Econometric Reviews

Article	Citations
ANNOUNCEMENT	24
Optimal model averaging for divergent-dimensional Poisson regressions	22
Estimation of counterfactual distributions with a continuous endogenous treatment	14
Time series quantile regression kink with an unknown threshold	12
Variable selection in linear regressions with possibly all strongly correlated covariates	12
List of reviewers for Econometric Reviews , volume 43	11
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	9
Estimation of random functions proxying for unobservables	8
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	7
Correction	7
Nonstationary heterogeneous panels with multiple structural changes	5
Directional predictability tests	5
GLS estimation and confidence sets for the date of a single break in models with trends	4
Using machine learning for efficient flexible regression adjustment in economic experiments	4
Nonseparable panel models with index structure and correlated random effects	4
In memory of Michael McAleer: special issue of Econometric Reviews	4
A note on kernel density estimation for undirected dyadic data	4
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	3
Forecasting vector autoregressions with mixed roots in the vicinity of unity	3
Indirect inference estimation of higher-order spatial autoregressive models	3
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	3
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	3
Bootstrap inference on a factor model based average treatment effects estimator	3
Towards a raw-data dynamic structural model with its descriptive applications	3
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	3

Time-dependent shrinkage of time-varying parameter regression models	2
Powerful t-tests in the presence of nonclassical measurement error	2
The application of multiple-output quantile regression to the US financial cycle	2
Regularized maximum likelihood estimation for the random coefficients model	2
Model selection and model averaging for matrix exponential spatial models	2
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	2
Robust inference on income inequality: t- statistic based approach	2
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach	2
Model averaging for generalized linear models in diverging model spaces with effective model size	2
High-dimensional mixed data sampling models with a covariate-dependent threshold	2
Inference in a similarity-based spatial autoregressive model	2
Nonlinear GMM estimation in dynamic panels with serially correlated unobservables	2
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	2
The variances of non-parametric estimates of the cross-sectional distribution of durations	2
Bandwidth selection for nonparametric regression with errors-in-variables	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
Robust nonparametric frontier estimation in two steps	1
Income and democracy: a semiparametric approach	1
Indian Buffet process factor model for counterfactual analysis	1
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	1
Ordered correlation forest	1
Automatic variable selection for semiparametric spatial autoregressive model	1
Testing rank similarity in the local average treatment effects model	1
A hybrid nonparametric multivariate density estimator with applications to risk management	1
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	1
Monitoring the direction of the short-term trend of economic indicators	1
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1
Specification tests for univariate diffusions	1
Inference on matrix-valued factor models under a fixed time horizon	1
Quantile means and quantile share standard errors and a toolbox of distributional statistics	1
Testing independence between exogenous variables and unobserved errors	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Best Paper Award: Econometric Reviews, 2024	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
Fellows and scholars of Econometric Reviews , 2024	1
Panel data nowcasting	1
Latent local-to-unity models	1
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	1
Spectral estimation for mixed causal-noncausal autoregressive models	1
Shrinkage estimation of censored quantile regression for panel data models with grouped latent heterogeneity	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Testing for time-varying factor loadings in high-dimensional factor models	1
A robust score-driven filter for multivariate time series	0
Semiparametric single-index estimation for average treatment effects	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	0
Lassoed boosting and linear prediction in the equities market	0

Generalized spatial matrix specifications	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations	0
Regression adjustment for estimating distributional treatment effects in randomized controlled trials	0
Reconciling negative return skewness with positive time-varying risk premia	0
Cluster-robust jackknife and bootstrap inference for logistic regression models	0
Boosting the HP filter for trending time series with long-range dependence	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Nonparametric estimation of additive models with errors-in-variables	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Yet another look at the omitted variable bias	0
Binary outcomes, OLS, 2SLS and IV probit	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Confidence intervals for intentionally biased estimators	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Best Paper Award	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
Estimating heterogeneous effects in static binary response panel data models	0
Extremal quantiles and stock price crashes	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Moment conditions for the quadratic regression model with measurement error	0
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	0
On the use of synthetic difference-in-differences approach with (-out) covariates: The case study of Brexit referendum	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Two-step series estimation and specification testing of (partially) linear models with generated regressors	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
Identification of network effects with spatially endogenous covariates: theory, simulations, and an empirical application	0
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	0
Locally time-varying parameter regression	0
A unified unit root test regardless of intercept	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Inference and extrapolation in finite populations with special attention to clustering	0
Nonparametric predictive regression for stock return prediction	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Estimating production functions using costs when outputs are restricted	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Frequency domain local bootstrap in short and long memory time series	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Bounded tilting estimation	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Identification of continuous-time linear filters when only discrete-time data is available	0
Linear fixed-effects estimation with nonrepeated outcomes	0
Event count estimation	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
A control function approach to estimate panel data binary response model	0
A unifying switching regime regression framework with applications in health economics	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Back Matter	0
Testing for nonlinear cointegration under heteroskedasticity	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
Heavy tail robust estimation and inference for average treatment effects	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
Lag order selection for long-run variance estimation in econometrics	0
Inference on outcome distribution and quantile functions with missing data, by quantile imputation, probability weighting, and doubly robust estimators	0
Short panel data quantile regression model with flexible correlated effects	0
State-dependent local projections– the dynamic effects of regime transitions	0
Test for serial correlation in panel data models with interactive fixed effects	0
A method to evaluate the rank condition for CCE estimators	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Inference in the nonparametric stochastic frontier model	0
Nonparametric bootstrap confidence sets for the quantile ratio	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
Efficient estimation with missing data and endogeneity	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
A new Bayesian model for contagion and interdependence	0
Testing Granger non-causality in expectiles	0

Using generalized impulse response functions to estimate nonlinear dynamic models	0
The two-way Mundlak estimator	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Nonparametric estimation of mediation effects with a general treatment	0
Inference in the presence of unknown rates	0
Towards data-congruent models of the term structure of interest rates	0
Smoothed gradient least squares estimator for linear threshold models	0
A state-space approach to time-varying reduced-rank regression	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0
Improved tests for stock return predictability	0
Best Paper Award Econometric Reviews, 2017–2018	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Best Paper Award Econometric Reviews, 2019–2020	0
Editorial	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Inferring inequality: Testing for median-preserving spreads in ordinal data	0
Nonparametric multidimensional fixed effects panel data models	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Optimal minimax rates of specification testing with data-driven bandwidth	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Panel sample selection model with interactive effects	0
Forecasting Levels in Loglinear Unit Root Models	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0