Econometric Reviews

(The TQCC of Econometric Reviews is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-06-01 to 2024-06-01.)
Revisiting regression adjustment in experiments with heterogeneous treatment effects31
Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing21
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models14
Random autoregressive models: A structured overview12
An augmented Anderson–Hsiao estimator for dynamic short-T panels11
Optimal model averaging for divergent-dimensional Poisson regressions10
Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures10
Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models10
Testing for strict stationarity in a random coefficient autoregressive model9
Binary outcomes, OLS, 2SLS and IV probit8
In-fill asymptotic theory for structural break point in autoregressions8
Efficient semiparametric copula estimation of regression models with endogeneity7
The two-way Mundlak estimator7
Some notes on nonlinear cointegration: A partial review with some novel perspectives7
Multiple subordinated modeling of asset returns: Implications for option pricing6
Panel data measures of price discovery6
Model averaging in a multiplicative heteroscedastic model6
Sequential and efficient GMM estimation of dynamic short panel data models6
Moment estimation for censored quantile regression5
Estimation and inference for distribution and quantile functions in endogenous treatment effect models5
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators5
Panel data nowcasting4
Approximate state space modelling of unobserved fractional components4
Market integration, systemic risk and diagnostic tests in large mixed panels4
Testing Granger non-causality in expectiles4
Model selection in factor-augmented regressions with estimated factors3
Monotonicity-constrained nonparametric estimation and inference for first-price auctions3
The continuous limit of weak GARCH3
Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach3
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors3
A panel data model of length of stay in hospitals for hip replacements3
Standard Errors for Nonparametric Regression3
An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation3
Data cloning estimation for asymmetric stochastic volatility models3
Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures2
Testing for time-varying factor loadings in high-dimensional factor models2
Quantile aggregation and combination for stock return prediction2
Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition2
Forward detrending for heteroskedasticity-robust panel unit root testing2
Estimation of average treatment effect based on a semiparametric propensity score2
Nonparametric multidimensional fixed effects panel data models2
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions2
Latent local-to-unity models2
Testing for shifts in a time trend panel data model with serially correlated error component disturbances2
Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference2
Bandwidth selection for nonparametric regression with errors-in-variables2
Predictability, real time estimation, and the formulation of unobserved components models2
Quantile structural treatment effects: application to smoking wage penalty and its determinants2
Determination of different types of fixed effects in three-dimensional panels*2
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves2
Model selection and model averaging for matrix exponential spatial models2