Journal of Econometrics

Article	Citations
Difference-in-differences with variation in treatment timing	2482
Difference-in-Differences with multiple time periods	2387
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects	1553
Doubly robust difference-in-differences estimators	384
Design-based analysis in Difference-In-Differences settings with staggered adoption	276
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature	275
Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S.	268
Autoencoder asset pricing models	209
Consumer panic in the COVID-19 pandemic	139
Measuring news sentiment	135
Identification and estimation of the SEIRD epidemic model for COVID-19	123
Estimating latent asset-pricing factors	107
Estimating the COVID-19 infection rate: Anatomy of an inference problem	84
Testing the impossible: Identifying exclusion restrictions	80
Cluster-robust inference: A guide to empirical practice	78
Randomization inference for difference-in-differences with few treated clusters	71
Inference in Structural Vector Autoregressions identified with an external instrument	58
The term structure of equity and variance risk premia	55
Can we measure inflation expectations using Twitter?	55
Overlap in observational studies with high-dimensional covariates	46
Reducing the state space dimension in a large TVP-VAR	46
Maximum likelihood estimation for score-driven models	45
Autoregressive models for matrix-valued time series	43
Surveying business uncertainty	43
Model averaging prediction by K-fold cross-validation	42

Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure	42
Nowcasting in a pandemic using non-parametric mixed frequency VARs	40
Time series analysis of COVID-19 infection curve: A change-point perspective	39
Illuminating economic growth	39
Estimating the fraction of unreported infections in epidemics with a known epicenter: An application to COVID-19	38
High dimensional minimum variance portfolio estimation under statistical factor models	34
Heterogeneous structural breaks in panel data models	33
Nonlinear factor models for network and panel data	33
Panel forecasts of country-level Covid-19 infections	33
Smoothed quantile regression with large-scale inference	31
Time-varying general dynamic factor models and the measurement of financial connectedness	31
When will the Covid-19 pandemic peak?	30
Inference in Bayesian Proxy-SVARs	30
On the robustness of the pooled CCE estimator	30
On LASSO for predictive regression	30
On factor models with random missing: EM estimation, inference, and cross validation	29
Two-way fixed effects and differences-in-differences estimators with several treatments	29
Closed-form implied volatility surfaces for stochastic volatility models with jumps	29
Regression discontinuity design with many thresholds	29
Volatility analysis with realized GARCH-Itô models	29
It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages	28
Time-varying model averaging	26
Tail risk and return predictability for the Japanese equity market	25
Beliefs about public debt and the demand for government spending	24
Identifying latent group structures in nonlinear panels	24
On the unbiased asymptotic normality of quantile regression with fixed effects	24
Econometric analysis of production networks with dominant units	24
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements	23
Joint Bayesian inference about impulse responses in VAR models	23
Nowcasting the output gap	23
Labor market search, informality, and on-the-job human capital accumulation	23
Liquidity and volatility in the U.S. Treasury market	23
Estimation and inference of change points in high-dimensional factor models	22
The drift burst hypothesis	22
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	22
Estimating and testing high dimensional factor models with multiple structural changes	22
Generic results for establishing the asymptotic size of confidence sets and tests	21
Multivariate leverage effects and realized semicovariance GARCH models	21
Volatility estimation and jump detection for drift–diffusion processes	21
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with	21
A survey of preference estimation with unobserved choice set heterogeneity	21
Dynamic spatial panel data models with common shocks	21
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]	21
Semiparametric model averaging prediction for dichotomous response	20
High-frequency jump tests: Which test should we use?	20
Covariate-adjusted Fisher randomization tests for the average treatment effect	20
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections	20
Uniform nonparametric inference for time series	20
Robust Bayesian inference in proxy SVARs	20
Bootstrapping factor models with cross sectional dependence	20

Nowcasting with large Bayesian vector autoregressions	19
Identification of structural vector autoregressions through higher unconditional moments	19
Projected estimation for large-dimensional matrix factor models	18
Testing continuity of a density via g-order statistics in the regression discontinuity design	18
Celebrating 40 years of panel data analysis: Past, present and future	18
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality	17
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness	17
Recursive estimation in large panel data models: Theory and practice	17
Inference for high-dimensional instrumental variables regression	17
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables	17
Factor models with local factors — Determining the number of relevant factors	16
Max-linear regression models with regularization	16
Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration	16
Estimation of panel group structure models with structural breaks in group memberships and coefficients	16
Boosting high dimensional predictive regressions with time varying parameters	16
Estimation and inference in semiparametric quantile factor models	16
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps	16
Approximate factor models with weaker loadings	16
Disentangling moral hazard and adverse selection in private health insurance	16
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure	16
Instrument strength in IV estimation and inference: A guide to theory and practice	16
Large dimensional latent factor modeling with missing observations and applications to causal inference	16
GMM quantile regression	16
Understanding migration aversion using elicited counterfactual choice probabilities	15
Spatial dynamic panel data models with correlated random effects	15
A coupled component DCS-EGARCH model for intraday and overnight volatility	15
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks	15
Factor-based imputation of missing values and covariances in panel data of large dimensions	15
Sparse HP filter: Finding kinks in the COVID-19 contact rate	15
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	15
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia	14
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models	14
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors	14
Statistical inferences for price staleness	14
Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit	14
An explainable attention network for fraud detection in claims management	14
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction	14
Nonparametric estimation of large covariance matrices with conditional sparsity	14
Limit theorems for network dependent random variables	14
Testing for episodic predictability in stock returns	14
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty	14
Incorporating overnight and intraday returns into multivariate GARCH volatility models	13
Fast and accurate variational inference for models with many latent variables	13
High-dimensional predictive regression in the presence of cointegration	13
Nearest comoment estimation with unobserved factors	13
Nonparametric difference-in-differences in repeated cross-sections with continuous treatments	13
High-dimensional VARs with common factors	13
Linear IV regression estimators for structural dynamic discrete choice models	13
A doubly corrected robust variance estimator for linear GMM	13
A GMM approach to estimate the roughness of stochastic volatility	13
Stationary vine copula models for multivariate time series	13
Identification of structural multivariate GARCH models	13
Continuous record Laplace-based inference about the break date in structural change models	12
Do firm effects drift? Evidence from Washington administrative data	12
Estimation of heterogeneous panels with systematic slope variations	12
Consistent inference for predictive regressions in persistent economic systems	12
Estimation and inference in spatial models with dominant units	12
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	12
ExpectHill estimation, extreme risk and heavy tails	12
Maternal subjective expectations about the technology of skill formation predict investments in children one year later	12
An empirical total survey error decomposition using data combination	12
Nonstationary panel models with latent group structures and cross-section dependence	11
Estimation of Covid-19 prevalence from serology tests: A partial identification approach	11
Self-perceptions about academic achievement: Evidence from Mexico City	11
Initial conditions and Blundell–Bond estimators	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Simultaneous inference for time-varying models	11
Macroeconomic uncertainty prices when beliefs are tenuous	11
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff	11
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia	11
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	11
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root	11
Heterogeneous panel data models with cross-sectional dependence	11
Treatment effects in interactive fixed effects models with a small number of time periods	11
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	10
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity	10
Identification in nonparametric models for dynamic treatment effects	10
Impossible inference in econometrics: Theory and applications	10
Panel threshold models with interactive fixed effects	10
On improvability of model selection by model averaging	10

Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	10
SVARs with occasionally-binding constraints	10
Comparing stochastic volatility specifications for large Bayesian VARs	10
Time-varying instrumental variable estimation	10
Local regression distribution estimators	10
A weighted sieve estimator for nonparametric time series models with nonstationary variables	10
Global temperatures and greenhouse gases: A common features approach	10
Heterogeneity in households’ stock market beliefs	10
Estimation of a multiplicative correlation structure in the large dimensional case	10
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	9
Testing the existence of moments for GARCH processes	9
Quantile regression methods for first-price auctions	9
Parental beliefs about returns to child health investments	9
Efficient size correct subset inference in homoskedastic linear instrumental variables regression	9
PELVE: Probability Equivalent Level of VaR and ES	9
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure	9
Robust likelihood estimation of dynamic panel data models	9
Estimation and inference in heterogeneous spatial panels with a multifactor error structure	9
Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”	9
Semiparametric identification in panel data discrete response models	9
Vehicle size choice and automobile externalities: A dynamic analysis	9
Reflections on “Testing for unit roots in heterogeneous panels”	9
Lasso inference for high-dimensional time series	9
Spanning tests for Markowitz stochastic dominance	9
Semiparametrically efficient estimation of the average linear regression function	9
Community network auto-regression for high-dimensional time series	9
An automated approach towards sparse single-equation cointegration modelling	8
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	8
Identification and estimation of spillover effects in randomized experiments	8
Asset selection based on high frequency Sharpe ratio	8
Testing identification strength	8
A Bayesian robust chi-squared test for testing simple hypotheses	8
Nonlinearities and regimes in conditional correlations with different dynamics	8
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models	8
Infinite Markov pooling of predictive distributions	8
Testing and relaxing the exclusion restriction in the control function approach	8
Spatial dynamic models with intertemporal optimization: Specification and estimation	8
Volatility measurement with pockets of extreme return persistence	8
Who should get vaccinated? Individualized allocation of vaccines over SIR network	8
Simple and trustworthy cluster-robust GMM inference	8
Firm pay dynamics	8
Uncovering heterogeneous social effects in binary choices	8
The role of heterogeneous risk preferences, discount rates, and earnings expectations in college major choice	8
Optimal model averaging based on forward-validation	8
Permutation test for heterogeneous treatment effects with a nuisance parameter	8
Inference in ordered response games with complete information	8
Parsimony inducing priors for large scale state–space models	8
Integrated likelihood based inference for nonlinear panel data models with unobserved effects	7
Quasi-maximum likelihood estimation of break point in high-dimensional factor models	7
Simple tests for stock return predictability with good size and power properties	7
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions	7
High frequency traders and the price process	7
CRPS learning	7
Control variables, discrete instruments, and identification of structural functions	7
High-dimensional test for alpha in linear factor pricing models with sparse alternatives	7
Profile GMM estimation of panel data models with interactive fixed effects	7
The wisdom of the crowd and prediction markets	7
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence	7
Testing for observation-dependent regime switching in mixture autoregressive models	7
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models	7
A spatial panel quantile model with unobserved heterogeneity	7
Posterior-based Wald-type statistics for hypothesis testing	7
Factor investing: A Bayesian hierarchical approach	7
Evaluating forecast performance with state dependence	7
How should parameter estimation be tailored to the objective?	7
A simple joint model for returns, volatility and volatility of volatility	7
Relevant parameter changes in structural break models	7
Dynamics and heterogeneity of subjective stock market expectations	7
Quasi score-driven models	7
A new robust inference for predictive quantile regression	7
An integrated panel data approach to modelling economic growth	7
Dynamic decisions under subjective expectations: A structural analysis	7
Sparse spatio-temporal autoregressions by profiling and bagging	7
Employer policies and the immigrant–native earnings gap	7
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models	7
Semiparametric estimation of dynamic discrete choice models	7
Policy evaluation during a pandemic	7
Forward-selected panel data approach for program evaluation	7
Dynamic factor copula models with estimated cluster assignments	7
Time series estimation of the dynamic effects of disaster-type shocks	7
Testing high-dimensional covariance matrices under the elliptical distribution and beyond	7