Journal of Econometrics

(The TQCC of Journal of Econometrics is 7. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-06-01 to 2024-06-01.)
Difference-in-differences with variation in treatment timing2345
Difference-in-Differences with multiple time periods2233
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects1457
Doubly robust difference-in-differences estimators364
Design-based analysis in Difference-In-Differences settings with staggered adoption267
Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S.265
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature240
Autoencoder asset pricing models203
Consumer panic in the COVID-19 pandemic138
Measuring news sentiment128
Identification and estimation of the SEIRD epidemic model for COVID-19121
Estimating latent asset-pricing factors105
Estimating the COVID-19 infection rate: Anatomy of an inference problem83
Testing the impossible: Identifying exclusion restrictions79
Cluster-robust inference: A guide to empirical practice73
Randomization inference for difference-in-differences with few treated clusters70
Inference in Structural Vector Autoregressions identified with an external instrument56
The term structure of equity and variance risk premia53
Overlap in observational studies with high-dimensional covariates46
Reducing the state space dimension in a large TVP-VAR46
Can we measure inflation expectations using Twitter?45
Maximum likelihood estimation for score-driven models43
Surveying business uncertainty43
Autoregressive models for matrix-valued time series41
Model averaging prediction by K-fold cross-validation40
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure39
Illuminating economic growth39
Time series analysis of COVID-19 infection curve: A change-point perspective37
Estimating the fraction of unreported infections in epidemics with a known epicenter: An application to COVID-1937
Nowcasting in a pandemic using non-parametric mixed frequency VARs37
Nonlinear factor models for network and panel data33
High dimensional minimum variance portfolio estimation under statistical factor models33
Heterogeneous structural breaks in panel data models32
Panel forecasts of country-level Covid-19 infections31
When will the Covid-19 pandemic peak?30
Smoothed quantile regression with large-scale inference30
Time-varying general dynamic factor models and the measurement of financial connectedness29
Inference in Bayesian Proxy-SVARs29
On the robustness of the pooled CCE estimator29
Regression discontinuity design with many thresholds28
On LASSO for predictive regression28
On factor models with random missing: EM estimation, inference, and cross validation27
Volatility analysis with realized GARCH-Itô models27
Closed-form implied volatility surfaces for stochastic volatility models with jumps26
Time-varying model averaging26
Tail risk and return predictability for the Japanese equity market25
On the unbiased asymptotic normality of quantile regression with fixed effects24
Econometric analysis of production networks with dominant units24
It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages24
Two-way fixed effects and differences-in-differences estimators with several treatments23
Labor market search, informality, and on-the-job human capital accumulation23
Joint Bayesian inference about impulse responses in VAR models22
Estimation and inference of change points in high-dimensional factor models22
Liquidity and volatility in the U.S. Treasury market22
The drift burst hypothesis22
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements22
Identifying latent group structures in nonlinear panels22
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with 21
Dynamic spatial panel data models with common shocks21
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process21
Volatility estimation and jump detection for drift–diffusion processes21
Deviance information criterion for latent variable models and misspecified models21
A survey of preference estimation with unobserved choice set heterogeneity21
Beliefs about public debt and the demand for government spending21
Generic results for establishing the asymptotic size of confidence sets and tests21
Estimating and testing high dimensional factor models with multiple structural changes21
Multivariate leverage effects and realized semicovariance GARCH models21
Nowcasting the output gap21
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections20
Uniform nonparametric inference for time series20
Bootstrapping factor models with cross sectional dependence20
Robust Bayesian inference in proxy SVARs20
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]20
Identification of structural vector autoregressions through higher unconditional moments19
Semiparametric model averaging prediction for dichotomous response19
Celebrating 40 years of panel data analysis: Past, present and future18
Option market trading activity and the estimation of the pricing kernel: A Bayesian approach18
Efficient estimation of heterogeneous coefficients in panel data models with common shocks18
Nowcasting with large Bayesian vector autoregressions18
Testing continuity of a density via g-order statistics in the regression discontinuity design18
High-frequency jump tests: Which test should we use?18
Covariate-adjusted Fisher randomization tests for the average treatment effect18
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness17
Inference for high-dimensional instrumental variables regression17
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality17
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables17
Estimation of panel group structure models with structural breaks in group memberships and coefficients16
Recursive estimation in large panel data models: Theory and practice16
Max-linear regression models with regularization16
GMM quantile regression16
Projected estimation for large-dimensional matrix factor models16
Boosting high dimensional predictive regressions with time varying parameters16
Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration16
Estimation and inference in semiparametric quantile factor models15
Disentangling moral hazard and adverse selection in private health insurance15
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks15
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure15
Understanding migration aversion using elicited counterfactual choice probabilities15
Instrument strength in IV estimation and inference: A guide to theory and practice15
Sparse HP filter: Finding kinks in the COVID-19 contact rate15
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models14
Large dimensional latent factor modeling with missing observations and applications to causal inference14
Spatial dynamic panel data models with correlated random effects14
Limit theorems for network dependent random variables14
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction14
A coupled component DCS-EGARCH model for intraday and overnight volatility14
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty14
An explainable attention network for fraud detection in claims management14
Testing for episodic predictability in stock returns14
Nonparametric estimation of large covariance matrices with conditional sparsity14
Tail and center rounding of probabilistic expectations in the Health and Retirement Study14
Factor models with local factors — Determining the number of relevant factors14
Incorporating overnight and intraday returns into multivariate GARCH volatility models13
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors13
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia13
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps13
