Econometric Reviews

Article	Citations
List of referees	34
ANNOUNCEMENT	24
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	22
Time series quantile regression kink with an unknown threshold	14
Variable selection in linear regressions with possibly all strongly correlated covariates	11
Optimal model averaging for divergent-dimensional Poisson regressions	11
List of reviewers for Econometric Reviews , volume 43	11
Estimation of counterfactual distributions with a continuous endogenous treatment	11
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	10
Estimation of random functions proxying for unobservables	8
Nonstationary heterogeneous panels with multiple structural changes	7
Using machine learning for efficient flexible regression adjustment in economic experiments	7
Directional predictability tests	7
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	7
GLS estimation and confidence sets for the date of a single break in models with trends	6
Nonseparable panel models with index structure and correlated random effects	5
In memory of Michael McAleer: special issue of Econometric Reviews	5
A note on kernel density estimation for undirected dyadic data	5
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	4
Bootstrap inference on a factor model based average treatment effects estimator	4
Towards a raw-data dynamic structural model with its descriptive applications	4
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	4
Forecasting vector autoregressions with mixed roots in the vicinity of unity	4
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	4
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	4

Time-dependent shrinkage of time-varying parameter regression models	4
High-dimensional mixed data sampling models with a covariate-dependent threshold	3
Robust inference on income inequality: t- statistic based approach	3
Powerful t-tests in the presence of nonclassical measurement error	3
Indirect inference estimation of higher-order spatial autoregressive models	3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	3
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	3
Inference in a similarity-based spatial autoregressive model	3
The variances of non-parametric estimates of the cross-sectional distribution of durations	3
The application of multiple-output quantile regression to the US financial cycle	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
Testing independence between exogenous variables and unobserved errors	2
Inference on matrix-valued factor models under a fixed time horizon	2
Latent local-to-unity models	2
Model averaging for generalized linear models in diverging model spaces with effective model size	2
Model selection and model averaging for matrix exponential spatial models	2
Regularized maximum likelihood estimation for the random coefficients model	2
Ordered correlation forest	2
Quantile means and quantile share standard errors and a toolbox of distributional statistics	2
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	2
Estimation of average treatment effect based on a semiparametric propensity score	2
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach	2
Efficient semiparametric copula estimation of regression models with endogeneity	2
Spectral estimation for mixed causal-noncausal autoregressive models	2
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	2
A hybrid nonparametric multivariate density estimator with applications to risk management	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Fellows and scholars of Econometric Reviews , 2024	1
Specification tests for univariate diffusions	1
A simple test of completeness in a class of nonparametric specification	1
Automatic variable selection for semiparametric spatial autoregressive model	1
Robust nonparametric frontier estimation in two steps	1
A method to evaluate the rank condition for CCE estimators	1
Inferring inequality: Testing for median-preserving spreads in ordinal data	1
Best Paper Award: Econometric Reviews, 2024	1
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Panel data nowcasting	1
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	1
Income and democracy: a semiparametric approach	1
Monitoring the direction of the short-term trend of economic indicators	1
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	1
Testing rank similarity in the local average treatment effects model	1
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	1
Right tail information and asset pricing	1
Short panel data quantile regression model with flexible correlated effects	1
Estimation bias in the Ornstein-Uhlenbeck process with flow data	1
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	1
Testing for time-varying factor loadings in high-dimensional factor models	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1

Determination of different types of fixed effects in three-dimensional panels*	1
Indian Buffet process factor model for counterfactual analysis	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
Semiparametric transition models	1
Bayesian estimation of dynamic panel data gravity model	1
Optimal minimax rates of specification testing with data-driven bandwidth	1
Bandwidth selection for nonparametric regression with errors-in-variables	1
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
Nonparametric predictive regression for stock return prediction	0
State-dependent local projections– the dynamic effects of regime transitions	0
Inference in the nonparametric stochastic frontier model	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Reconciling negative return skewness with positive time-varying risk premia	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Locally time-varying parameter regression	0
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	0
Identification of continuous-time linear filters when only discrete-time data is available	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Estimating production functions using costs when outputs are restricted	0
Binary outcomes, OLS, 2SLS and IV probit	0
Smoothed gradient least squares estimator for linear threshold models	0
Using generalized impulse response functions to estimate nonlinear dynamic models	0
A state-space approach to time-varying reduced-rank regression	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Best Paper Award	0
Extremal quantiles and stock price crashes	0
Testing for nonlinear cointegration under heteroskedasticity	0
Linear fixed-effects estimation with nonrepeated outcomes	0
The lower regression function and testing expectation dependence dominance hypotheses	0
Estimating heterogeneous effects in static binary response panel data models	0
Sequential and efficient GMM estimation of dynamic short panel data models	0
Best Paper Award Econometric Reviews, 2019–2020	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
Two-step series estimation and specification testing of (partially) linear models with generated regressors	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Moment conditions for the quadratic regression model with measurement error	0
Test for serial correlation in panel data models with interactive fixed effects	0
Confidence intervals for intentionally biased estimators	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Inference in the presence of unknown rates	0
The two-way Mundlak estimator	0
Bounded tilting estimation	0
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
A robust test for serial correlation in panel data models	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
A panel data model of length of stay in hospitals for hip replacements	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Efficient estimation with missing data and endogeneity	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Best Paper Award Econometric Reviews, 2017–2018	0
Yet another look at the omitted variable bias	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Moment estimation for censored quantile regression	0
Smoothed maximum score estimation with nonparametrically generated covariates	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
Detecting multiple equilibria for continuous dependent variables	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Event count estimation	0
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
Nonparametric estimation of additive models with errors-in-variables	0
Heavy tail robust estimation and inference for average treatment effects	0
Forecasting Levels in Loglinear Unit Root Models	0
Market integration, systemic risk and diagnostic tests in large mixed panels	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
A unifying switching regime regression framework with applications in health economics	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Lag order selection for long-run variance estimation in econometrics	0

Panel sample selection model with interactive effects	0
Inference and extrapolation in finite populations with special attention to clustering	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	0
A robust score-driven filter for multivariate time series	0
Semiparametric single-index estimation for average treatment effects	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
A new Bayesian model for contagion and interdependence	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Frequency domain local bootstrap in short and long memory time series	0
Nonparametric bootstrap confidence sets for the quantile ratio	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Nonparametric estimation of mediation effects with a general treatment	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Cluster-robust jackknife and bootstrap inference for logistic regression models	0
A control function approach to estimate panel data binary response model	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Improved tests for stock return predictability	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0
Inference on outcome distribution and quantile functions with missing data, by quantile imputation, probability weighting, and doubly robust estimators	0
Back Matter	0
Testing Granger non-causality in expectiles	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Estimation of high-dimensional seemingly unrelated regression models	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Editorial	0
Towards data-congruent models of the term structure of interest rates	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Generalized spatial matrix specifications	0
Lassoed boosting and linear prediction in the equities market	0
Nonparametric multidimensional fixed effects panel data models	0
A unified unit root test regardless of intercept	0
Boosting the HP filter for trending time series with long-range dependence	0