Econometric Reviews

(The median citation count of Econometric Reviews is 0. 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 2020-07-01 to 2024-07-01.)
Revisiting regression adjustment in experiments with heterogeneous treatment effects34
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing22
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models14
Random autoregressive models: A structured overview13
Optimal model averaging for divergent-dimensional Poisson regressions11
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures11
An augmented Anderson–Hsiao estimator for dynamic short-T panels11
In-fill asymptotic theory for structural break point in autoregressions8
Binary outcomes, OLS, 2SLS and IV probit8
The two-way Mundlak estimator7
Efficient semiparametric copula estimation of regression models with endogeneity7
Multiple subordinated modeling of asset returns: Implications for option pricing6
Sequential and efficient GMM estimation of dynamic short panel data models6
Panel data measures of price discovery6
Moment estimation for censored quantile regression5
Estimation and inference for distribution and quantile functions in endogenous treatment effect models5
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators5
Approximate state space modelling of unobserved fractional components4
Panel data nowcasting4
Testing Granger non-causality in expectiles4
Market integration, systemic risk and diagnostic tests in large mixed panels4
Model selection in factor-augmented regressions with estimated factors4
Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach3
Monotonicity-constrained nonparametric estimation and inference for first-price auctions3
Model selection and model averaging for matrix exponential spatial models3
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors3
A panel data model of length of stay in hospitals for hip replacements3
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference3
Bandwidth selection for nonparametric regression with errors-in-variables3
An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation3
Estimation of average treatment effect based on a semiparametric propensity score3
The continuous limit of weak GARCH3
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures2
Testing for time-varying factor loadings in high-dimensional factor models2
Determination of different types of fixed effects in three-dimensional panels*2
Forward detrending for heteroskedasticity-robust panel unit root testing2
Nonparametric multidimensional fixed effects panel data models2
Latent local-to-unity models2
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition2
Estimating flow data models of international trade: dual gravity and spatial interactions2
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings2
Predictability, real time estimation, and the formulation of unobserved components models2
A unifying switching regime regression framework with applications in health economics2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves2
Time-varying cointegration and the Kalman filter1
Inference and extrapolation in finite populations with special attention to clustering1
Identification strength with a large number of moments1
Indirect inference estimation of higher-order spatial autoregressive models1
Confidence intervals for intentionally biased estimators1
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation1
An IV estimator for a functional coefficient model with endogenous discrete treatments1
Linear fixed-effects estimation with nonrepeated outcomes1
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data1
The variances of non-parametric estimates of the cross-sectional distribution of durations1
Quantile regression with interval data1
A control function approach to estimate panel data binary response model1
Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors1
Endogeneity in semiparametric threshold regression models with two threshold variables1
Unified M-estimation of matrix exponential spatial dynamic panel specification1
Smoothed maximum score estimation with nonparametrically generated covariates1
Two-step series estimation and specification testing of (partially) linear models with generated regressors1
Right tail information and asset pricing1
Bayesian estimation of dynamic panel data gravity model1
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys1
Specification tests for univariate diffusions1
Detecting multiple equilibria for continuous dependent variables1
Testing independence between exogenous variables and unobserved errors1
A state-space approach to time-varying reduced-rank regression1
Semiparametric estimation of signaling games with equilibrium refinement0
A simple test of completeness in a class of nonparametric specification0
Estimation of average treatment effects for massively unbalanced binary outcomes0
A new Bayesian model for contagion and interdependence0
Modeling heterogeneous treatment effects in the presence of endogeneity0
Inferring inequality: Testing for median-preserving spreads in ordinal data0
A robust score-driven filter for multivariate time series0
Econometric Reviews Honors Cheng Hsiao0
Estimation of counterfactual distributions with a continuous endogenous treatment0
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency0
A method to evaluate the rank condition for CCE estimators0
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model0
A robust test for serial correlation in panel data models0
An application of copulas to OPEC’s changing influence on fossil fuel prices0
Reconciling negative return skewness with positive time-varying risk premia0
An approximated exponentially tilted empirical likelihood estimator of moment condition models0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior0
Testing rank similarity in the local average treatment effects model0
Lassoed boosting and linear prediction in the equities market0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model0
Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data0
A James-Stein-type adjustment to bias correction in fixed effects panel models0
List of referees0
Moment conditions for the quadratic regression model with measurement error0
Inference for the VEC(1) model with a heavy-tailed linear process errors*0
Inference in the nonparametric stochastic frontier model0
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models0
Smoothed gradient least squares estimator for linear threshold models0
A unified unit root test regardless of intercept0
“Fellows and Scholars of Econometric Reviews”0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models0
Nonparametric estimation of additive models with errors-in-variables0
Best Paper Award Econometric Reviews, 2019–20200
Efficiency gains in least squares estimation: A new approach0
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices0
An upper bound for functions of estimators in high dimensions0
Model averaging for generalized linear models in diverging model spaces with effective model size0
The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE0
Locally time-varying parameter regression0
Forecasting vector autoregressions with mixed roots in the vicinity of unity0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence0
Robust nonparametric frontier estimation in two steps0
Determining the number of factors in constrained factor models via Bayesian information criterion0
Nonparametric estimation of mediation effects with a general treatment0
Automatic variable selection for semiparametric spatial autoregressive model0
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility0
Inference in a similarity-based spatial autoregressive model0
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*0
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation0
Income and democracy: a semiparametric approach0
Back Matter0
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system0
Tricks with metrics: combining statistics for improved inference in regression analysis0
Improved confidence sets for the date of a structural break0
Estimation of dynamic panel data models with a lot of heterogeneity0
Forecasting Levels in Loglinear Unit Root Models0
MCMC conditional maximum likelihood for the two-way fixed-effects logit0
Optimal smoothing parameter selection in single-index model derivative estimation0
The lower regression function and testing expectation dependence dominance hypotheses0
A hybrid nonparametric multivariate density estimator with applications to risk management0
Monitoring the direction of the short-term trend of economic indicators0
Global estimation of finite mixture and misclassification models with an application to multiple equilibria0
Extremal quantiles and stock price crashes0
Time evolution of income distributions with subgroup decompositions0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments0
Improved tests for stock return predictability0
Semiparametric spatial autoregressive models with nonlinear endogeneity0
List of referees0
Efficient estimation with missing data and endogeneity0
Time-dependent shrinkage of time-varying parameter regression models0
Event count estimation0
Powerful t-tests in the presence of nonclassical measurement error0
Post-averaging inference for optimal model averaging estimator in generalized linear models0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects0
Yet another look at the omitted variable bias0
In memory of Michael McAleer: special issue of Econometric Reviews0
Best Paper Award Econometric Reviews, 2017–20180
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors0
Non linear correlated random effects models with endogeneity and unbalanced panels0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination0
Optimal minimax rates of specification testing with data-driven bandwidth0
Estimation of high-dimensional seemingly unrelated regression models0
GLS estimation and confidence sets for the date of a single break in models with trends0
Semiparametric transition models0