Journal of Econometrics

Article	Citations
Analyzing cross-validation for forecasting with structural instability	3823
Time-Varying Parameters in Econometrics: The editor’s foreword	3765
Efficiency bounds for moment condition models with mixed identification strength	2388
Simple subvector inference on sharp identified set in affine models	698
Bond risk premiums at the zero lower bound	398
Shrinkage estimators for periodic autoregressions	273
Semiparametric modeling of multiple quantiles	188
Local linearization based subvector inference in moment inequality models	134
Parametric estimation of long memory in factor models	132
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	71
A computational approach to identification of treatment effects for policy evaluation	68
Inference on covariance-mean regression	68
Identification of semiparametric model coefficients, with an application to collective households	68
Nonparametric comparison of epidemic time trends: The case of COVID-19	67
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	58
Locally robust inference for non-Gaussian linear simultaneous equations models	57
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	55
Bootstrapping out-of-sample predictability tests with real-time data	54
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	52
Inference in cluster randomized trials with matched pairs	52
A discrete-time hedging framework with multiple factors and fat tails: On what matters	46
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	45
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	45
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	40
Efficient closed-form estimation of large spatial autoregressions	39

Measuring tail risk	38
Editorial Board	38
The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects	38
Simple estimators and inference for higher-order stochastic volatility models	36
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	35
Robust likelihood estimation of dynamic panel data models	35
You are what your parents expect: Height and local reference points	34
Covariate-adjusted Fisher randomization tests for the average treatment effect	34
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	34
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	33
Stochastic properties of nonlinear locally-nonstationary filters	33
Identifying causal effects in experiments with spillovers and non-compliance	33
Latent utility and permutation invariance: A revealed preference approach	32
Nonseparable sample selection models with censored selection rules	31
From LATE to ATE: A Bayesian approach	31
Feature-splitting algorithms for ultrahigh dimensional quantile regression	30
High dimensional regression coefficient test with high frequency data	29
Editorial Board	29
Limit theory and inference in non-cointegrated functional coefficient regression	28
Initial conditions and Blundell–Bond estimators	27
Residual-augmented IVX predictive regression	26
GLS under monotone heteroskedasticity	26
Autoencoder asset pricing models	26
Testing identification conditions of LATE in fuzzy regression discontinuity designs	25
Policy evaluation during a pandemic	24
SVARs with occasionally-binding constraints	24
The implied arbitrage mechanism in financial markets	24
Semiparametric model averaging prediction for dichotomous response	24
Time-varying model averaging	24
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	24
High-dimensional conditionally Gaussian state space models with missing data	24
Editorial Board	24
Semiparametrically optimal cointegration test	23
Incentive-driven inattention	23
Joint inference based on Stein-type averaging estimators in the linear regression model	23
Editorial Board	23
Identification and estimation of a search model with heterogeneous consumers and firms	22
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	22
A large confirmatory dynamic factor model for stock market returns in different time zones	22
Estimating high dimensional monotone index models by iterative convex optimization	21
Editorial Board	21
Editorial Board	21
Boosting high dimensional predictive regressions with time varying parameters	20
Nonparametric Bayes subject to overidentified moment conditions	20
Relaxing conditional independence in an endogenous binary response model	20
Inference in models with partially identified control functions	20
Functional time series approach to analyzing asset returns co-movements	19
An improved bootstrap test for restricted stochastic dominance	19
CRPS learning	19
Editorial Board	19

Evaluating forecast performance with state dependence	19
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	19
Hypothesis testing on high dimensional quantile regression	18
Editorial Board	18
Consistent causal inference for high-dimensional time series	18
Testing unconditional and conditional independence via mutual information	18
Likelihood approach to dynamic panel models with interactive effects	18
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	18
Evaluating consumers’ choices of Medicare Part D plans: A study in behavioral welfare economics	17
Identification of dynamic binary response models	17
A Correlated Random Coefficient panel model with time-varying endogeneity	17
Inference after estimation of breaks	17
Inequality and the zero lower bound	17
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	16
Panel data models with time-varying latent group structures	16
On testing for spatial or social network dependence in panel data allowing for network variability	16
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	16
Bayesian Methods in Economics and Finance: Editor’s Introduction	16
The robust F-statistic as a test for weak instruments	16
Inference in Structural Vector Autoregressions identified with an external instrument	16
Editorial Board	15
Editorial Board	15
Logical differencing in dyadic network formation models with nontransferable utilities	15
Editorial for special issue in honor of Francis X. Diebold	15
Prices, profits, proxies, and production	15
Bootstrap specification tests for dynamic conditional distribution models	15
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	14
Multiple treatments with strategic substitutes	14
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	14
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	14
Estimation of continuous-time linear DSGE models from discrete-time measurements	14
Robust estimation with exponentially tilted Hellinger distance	14
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	14
The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions	14
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	14
Editorial Board	14
Editorial Board	13
State-dependent local projections	13
Penalized time-varying model averaging	13
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	13
Predictive ability tests with possibly overlapping models	13
A weighted sieve estimator for nonparametric time series models with nonstationary variables	13
Sieve estimation of option-implied state price density	13
Debiased machine learning of set-identified linear models	13
Infinite Markov pooling of predictive distributions	13
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	13
Fast and accurate variational inference for models with many latent variables	13
Maximum likelihood estimation of stochastic frontier models with endogeneity	12
State-domain change point detection for nonlinear time series regression	12
On the performance of the Neyman Allocation with small pilots	12
Identifying latent group structures in spatial dynamic panels	12
Bayesian estimation of cluster covariance matrices of unknown form	12
Editorial Board	12
My experience of working for the JE-1991-2013	12
A Note from the Editors	12
Reprint: Hypothesis testing on high dimensional quantile regression	12
Common volatility shocks driven by the global carbon transition	12
Mind your language: Market responses to central bank speeches	12
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	12
Bipartite network influence analysis of a two-mode network	12
Robust testing for explosive behavior with strongly dependent errors	12
Non-representative sampled networks: Estimation of network structural properties by weighting	11
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	11
Limit theorems for network dependent random variables	11
A test of the selection on observables assumption using a discontinuously distributed covariate	11
On improvability of model selection by model averaging	11
Estimating multinomial choice models with unobserved choice sets	11
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	11
No star is good news: A unified look at rerandomization based on p-va	11
Network and panel quantile effects via distribution regression	11
Dynamic decisions under subjective expectations: A structural analysis	11
Estimating option pricing models using a characteristic function-based linear state space representation	11
Indirect inference for locally stationary models	11
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	11
Large volatility matrix analysis using global and national factor models	11
Simultaneous inference for time-varying models	11
Social connections and the sorting of workers to firms	11
Parental beliefs about returns to child health investments	11
A penalized two-pass regression to predict stock returns with time-varying risk premia	10
Partially identifying competing risks models: An application to the war on cancer	10

