Econometric Reviews

Article	Citations
ANNOUNCEMENT	24
Variable selection in linear regressions with possibly all strongly correlated covariates	16
Optimal model averaging for divergent-dimensional Poisson regressions	15
Time series quantile regression kink with an unknown threshold	14
Estimation of counterfactual distributions with a continuous endogenous treatment	13
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	10
List of reviewers for Econometric Reviews , volume 43	9
Estimation of random functions proxying for unobservables	8
Correction	7
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	7
Nonstationary heterogeneous panels with multiple structural changes	6
Directional predictability tests	6
In memory of Michael McAleer: special issue of Econometric Reviews	4
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	4
Using machine learning for efficient flexible regression adjustment in economic experiments	4
A note on kernel density estimation for undirected dyadic data	4
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	4
Nonseparable panel models with index structure and correlated random effects	4
Towards a raw-data dynamic structural model with its descriptive applications	4
GLS estimation and confidence sets for the date of a single break in models with trends	4
High-dimensional mixed data sampling models with a covariate-dependent threshold	3
Forecasting vector autoregressions with mixed roots in the vicinity of unity	3
Indirect inference estimation of higher-order spatial autoregressive models	3
Bootstrap inference on a factor model based average treatment effects estimator	3
Nonlinear GMM estimation in dynamic panels with serially correlated unobservables	3

Time-dependent shrinkage of time-varying parameter regression models	2
Inference in a similarity-based spatial autoregressive model	2
The variances of non-parametric estimates of the cross-sectional distribution of durations	2
Model selection and model averaging for matrix exponential spatial models	2
Powerful t-tests in the presence of nonclassical measurement error	2
Correction	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
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	2
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	2
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	2
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	2
Copula joint estimation for spatial dynamic panel data models with endogeneity issues	2
The application of multiple-output quantile regression to the US financial cycle	2
Estimation bias in the Ornstein-Uhlenbeck process with flow data	1
Monitoring the direction of the short-term trend of economic indicators	1
Panel data nowcasting	1
Latent local-to-unity models	1
Testing rank similarity in the local average treatment effects model	1
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	1
Quantile means and quantile share standard errors and a toolbox of distributional statistics	1
Inference on matrix-valued factor models under a fixed time horizon	1
Model averaging for generalized linear models in diverging model spaces with effective model size	1
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Best Paper Award: Econometric Reviews, 2024	1
Bandwidth selection for nonparametric regression with errors-in-variables	1
Fellows and scholars of Econometric Reviews , 2024	1
Testing for time-varying factor loadings in high-dimensional factor models	1
Ordered correlation forest	1
Testing independence between exogenous variables and unobserved errors	1
Spectral estimation for mixed causal-noncausal autoregressive models	1
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	1
Specification tests for univariate diffusions	1
Robust nonparametric frontier estimation in two steps	1
Short panel data quantile regression model with flexible correlated effects	1
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	1
Income and democracy: a semiparametric approach	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1
Indian Buffet process factor model for counterfactual analysis	1
Shrinkage estimation of censored quantile regression for panel data models with grouped latent heterogeneity	1
Regularized maximum likelihood estimation for the random coefficients model	1
Almost dominance: inference and application	1
Automatic variable selection for semiparametric spatial autoregressive model	1
A hybrid nonparametric multivariate density estimator with applications to risk management	1
Using generalized impulse response functions to estimate nonlinear dynamic models	0
A new Bayesian model for contagion and interdependence	0

Estimating flow data models of international trade: dual gravity and spatial interactions	0
Frequency domain local bootstrap in short and long memory time series	0
Cluster-robust jackknife and bootstrap inference for logistic regression models	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Boosting the HP filter for trending time series with long-range dependence	0
Identification of continuous-time linear filters when only discrete-time data is available	0
Locally time-varying parameter regression	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
Binary outcomes, OLS, 2SLS and IV probit	0
Towards data-congruent models of the term structure of interest rates	0
Best Paper Award	0
A state-space approach to time-varying reduced-rank regression	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
Nonparametric bootstrap confidence sets for the quantile ratio	0
Linear fixed-effects estimation with nonrepeated outcomes	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
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
A projection-based approach for interactive fixed effects panel data models	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	0
Dynamic spatial panel data models with interactive fixed effects: M-estimation and inference under fixed or relatively small T	0
A robust test for serial correlation in panel data models	0
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	0
Moment conditions for the quadratic regression model with measurement error	0
Heavy tail robust estimation and inference for average treatment effects	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
A robust score-driven filter for multivariate time series	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Inference in the nonparametric stochastic frontier model	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
The two-way Mundlak estimator	0
Confidence intervals for intentionally biased estimators	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Nonparametric estimation of additive models with errors-in-variables	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations	0
Testing Granger non-causality in expectiles	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	0
Extremal quantiles and stock price crashes	0
Testing for nonlinear cointegration under heteroskedasticity	0
Forecasting Levels in Loglinear Unit Root Models	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Generalized spatial matrix specifications	0
Robust determination for the number of factors in constrained approximate factor models	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Estimating heterogeneous effects in static binary response panel data models	0
Lassoed boosting and linear prediction in the equities market	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Editorial	0
Nonparametric predictive regression for stock return prediction	0
Optimal minimax rates of specification testing with data-driven bandwidth	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Semiparametric single-index estimation for average treatment effects	0
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	0
A panel quantile model via correlated random effects approach for testing pecking order theory	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Inference in the presence of unknown rates	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
Semiparametric estimation of sample selection model with Box-Cox transformation	0
Spatial weights matrix selection and model averaging for multivariate spatial autoregressive models	0
Test for serial correlation in panel data models with interactive fixed effects	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Efficient estimation with missing data and endogeneity	0
Testing for average treatment effects in choice-based samples	0
Inference on outcome distribution and quantile functions with missing data, by quantile imputation, probability weighting, and doubly robust estimators	0
Reconciling negative return skewness with positive time-varying risk premia	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Yet another look at the omitted variable bias	0

MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Testing the impacts on inefficiency in a semiparametric stochastic frontier model	0
Estimating production functions using costs when outputs are restricted	0
Smoothed gradient least squares estimator for linear threshold models	0
On structurally grouped approximate factor models	0
Best Paper Award Econometric Reviews, 2017–2018	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Improved tests for stock return predictability	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0
State-dependent local projections– the dynamic effects of regime transitions	0
Identification of network effects with spatially endogenous covariates: theory, simulations, and an empirical application	0
Back Matter	0
Modeling and backtesting systemic risk measures: the case of CoES	0
Inference and extrapolation in finite populations with special attention to clustering	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
Best Paper Award Econometric Reviews, 2019–2020	0
Awards, 2025	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Inferring inequality: Testing for median-preserving spreads in ordinal data	0
A unifying switching regime regression framework with applications in health economics	0
Panel sample selection model with interactive effects	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Two-step series estimation and specification testing of (partially) linear models with generated regressors	0
Lag order selection for long-run variance estimation in econometrics	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
A method to evaluate the rank condition for CCE estimators	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
A unified unit root test regardless of intercept	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
On the use of synthetic difference-in-differences approach with (-out) covariates: The case study of Brexit referendum	0
Bounded tilting estimation	0
Regression adjustment for estimating distributional treatment effects in randomized controlled trials	0