Journal of Econometrics

1973 - 2026

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 257, issue C, 2026

A User’s guide for inference in models defined by moment inequalities

Ivan A. Canay, Gastón Illanes and Amilcar Velez

Particle MCMC and the correlated particle hybrid sampler for state space models

David Gunawan, Chris Carter and Robert Kohn

Incorporating Micro Data into Differentiated Products Demand Estimation with PyBLP

Christopher Conlon and Jeff Gortmaker

Threshold spatial panel regression with fixed effects

Xiaoyu Meng and Zhenlin Yang

Censored partial linear quantile regression with endogeneity

Songnian Chen, Xi Wang and Xianbo Zhou

MCA: High-dimensional modal component analysis towards the mode

Zhe Sun and Yundong Tu

Estimating individual responses when tomorrow matters

Stéphane Bonhomme and Angela Denis

A goodness-of-fit test for sparse networks

Yujia Wu, Wei Lan, Long Feng and Chih-Ling Tsai

Noncausal AR processes driven by causal GARCH volatility

Daniel Velásquez-Gaviria and Jean-Michel Zakoïan

Flexible covariate adjustments in regression discontinuity designs

Claudia Noack, Tomasz Olma and Christoph Rothe

Heterogeneous predictability on mutual fund alphas: A sparse clustering GMM approach

Liyuan Cui, Guanhao Feng and Jiangshan Yang

Asymptotics of CoVaR inference in two-quantile-regression

Xuan Leng, Yi He, Yanxi Hou and Liang Peng

Identification-robust inference for the LATE with high-dimensional covariates

Yukun Ma

Estimation and inference on average treatment effect in percentage points under heterogeneity

Ying Zeng

Difference-in-differences with interference

Ruonan Xu

Instrumental variable regression with varying-intensity repeated treatments

Jaerim Choi, Dakyung Seong and Shu Shen

Dissecting the Phillips curve: Evidence from cross-sectional heterogeneity and regime-dependent nonlinearity

Wenxin Huang, Yiru Wang and Lingyun Zhou

Regression adjustment in completely randomized experiments with many covariates

Harold D. Chiang, Yukitoshi Matsushita and Taisuke Otsu

Model averaging for time–varying vector autoregressions

Yuying Sun, Feng Chen and Jiti Gao

Testing coefficient stability in spatial regression

Ulrich K. Müller and Mark W. Watson

A design-based approach to spatial correlation

Ruonan Xu and Jeffrey Wooldridge

Testing for common latent factors across two short panels

Alain-Philippe Fortin

Testing for underpowered literatures

Stefan Faridani

Graph-based multisample comparison with application to feature selection for multi-category responses

Dan Pu, Haoming Shi, Wei Lan and Chih-Ling Tsai

Volume 256, issue PB, 2026

Semiparametric Bayesian estimation in an ordinal probit model with application to life satisfaction across countries, age and gender

Justin L. Tobias and Timothy N. Bond

Stochastic volatility in mean: Efficient analysis by a generalized mixture sampler

Daichi Hiraki, Siddhartha Chib and Yasuhiro Omori

Large Bayesian matrix autoregressions

Joshua Chan and Yaling Qi

Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications

Yong Li, Sushanta K. Mallick, Nianling Wang, Jun Yu and Tao Zeng

A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence

Guohua Feng, Chuan Wang and Subal C. Kumbhakar

Model uncertainty in the cross-section of stock returns

Jiantao Huang and Ran Shi

Structural breaks, model uncertainty and factor selection

Siddhartha Chib and Simon C. Smith

Bayesian model comparison for large Bayesian VARs after the COVID-19 pandemic

Joshua Chan, Xuewen Yu and Wei Zhang

Bayesian space–time varying coefficient modeling for climate econometrics: A spatial–temporal Gaussian process approach

Gyuhyeong Goh, Jisang Yu, Myungjin Kim and Jesse Tack

Bayesian estimation of a semiparametric stochastic frontier model with persistent and transient inefficiencies

Puguang Nie, Christopher F. Parmeter, Valentin Zelenyuk and Xibin Zhang

A semiparametric Bayesian estimator of copula density

Qiaoyu Wang, Ximing Wu, Taining Wang, Subal C. Kumbhakar and Sui Luo

Bayesian evaluation of mutual fund performance with non-random missing data: Application to the Chinese market

Tianyi Liu, Qianchao Wang, Yanping Yi and Yonghui Zhang

Partial identification of structural vector autoregressions with non-centred stochastic volatility

Helmut Lütkepohl, Fei Shang, Luis Uzeda and Tomasz Woźniak

Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency

Dimitris Korobilis, Emmanuel C. Mamatzakis and Vasileios Pappas

A dynamic state-space HAR model

Mike Tsionas, Aya Ghalayini, Marwan Izzeldin and Lorenzo Trapani

Text-term selection and analysis: Frequentist and Bayesian strategies and interpretations

Cathy Yi-Hsuan Chen, George Kapetanios and Wei-Biao Wu

Likelihood specification in simultaneous equation models for discrete data

Ivan Jeliazkov and Angela Vossmeyer

Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach

Sulkhan Chavleishvili, Robert Engle, Stephan Fahr, Manfred Kremer, Frederik Lund-Thomsen, Simone Manganelli and Bernd Schwaab

Testing for differences in high-frequency network connectedness from variance decompositions

Mattia Bevilacqua, Michael Ellington and Rodrigo Hizmeri

Concentrated MCMC estimation

Xuan Xiao, Xingbai Xu, Chengwei Tang and Tuo Liu

Bayesian model averaging with non-conjugate priors

Anastasios E. Tasiopoulos, Efthymios G. Tsionas and Nikolaos Vlastakis

Bayesian methods in economics and finance: A unified survey and taxonomy

Subal C. Kumbhakar and Sushanta K. Mallick

Volume 256, issue PA, 2026

Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets

Malte Londschien and Peter Bühlmann

Semi-nonparametric models of multidimensional matching: An optimal transport approach

Dongwoo Kim and Young Jun Lee

Treatment effects with targeting instruments

Sokbae Lee and Bernard Salanié

Bounding treatment effects by pooling limited information across observations

Sokbae Lee and Martin Weidner

Singular vector autoregressions

Eric Eisenstat and Rodney Strachan

A kernelization-based approach to nonparametric binary choice models

Guo Yan

Time domain estimation of non-fundamental ARMA models in the presence of heteroskedasticity of unknown form

Ignacio N. Lobato and Carlos Velasco

Estimation and inference in boundary discontinuity designs: Distance-based methods

Matias Cattaneo, Rocío Titiunik and Yu, Ruiqi (Rae)

Estimation of characteristics-based quantile factor models

Liang Chen, Juan J. Dolado, Jesus Gonzalo and Haozi Pan

Distributional effects with two-sided measurement error: An application to intergenerational income mobility

Brantly Callaway VI, Tong Li, Irina Murtazashvili and Emmanuel S. Tsyawo

AIC for many-regressor heteroskedastic regressions

Stanislav Anatolyev

Identification and estimation in a time-varying endogenous random coefficient panel data model

Ming Li