Journal of Econometrics

Article	Citations
Bond risk premiums at the zero lower bound	5024
Shrinkage estimators for periodic autoregressions	4850
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds	3077
Local linearization based subvector inference in moment inequality models	1058
Neural Conformal Inference for jump diffusion processes	479
Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal	250
Inference in cluster randomized trials with matched pairs	190
A computational approach to identification of treatment effects for policy evaluation	187
Empirical risk minimization for time series: Nonparametric performance bounds for prediction	105
On changepoint detection in functional data using empirical energy distance	93
Efficiency bounds for moment condition models with mixed identification strength	86
Simple subvector inference on sharp identified set in affine models	76
A multivariate realized GARCH model	74
Bootstrapping out-of-sample predictability tests with real-time data	71
Parametric estimation of long memory in factor models	71
Analyzing cross-validation for forecasting with structural instability	62
Time-Varying Parameters in Econometrics: The editor’s foreword	62
Nonparametric comparison of epidemic time trends: The case of COVID-19	61
Inference on covariance-mean regression	55
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective	54
Efficient closed-form estimation of large spatial autoregressions	51
Semiparametric modeling of multiple quantiles	50
Identification of semiparametric model coefficients, with an application to collective households	50
Uniform predictive inference for factor models with instrumental and idiosyncratic betas	49
On the origins of Aigner, Lovell and Schmidt, 1977, and the development of stochastic frontier analysis	47

A discrete-time hedging framework with multiple factors and fat tails: On what matters	46
Locally robust inference for non-Gaussian linear simultaneous equations models	46
From LATE to ATE: A Bayesian approach	45
Bregman model averaging for forecast combination	38
Limit theory and inference in non-cointegrated functional coefficient regression	38
Bernstein-type inequalities and nonparametric estimation under near-epoch dependence	38
Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators	38
High dimensional regression coefficient test with high frequency data	37
You are what your parents expect: Height and local reference points	36
Covariate-adjusted Fisher randomization tests for the average treatment effect	34
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach	34
Identifying causal effects in experiments with spillovers and non-compliance	32
Editorial Board	32
Stochastic properties of nonlinear locally-nonstationary filters	32
Residual-augmented IVX predictive regression	31
Nonseparable sample selection models with censored selection rules	30
Shrinkage methods for treatment choice	30
Measuring tail risk	29
Robust likelihood estimation of dynamic panel data models	29
Feature-splitting algorithms for ultrahigh dimensional quantile regression	28
Latent utility and permutation invariance: A revealed preference approach	28
Initial conditions and Blundell–Bond estimators	28
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty	28
Editorial Board	27
Testing identification conditions of LATE in fuzzy regression discontinuity designs	27
Estimating high dimensional monotone index models by iterative convex optimization	27
GLS under monotone heteroskedasticity	27
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534]	27
Semiparametrically optimal cointegration test	27
Identification and estimation of a search model with heterogeneous consumers and firms	27
Editorial Board	26
A large confirmatory dynamic factor model for stock market returns in different time zones	26
Joint inference based on Stein-type averaging estimators in the linear regression model	26
Cross-sectional dependence in idiosyncratic volatility	26
Satellites turn “concrete”: Tracking cement with satellite data and neural networks	26
Incentive-driven inattention	25
Weak identification with bounds in a class of minimum distance models	25
High-dimensional conditionally Gaussian state space models with missing data	24
Semiparametric model averaging prediction for dichotomous response	24
Policy evaluation during a pandemic	23
SVARs with occasionally-binding constraints	23
Editorial Board	23
A Correlated Random Coefficient panel model with time-varying endogeneity	22
Testing unconditional and conditional independence via mutual information	22
Inequality and the zero lower bound	22
Consistent causal inference for high-dimensional time series	22
Inference on time series nonparametric conditional moment restrictions using nonlinear sieves	21
Distribution regression with censored selection	21
Evaluating forecast performance with state dependence	21
Functional time series approach to analyzing asset returns co-movements	21

Editorial Board	20
Editorial Board	20
Panel data models with time-varying latent group structures	20
Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares	20
