Journal of Econometrics

Article	Citations
Analyzing cross-validation for forecasting with structural instability	4583
Time-Varying Parameters in Econometrics: The editor’s foreword	4460
Bond risk premiums at the zero lower bound	2807
Shrinkage estimators for periodic autoregressions	940
Local linearization based subvector inference in moment inequality models	445
Parametric estimation of long memory in factor models	231
Nonparametric comparison of epidemic time trends: The case of COVID-19	174
Locally robust inference for non-Gaussian linear simultaneous equations models	172
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	96
Inference in cluster randomized trials with matched pairs	87
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	75
A discrete-time hedging framework with multiple factors and fat tails: On what matters	73
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	64
Efficiency bounds for moment condition models with mixed identification strength	64
Inference on covariance-mean regression	64
On changepoint detection in functional data using empirical energy distance	61
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	60
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	58
Simple subvector inference on sharp identified set in affine models	55
Identification of semiparametric model coefficients, with an application to collective households	52
Semiparametric modeling of multiple quantiles	47
A computational approach to identification of treatment effects for policy evaluation	46
Bootstrapping out-of-sample predictability tests with real-time data	45
Efficient closed-form estimation of large spatial autoregressions	45
Neural Conformal Inference for jump diffusion processes	44

A multivariate realized GARCH model	43
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	42
Editorial Board	41
You are what your parents expect: Height and local reference points	37
Identifying causal effects in experiments with spillovers and non-compliance	37
Stochastic properties of nonlinear locally-nonstationary filters	36
From LATE to ATE: A Bayesian approach	36
Bregman model averaging for forecast combination	34
High dimensional regression coefficient test with high frequency data	33
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	31
Measuring tail risk	30
Initial conditions and Blundell–Bond estimators	30
Robust likelihood estimation of dynamic panel data models	29
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	29
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	29
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	28
Simple estimators and inference for higher-order stochastic volatility models	27
Covariate-adjusted Fisher randomization tests for the average treatment effect	27
Limit theory and inference in non-cointegrated functional coefficient regression	27
Residual-augmented IVX predictive regression	26
Latent utility and permutation invariance: A revealed preference approach	26
Feature-splitting algorithms for ultrahigh dimensional quantile regression	26
Nonseparable sample selection models with censored selection rules	26
GLS under monotone heteroskedasticity	26
High-dimensional conditionally Gaussian state space models with missing data	25
Testing identification conditions of LATE in fuzzy regression discontinuity designs	25
Semiparametrically optimal cointegration test	25
Identification and estimation of a search model with heterogeneous consumers and firms	25
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	24
Joint inference based on Stein-type averaging estimators in the linear regression model	24
Cross-sectional dependence in idiosyncratic volatility	23
Editorial Board	23
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	23
Policy evaluation during a pandemic	23
A large confirmatory dynamic factor model for stock market returns in different time zones	23
Editorial Board	23
Estimating high dimensional monotone index models by iterative convex optimization	23
Semiparametric model averaging prediction for dichotomous response	22
SVARs with occasionally-binding constraints	22
Editorial Board	22
Incentive-driven inattention	22
Editorial Board	21
Relaxing conditional independence in an endogenous binary response model	21
Nonparametric Bayes subject to overidentified moment conditions	21
Functional time series approach to analyzing asset returns co-movements	21
Inference in models with partially identified control functions	21
Editorial Board	20
An improved bootstrap test for restricted stochastic dominance	20
Likelihood approach to dynamic panel models with interactive effects	19
Inference after estimation of breaks	19

Hypothesis testing on high dimensional quantile regression	19
Consistent causal inference for high-dimensional time series	19
Testing unconditional and conditional independence via mutual information	19
Inequality and the zero lower bound	18
Evaluating forecast performance with state dependence	18
A Correlated Random Coefficient panel model with time-varying endogeneity	18
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	18
Distribution regression with censored selection	18
Boosting high dimensional predictive regressions with time varying parameters	17
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	17
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	17
The robust F-statistic as a test for weak instruments	17
Panel data models with time-varying latent group structures	17
Identification of dynamic binary response models	17
CRPS learning	17
Inference in Structural Vector Autoregressions identified with an external instrument	17
On testing for spatial or social network dependence in panel data allowing for network variability	16
Logical differencing in dyadic network formation models with nontransferable utilities	16
Editorial Board	16
Editorial for special issue in honor of Francis X. Diebold	16
Bayesian Methods in Economics and Finance: Editor’s Introduction	16
Prices, profits, proxies, and production	16
Bootstrap specification tests for dynamic conditional distribution models	16
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	15
The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions	15
Robust estimation with exponentially tilted Hellinger distance	15
Predictive ability tests with possibly overlapping models	15
Editorial Board	15
Multiple treatments with strategic substitutes	15
Debiased machine learning of set-identified linear models	15
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	15
Editorial Board	14
Infinite Markov pooling of predictive distributions	14
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	14
A comparative analysis of two-way fixed effects estimators in staggered treatment designs	14
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	14
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	14
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	14
Common volatility shocks driven by the global carbon transition	14
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	14
Penalized time-varying model averaging	14
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	14
Fast and accurate variational inference for models with many latent variables	14
Bayesian estimation of cluster covariance matrices of unknown form	13
Estimation of continuous-time linear DSGE models from discrete-time measurements	13
Editorial Board	13
Bipartite network influence analysis of a two-mode network	13
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	13
Mind your language: Market responses to central bank speeches	13
Sieve estimation of option-implied state price density	13
My experience of working for the JE-1991-2013	13
A Note from the Editors	13
A test of the selection on observables assumption using a discontinuously distributed covariate	13
Reprint: Hypothesis testing on high dimensional quantile regression	13
State-dependent local projections	13
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	13
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	13
Large volatility matrix analysis using global and national factor models	12
On improvability of model selection by model averaging	12
Maximum likelihood estimation of stochastic frontier models with endogeneity	12
Simultaneous inference for time-varying models	12
On the performance of the Neyman Allocation with small pilots	12
Estimating multinomial choice models with unobserved choice sets	12
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	12
Robust testing for explosive behavior with strongly dependent errors	12
Estimating option pricing models using a characteristic function-based linear state space representation	12
State-domain change point detection for nonlinear time series regression	12
Parental beliefs about returns to child health investments	12
Identifying latent group structures in spatial dynamic panels	12
No star is good news: A unified look at rerandomization based on p-va	12
Treatment recommendation with distributional targets	11
Time-varying unobserved heterogeneity in earnings shocks	11
Indirect inference estimation of dynamic panel data models	11
Social connections and the sorting of workers to firms	11
A penalized two-pass regression to predict stock returns with time-varying risk premia	11
Quantile control via random forest	11
Testing stochastic dominance with many conditioning variables	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Network and panel quantile effects via distribution regression	11
Editorial Board	11

