OOIR: Observatory of International Research

Papers

(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 2020-11-01 to 2024-11-01.)

Article	Citations
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	23
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models	17
Random autoregressive models: A structured overview	16
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^†	14
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels^†	14
Optimal model averaging for divergent-dimensional Poisson regressions	12
Efficient semiparametric copula estimation of regression models with endogeneity	9
Binary outcomes, OLS, 2SLS and IV probit	8
Sequential and efficient GMM estimation of dynamic short panel data models	7
The two-way Mundlak estimator	7
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	6
Estimation and inference for distribution and quantile functions in endogenous treatment effect models	6
Moment estimation for censored quantile regression	5
Panel data measures of price discovery	5
Testing Granger non-causality in expectiles	4
Market integration, systemic risk and diagnostic tests in large mixed panels	4
Panel data nowcasting	4
Model selection and model averaging for matrix exponential spatial models	4
Approximate state space modelling of unobserved fractional components	4
Determination of different types of fixed effects in three-dimensional panels*	4
Estimation of average treatment effect based on a semiparametric propensity score	4
Bandwidth selection for nonparametric regression with errors-in-variables	3
Latent local-to-unity models	3
A panel data model of length of stay in hospitals for hip replacements	3
Nonparametric multidimensional fixed effects panel data models	3

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation	3
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	3
Testing for time-varying factor loadings in high-dimensional factor models	3
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	3
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	2
A unifying switching regime regression framework with applications in health economics	2
Forward detrending for heteroskedasticity-robust panel unit root testing	2
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	2
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	2
Estimating flow data models of international trade: dual gravity and spatial interactions	2
The variances of non-parametric estimates of the cross-sectional distribution of durations	1
Quantile regression with interval data	1
Estimation of high-dimensional seemingly unrelated regression models	1
A new Bayesian model for contagion and interdependence	1
Confidence intervals for intentionally biased estimators	1
Unified M-estimation of matrix exponential spatial dynamic panel specification	1
An IV estimator for a functional coefficient model with endogenous discrete treatments	1
Testing independence between exogenous variables and unobserved errors	1
Linear fixed-effects estimation with nonrepeated outcomes	1
A state-space approach to time-varying reduced-rank regression	1
Inference and extrapolation in finite populations with special attention to clustering	1
Inference in the nonparametric stochastic frontier model	1
Indirect inference estimation of higher-order spatial autoregressive models	1
Post-averaging inference for optimal model averaging estimator in generalized linear models	1
Specification tests for univariate diffusions	1
Smoothed maximum score estimation with nonparametrically generated covariates	1
Model averaging for generalized linear models in diverging model spaces with effective model size	1
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	1
Bayesian estimation of dynamic panel data gravity model	1
Right tail information and asset pricing	1
A control function approach to estimate panel data binary response model	1
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Endogeneity in semiparametric threshold regression models with two threshold variables	1
Detecting multiple equilibria for continuous dependent variables	1
Modeling heterogeneous treatment effects in the presence of endogeneity	1
Two-step series estimation and specification testing of (partially) linear models with generated regressors	1
Time-varying cointegration and the Kalman filter	1
Robust nonparametric frontier estimation in two steps	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
ANNOUNCEMENT	0
Inference in a similarity-based spatial autoregressive model	0
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	0
Improved tests for stock return predictability	0
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	0
List of referees	0
Best Paper Award Econometric Reviews, 2017–2018	0
Nonseparable panel models with index structure and correlated random effects	0

Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	0
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	0
Nonparametric estimation of additive models with errors-in-variables	0
Forecasting vector autoregressions with mixed roots in the vicinity of unity	0
“Fellows and Scholars of Econometric Reviews”	0
Event count estimation	0
Reconciling negative return skewness with positive time-varying risk premia	0
Global estimation of finite mixture and misclassification models with an application to multiple equilibria	0
A method to evaluate the rank condition for CCE estimators	0
Bounded tilting estimation	0
Semiparametric estimation of signaling games with equilibrium refinement	0
Semiparametric transition models	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Moment conditions for the quadratic regression model with measurement error	0
Estimation of counterfactual distributions with a continuous endogenous treatment	0
Efficient estimation with missing data and endogeneity	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Yet another look at the omitted variable bias	0
Automatic variable selection for semiparametric spatial autoregressive model	0
Smoothed gradient least squares estimator for linear threshold models	0
Income and democracy: a semiparametric approach	0
Best Paper Award	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	0
Nonparametric estimation of mediation effects with a general treatment	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Using machine learning for efficient flexible regression adjustment in economic experiments	0
Frequency domain local bootstrap in short and long memory time series	0
Forecasting Levels in Loglinear Unit Root Models	0
Monitoring the direction of the short-term trend of economic indicators	0
A unified unit root test regardless of intercept	0
The lower regression function and testing expectation dependence dominance hypotheses	0
Back Matter	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Econometric Reviews Honors Cheng Hsiao	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Boosting the HP filter for trending time series with long-range dependence	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Optimal minimax rates of specification testing with data-driven bandwidth	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Lag order selection for long-run variance estimation in econometrics	0
A hybrid nonparametric multivariate density estimator with applications to risk management	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Lassoed boosting and linear prediction in the equities market	0
Inferring inequality: Testing for median-preserving spreads in ordinal data	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
In memory of Michael McAleer: special issue of Econometric Reviews	0
Extremal quantiles and stock price crashes	0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE	0
Testing rank similarity in the local average treatment effects model	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	0
Indian Buffet process factor model for counterfactual analysis	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
GLS estimation and confidence sets for the date of a single break in models with trends	0
Bootstrap inference on a factor model based average treatment effects estimator	0
A robust score-driven filter for multivariate time series	0
A simple test of completeness in a class of nonparametric specification	0
A robust test for serial correlation in panel data models	0
Time-dependent shrinkage of time-varying parameter regression models	0
Best Paper Award Econometric Reviews, 2019–2020	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Estimation of dynamic panel data models with a lot of heterogeneity	0
Estimation of random functions proxying for unobservables	0
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	0
Powerful t-tests in the presence of nonclassical measurement error	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Locally time-varying parameter regression	0
Editorial	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0