Journal of Econometrics

Article	Citations
Difference-in-differences with variation in treatment timing	2012
Difference-in-Differences with multiple time periods	1891
Estimating dynamic treatment effects in event studies with heterogeneous treatment effects	1256
Doubly robust difference-in-differences estimators	320
Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S.	259
Design-based analysis in Difference-In-Differences settings with staggered adoption	235
Autoencoder asset pricing models	190
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature	162
Consumer panic in the COVID-19 pandemic	128
Identification and estimation of the SEIRD epidemic model for COVID-19	118
Measuring news sentiment	114
Estimating latent asset-pricing factors	94
Estimating the COVID-19 infection rate: Anatomy of an inference problem	80
Testing the impossible: Identifying exclusion restrictions	69
Randomization inference for difference-in-differences with few treated clusters	67
Cluster-robust inference: A guide to empirical practice	58
The term structure of equity and variance risk premia	50
Inference in Structural Vector Autoregressions identified with an external instrument	48
Reducing the state space dimension in a large TVP-VAR	44
Factor-adjusted regularized model selection	43
Overlap in observational studies with high-dimensional covariates	40
High-frequency factor models and regressions	39
Autoregressive models for matrix-valued time series	39
Maximum likelihood estimation for score-driven models	39
Surveying business uncertainty	38

Estimating the fraction of unreported infections in epidemics with a known epicenter: An application to COVID-19	36
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure	34
Nowcasting in a pandemic using non-parametric mixed frequency VARs	34
Time series analysis of COVID-19 infection curve: A change-point perspective	32
High dimensional minimum variance portfolio estimation under statistical factor models	31
Panel forecasts of country-level Covid-19 infections	31
Illuminating economic growth	29
When will the Covid-19 pandemic peak?	29
On the robustness of the pooled CCE estimator	29
Nonlinear factor models for network and panel data	28
Model averaging prediction by K-fold cross-validation	28
Heterogeneous structural breaks in panel data models	28
Smoothed quantile regression with large-scale inference	27
Time-varying general dynamic factor models and the measurement of financial connectedness	27
Regression discontinuity design with many thresholds	26
On factor models with random missing: EM estimation, inference, and cross validation	26
Volatility analysis with realized GARCH-Itô models	26
Time-varying model averaging	26
On LASSO for predictive regression	26
Inference in Bayesian Proxy-SVARs	25
Econometric analysis of production networks with dominant units	24
Closed-form implied volatility surfaces for stochastic volatility models with jumps	24
On the unbiased asymptotic normality of quantile regression with fixed effects	24
Tail risk and return predictability for the Japanese equity market	23
A robust procedure to build dynamic factor models with cluster structure	23
Liquidity and volatility in the U.S. Treasury market	22
Can we measure inflation expectations using Twitter?	22
Double machine learning with gradient boosting and its application to the Big N audit quality effect	21
Identifying latent group structures in nonlinear panels	21
Labor market search, informality, and on-the-job human capital accumulation	21
Multivariate leverage effects and realized semicovariance GARCH models	20
Joint Bayesian inference about impulse responses in VAR models	20
Uniform nonparametric inference for time series	20
Generic results for establishing the asymptotic size of confidence sets and tests	20
Nowcasting the output gap	20
The drift burst hypothesis	19
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections	19
Multivariate spatial autoregressive model for large scale social networks	19
Dynamic spatial panel data models with common shocks	19
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]	19
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with	19
Bootstrapping factor models with cross sectional dependence	19
Deviance information criterion for latent variable models and misspecified models	18
High-frequency jump tests: Which test should we use?	18
Dependent microstructure noise and integrated volatility estimation from high-frequency data	18
Robust Bayesian inference in proxy SVARs	18
Estimation and inference of change points in high-dimensional factor models	18
Semiparametric model averaging prediction for dichotomous response	18
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements	18
Estimating and testing high dimensional factor models with multiple structural changes	18

Nowcasting with large Bayesian vector autoregressions	18
Beliefs about public debt and the demand for government spending	18
Identification and estimation in panel models with overspecified number of groups	18
Celebrating 40 years of panel data analysis: Past, present and future	17
Volatility estimation and jump detection for drift–diffusion processes	17
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality	17
Covariate-adjusted Fisher randomization tests for the average treatment effect	17
Efficient estimation of heterogeneous coefficients in panel data models with common shocks	17
Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration	16
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process	16
Inference for high-dimensional instrumental variables regression	16
