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Journal of Econometrics

1973 - 2021

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

From Elsevier
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Volume 223, issue 2, 2021

Sufficient statistics for unobserved heterogeneity in structural dynamic logit models pp. 280-311 Downloads
Victor Aguirregabiria, Jiaying Gu and Yao Luo
Semiparametric estimation of dynamic discrete choice models pp. 312-327 Downloads
Nicholas Buchholz, Matthew Shum and Haiqing Xu
Solving dynamic discrete choice models using smoothing and sieve methods pp. 328-360 Downloads
Dennis Kristensen, Patrick K. Mogensen, Jong Myun Moon and Bertel Schjerning
The likelihood of mixed hitting times pp. 361-375 Downloads
Jaap H. Abbring and Tim Salimans
Bidding frictions in ascending auctions pp. 376-400 Downloads
Aaron Barkley, Joachim R. Groeger and Robert A. Miller
Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia pp. 401-432 Downloads
Fedor Iskhakov and Michael Keane
Labor market search, informality, and on-the-job human capital accumulation pp. 433-453 Downloads
Matteo Bobba, Luca Flabbi, Santiago Levy and Mauricio Tejada
Illegal drugs, education, and labor market outcomes pp. 454-484 Downloads
Alvaro Mezza and Moshe Buchinsky

Volume 223, issue 1, 2021

Indirect inference for locally stationary models pp. 1-27 Downloads
David T. Frazier and Bonsoo Koo
Nonparametric regression with selectively missing covariates pp. 28-52 Downloads
Christoph Breunig and Peter Haan
Nonparametric estimation of large covariance matrices with conditional sparsity pp. 53-72 Downloads
Hanchao Wang, Bin Peng, Degui Li and Chenlei Leng
Integrated likelihood based inference for nonlinear panel data models with unobserved effects pp. 73-95 Downloads
Martin Schumann, Thomas A. Severini and Gautam Tripathi
Model selection in utility-maximizing binary prediction pp. 96-124 Downloads
Jiun-Hua Su
Inference without smoothing for large panels with cross-sectional and temporal dependence pp. 125-160 Downloads
Javier Hidalgo and Marcia Schafgans
Shrinkage for categorical regressors pp. 161-189 Downloads
Phillip Heiler and Jana Mareckova
Model averaging prediction for time series models with a diverging number of parameters pp. 190-221 Downloads
Jun Liao, Guohua Zou, Yan Gao and Xinyu Zhang
Macroeconomic uncertainty prices when beliefs are tenuous pp. 222-250 Downloads
Lars Peter Hansen and Thomas Sargent
Efficient estimation and filtering for multivariate jump–diffusions pp. 251-275 Downloads
François Guay and Gustavo Schwenkler

Volume 222, issue 2, 2021

Bounds on distributional treatment effect parameters using panel data with an application on job displacement pp. 861-881 Downloads
Brantly Callaway
Limit theorems for network dependent random variables pp. 882-908 Downloads
Denis Kojevnikov, Vadim Marmer and Kyungchul Song
A weighted sieve estimator for nonparametric time series models with nonstationary variables pp. 909-932 Downloads
Chaohua Dong, Oliver Linton and Bin Peng
A Bayesian robust chi-squared test for testing simple hypotheses pp. 933-958 Downloads
Osman Doğan, Süleyman Taşpınar and Anil K. Bera
Uncovering heterogeneous social effects in binary choices pp. 959-973 Downloads
Zhongjian Lin, Xun Tang and Ning Neil Yu
Time-varying model averaging pp. 974-992 Downloads
Yuying Sun, Yongmiao Hong, Tae-Hwy Lee, Shouyang Wang and Xinyu Zhang
Simple and trustworthy cluster-robust GMM inference pp. 993-1023 Downloads
Jungbin Hwang
Solving Euler equations via two-stage nonparametric penalized splines pp. 1024-1056 Downloads
Liyuan Cui, Yongmiao Hong and Yingxing Li
Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models pp. 1057-1082 Downloads
Joel L. Horowitz
Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores pp. 1083-1108 Downloads
Phillip Heiler and Ekaterina Kazak