Simple and trustworthy cluster-robust GMM inference	10
Time varying Markov process with partially observed aggregate data: An application to coronavirus	10
Regularizing stock return covariance matrices via multiple testing of correlations	10
Treatment recommendation with distributional targets	10
Editorial Board	10
Indirect inference estimation of dynamic panel data models	10
An empirical total survey error decomposition using data combination	10
Dynamics and heterogeneity of subjective stock market expectations	10
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	10
Using large samples in econometrics	10
Epilogue	10
Dynamic factor copula models with estimated cluster assignments	10
Overview: Implementation of structural dynamic models: Methodology and applications	10
Time-varying unobserved heterogeneity in earnings shocks	10
Testing stochastic dominance with many conditioning variables	9
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	9
Efficient quantile covariate adjusted response adaptive experiments	9
Nonparametric estimation for high-frequency data incorporating trading information	9
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	9
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	9
Dynamic discrete choice models with incomplete data: Sharp identification	9
Estimation of varying coefficient models with measurement error	9
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	9
Quantile control via random forest	9
Identification and estimation of dynamic structural models with unobserved choices	9
Editorial Board	9
On superlevel sets of conditional densities and multivariate quantile regression	9
On LASSO for predictive regression	9
Editorial Board	9
Tensor time series imputation through tensor factor modelling	9
Dynamic modeling for multivariate functional and longitudinal data	9
Themed issue: Quantile regression and data heterogeneity	9
2SLS with multiple treatments	9
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	9
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	9
Long-run risk in stationary vector autoregressive models	9
Target PCA: Transfer learning large dimensional panel data	9
Time-varying instrumental variable estimation	9
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	8
Adjustments with many regressors under covariate-adaptive randomizations	8
Latent complementarity in bundles models	8
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	8
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	8
Canonical correlation-based model selection for the multilevel factors	8
Volatility analysis with realized GARCH-Itô models	8
Editorial Board	8
Testing for sparse idiosyncratic components in factor-augmented regression models	8
Inference in predictive quantile regressions	8
Solving Euler equations via two-stage nonparametric penalized splines	8
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	8
Nowcasting the output gap	8
An unbounded intensity model for point processes	8
Inference under covariate-adaptive randomization with imperfect compliance	8
Using penalized likelihood to select parameters in a random coefficients multinomial logit model	8
Autoregressive conditional betas	8
Multi-dimensional latent group structures with heterogeneous distributions	8
Synthetic Learner: Model-free inference on treatments over time	8
GMM estimation for high-dimensional panel data models	8
Comparing stochastic volatility specifications for large Bayesian VARs	8
Local projections vs. VARs: Lessons from thousands of DGPs	8
A test for Kronecker Product Structure covariance matrix	8
Establishment age and wages	8
Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores	7
Isotonic regression discontinuity designs	7
Moments, shocks and spillovers in Markov-switching VAR models	7
Weak identification in discrete choice models	7
Self-perceptions about academic achievement: Evidence from Mexico City	7
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	7
Beliefs about public debt and the demand for government spending	7
Estimating the variance of a combined forecast: Bootstrap-based approach	7
Experience as Co-Editor, A. Ronald Gallant	7
Linear IV regression estimators for structural dynamic discrete choice models	7
Distribution-invariant differential privacy	7
Dynamic conditional eigenvalue GARCH	7
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	7
Approximate factor models with weaker loadings	7
Approximate maximum likelihood for complex structural models	7
Model averaging prediction byK-fold cross-validation	7
Stable outcomes and information in games: An empirical framework	7
Editorial Board	7
Cross-section bootstrap for CCE regressions	7
Covariate adjustment in experiments with matched pairs	7
β in the tails	7
Treatment effects in interactive fixed effects models with a small number of time periods	7
Identification of mixtures of dynamic discrete choices	7
Do firm effects drift? Evidence from Washington administrative data	7
Editorial Board	7