Journal of Econometrics

1973 - 2025

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 232, issue 2, 2023

Cluster-robust inference: A guide to empirical practice pp. 272-299

James MacKinnon, Morten Nielsen and Matthew Webb

Fully modified least squares cointegrating parameter estimation in multicointegrated systems pp. 300-319

Igor L. Kheifets and Peter Phillips

High dimensional semiparametric moment restriction models pp. 320-345

Chaohua Dong, Jiti Gao and Oliver Linton

Second-order refinements for t-ratios with many instruments pp. 346-366

Yukitoshi Matsushita and Taisuke Otsu

Smoothed quantile regression with large-scale inference pp. 367-388

Xuming He, Xiaoou Pan, Kean Ming Tan and Wen-Xin Zhou

Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process pp. 389-415

Xiaohu Wang, Weilin Xiao and Jun Yu

A discrete-time hedging framework with multiple factors and fat tails: On what matters pp. 416-444

Maciej Augustyniak, Alexandru Badescu and Jean-François Bégin

Estimating the variance of a combined forecast: Bootstrap-based approach pp. 445-468

Ulrich Hounyo and Kajal Lahiri

When bias contributes to variance: True limit theory in functional coefficient cointegrating regression pp. 469-489

Peter Phillips and Ying Wang

Relaxing conditional independence in an endogenous binary response model pp. 490-500

Alyssa Carlson

Scalable inference for a full multivariate stochastic volatility model pp. 501-520

Petros Dellaportas, Michalis K. Titsias, Katerina Petrova and Anastasios Plataniotis

A simple joint model for returns, volatility and volatility of volatility pp. 521-543

Ding, Yashuang (Dexter)

Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data pp. 544-564

Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang and Haipeng Shen

Why randomize? Minimax optimality under permutation invariance pp. 565-575

Yuehao Bai

Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares pp. 576-597

Irene Botosaru, Chris Muris and Krishna Pendakur

Volume 232, issue 1, 2023

Time series analysis of COVID-19 infection curve: A change-point perspective pp. 1-17

Feiyu Jiang, Zifeng Zhao and Xiaofeng Shao

Nowcasting the output gap pp. 18-34

Tino Berger, James Morley and Benjamin Wong

Time varying Markov process with partially observed aggregate data: An application to coronavirus pp. 35-51

C. Gourieroux and Joann Jasiak

Nowcasting in a pandemic using non-parametric mixed frequency VARs pp. 52-69

Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer and Josef Schreiner

How to go viral: A COVID-19 model with endogenously time-varying parameters pp. 70-86

Paul Ho, Thomas A. Lubik and Christian Matthes

Nonparametric comparison of epidemic time trends: The case of COVID-19 pp. 87-108

Marina Khismatullina and Michael Vogt

Who should get vaccinated? Individualized allocation of vaccines over SIR network pp. 109-131

Toru Kitagawa and Guanyi Wang

Sparse spatio-temporal autoregressions by profiling and bagging pp. 132-147

Yingying Ma, Shaojun Guo and Hansheng Wang

Efficient closed-form estimation of large spatial autoregressions pp. 148-167

Abhimanyu Gupta

Spatial econometrics for misaligned data pp. 168-190

Guillaume Allaire Pouliot

A spatial panel quantile model with unobserved heterogeneity pp. 191-213

Tomohiro Ando, Kunpeng Li and Lina Lu

Estimation of spatial sample selection models: A partial maximum likelihood approach pp. 214-243

Renata Rabovič and Pavel Cizek

Higher-order least squares inference for spatial autoregressions pp. 244-269

Francesca Rossi and Peter M. Robinson

Volume 231, issue 2, 2022

Conditional rotation between forecasting models pp. 329-347

Yinchu Zhu and Allan Timmermann

From zero to hero: Realized partial (co)variances pp. 348-360

Tim Bollerslev, Marcelo Medeiros, Andrew Patton and Rogier Quaedvlieg

Testing for parameter instability and structural change in persistent predictive regressions pp. 361-386

Torben Andersen and Rasmus T. Varneskov

Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements pp. 387-409

Ben Gardner, Chiara Scotti and Clara Vega

Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds pp. 410-431

Jens H.E. Christensen and Mark Spiegel

Approximate maximum likelihood for complex structural models pp. 432-456

Veronika Czellar, David T. Frazier and Eric Renault

Joint Bayesian inference about impulse responses in VAR models pp. 457-476

Atsushi Inoue and Lutz Kilian

SVARs with occasionally-binding constraints pp. 477-499

S. Boragan Aruoba, Marko Mlikota, Frank Schorfheide and Sergio Villalvazo

Nowcasting with large Bayesian vector autoregressions pp. 500-519

Jacopo Cimadomo, Domenico Giannone, Michele Lenza, Francesca Monti and Andrej Sokol

Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections pp. 520-534

Francis Diebold and Glenn Rudebusch

Volume 231, issue 1, 2022

Maternal subjective expectations about the technology of skill formation predict investments in children one year later pp. 3-32

Flávio Cunha, Irma Elo and Jennifer Culhane

Parental beliefs about returns to child health investments pp. 33-57

Pietro Biroli, Teodora Boneva, Akash Raja and Christopher Rauh

Self-perceptions about academic achievement: Evidence from Mexico City pp. 58-73

Matteo Bobba and Veronica Frisancho

Academic and non-academic investments at university: The role of expectations, preferences and constraints pp. 74-97

Adeline Delavande, Emilia Del Bono and Angus Holford

The role of heterogeneous risk preferences, discount rates, and earnings expectations in college major choice pp. 98-122

Arpita Patnaik, Joanna Venator, Matthew Wiswall and Basit Zafar

Understanding migration aversion using elicited counterfactual choice probabilities pp. 123-147

Gizem Kosar, Tyler Ransom and Wilbert van der Klaauw

Marriage, children, and labor supply: Beliefs and outcomes pp. 148-164

Yifan Gong, Ralph Stinebrickner and Todd Stinebrickner

Beliefs about public debt and the demand for government spending pp. 165-187

Christopher Roth, Sonja Settele and Johannes Wohlfart

Incentive-driven inattention pp. 188-212

Wagner Gaglianone, Raffaella Giacomini, João Issler and Vasiliki Skreta

Dynamics and heterogeneity of subjective stock market expectations pp. 213-231

Florian Heiss, Michael Hurd, Maarten van Rooij, Tobias Rossmann and Joachim Winter

Heterogeneity in households’ stock market beliefs pp. 232-247

Hans-Martin von Gaudecker and Axel Wogrolly

Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion pp. 248-264

Charles Bellemare, Sabine Kröger and Kouamé Marius Sossou

Tail and center rounding of probabilistic expectations in the Health and Retirement Study pp. 265-281

Pamela Giustinelli, Charles Manski and Francesca Molinari

Surveying business uncertainty pp. 282-303

David Altig, Jose Maria Barrero, Nicholas Bloom, Steven Davis, Brent Meyer and Nicholas Parker

Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments pp. 304-326

Elisabeth Grewenig, Philipp Lergetporer, Katharina Werner and Ludger Woessmann