Volume 222, issue 1, 2021

A survey of preference estimation with unobserved choice set heterogeneity pp. 4-43 Downloads
Gregory S. Crawford, Rachel Griffith and Alessandro Iaria
Using penalized likelihood to select parameters in a random coefficients multinomial logit model pp. 44-55 Downloads
Joel L. Horowitz and Lars Nesheim
BLP estimation using Laplace transformation and overlapping simulation draws pp. 56-72 Downloads
Han Hong, Huiyu Li and Jessie Li
Control variables, discrete instruments, and identification of structural functions pp. 73-88 Downloads
Whitney Newey and Sami Stouli
Assessing consumer demand with noisy neural measurements pp. 89-106 Downloads
Ryan Webb, Nitin Mehta and Ifat Levy
Evaluating consumers’ choices of Medicare Part D plans: A study in behavioral welfare economics pp. 107-140 Downloads
Michael Keane, Jonathan Ketcham, Nicolai Kuminoff and Timothy Neal
Disentangling moral hazard and adverse selection in private health insurance pp. 141-160 Downloads
David Powell and Dana Goldman
How well do structural demand models work? Counterfactual predictions in school choice pp. 161-195 Downloads
Parag A. Pathak and Peng Shi
Vehicle size choice and automobile externalities: A dynamic analysis pp. 196-218 Downloads
Clifford Winston and Jia Yan
Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market pp. 219-243 Downloads
George Hall and John Rust
The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects pp. 244-260 Downloads
Mark Jenkins, Paul Liu, Rosa Matzkin and Daniel L. McFadden
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia pp. 269-294 Downloads
Jianqing Fan, Yuan Ke and Yuan Liao
Estimation and inference in semiparametric quantile factor models pp. 295-323 Downloads
Shujie Ma, Oliver Linton and Jiti Gao
Time-varying general dynamic factor models and the measurement of financial connectedness pp. 324-343 Downloads
Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and Rainer von Sachs
Tail risk and return predictability for the Japanese equity market pp. 344-363 Downloads
Torben Andersen, Viktor Todorov and Masato Ubukata
Closed-form implied volatility surfaces for stochastic volatility models with jumps pp. 364-392 Downloads
Yacine Aït-Sahalia, Chenxu Li and Chen Xu Li
Volatility analysis with realized GARCH-Itô models pp. 393-410 Downloads
Xinyu Song, Donggyu Kim, Huiling Yuan, Xiangyu Cui, Zhiping Lu, Yong Zhou and Yazhen Wang
The Observed Asymptotic Variance: Hard edges, and a regression approach pp. 411-428 Downloads
Per A. Mykland and Lan Zhang
Autoencoder asset pricing models pp. 429-450 Downloads
Shihao Gu, Bryan Kelly and Dacheng Xiu
Generalized aggregation of misspecified models: With an application to asset pricing pp. 451-467 Downloads
Nikolay Gospodinov and Esfandiar Maasoumi
The implied arbitrage mechanism in financial markets pp. 468-483 Downloads
Shiyi Chen, Michael T. Chng and Qingfu Liu
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models pp. 484-501 Downloads
Xiaohong Chen, Zhuo Huang and Yanping Yi
High dimensional minimum variance portfolio estimation under statistical factor models pp. 502-515 Downloads
Yi Ding, Yingying Li and Xinghua Zheng
New testing approaches for mean–variance predictability pp. 516-538 Downloads
Gabriele Fiorentini and Enrique Sentana
Autoregressive models for matrix-valued time series pp. 539-560 Downloads
Rong Chen, Han Xiao and Dan Yang
The wisdom of the crowd and prediction markets pp. 561-578 Downloads
Min Dai, Yanwei Jia and Steven Kou
Max-linear regression models with regularization pp. 579-600 Downloads
Qiurong Cui, Yuqing Xu, Zhengjun Zhang and Vincent Chan
Testing for observation-dependent regime switching in mixture autoregressive models pp. 601-624 Downloads
Mika Meitz and Pentti Saikkonen
Testing constancy in varying coefficient models pp. 625-644 Downloads
Miguel A. Delgado and Luis A. Arteaga-Molina
Dynamic decisions under subjective expectations: A structural analysis pp. 645-675 Downloads
Yonghong An, Yingyao Hu and Ruli Xiao
On the validity of Akaike’s identity for random fields pp. 676-687 Downloads
Carsten Jentsch and Marco Meyer
Nonparametric estimation of jump diffusion models pp. 688-715 Downloads
Joon Y. Park and Bin Wang
(Machine) learning parameter regions pp. 716-744 Downloads
José Luis Montiel Olea and James Nesbit
On factor models with random missing: EM estimation, inference, and cross validation pp. 745-777 Downloads
Sainan Jin, Ke Miao and Liangjun Su
Linear IV regression estimators for structural dynamic discrete choice models pp. 778-804 Downloads
Myrto Kalouptsidi, Paul T. Scott and Eduardo Souza-Rodrigues
Empirical asset pricing with multi-period disaster risk: A simulation-based approach pp. 805-832 Downloads
Jantje Sönksen and Joachim Grammig
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction pp. 833-860 Downloads
Matteo Mogliani and Anna Simoni
Page updated 2021-06-24