Econometric Reviews

Article	Citations
List of referees	23
The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE	17
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model	16
Inference and extrapolation in finite populations with special attention to clustering	14
Quantile regression with interval data	14
Improved tests for stock return predictability	12
Best Paper Award	9
Bayesian estimation of dynamic panel data gravity model	8
The variances of non-parametric estimates of the cross-sectional distribution of durations	8
A state-space approach to time-varying reduced-rank regression	7
Smoothed gradient least squares estimator for linear threshold models	6
MCMC conditional maximum likelihood for the two-way fixed-effects logit	5
Estimation of average treatment effects for massively unbalanced binary outcomes	5
Estimation of counterfactual distributions with a continuous endogenous treatment	4
Inferring inequality: Testing for median-preserving spreads in ordinal data	4
Time-varying cointegration and the Kalman filter	4
A hybrid nonparametric multivariate density estimator with applications to risk management	4
Extremal quantiles and stock price crashes	4
ANNOUNCEMENT	4
Right tail information and asset pricing	3
Panel data measures of price discovery	3
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing	3
Estimating flow data models of international trade: dual gravity and spatial interactions	3
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data	3
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	3

Estimation of average treatment effect based on a semiparametric propensity score	3
Model selection and model averaging for matrix exponential spatial models	3
Inference for the VEC(1) model with a heavy-tailed linear process errors*	2
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	2
Linear fixed-effects estimation with nonrepeated outcomes	2
Best Paper Award: Econometric Reviews, 2024	2
On the estimation of quantile treatment effects using a semiparametric propensity score	2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves	2
Optimal model averaging for divergent-dimensional Poisson regressions	2
Forward detrending for heteroskedasticity-robust panel unit root testing	2
Optimal minimax rates of specification testing with data-driven bandwidth	1
List of reviewers for Econometric Reviews , volume 43	1
A panel data model of length of stay in hospitals for hip replacements	1
A robust test for serial correlation in panel data models	1
Estimation of random functions proxying for unobservables	1
Forecasting Levels in Loglinear Unit Root Models	1
Testing independence between exogenous variables and unobserved errors	1
Sequential and efficient GMM estimation of dynamic short panel data models	1
Efficient semiparametric copula estimation of regression models with endogeneity	1
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	1
Two-step series estimation and specification testing of (partially) linear models with generated regressors	1
Event count estimation	1
Semiparametric transition models	1
Semiparametric spatial autoregressive models with nonlinear endogeneity	1
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	1
The lower regression function and testing expectation dependence dominance hypotheses	1
“Fellows and Scholars of Econometric Reviews”	1
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	1
Global estimation of finite mixture and misclassification models with an application to multiple equilibria	1
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	1
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	1
Back Matter	1
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models	1
A method to evaluate the rank condition for CCE estimators	1
Best Paper Award Econometric Reviews, 2019–2020	1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	1
GLS estimation and confidence sets for the date of a single break in models with trends	1
Econometric Reviews Honors Cheng Hsiao	1
Regularized maximum likelihood estimation for the random coefficients model	1
Model averaging for generalized linear models in diverging model spaces with effective model size	1
Testing for time-varying factor loadings in high-dimensional factor models	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Panel data nowcasting	0
Using machine learning for efficient flexible regression adjustment in economic experiments	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Moment conditions for the quadratic regression model with measurement error	0
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination	0
Frequency domain local bootstrap in short and long memory time series	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0

Confidence intervals for intentionally biased estimators	0
Generalized spatial matrix specifications	0
Time-dependent shrinkage of time-varying parameter regression models	0
Editorial	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
A robust score-driven filter for multivariate time series	0
Locally time-varying parameter regression	0
Nonparametric estimation of additive models with errors-in-variables	0
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	0
Estimation of high-dimensional seemingly unrelated regression models	0
Nonparametric multidimensional fixed effects panel data models	0
Smoothed maximum score estimation with nonparametrically generated covariates	0
A control function approach to estimate panel data binary response model	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
A James-Stein-type adjustment to bias correction in fixed effects panel models	0
Inference in the presence of unknown rates	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	0
Fellows and scholars of Econometric Reviews , 2024	0
Market integration, systemic risk and diagnostic tests in large mixed panels	0
Yet another look at the omitted variable bias	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Binary outcomes, OLS, 2SLS and IV probit	0
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Directional predictability tests	0
Boosting the HP filter for trending time series with long-range dependence	0
Random autoregressive models: A structured overview	0
Testing for nonlinear cointegration under heteroskedasticity	0
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	0
Lassoed boosting and linear prediction in the equities market	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Reconciling negative return skewness with positive time-varying risk premia	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Indian Buffet process factor model for counterfactual analysis	0
Estimating production functions using costs when outputs are restricted	0
Moment estimation for censored quantile regression	0
Monitoring the direction of the short-term trend of economic indicators	0
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Testing Granger non-causality in expectiles	0
Income and democracy: a semiparametric approach	0
Testing rank similarity in the local average treatment effects model	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
A simple test of completeness in a class of nonparametric specification	0
Inference in a similarity-based spatial autoregressive model	0
Bounded tilting estimation	0
Inference in the nonparametric stochastic frontier model	0
An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation	0
Efficient estimation with missing data and endogeneity	0
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors	0
Bootstrap inference on a factor model based average treatment effects estimator	0
Determination of different types of fixed effects in three-dimensional panels*	0
Detecting multiple equilibria for continuous dependent variables	0
An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
Nonseparable panel models with index structure and correlated random effects	0
Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data	0
Specification tests for univariate diffusions	0
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	0
Semiparametric estimation of signaling games with equilibrium refinement	0
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	0
Using generalized estimating equations to estimate nonlinear models with spatial data	0
Powerful t-tests in the presence of nonclassical measurement error	0
Indirect inference estimation of higher-order spatial autoregressive models	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Tricks with metrics: combining statistics for improved inference in regression analysis	0
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures	0
Lag order selection for long-run variance estimation in econometrics	0
Estimation of dynamic panel data models with a lot of heterogeneity	0
Forecasting vector autoregressions with mixed roots in the vicinity of unity	0
Nonparametric estimation of mediation effects with a general treatment	0
The two-way Mundlak estimator	0
Automatic variable selection for semiparametric spatial autoregressive model	0
Best Paper Award Econometric Reviews, 2017–2018	0
A unified unit root test regardless of intercept	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0

Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	0
A unifying switching regime regression framework with applications in health economics	0
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model	0
Modeling heterogeneous treatment effects in the presence of endogeneity	0
Robust nonparametric frontier estimation in two steps	0
An IV estimator for a functional coefficient model with endogenous discrete treatments	0
A new Bayesian model for contagion and interdependence	0
Monotonicity-constrained nonparametric estimation and inference for first-price auctions	0
In memory of Michael McAleer: special issue of Econometric Reviews	0
Latent local-to-unity models	0
Bandwidth selection for nonparametric regression with errors-in-variables	0