Econometric Reviews

Article	Citations
ANNOUNCEMENT	33
Time series quantile regression kink with an unknown threshold	21
Estimation of counterfactual distributions with a continuous endogenous treatment	21
Variable selection in linear regressions with possibly all strongly correlated covariates	12
The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg	10
Testing collusion and cooperation in binary choice games	9
List of reviewers for Econometric Reviews , volume 43	9
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators	8
Correction	8
Directional predictability tests	7
Estimation of random functions proxying for unobservables	7
A note on kernel density estimation for undirected dyadic data	6
Nonseparable panel models with index structure and correlated random effects	6
Using machine learning for efficient flexible regression adjustment in economic experiments	5
GLS estimation and confidence sets for the date of a single break in models with trends	5
Nonstationary heterogeneous panels with multiple structural changes	4
A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes	4
Towards a raw-data dynamic structural model with its descriptive applications	4
Predictive extremile regression with persistent covariates: IVX-ER approach	4
Attenuation bias vs selection bias: a multi-outcome three-stage model	4
In memory of Michael McAleer: special issue of Econometric Reviews	4
Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation	4
Forecasting vector autoregressions with mixed roots in the vicinity of unity	3
High-dimensional mixed data sampling models with a covariate-dependent threshold	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
Time-dependent shrinkage of time-varying parameter regression models	3
Nonlinear GMM estimation in dynamic panels with serially correlated unobservables	3
Indirect inference estimation of higher-order spatial autoregressive models	3
Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics	3
Copula joint estimation for spatial dynamic panel data models with endogeneity issues	3
Bootstrap inference on a factor model based average treatment effects estimator	3
Correction	3
The variances of non-parametric estimates of the cross-sectional distribution of durations	3
Inference in a similarity-based spatial autoregressive model	3
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon	3
Almost dominance: inference and application	2
Copula-based expectile regression: estimation and inference	2
Model averaging for generalized linear models in diverging model spaces with effective model size	2
Latent local-to-unity models	2
Shrinkage estimation of censored quantile regression for panel data models with grouped latent heterogeneity	2
Double/debiased machine learning for semiparametric synthetic difference-in-differences models	2
The application of multiple-output quantile regression to the US financial cycle	2
Quantile means and quantile share standard errors and a toolbox of distributional statistics	2
Spectral estimation for mixed causal-noncausal autoregressive models	2
Indian Buffet process factor model for counterfactual analysis	2
Modeling asymmetric tail dependence in a non-Gaussian framework	2
Regularized maximum likelihood estimation for the random coefficients model	2
Robust inference on income inequality: t- statistic based approach	2
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices	2
Inference on matrix-valued factor models under a fixed time horizon	2
Ordered correlation forest	2
ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024)	2
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	2
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach	2
High-dimensional time-varying coefficient estimation in diffusion models	2
Testing for time-varying factor loadings in high-dimensional factor models	1
Automatic variable selection for semiparametric spatial autoregressive model	1
Rotation group bias and the persistence of misclassification errors in the Current Population Surveys	1
Inferring inequality: Testing for median-preserving spreads in ordinal data	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
Using generalized estimating equations to estimate nonlinear models with spatial data	1
Nonparametric estimation of conditional densities by generalized random forests	1
Nonparametric identification and estimation of heterogeneous causal effects under conditional independence	1
Robust estimation of regression models with potentially endogenous outliers via a modern optimization lens	1
Testing rank similarity in the local average treatment effects model	1
Fellows and scholars of Econometric Reviews , 2024	1
Income and democracy: a semiparametric approach	1
Monitoring the direction of the short-term trend of economic indicators	1
Short panel data quantile regression model with flexible correlated effects	1
Tricks with metrics: combining statistics for improved inference in regression analysis	1
Nuisance parameters, modified profile likelihood and Jacobian prior	1
Optimal minimax rates of specification testing with data-driven bandwidth	1
A hybrid nonparametric multivariate density estimator with applications to risk management	1