Identification of structural multivariate GARCH models13
Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit13
Factor-based imputation of missing values and covariances in panel data of large dimensions13
Statistical inferences for price staleness13
High-dimensional VARs with common factors12
High-dimensional predictive regression in the presence of cointegration12
Approximate factor models with weaker loadings12
Nearest comoment estimation with unobserved factors12
Consistent inference for predictive regressions in persistent economic systems12
ExpectHill estimation, extreme risk and heavy tails12
Maternal subjective expectations about the technology of skill formation predict investments in children one year later12
A doubly corrected robust variance estimator for linear GMM12
Fast and accurate variational inference for models with many latent variables12
Linear IV regression estimators for structural dynamic discrete choice models12
Estimation of heterogeneous panels with systematic slope variations12
An empirical total survey error decomposition using data combination12
Do firm effects drift? Evidence from Washington administrative data11
Estimation and inference in spatial models with dominant units11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management11
Simultaneous inference for time-varying models11
Estimation of Covid-19 prevalence from serology tests: A partial identification approach11
Stationary vine copula models for multivariate time series11
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff11
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia11
Time varying Markov process with partially observed aggregate data: An application to coronavirus11
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root11
A GMM approach to estimate the roughness of stochastic volatility11
Heterogeneous panel data models with cross-sectional dependence11
Self-perceptions about academic achievement: Evidence from Mexico City11
Nonstationary panel models with latent group structures and cross-section dependence11
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models11
Continuous record Laplace-based inference about the break date in structural change models11
Macroeconomic uncertainty prices when beliefs are tenuous11
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models10
Identification in nonparametric models for dynamic treatment effects10
SVARs with occasionally-binding constraints10
Estimation of a multiplicative correlation structure in the large dimensional case10
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments10
Global temperatures and greenhouse gases: A common features approach10
Impossible inference in econometrics: Theory and applications10
Time-varying instrumental variable estimation10
On improvability of model selection by model averaging10
Nonparametric difference-in-differences in repeated cross-sections with continuous treatments10
Treatment effects in interactive fixed effects models with a small number of time periods10
Unobserved heterogeneity in auctions under restricted stochastic dominance10
Panel threshold models with interactive fixed effects10
Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”9
Semiparametric identification in panel data discrete response models9
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations9
Robust likelihood estimation of dynamic panel data models9
Semiparametrically efficient estimation of the average linear regression function9
Parental beliefs about returns to child health investments9
PELVE: Probability Equivalent Level of VaR and ES9
Testing the existence of moments for GARCH processes9
Quantile regression methods for first-price auctions9
Spanning tests for Markowitz stochastic dominance9
A weighted sieve estimator for nonparametric time series models with nonstationary variables9
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity9
Heterogeneity in households’ stock market beliefs9
Efficient size correct subset inference in homoskedastic linear instrumental variables regression9
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models8
Vehicle size choice and automobile externalities: A dynamic analysis8
The role of heterogeneous risk preferences, discount rates, and earnings expectations in college major choice8
Testing identification strength8
Optimal model averaging based on forward-validation8
Inference in ordered response games with complete information8
Lasso inference for high-dimensional time series8
Estimation and inference in heterogeneous spatial panels with a multifactor error structure8
Identification and estimation of spillover effects in randomized experiments8
Testing and relaxing the exclusion restriction in the control function approach8
Asset selection based on high frequency Sharpe ratio8
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure8
Who should get vaccinated? Individualized allocation of vaccines over SIR network8
Parsimony inducing priors for large scale state–space models8
Local regression distribution estimators8
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models8
The dynamic factor network model with an application to international trade8
Spatial dynamic models with intertemporal optimization: Specification and estimation8
Reflections on “Testing for unit roots in heterogeneous panels”8
Initial conditions and Blundell–Bond estimators8
Simple and trustworthy cluster-robust GMM inference8
Nonlinearities and regimes in conditional correlations with different dynamics8
Quasi-maximum likelihood estimation of break point in high-dimensional factor models7
A Bayesian robust chi-squared test for testing simple hypotheses7
Integrated likelihood based inference for nonlinear panel data models with unobserved effects7
Dynamic decisions under subjective expectations: A structural analysis7
Posterior-based Wald-type statistics for hypothesis testing7
Counterfactual prediction in complete information games: Point prediction under partial identification7
Control variables, discrete instruments, and identification of structural functions7
Volatility measurement with pockets of extreme return persistence7
Profile GMM estimation of panel data models with interactive fixed effects7
High-dimensional test for alpha in linear factor pricing models with sparse alternatives7
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence7
Quasi score-driven models7
Testing for observation-dependent regime switching in mixture autoregressive models7
Firm pay dynamics7
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions7
An automated approach towards sparse single-equation cointegration modelling7
Infinite Markov pooling of predictive distributions7
Community network auto-regression for high-dimensional time series7
Permutation test for heterogeneous treatment effects with a nuisance parameter7
Comparing stochastic volatility specifications for large Bayesian VARs7
Survey weighted estimating equation inference with nuisance functionals7
Time series estimation of the dynamic effects of disaster-type shocks7
An integrated panel data approach to modelling economic growth7
A new robust inference for predictive quantile regression7
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models7
Uncovering heterogeneous social effects in binary choices7
Simple tests for stock return predictability with good size and power properties7
High frequency traders and the price process7
Semiparametric estimation of dynamic discrete choice models7
How should parameter estimation be tailored to the objective?7
Forward-selected panel data approach for program evaluation7
Relevant parameter changes in structural break models7