A survey of preference estimation with unobserved choice set heterogeneity	16
Recursive estimation in large panel data models: Theory and practice	16
Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables	16
Boosting high dimensional predictive regressions with time varying parameters	16
Two-way fixed effects and differences-in-differences estimators with several treatments	16
Identification of structural vector autoregressions through higher unconditional moments	15
Option market trading activity and the estimation of the pricing kernel: A Bayesian approach	15
Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks	15
Identifying dynamic discrete choice models off short panels	15
Threshold factor models for high-dimensional time series	15
Max-linear regression models with regularization	15
Sparse HP filter: Finding kinks in the COVID-19 contact rate	15
Estimating production functions with robustness against errors in the proxy variables	15
Nonparametric estimation of large covariance matrices with conditional sparsity	14
Disentangling moral hazard and adverse selection in private health insurance	14
A coupled component DCS-EGARCH model for intraday and overnight volatility	14
Tail and center rounding of probabilistic expectations in the Health and Retirement Study	14
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals	14
Testing serial correlations in high-dimensional time series via extreme value theory	14
Testing continuity of a density via g-order statistics in the regression discontinuity design	14
Projected estimation for large-dimensional matrix factor models	14
Estimating permanent price impact via machine learning	14
Factor-based imputation of missing values and covariances in panel data of large dimensions	13
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps	13
Limit theorems for network dependent random variables	13
An explainable attention network for fraud detection in claims management	13
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors	13
Spatial dynamic panel data models with correlated random effects	13
Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit	13
Estimation and inference in semiparametric quantile factor models	13
Incorporating overnight and intraday returns into multivariate GARCH volatility models	13
Instrument strength in IV estimation and inference: A guide to theory and practice	13
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models	13
Large dimensional latent factor modeling with missing observations and applications to causal inference	13
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty	13
Factor models with local factors — Determining the number of relevant factors	13
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure	13
GMM quantile regression	13
Understanding migration aversion using elicited counterfactual choice probabilities	13
Identification of structural multivariate GARCH models	13
Statistical inferences for price staleness	13
Estimation of panel group structure models with structural breaks in group memberships and coefficients	12
ExpectHill estimation, extreme risk and heavy tails	12
Testing for episodic predictability in stock returns	12
Two-mode network autoregressive model for large-scale networks	12
Consistent inference for predictive regressions in persistent economic systems	12
High-dimensional predictive regression in the presence of cointegration	12
Nearest comoment estimation with unobserved factors	12
Simultaneous inference for time-varying models	11
Heterogeneous panel data models with cross-sectional dependence	11
The uniform validity of impulse response inference in autoregressions	11
Maternal subjective expectations about the technology of skill formation predict investments in children one year later	11
A doubly corrected robust variance estimator for linear GMM	11
Noncausal vector AR processes with application to economic time series	11
Macroeconomic uncertainty prices when beliefs are tenuous	11
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction	11
Estimation of heterogeneous panels with systematic slope variations	11
An empirical total survey error decomposition using data combination	11
Estimation of Covid-19 prevalence from serology tests: A partial identification approach	11
Stationary vine copula models for multivariate time series	11
Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations	11
Estimation and inference in spatial models with dominant units	11
Time varying Markov process with partially observed aggregate data: An application to coronavirus	11
Continuous record Laplace-based inference about the break date in structural change models	10
Variance risk: A bird’s eye view	10
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia	10
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia	10
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models	10
Fast and accurate variational inference for models with many latent variables	10

Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff	10
Time-varying instrumental variable estimation	10
Estimation of a multiplicative correlation structure in the large dimensional case	10
Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments	10
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness	10
Nonstationary panel models with latent group structures and cross-section dependence	10
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management	10
Twisted probabilities, uncertainty, and prices	9
On improvability of model selection by model averaging	9
Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”	9
A GMM approach to estimate the roughness of stochastic volatility	9
Self-perceptions about academic achievement: Evidence from Mexico City	9
Impossible inference in econometrics: Theory and applications	9
Semiparametrically efficient estimation of the average linear regression function	9
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root	9
PELVE: Probability Equivalent Level of VaR and ES	9
Robust likelihood estimation of dynamic panel data models	9
Unobserved heterogeneity in auctions under restricted stochastic dominance	9
Spanning tests for Markowitz stochastic dominance	9
Semiparametric identification in panel data discrete response models	9
Global temperatures and greenhouse gases: A common features approach	9
Approximate factor models with weaker loadings	8
Do firm effects drift? Evidence from Washington administrative data	8
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure	8
Nonlinearities and regimes in conditional correlations with different dynamics	8
Local regression distribution estimators	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
Spatial dynamic models with intertemporal optimization: Specification and estimation	8
Identification in nonparametric models for dynamic treatment effects	8
Linear IV regression estimators for structural dynamic discrete choice models	8
Heterogeneity in households’ stock market beliefs	8
Simple and trustworthy cluster-robust GMM inference	8
Parental beliefs about returns to child health investments	8
Efficient size correct subset inference in homoskedastic linear instrumental variables regression	8
A weighted sieve estimator for nonparametric time series models with nonstationary variables	8
Vehicle size choice and automobile externalities: A dynamic analysis	8
Asset selection based on high frequency Sharpe ratio	8
Treatment effects in interactive fixed effects models with a small number of time periods	8
Volatility measurement with pockets of extreme return persistence	8
Testing the existence of moments for GARCH processes	8
Estimation and inference in heterogeneous spatial panels with a multifactor error structure	8
Nonparametric difference-in-differences in repeated cross-sections with continuous treatments	8
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models	8
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity	8
Simple tests for stock return predictability with good size and power properties	7
Control variables, discrete instruments, and identification of structural functions	7
Testing and relaxing the exclusion restriction in the control function approach	7
Reflections on “Testing for unit roots in heterogeneous panels”	7
Forward-selected panel data approach for program evaluation	7
Panel threshold models with interactive fixed effects	7
Pairwise local Fisher and naive Bayes: Improving two standard discriminants	7
High-dimensional VARs with common factors	7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	7
The dynamic factor network model with an application to international trade	7
Optimal model averaging based on forward-validation	7
Testing identification strength	7
Survey weighted estimating equation inference with nuisance functionals	7
Parsimony inducing priors for large scale state–space models	7
Counterfactual prediction in complete information games: Point prediction under partial identification	7
High frequency traders and the price process	7
It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages	7
SVARs with occasionally-binding constraints	7
High-dimensional test for alpha in linear factor pricing models with sparse alternatives	7
Quantile regression methods for first-price auctions	7
Testing for observation-dependent regime switching in mixture autoregressive models	7
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models	7
Specification test on mixed logit models	6
Identification and estimation of spillover effects in randomized experiments	6
Stationary bubble equilibria in rational expectation models	6
Factor investing: A Bayesian hierarchical approach	6
Incentive-driven inattention	6
Estimating multiple breaks in nonstationary autoregressive models	6
Adjusted QMLE for the spatial autoregressive parameter	6
A Bayesian robust chi-squared test for testing simple hypotheses	6
Time series estimation of the dynamic effects of disaster-type shocks	6
Posterior-based Wald-type statistics for hypothesis testing	6
Infinite Markov pooling of predictive distributions	6
Matching estimators with few treated and many control observations	6
Semiparametric estimation of dynamic discrete choice models	6
CRPS learning	6
How should parameter estimation be tailored to the objective?	6
Initial conditions and Blundell–Bond estimators	6
Inference in ordered response games with complete information	6
Testing high-dimensional covariance matrices under the elliptical distribution and beyond	6
The wisdom of the crowd and prediction markets	6
An automated approach towards sparse single-equation cointegration modelling	6
Sparse spatio-temporal autoregressions by profiling and bagging	6
Testing-optimal kernel choice in HAR inference	6
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models	6
Bootstrap based probability forecasting in multiplicative error models	6
Permutation test for heterogeneous treatment effects with a nuisance parameter	6
Detection of units with pervasive effects in large panel data models	6
Profile GMM estimation of panel data models with interactive fixed effects	6
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence	6