Econometric Reviews

Article	Citations
ANNOUNCEMENT	33
Estimation of counterfactual distributions with a continuous endogenous treatment	22
Variable selection in linear regressions with possibly all strongly correlated covariates	12
Time series quantile regression kink with an unknown threshold	11
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	9
List of reviewers for Econometric Reviews , volume 43	9
Testing collusion and cooperation in binary choice games	8
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	7
Correction	7
Directional predictability tests	6
Estimation of random functions proxying for unobservables	6
A note on kernel density estimation for undirected dyadic data	5
Nonseparable panel models with index structure and correlated random effects	5
Nonstationary heterogeneous panels with multiple structural changes	4
Estimating the Number of Latent Factors: A Comparative Analysis	4
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
Predictive extremile regression with persistent covariates: IVX-ER approach	4
In memory of Michael McAleer: special issue of Econometric Reviews	4
Attenuation bias vs selection bias: a multi-outcome three-stage model	3
Bootstrap inference on a factor model based average treatment effects estimator	3
Correction	3
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	3
Inference in a similarity-based spatial autoregressive model	3
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach	3

High-dimensional mixed data sampling models with a covariate-dependent threshold	3
A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes	3
Forecasting vector autoregressions with mixed roots in the vicinity of unity	3
Time-dependent shrinkage of time-varying parameter regression models	3
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	3
Powerful t-tests in the presence of nonclassical measurement error	3
Double/debiased machine learning for semiparametric synthetic difference-in-differences models	3
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	3
Towards a raw-data dynamic structural model with its descriptive applications	3
Nonlinear GMM estimation in dynamic panels with serially correlated unobservables	3
Copula joint estimation for spatial dynamic panel data models with endogeneity issues	3
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	3
The variances of non-parametric estimates of the cross-sectional distribution of durations	3
Indirect inference estimation of higher-order spatial autoregressive models	3
Inference on matrix-valued factor models under a fixed time horizon	2
Regularized maximum likelihood estimation for the random coefficients model	2
Almost dominance: inference and application	2
Copula-based expectile regression: estimation and inference	2
Quantile means and quantile share standard errors and a toolbox of distributional statistics	2
High-dimensional time-varying coefficient estimation in diffusion models	2
Shrinkage estimation of censored quantile regression for panel data models with grouped latent heterogeneity	2
Ordered correlation forest	2
Indian Buffet process factor model for counterfactual analysis	2
The application of multiple-output quantile regression to the US financial cycle	2
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	2
Spectral estimation for mixed causal-noncausal autoregressive models	2
Model averaging for generalized linear models in diverging model spaces with effective model size	2
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	2
Robust inference on income inequality: t- statistic based approach	2
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Income and democracy: a semiparametric approach	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
Bandwidth selection for nonparametric regression with errors-in-variables	1
Best Paper Award: Econometric Reviews, 2024	1
Tricks with metrics: combining statistics for improved inference in regression analysis	1
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	1
Nonparametric estimation of conditional densities by generalized random forests	1
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	1
Robust nonparametric frontier estimation in two steps	1
Simulation-based multiple testing for many non-nested multivariate models	1
Automatic variable selection for semiparametric spatial autoregressive model	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1
Latent local-to-unity models	1
Short panel data quantile regression model with flexible correlated effects	1
Semiparametric estimation of sample selection model with Box-Cox transformation	1
Two-step series estimation and specification testing of (partially) linear models with generated regressors	1
A method to evaluate the rank condition for CCE estimators	1
A hybrid nonparametric multivariate density estimator with applications to risk management	1
Estimation bias in the Ornstein-Uhlenbeck process with flow data	1
Forecasting with Deep Pooled Panel Neural Networks	1

