Econometric Reviews

Article	Citations
Revisiting regression adjustment in experiments with heterogeneous treatment effects	23
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	21
Common factors and spatial dependence: an application to US house prices	18
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models	11
Random autoregressive models: A structured overview	10
An augmented Anderson–Hsiao estimator for dynamic short-T panels†	9
Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models	9
Testing for strict stationarity in a random coefficient autoregressive model	9
Optimal model averaging for divergent-dimensional Poisson regressions	9
In-fill asymptotic theory for structural break point in autoregressions	8
On the estimation of integrated volatility in the presence of jumps and microstructure noise	7
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	7
Some notes on nonlinear cointegration: A partial review with some novel perspectives	6
Model averaging in a multiplicative heteroscedastic model	6
Heteroscedasticity testing after outlier removal	6
Panel data measures of price discovery	6
Efficient semiparametric copula estimation of regression models with endogeneity	6
The two-way Mundlak estimator	5
Multiple subordinated modeling of asset returns: Implications for option pricing	5
Sequential and efficient GMM estimation of dynamic short panel data models	5
Binary outcomes, OLS, 2SLS and IV probit	4
Moment estimation for censored quantile regression	4
Approximate state space modelling of unobserved fractional components	4
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	4
Model selection in factor-augmented regressions with estimated factors	3

A specification test for dynamic conditional distribution models with function-valued parameters	3
Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach	3
Market integration, systemic risk and diagnostic tests in large mixed panels	3
Data cloning estimation for asymmetric stochastic volatility models	3
Standard Errors for Nonparametric Regression	3
An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation	3
Predictability, real time estimation, and the formulation of unobserved components models	2
Quantile aggregation and combination for stock return prediction	2
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors	2
Estimation and inference for distribution and quantile functions in endogenous treatment effect models	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
The continuous limit of weak GARCH	2
Bandwidth selection for nonparametric regression with errors-in-variables	2
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions	2
Panel data nowcasting	2
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	2
Testing for shifts in a time trend panel data model with serially correlated error component disturbances	2
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	2
Identification and estimation of average causal effects when treatment status is ignorable within unobserved strata	2
Nonparametric multidimensional fixed effects panel data models	2
Quantile structural treatment effects: application to smoking wage penalty and its determinants	2
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	2
High-dimensional penalized arch processes	2
A panel data model of length of stay in hospitals for hip replacements	2
Forward detrending for heteroskedasticity-robust panel unit root testing	2
Estimation of average treatment effect based on a semiparametric propensity score	2
A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities	1
Model selection and model averaging for matrix exponential spatial models	1
A state-space approach to time-varying reduced-rank regression	1
Quantile regression with interval data	1
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	1
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	1
Detecting multiple equilibria for continuous dependent variables	1
Finite sample properties of the GMM Anderson–Rubin test	1
Testing independence between exogenous variables and unobserved errors	1
Bayesian semiparametric multivariate stochastic volatility with application	1
Time-varying cointegration and the Kalman filter	1
The variances of non-parametric estimates of the cross-sectional distribution of durations	1
A control function approach to estimate panel data binary response model	1
Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors	1
An IV estimator for a functional coefficient model with endogenous discrete treatments	1
Determination of different types of fixed effects in three-dimensional panels*	1
Two-step series estimation and specification testing of (partially) linear models with generated regressors	1
Right tail information and asset pricing	1
Inference and extrapolation in finite populations with special attention to clustering	1
Bayesian estimation of dynamic panel data gravity model	1
Identification strength with a large number of moments	1
Specification tests for univariate diffusions	1
Testing for time-varying factor loadings in high-dimensional factor models	1
Smoothed maximum score estimation with nonparametrically generated covariates	1

Testing rank similarity in the local average treatment effects model	0
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	0
Best Paper Award Econometric Reviews, 2017–2018	0
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	0
List of referees	0
Linear fixed-effects estimation with nonrepeated outcomes	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Semiparametric transition models	0
A unifying switching regime regression framework with applications in health economics	0
Estimation of dynamic panel data models with a lot of heterogeneity	0
Nonparametric estimation of marginal effects in regression-spline random effects models	0
Nonparametric estimation of additive models with errors-in-variables	0
Extremal quantiles and stock price crashes	0
Best Paper Award	0
A robust score-driven filter for multivariate time series	0
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	0
The lower regression function and testing expectation dependence dominance hypotheses	0
Time evolution of income distributions with subgroup decompositions	0
Time-dependent shrinkage of time-varying parameter regression models	0
Best Paper Award Econometric Reviews, 2019–2020	0
Confidence intervals for intentionally biased estimators	0
Econometric Reviews Honors Cheng Hsiao	0
Robust nonparametric frontier estimation in two steps	0
Automatic variable selection for semiparametric spatial autoregressive model	0
Optimal minimax rates of specification testing with data-driven bandwidth	0
Nonparametric estimation of mediation effects with a general treatment	0
In memory of Michael McAleer: special issue of Econometric Reviews	0
Event count estimation	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Income and democracy: a semiparametric approach	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Moment conditions for the quadratic regression model with measurement error	0
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	0
Latent local-to-unity models	0
Semiparametric estimation of signaling games with equilibrium refinement	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0
A simple test of completeness in a class of nonparametric specification	0
A new Bayesian model for contagion and interdependence	0
Improved tests for stock return predictability	0
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	0
Indirect inference estimation of higher-order spatial autoregressive models	0
The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE	0
GLS estimation and confidence sets for the date of a single break in models with trends	0
Forecasting vector autoregressions with mixed roots in the vicinity of unity	0
Reconciling negative return skewness with positive time-varying risk premia	0
Modeling heterogeneous treatment effects in the presence of endogeneity	0
Efficient estimation with missing data and endogeneity	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
A method to evaluate the rank condition for CCE estimators	0
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician	0
Inference in a similarity-based spatial autoregressive model	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation	0
Back Matter	0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
Improved confidence sets for the date of a structural break	0
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	0
Estimation of high-dimensional seemingly unrelated regression models	0
A theory of dichotomous valuation with applications to variable selection	0
A unified unit root test regardless of intercept	0
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	0
“Fellows and Scholars of Econometric Reviews”	0
Monitoring the direction of the short-term trend of economic indicators	0
An upper bound for functions of estimators in high dimensions	0
Forecasting Levels in Loglinear Unit Root Models	0
Efficiency gains in least squares estimation: A new approach	0
List of referees	0
On asymptotic risk of selecting models for possibly nonstationary time-series	0
Testing Granger non-causality in expectiles	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Global estimation of finite mixture and misclassification models with an application to multiple equilibria	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Model averaging for generalized linear models in diverging model spaces with effective model size	0

Yet another look at the omitted variable bias	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
A robust test for serial correlation in panel data models	0