Simulation-based multiple testing for many non-nested multivariate models	1
Estimation bias in the Ornstein-Uhlenbeck process with flow data	1
A simple method to account for measurement errors in revealed preference tests	1
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency	1
Goodness of fit tests in spatial autoregressive stochastic frontier models	1
Bandwidth selection for nonparametric regression with errors-in-variables	1
Best Paper Award: Econometric Reviews, 2024	1
A method to evaluate the rank condition for CCE estimators	1
Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models	1
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference	1
GCov-based portmanteau test	1
Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system	1
Robust nonparametric frontier estimation in two steps	1
Empirical Monte Carlo evidence on estimation of timing-of-events models	0
A quantile-based nonadditive fixed effects model	0
Frequency domain local bootstrap in short and long memory time series	0
A panel quantile model via correlated random effects approach for testing pecking order theory	0
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	0
Testing Granger non-causality in expectiles	0
Minimum wage and employment in the U.S.: an application of Bayesian quantile kink regression	0
Nonparametric predictive regression for stock return prediction	0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models	0
Testing the impacts on inefficiency in a semiparametric stochastic frontier model	0
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one	0
Determining the number of factors in constrained factor models via Bayesian information criterion	0
Panel sample selection model with interactive effects	0
Binary outcomes, OLS, 2SLS and IV probit	0
Using generalized impulse response functions to estimate nonlinear dynamic models	0
Preface to the Practitioner’s Guide Series	0
Doubly robust estimation of multivariate fractional outcome means with multivalued treatments	0
A projection-based approach for interactive fixed effects panel data models	0
An approximated exponentially tilted empirical likelihood estimator of moment condition models	0
Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*	0
MCMC conditional maximum likelihood for the two-way fixed-effects logit	0
Extremal quantiles and stock price crashes	0
Conical FDH estimators for testing returns to scale and making inference about changes in productivity	0
Aggregation trees	0
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†	0
Identification of network effects with spatially endogenous covariates: theory, simulations, and an empirical application	0
Fellows and scholars of Econometric Reviews , 2025	0
Best Paper Award	0
On structurally grouped approximate factor models	0
Nonparametric estimation of mediation effects with a general treatment	0
Stochastic search selection for heterogeneous panel data models	0
A practitioner’s guide to panel data quantile regression	0
Awards, 2025	0
Back Matter	0
Estimating heterogeneous effects in static binary response panel data models	0
Test for serial correlation in panel data models with interactive fixed effects	0
Modeling and backtesting systemic risk measures: the case of CoES	0
Confidence intervals for intentionally biased estimators	0
Mean field variational Bayes for finite mixture of random coefficients models: an application to healthcare expenditures	0
A robust test for serial correlation in panel data models	0
Lassoed boosting and linear prediction in the equities market	0
A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models	0
Dynamic spatial panel data models with interactive fixed effects: M-estimation and inference under fixed or relatively small T	0
Many covariate and cluster robust estimation and inference	0
Nonparametric estimation of additive models with errors-in-variables	0
Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis	0
Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects	0
Reconciling negative return skewness with positive time-varying risk premia	0
State-dependent local projections– the dynamic effects of regime transitions	0
Optimal smoothing parameter selection in single-index model derivative estimation	0
A unified unit root test regardless of intercept	0
Hamiltonian sequential Monte Carlo with application to consumer choice behavior	0
Spatial weights matrix selection and model averaging for multivariate spatial autoregressive models	0
Decomposing identification gains and evaluating instrument identification power for partially identified average treatment effects	0
Bounded tilting estimation	0
A state-space approach to time-varying reduced-rank regression	0
An efficient residual-adjusted two-step estimator for a SARAR model	0
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model	0
Estimating flow data models of international trade: dual gravity and spatial interactions	0
Regression adjustment for estimating distributional treatment effects in randomized controlled trials	0
Non linear correlated random effects models with endogeneity and unbalanced panels	0
Multivariate distribution regression	0
A one-covariate-at-a-time multiple testing approach to variable selection in additive models	0
Testing for average treatment effects in choice-based samples	0
An application of copulas to OPEC’s changing influence on fossil fuel prices	0
Estimation of average treatment effects for massively unbalanced binary outcomes	0
Boosting the HP filter for trending time series with long-range dependence	0

Nonparametric bootstrap confidence sets for the quantile ratio	0
Efficient estimation with missing data and endogeneity	0
Improved tests for stock return predictability	0
Lag order selection for long-run variance estimation in econometrics	0
Structural estimation of firm productivity with endogenous determinants	0
Selecting the number of factors in approximate factor models using group variable regularization	0
Partial identification of individual-level parameters using aggregate data in a nonparametric model	0
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity	0
A unifying switching regime regression framework with applications in health economics	0
Semiparametric single-index estimation for average treatment effects	0
Smoothed gradient least squares estimator for linear threshold models	0
Generalized spatial matrix specifications	0
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition	0
Heavy tail robust estimation and inference for average treatment effects	0
Uniform inference in linear error-in-variables models: Divide-and-conquer	0
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	0
Testing for nonlinear cointegration under heteroskedasticity	0
Non-parametric identification and estimation of partial effects with endogeneity and selection	0
Identification of continuous-time linear filters when only discrete-time data is available	0
Inference in the presence of unknown rates	0
Post-averaging inference for optimal model averaging estimator in generalized linear models	0
Correction	0
On the use of synthetic difference-in-differences approach with (-out) covariates: The case study of Brexit referendum	0
A new Bayesian model for contagion and interdependence	0
Inference in the nonparametric stochastic frontier model	0
High-dimensional banded vector autoregressions subject to structural breaks	0
K-means panel data clustering in the presence of small groups	0
Genuinely unbalanced spatial panel data models with fixed effects: M-estimation and inference with an application to FDI inflows	0
The two-way Mundlak estimator	0
Forward detrending for heteroskedasticity-robust panel unit root testing	0
Cluster-robust jackknife and bootstrap inference for logistic regression models	0
Yet another look at the omitted variable bias	0
Inference on outcome distribution and quantile functions with missing data, by quantile imputation, probability weighting, and doubly robust estimators	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
Unified M-estimation of matrix exponential spatial dynamic panel specification	0
Inference and extrapolation in finite populations with special attention to clustering	0
Towards data-congruent models of the term structure of interest rates	0
Locally time-varying parameter regression	0
On the estimation of quantile treatment effects using a semiparametric propensity score	0
Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations	0
Forecasting Levels in Loglinear Unit Root Models	0
A robust score-driven filter for multivariate time series	0
A simple reformulation of the common correlated effects model	0
Semiparametric spatial autoregressive models with nonlinear endogeneity	0
Inference for the VEC(1) model with a heavy-tailed linear process errors*	0
Testing for stationary or persistent coefficient randomness in predictive regressions	0
Editorial	0
Linear fixed-effects estimation with nonrepeated outcomes	0
Robust determination for the number of factors in constrained approximate factor models	0
Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises	0
Assessing volatility persistence in fractional Heston models with self-exciting jumps	0
Endogeneity in semiparametric threshold regression models with two threshold variables	0
Shrinkage and noniterative estimation for moving average models with structural breaks	0