An empirical total survey error decomposition using data combination	11
Estimation of varying coefficient models with measurement error	11
Partially identifying competing risks models: An application to the war on cancer	11
Non-representative sampled networks: Estimation of network structural properties by weighting	11
Regularizing stock return covariance matrices via multiple testing of correlations	10
Themed issue: Quantile regression and data heterogeneity	10
A simple and computationally trivial estimator for grouped fixed effects models	10
Dynamic factor copula models with estimated cluster assignments	10
Identification and estimation of dynamic structural models with unobserved choices	10
Time varying Markov process with partially observed aggregate data: An application to coronavirus	10
Long-run risk in stationary vector autoregressive models	10
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	10
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	10
Efficient quantile covariate adjusted response adaptive experiments	10
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	10
On LASSO for predictive regression	10
Editorial Board	10
Using large samples in econometrics	10
Dynamics and heterogeneity of subjective stock market expectations	10
Tensor time series imputation through tensor factor modelling	10
Dynamic modeling for multivariate functional and longitudinal data	10
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	10
Editorial Board	10
Dynamic discrete choice models with incomplete data: Sharp identification	10
Time-varying instrumental variable estimation	10
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	9
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	9
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	9
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	9
Multi-dimensional latent group structures with heterogeneous distributions	9
Synthetic Learner: Model-free inference on treatments over time	9
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	9
Adjustments with many regressors under covariate-adaptive randomizations	9
A test for Kronecker Product Structure covariance matrix	9
Inference in predictive quantile regressions	9
Latent complementarity in bundles models	9
GMM estimation for high-dimensional panel data models	9
2SLS with multiple treatments	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Faster estimation of dynamic discrete choice models using index invertibility	9
Target PCA: Transfer learning large dimensional panel data	9
Nonparametric estimation for high-frequency data incorporating trading information	9
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	9
Canonical correlation-based model selection for the multilevel factors	9
On superlevel sets of conditional densities and multivariate quantile regression	9
Comparing stochastic volatility specifications for large Bayesian VARs	9
An unbounded intensity model for point processes	9
Nowcasting the output gap	9
Autoregressive conditional betas	9
Testing for sparse idiosyncratic components in factor-augmented regression models	9
Approximate maximum likelihood for complex structural models	8
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	8
Inference under covariate-adaptive randomization with imperfect compliance	8
Editorial Board	8
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	8
Dynamic conditional eigenvalue GARCH	8
Editorial Board	8
Moments, shocks and spillovers in Markov-switching VAR models	8
Isotonic regression discontinuity designs	8
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	8
Treatment effects in interactive fixed effects models with a small number of time periods	8
Identification of mixtures of dynamic discrete choices	8
β in the tails	8
Local projections vs. VARs: Lessons from thousands of DGPs	8
Do firm effects drift? Evidence from Washington administrative data	8
Taking advantage of biased proxies for forecast evaluation	8
Stable outcomes and information in games: An empirical framework	8
Editorial Board	8
Covariate adjustment in experiments with matched pairs	8
Distribution-invariant differential privacy	8
Cross-section bootstrap for CCE regressions	8
Weak identification in discrete choice models	8
Establishment age and wages	8
Self-perceptions about academic achievement: Evidence from Mexico City	8
Experience as Co-Editor, A. Ronald Gallant	8
Approximate factor models with weaker loadings	8
Model averaging prediction byK-fold cross-validation	8
Beliefs about public debt and the demand for government spending	8
Identification and estimation of partial effects in nonlinear semiparametric panel models	7
A GMM approach to estimate the roughness of stochastic volatility	7
A time-varying parameter model for local explosions	7
Projected estimation for large-dimensional matrix factor models	7
Bias in local projections	7
Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach	7
Stationary vine copula models for multivariate time series	7
Loss aversion and the welfare ranking of policy interventions	7
Quantile analysis of “hazard-rate” game models	7
Editorial Board	7
One instrument to rule them all: The bias and coverage of just-ID IV	7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	7
Group fused Lasso for large factor models with multiple structural breaks	7
Semiparametric estimation of latent variable asset pricing models	7
Robust inference in first-price auctions: Overbidding as an identifying restriction	7
Testing for parameter instability and structural change in persistent predictive regressions	7
Factor investing: A Bayesian hierarchical approach	7