Journal of Econometrics

1973 - 2026

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

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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 F. 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

Volume 252, issue PB, 2025

Identification of time-varying counterfactual parameters in nonlinear panel models

Irene Botosaru and Chris Muris

Phase transitions in nonparametric regressions

Ying Zhu

Loss aversion and the welfare ranking of policy interventions

Sergio Firpo, Antonio Galvao, Martyna Kobus, Thomas Parker and Pedro Rosa-Dias

Estimation of wage inequality in the UK by quantile regression with censored selection

Songnian Chen, Nianqing Liu, Hanghui Zhang and Yahong Zhou

Test of neglected heterogeneity in dyadic models

Jinyong Hahn, Hyungsik Roger Moon and Ruoyao Shi

Improved estimation of semiparametric dynamic copula models with filtered nonstationarity

Xiaohong Chen, Bo Wang, Zhijie Xiao and Yanping Yi

Statistical inference for the low dimensional parameters of linear regression models in the presence of high-dimensional data: An orthogonal projection approach

Cheng Hsiao and Qiankun Zhou

Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators

Matias Cattaneo, Max H. Farrell, Michael Jansson and Ricardo P. Masini

Nonlinear budget set regressions in random utility models: Theory and application to taxable income

Sören Blomquist, Anil Kumar, Che-Yuan Liang and Whitney K. Newey

Identification and estimation of partial effects in nonlinear semiparametric panel models

Laura Liu, Alexandre Poirier and Ji-Liang Shiu

Estimating high dimensional monotone index models by iterative convex optimization

Shakeeb Khan, Xiaoying Lan, Elie Tamer and Qingsong Yao

Measuring the effects of segregation in the presence of social spillovers: A nonparametric approach

Bryan S. Graham, Guido W. Imbens and Geert Ridder

Increasing the power of moment-based tests

Tiemen Woutersen

Introduction to the Annals Issue in Honor of James Powell

Bryan Graham, Hidehiko Ichimura, Michael Jansson and Shakeeb Khan

Volume 252, issue PA, 2025

High dimensional factor analysis with weak factors

Jungjun Choi and Ming Yuan

On-line detection of changes in the shape of intraday volatility curves

Torben Andersen, Yingwen Tan, Viktor Todorov and Zhiyuan Zhang

Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models

Antoine A. Djogbenou and Ulrich Hounyo

Structural periodic vector autoregressions

Daniel Dzikowski and Carsten Jentsch

Quantile graphical models: Prediction and conditional independence with applications to systemic risk

Alexandre Belloni, Mingli Chen and Victor Chernozhukov

Inference on model parameters with many L-moments

Luis A.F. Alvarez, Chang Chiann and Pedro A. Morettin

Nonparametric regression under cluster sampling

Yuya Shimizu

Cointegration with occasionally binding constraints

James A. Duffy, Sophocles Mavroeidis and Sam Wycherley

Matrix-valued factor model with time-varying main effects

Clifford Lam and Zetai Cen

Addressing endogeneity issues in a spatial autoregressive model using copulas

Yanli Lin and Yichun Song

Risk premia from the cross-section of individual assets

Frank Kleibergen and Zhaoguo Zhan

GMM estimation with Brownian kernels applied to income inequality measurement

Jin Seo Cho and Peter Phillips

Weak identification with bounds in a class of minimum distance models

Gregory Fletcher Cox

Estimation of spatial autoregressive panel data models with nonparametric endogenous effect

Zixin Yang, Xiaojun Song and Jihai Yu

Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters

Falong Tan, Xu Guo and Lixing Zhu

Identification- and many moment-robust inference via invariant moment conditions

Tom Boot and Johannes W. Ligtenberg

Weighted-average quantile regression

Denis Chetverikov, Yukun Liu and Aleh Tsyvinski

Shrinkage methods for treatment choice

Takuya Ishihara and Daisuke Kurisu

Making distributionally robust portfolios feasible in high dimension

Ruike Wu, Yanrong Yang, Han Lin Shang and Huanjun Zhu

Causal inference in network experiments: Regression-based analysis and design-based properties

Mengsi Gao and Peng Ding

Robust mutual fund selection with false discovery rate control

Hongfei Wang, Ping Zhao, Long Feng and Zhaojun Wang

Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations

Minseok Shin, Donggyu Kim, Yazhen Wang and Jianqing Fan