatment effect	5