Journal of Econometrics

1973 - 2026

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

From Elsevier
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Volume 254, issue PA, 2026

Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model

Yu-Ning Li, Jia Chen and Oliver Linton

Robust estimation of integrated and spot volatility

Z. Merrick Li and Oliver Linton

Intraday volatility patterns from short-dated options

Viktor Todorov and Yang Zhang

Robust realized integrated beta estimator with application to dynamic analysis of integrated beta

Minseog Oh, Donggyu Kim and Yazhen Wang

High dimensional regression coefficient test with high frequency data

Dachuan Chen, Long Feng, Per A. Mykland and Lan Zhang

Realized drift

Sébastien Laurent, Roberto Renò and Shuping Shi

BUMVU estimators

Aleksey Kolokolov, Roberto Renò and Patrick Zoi

Probability distributions for realized covariance measures

Michael Stollenwerk

A multivariate realized GARCH model

Ilya Archakov, Peter Reinhard Hansen and Asger Lunde

Bespoke realized volatility: Tailored measures of risk for volatility prediction

Andrew J. Patton and Haozhe Zhang

Testing for jumps in a discretely observed price process with endogenous sampling times

Qiyuan Li, Yifan Li, Ingmar Nolte, Sandra Nolte and Shifan Yu

Efficient sampling for realized variance estimation in time-changed diffusion models

Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka, Jasper Rennspies, Sina Streicher and Axel Friedrich Wolter

FX futures invariance

Torben G. Andersen, Oleg Bondarenko, Eleni Gousgounis and Esen Onur

Introduction to the Issue on High Frequency Econometrics

Lukas Bauer, Roxana Halbleib, Richard Olsen, Torben G. Andersen and Ingmar Nolte

Reprint of: Nonparametric estimation for high-frequency data incorporating trading information

Wenhao Cui, Jie Hu and Jiandong Wang

Volume 253, issue C, 2026

Identification of incomplete information allocation-transfer games in monotone equilibrium

Brendan Kline

Five lessons for applied researchers from twenty years of common correlated effects estimation

Artūras Juodis and Simon Reese

Large-scale model comparison with fast model confidence sets

Sylvain Barde

Testing for peer effects without specifying the network structure

Hyunseok Jung and Xiaodong Liu

Enhancements of communication-efficient distributed statistical inference and its privacy preservation

Miaomiao Yu, Jiaxuan Li and Yong Zhou

Quasi-Bayesian estimation and inference with control functions

Ruixuan Liu and Zhengfei Yu

Statistical inference for systemic risk-driven portfolio selection

Tsz Chai Fung, Yinhuan Li, Liang Peng and Linyi Qian

Decomposing informed trading in equity options

Felipe Asencio, Alejandro Bernales, Daniel González, Richard Holowczak and Thanos Verousis

A jackknife bias correction for nonlinear network data models with fixed effects

David W. Hughes

Jump detection in high-frequency order prices

Markus Bibinger, Nikolaus Hautsch and Alexander Ristig

Difference-in-Differences with compositional changes

Sant’Anna, Pedro H.C. and Qi Xu

Functional semiparametric modeling for nonstationary and periodic time series data

Shouxia Wang, Hua Liu, Jinhong You and Tao Huang

Robustness to missing data: breakdown point analysis

Daniel Ober-Reynolds

Bootstraps for dynamic panel threshold models

Woosik Gong and Myung Hwan Seo

Inference for time-varying factor models under local stationarity

Weichi Wu, Zhou Zhou and Yongmiao Hong

Unobserved component models, approximate filters and dynamic adaptive mixture models

Leopoldo Catania, D’Innocenzo, Enzo and Alessandra Luati

Decomposition and interpretation of treatment effects in settings with delayed outcomes

Federico A. Bugni, Ivan A. Canay and Steve McBride

Quantile approach to intertemporal consumption with multiple assets

Luciano de Castro, Antonio Galvao and Hirofumi Ota

Corrigendum to “Robust mutual fund selection with false discovery rate control” [Journal of Econometrics 252 (2025) 106121]

Hongfei Wang, Ping Zhao, Long Feng and Zhaojun Wang

Non-Parametric identification of stationary dynamic discrete choice models

Adam Dearing

Exogenous consideration and extended random utility

Roy Allen

Estimation and inference for CP tensor factor models

Bin Chen, Yuefeng Han and Qiyang Yu

Multivariate kernel regression in vector and product metric spaces

Marcia Schafgans and Victoria Zinde-Walsh

Empirical welfare maximization with constraints

Liyang Sun

Data-driven policy learning for continuous treatments

Chunrong Ai, Yue Fang and Haitian Xie

Multi-horizon test for market frictions

Z. Merrick Li and Xiye Yang

Nonparametric treatment effect identification in school choice

Jiafeng Chen

A simple, robust identification approach for first-price auctions

Serafin Grundl and Yu Zhu

Strategic network formation with many agents

Konrad Menzel

Uncovering mild drift in asset prices with intraday high-frequency data

Shuping Shi and Peter Phillips

Estimation and inference for causal functions with multi-way clustered data

Nan Liu, Yanbo Liu and Yuya Sasaki

Estimation and inference for large-dimensional generalized matrix factor models

Xinbing Kong and Tong Zhang

Doubly-robust inference for conditional average treatment effects with high-dimensional controls

Adam Baybutt and Manu Navjeevan

GLS estimation of local projections: Trading robustness for efficiency

Ignace De Vos and Gerdie Everaert

On generalized CCE estimation

Xun Lu, Liangjun Su and Yinglong Ba

Efficient estimation of structural models via sieves

Yao Luo and Peijun Sang

Identification in nonlinear dynamic panel models under partial stationarity

Wayne Yuan Gao and Rui Wang

Dynamic panel data quantile regression with network-linked fixed effects

Shiwei Huang, Yu Chen, Jie Hu and Weiping Zhang

Inference for two-stage experiments under covariate-adaptive randomization

Jizhou Liu