Testing rank similarity in the local average treatment effects model	1
Fellows and scholars of Econometric Reviews , 2024	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Modeling asymmetric tail dependence in a non-Gaussian framework	1
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	1
Inferring inequality: Testing for median-preserving spreads in ordinal data	1
Using generalized estimating equations to estimate nonlinear models with spatial data	1
Nuisance parameters, modified profile likelihood and Jacobian prior	1
Optimal minimax rates of specification testing with data-driven bandwidth	1
GCov-based portmanteau test	1
A simple method to account for measurement errors in revealed preference tests	1
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	1
Monitoring the direction of the short-term trend of economic indicators	1
Smoothed gradient least squares estimator for linear threshold models	0
Many covariate and cluster robust estimation and inference	0
Testing the impacts on inefficiency in a semiparametric stochastic frontier model	0
A unifying switching regime regression framework with applications in health economics	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Stochastic search selection for heterogeneous panel data models	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Inference and extrapolation in finite populations with special attention to clustering	0
Testing for average treatment effects in choice-based samples	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
A simple reformulation of the common correlated effects model	0
Towards data-congruent models of the term structure of interest rates	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Detecting weak identification by bootstrap	0
Nonparametric bootstrap confidence sets for the quantile ratio	0
Efficient estimation with missing data and endogeneity	0
Linear fixed-effects estimation with nonrepeated outcomes	0
Inference on outcome distribution and quantile functions with missing data, by quantile imputation, probability weighting, and doubly robust estimators	0
Nonparametric estimation of mediation effects with a general treatment	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Editorial	0
Test for serial correlation in panel data models with interactive fixed effects	0
Estimating heterogeneous effects in static binary response panel data models	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Semiparametric single-index estimation for average treatment effects	0
A quantile-based nonadditive fixed effects model	0
Lag order selection for long-run variance estimation in econometrics	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
Difference-in-differences with as few as two cross-sectional units – A new perspective to the democracy – growth debate	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
A unified unit root test regardless of intercept	0
Frequency domain local bootstrap in short and long memory time series	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Multivariate distribution regression	0
Bounded tilting estimation	0
High-dimensional banded vector autoregressions subject to structural breaks	0
A robust score-driven filter for multivariate time series	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Spatial weights matrix selection and model averaging for multivariate spatial autoregressive models	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
A projection-based approach for interactive fixed effects panel data models	0
Cluster-robust jackknife and bootstrap inference for logistic regression models	0
Best Paper Award	0
Inference on nonparametric panel data models with fixed effects and censored dependent variables	0
Estimating production functions using costs when outputs are restricted	0
Testing identifying assumptions in Tobit models	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Forecasting Levels in Loglinear Unit Root Models	0
Locally time-varying parameter regression	0
Back Matter	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Partial identification of individual-level parameters using aggregate data in a nonparametric model	0
Modeling and backtesting systemic risk measures: the case of CoES	0
Testing for nonlinear cointegration under heteroskedasticity	0
A panel quantile model via correlated random effects approach for testing pecking order theory	0
Awards, 2025	0
Robust determination for the number of factors in constrained approximate factor models	0
Panel sample selection model with interactive effects	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0

Shrinkage and noniterative estimation for moving average models with structural breaks	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Confidence intervals for intentionally biased estimators	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Genuinely unbalanced spatial panel data models with fixed effects: M-estimation and inference with an application to FDI inflows	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models	0
Yet another look at the omitted variable bias	0
Inference in the nonparametric stochastic frontier model	0
Identification of continuous-time linear filters when only discrete-time data is available	0
State-dependent local projections– the dynamic effects of regime transitions	0
Aggregation trees	0
Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations	0
Nonparametric estimation of additive models with errors-in-variables	0
K-means panel data clustering in the presence of small groups	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Boosting the HP filter for trending time series with long-range dependence	0
Correction	0
Using generalized impulse response functions to estimate nonlinear dynamic models	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0
Extremal quantiles and stock price crashes	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Improved tests for stock return predictability	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
Conical FDH estimators for testing returns to scale and making inference about changes in productivity	0
A practitioner’s guide to panel data quantile regression	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Identification of network effects with spatially endogenous covariates: theory, simulations, and an empirical application	0
Fellows and scholars of Econometric Reviews , 2025	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
On structurally grouped approximate factor models	0
Nonparametric predictive regression for stock return prediction	0
Identification by non-Gaussianity in structural smooth transition vector autoregressive models	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Regression adjustment for estimating distributional treatment effects in randomized controlled trials	0
A robust test for serial correlation in panel data models	0
Structural estimation of firm productivity with endogenous determinants	0
Mean field variational Bayes for finite mixture of random coefficients models: an application to healthcare expenditures	0
Heavy tail robust estimation and inference for average treatment effects	0
Lassoed boosting and linear prediction in the equities market	0
Dynamic spatial panel data models with interactive fixed effects: M-estimation and inference under fixed or relatively small T	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Generalized spatial matrix specifications	0
Preface to the Practitioner’s Guide Series	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Inference in the presence of unknown rates	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
The two-way Mundlak estimator	0
Testing Granger non-causality in expectiles	0
On the use of synthetic difference-in-differences approach with (-out) covariates: The case study of Brexit referendum	0