Inference in models with partially identified control functions	20
Relaxing conditional independence in an endogenous binary response model	20
Hypothesis testing on high dimensional quantile regression	19
Likelihood approach to dynamic panel models with interactive effects	19
Inference in Structural Vector Autoregressions identified with an external instrument	19
Nonparametric Bayes subject to overidentified moment conditions	19
Robust mutual fund selection with false discovery rate control	19
CRPS learning	19
Identification of dynamic binary response models	19
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	19
The robust F-statistic as a test for weak instruments	19
Editorial Board	18
On testing for spatial or social network dependence in panel data allowing for network variability	18
Infinite Markov pooling of predictive distributions	18
Estimation of continuous-time linear DSGE models from discrete-time measurements	17
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations	17
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	17
Common volatility shocks driven by the global carbon transition	17
Penalized time-varying model averaging	17
Bootstrap specification tests for dynamic conditional distribution models	16
Logical differencing in dyadic network formation models with nontransferable utilities	16
Introduction to the Special Issue: Models of linked employer–employee data: Twenty years after “High Wage Workers and High Wage Firms”	16
Prices, profits, proxies, and production	16
A comparative analysis of two-way fixed effects estimators in staggered treatment designs	16
Editorial Board	16
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach	16
Editorial Board	16
Bayesian Methods in Economics and Finance: Editor’s Introduction	15
Predictive ability tests with possibly overlapping models	15
Debiased machine learning of set-identified linear models	14
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity	14
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models	14
Social connections and the sorting of workers to firms	14
On the performance of the Neyman Allocation with small pilots	14
Editorial for special issue in honor of Francis X. Diebold	14
Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators	14
Nonlinear budget set regressions in random utility models: Theory and application to taxable income	14
State-dependent local projections	14
Multiple treatments with strategic substitutes	14
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	14
Fast and accurate variational inference for models with many latent variables	14
Simultaneous inference for time-varying models	14
Estimating option pricing models using a characteristic function-based linear state space representation	14
My experience of working for the JE-1991-2013	13
Estimating multinomial choice models with unobserved choice sets	13
Bipartite network influence analysis of a two-mode network	13
Non-representative sampled networks: Estimation of network structural properties by weighting	13
A Note from the Editors	13
Bayesian estimation of cluster covariance matrices of unknown form	13
Nested Pseudo likelihood estimation of continuous-time dynamic discrete games	13
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds	13
Network and panel quantile effects via distribution regression	13
Large volatility matrix analysis using global and national factor models	13
Reprint: Hypothesis testing on high dimensional quantile regression	13
Editorial Board	13
Mining the factor zoo: Estimation of latent factor models with sufficient proxies	13
Robust testing for explosive behavior with strongly dependent errors	13
State-domain change point detection for nonlinear time series regression	13
A test of the selection on observables assumption using a discontinuously distributed covariate	12
Parental beliefs about returns to child health investments	12
Regularizing stock return covariance matrices via multiple testing of correlations	12
Efficient quantile covariate adjusted response adaptive experiments	12
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	12
Partially identifying competing risks models: An application to the war on cancer	12
A penalized two-pass regression to predict stock returns with time-varying risk premia	12
Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors	12
Maximum likelihood estimation of stochastic frontier models with endogeneity	12
On improvability of model selection by model averaging	12
Wild bootstrap inference for instrumental variables regressions with weak and few clusters	12
A simple and computationally trivial estimator for grouped fixed effects models	12
Dynamic factor copula models with estimated cluster assignments	12
Estimation of varying coefficient models with measurement error	12
Testing stochastic dominance with many conditioning variables	12
Mind your language: Market responses to central bank speeches	12
No star is good news: A unified look at rerandomization based on p-va	12
Themed issue: Quantile regression and data heterogeneity	12

