Journal of Econometrics

1973 - 2024

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

From Elsevier
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Volume 244, issue 1, 2024

Tuning-parameter-free propensity score matching approach for causal inference under shape restriction

Yukun Liu and Jing Qin

Fixed-b asymptotics for panel models with two-way clustering

Kaicheng Chen and Timothy J. Vogelsang

An unbounded intensity model for point processes

Kim Christensen and Aleksey Kolokolov

Threshold spatial autoregressive model

Kunpeng Li and Wei Lin

Measuring diagnostic test performance using imperfect reference tests: A partial identification approach

Filip Obradović

Latent utility and permutation invariance: A revealed preference approach

Roy Allen and John Rehbeck

Testing for sparse idiosyncratic components in factor-augmented regression models

Jad Beyhum and Jonas Striaukas

A method of moments approach to asymptotically unbiased Synthetic Controls

Joseph Fry

Empirical risk minimization for time series: Nonparametric performance bounds for prediction

Christian Brownlees and Jordi Llorens-Terrazas

Large Bayesian SVARs with linear restrictions

Chenghan Hou

High-dimensional model-assisted inference for treatment effects with multi-valued treatments

Wenfu Xu and Zhiqiang Tan

GMM estimation for high-dimensional panel data models

Tingting Cheng, Chaohua Dong, Jiti Gao and Oliver Linton

Identification in discrete choice models with imperfect information

Cristina Gualdani and Shruti Sinha

Heterogeneous treatment effect bounds under sample selection with an application to the effects of social media on political polarization

Phillip Heiler

Identification and estimation of unconditional policy effects of an endogenous binary treatment: An unconditional MTE approach

Julian Martinez-Iriarte and Yixiao Sun

A gentle introduction to matrix calculus

Jan R. Magnus

Estimating option pricing models using a characteristic function-based linear state space representation

H. Peter Boswijk, Roger Laeven and Evgenii Vladimirov

On uniform confidence intervals for the tail index and the extreme quantile

Yuya Sasaki and Yulong Wang

Volume 243, issue 1, 2024

Earnings dynamics and intergenerational transmission of skill

Lance Lochner and Youngmin Park

Some children left behind: Variation in the effects of an educational intervention

Julie Buhl-Wiggers, Jason Kerwin, Juan Munoz-Morales, Jeffrey Smith and Rebecca Thornton

You are what your parents expect: Height and local reference points

Fan Wang, Esteban Puentes, Jere R. Behrman and Flávio Cunha

Gender pension gaps in a private retirement accounts system: A dynamic model of household labor supply and savings

Clement Joubert and Petra Todd

Sample selection models without exclusion restrictions: Parameter heterogeneity and partial identification

Bo E. Honoré and Luojia Hu

Eliciting willingness-to-pay to decompose beliefs and preferences that determine selection into competition in lab experiments

Yvonne Jie Chen, Deniz Dutz, Li Li, Sarah Moon, Edward Vytlacil and Songfa Zhong

Robust inference for moment condition models without rational expectations

Xiaohong Chen, Lars Peter Hansen and Peter G. Hansen

Dealing with imperfect randomization: Inference for the highscope perry preschool program

James Heckman, Rodrigo Pinto and Azeem Shaikh

Policy evaluation with multiple instrumental variables

Magne Mogstad, Alexander Torgovitsky and Christopher Walters

Econometric causality: The central role of thought experiments

James Heckman and Rodrigo Pinto

Human capital and migration: A cautionary tale

Salvador Navarro and Jin Zhou

Introduction to the annals issue in honor of James J Heckman

Xiaohong Chen and Edward Vytlacil

Reprint of: Profiling the plight of disconnected youth in America

Thomas MaCurdy, David Glick, Sonam Sherpa and Sriniketh Nagavarapu

Volume 242, issue 2, 2024

A Correlated Random Coefficient panel model with time-varying endogeneity

Louise Laage

Nonparametric identification and estimation of stochastic block models from many small networks

Koen Jochmans

Identification and estimation of dynamic structural models with unobserved choices

Yingyao Hu and Yi Xin

On LASSO for high dimensional predictive regression

Ziwei Mei and Zhentao Shi

Change-point analysis of time series with evolutionary spectra

Alessandro Casini and Pierre Perron

Semiparametrically optimal cointegration test

Bo Zhou

Volume 242, issue 1, 2024

Modeling long cycles

Da Natasha Kang and Vadim Marmer

Better the devil you know: Improved forecasts from imperfect models

Dong Hwan Oh and Andrew J. Patton

Nonlinear and nonseparable structural functions in regression discontinuity designs with a continuous treatment

Haitian Xie

2SLS with multiple treatments

Manudeep Bhuller and Henrik Sigstad

A simple specification test for models with many conditional moment inequalities

Mathieu Marcoux, Thomas M. Russell and Yuanyuan Wan

Maximum likelihood estimation of a spatial autoregressive model for origin–destination flow variables

Hanbat Jeong and Lung-fei Lee

On the performance of the Neyman Allocation with small pilots

Yong Cai and Ahnaf Rafi

Prewhitened long-run variance estimation robust to nonstationarity

Alessandro Casini and Pierre Perron

Volume 241, issue 2, 2024

Correcting attrition bias using changes-in-changes

Dalia Ghanem, Sarojini Hirshleifer, Desire Kedagni and Karen Ortiz-Becerra

Hybrid unadjusted Langevin methods for high-dimensional latent variable models

Rubén Loaiza-Maya, Didier Nibbering and Dan Zhu

Dynamic partial correlation models

D’Innocenzo, Enzo and Andre Lucas

Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

Yifan Li, Ingmar Nolte and Manh Cuong Pham

Estimation and inference for high dimensional factor model with regime switching

Giovanni Urga and Fa Wang

Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach

Shuyao Ke, Peter Phillips and Liangjun Su

The local to unity dynamic Tobit model

Anna Bykhovskaya and James A. Duffy

Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation

Bernd Funovits

Measuring tail risk

Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk and Christoph Matthias Würsig

Extreme expectile estimation for short-tailed data

Abdelaati Daouia, Simone A. Padoan and Gilles Stupfler

Volume 241, issue 1, 2024

Spectral clustering with variance information for group structure estimation in panel data

Lu Yu, Jiaying Gu and Stanislav Volgushev

Predictive ability tests with possibly overlapping models

Valentina Corradi, Jack Fosten and Daniel Gutknecht

No star is good news: A unified look at rerandomization based on p-values from covariate balance tests

Anqi Zhao and Peng Ding

Bayesian estimation of cluster covariance matrices of unknown form

Drew Creal and Jaeho Kim

Wild bootstrap inference for instrumental variables regressions with weak and few clusters

Wenjie Wang and Yichong Zhang

Estimation and inference of seller’s expected revenue in first-price auctions

Federico Zincenko

A vector monotonicity assumption for multiple instruments

Leonard Goff

Testing identification conditions of LATE in fuzzy regression discontinuity designs

Yu-Chin Hsu, Ji-Liang Shiu and Yuanyuan Wan

Covariate adjustment in experiments with matched pairs

Yuehao Bai, Liang Jiang, Joseph P. Romano, Azeem Shaikh and Yichong Zhang

The law of large numbers for large stable matchings

Jacob Schwartz and Kyungchul Song