Identifying latent group structures in spatial dynamic panels	12
Treatment recommendation with distributional targets	12
Dynamics and heterogeneity of subjective stock market expectations	12
Tensor time series imputation through tensor factor modelling	12
Time-varying unobserved heterogeneity in earnings shocks	11
Quantile control via random forest	11
Using large samples in econometrics	11
Long-run risk in stationary vector autoregressive models	11
Indirect inference estimation of dynamic panel data models	11
Dynamic modeling for multivariate functional and longitudinal data	11
Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters	11
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Editorial Board	11
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model	11
Identification and estimation of dynamic structural models with unobserved choices	11
On LASSO for predictive regression	11
Synthetic Learner: Model-free inference on treatments over time	10
A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions	10
GMM estimation for high-dimensional panel data models	10
Adjustments with many regressors under covariate-adaptive randomizations	10
An unbounded intensity model for point processes	10
Faster estimation of dynamic discrete choice models using index invertibility	10
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model	10
Editorial Board	10
Editorial Board	10
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application	10
Local projections vs. VARs: Lessons from thousands of DGPs	10
Binary choice with misclassification and social interactions, with an application to peer effects in attitude	10
Autoregressive conditional betas	10
Canonical correlation-based model selection for the multilevel factors	10
Dynamic discrete choice models with incomplete data: Sharp identification	10
Inference in predictive quantile regressions	10
Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect	10
Comparing stochastic volatility specifications for large Bayesian VARs	10
A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence	10
Nonparametric estimation for high-frequency data incorporating trading information	10
On superlevel sets of conditional densities and multivariate quantile regression	9
Union membership density and wages: The role of worker, firm, and job-title heterogeneity	9
Taking advantage of biased proxies for forecast evaluation	9
Inference under covariate-adaptive randomization with imperfect compliance	9
β in the tails	9
Identification of mixtures of dynamic discrete choices	9
Latent complementarity in bundles models	9
A test for Kronecker Product Structure covariance matrix	9
Target PCA: Transfer learning large dimensional panel data	9
Testing for sparse idiosyncratic components in factor-augmented regression models	9
Beliefs about public debt and the demand for government spending	9
Dynamic conditional eigenvalue GARCH	9
Covariate adjustment in experiments with matched pairs	9
2SLS with multiple treatments	9
Nowcasting the output gap	9
Multi-dimensional latent group structures with heterogeneous distributions	9
Self-perceptions about academic achievement: Evidence from Mexico City	9
Approximate maximum likelihood for complex structural models	9
Editorial Board	9
Weak identification in discrete choice models	9
Isotonic regression discontinuity designs	8
Moments, shocks and spillovers in Markov-switching VAR models	8
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors	8
Treatment effects in interactive fixed effects models with a small number of time periods	8
Addressing endogeneity issues in a spatial autoregressive model using copulas	8
Estimating time-varying networks for high-dimensional time series	8
Sparse quantile regression	8
Editorial Board	8
Estimation and inference in factor copula models with exogenous covariates	8
Time-varying vector error-correction models: Estimation and inference	8
Do firm effects drift? Evidence from Washington administrative data	8
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	8
Cross-section bootstrap for CCE regressions	8
Distribution-invariant differential privacy	8
Tuning-parameter-free propensity score matching approach for causal inference under shape restriction	8
Large Bayesian SVARs with linear restrictions	8
A solution to the global identification problem in DSGE models	8
Most powerful test against a sequence of high dimensional local alternatives	8
Stable outcomes and information in games: An empirical framework	8
Using monotonicity restrictions to identify models with partially latent covariates	8
Establishment age and wages	8
Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches	8
Model averaging prediction by K-fold cross-validation	8
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors	8
Approximate factor models with weaker loadings	8
Factor investing: A Bayesian hierarchical approach	8
Functional coefficient panel modeling with communal smoothing covariates	8
Specification tests for time-varying coefficient models	8
Multivariate stochastic volatility models based on generalized Fisher transformation	8