Journal of Econometrics

1973 - 2023

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

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Volume 237, issue 1, 2023

Identification and estimation of spillover effects in randomized experiments

Gonzalo Vazquez-Bare

Identification of mixtures of dynamic discrete choices

Ayden Higgins and Koen Jochmans

Under-identification of structural models based on timing and information set assumptions

Daniel A. Ackerberg, Garth Frazer, Kyoo il Kim, Yao Luo and Yingjun Su

Inference under covariate-adaptive randomization with imperfect compliance

Federico A. Bugni and Mengsi Gao

Linear panel regressions with two-way unobserved heterogeneity

Hugo Freeman and Martin Weidner

Stable outcomes and information in games: An empirical framework

Paul S. Koh

Econometric inference on a large Bayesian game with heterogeneous beliefs

Denis Kojevnikov and Kyungchul Song

Penetrating sporadic return predictability

Yundong Tu and Xinling Xie

A new generalized exponentially weighted moving average quantile model and its statistical inference

Ke Zhu

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Yanqin Fan, Fang Han and Hyeonseok Park

Adaptive robust large volatility matrix estimation based on high-frequency financial data

Minseok Shin, Donggyu Kim and Jianqing Fan

Identification of dynamic binary response models

S. Khan, M. Ponomareva and E. Tamer

What is a standard error?

Andrew Gelman

What is uncertainty in today’s practice of data science?

Bin Yu

Volume 236, issue 2, 2023

A structural analysis of simple contracts

Yonghong An, Shengjie Hong and Daiqiang Zhang

Moments, shocks and spillovers in Markov-switching VAR models

Erik Kole and Dick van Dijk

Inference and forecasting for continuous-time integer-valued trawl processes

Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart

A solution to the global identification problem in DSGE models

Andrzej Kocięcki and Marcin Kolasa

Generalized linear models with structured sparsity estimators

Mehmet Caner

When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume

Francis X. Diebold, Glenn D. Rudebusch, Maximilian Göbel, Philippe Goulet Coulombe and Boyuan Zhang

Two-way fixed effects and differences-in-differences estimators with several treatments

Clément de Chaisemartin and D’Haultfœuille, Xavier

Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk

Valentina Corradi, Jack Fosten and Daniel Gutknecht

Bayesian Artificial Neural Networks for frontier efficiency analysis

Mike Tsionas, Christopher F. Parmeter and Valentin Zelenyuk

Treatment effect models with strategic interaction in treatment decisions

Tadao Hoshino and Takahide Yanagi

Volume 236, issue 1, 2023

Policy evaluation during a pandemic

Brantly Callaway and Tong Li

Identification of auction models using order statistics

Yao Luo and Ruli Xiao

Dynamic discrete choice models with incomplete data: Sharp identification

Yuya Sasaki, Yuya Takahashi, Yi Xin and Yingyao Hu

Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and Olena Melin

Semiparametric estimation of latent variable asset pricing models

Jeroen Dalderop

Structural VAR models in the Frequency Domain

Alain Guay and Florian Pelgrin

We modeled long memory with just one lag!

Luc Bauwens, Guillaume Chevillon and Sébastien Laurent

High-dimensional conditionally Gaussian state space models with missing data

Joshua Chan, Aubrey Poon and Dan Zhu

Large stochastic volatility in mean VARs

Jamie L. Cross, Chenghan Hou, Gary Koop and Aubrey Poon

Maximum likelihood estimation for α-stable double autoregressive models

Dong Li, Yuxin Tao, Yaxing Yang and Rongmao Zhang

Testing many restrictions under heteroskedasticity

Stanislav Anatolyev and Mikkel Sølvsten

Post-processed posteriors for sparse covariances

Kwangmin Lee and Jaeyong Lee

Volume 235, issue 2, 2023

Sieve BLP: A semi-nonparametric model of demand for differentiated products pp. 325-351

Ao Wang

Testing for time stochastic dominance pp. 352-371

Kyungho Lee, Oliver Linton and Yoon-Jae Whang

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models pp. 372-392

Alessandro Casini

Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models pp. 393-417

Mehmet Caner, Marcelo Medeiros and Gabriel F.R. Vasconcelos

Partial identification and inference in moment models with incomplete data pp. 418-443

Yanqin Fan, Xuetao Shi and Jing Tao

Distribution-invariant differential privacy pp. 444-453

Xuan Bi and Xiaotong Shen

Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model pp. 454-469

Tao Yu, Pengfei Li, Baojiang Chen, Ao Yuan and Jing Qin

GARCH density and functional forecasts pp. 470-483

Karim M. Abadir, Alessandra Luati and Paolo Paruolo

Robust inference in first-price auctions: Overbidding as an identifying restriction pp. 484-506

Serafin Grundl and Yu Zhu

Testing stochastic dominance with many conditioning variables pp. 507-527

Oliver Linton, Myung Hwan Seo and Yoon-Jae Whang

Partial identification in nonseparable binary response models with endogenous regressors pp. 528-562

Jiaying Gu and Thomas M. Russell

Robust inference with stochastic local unit root regressors in predictive regressions pp. 563-591

Yanbo Liu and Peter Phillips

Model averaging for asymptotically optimal combined forecasts pp. 592-607

Yi-Ting Chen and Chu-An Liu

Global robust Bayesian analysis in large models pp. 608-642

Paul Ho

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions pp. 643-665

Gabriele Fiorentini and Enrique Sentana

Prices, profits, proxies, and production pp. 666-693

Victor Aguiar, Nail Kashaev and Roy Allen

Uniform inference in linear panel data models with two-dimensional heterogeneity pp. 694-719

Xun Lu and Liangjun Su

Specification tests for time-varying coefficient models pp. 720-744

Zhonghao Fu, Yongmiao Hong, Liangjun Su and Xia Wang

A GMM approach to estimate the roughness of stochastic volatility pp. 745-778

Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen and Bezirgen Veliyev

News-implied linkages and local dependency in the equity market pp. 779-815

Shuyi Ge, Shaoran Li and Oliver Linton

Threshold regression with nonparametric sample splitting pp. 816-842

Yoonseok Lee and Yulong Wang

Variance–covariance from a metropolis chain on a curved, singular manifold pp. 843-861

A. Ronald Gallant

Identification and inference of network formation games with misclassified links pp. 862-891

Luis E. Candelaria and Takuya Ura

Using monotonicity restrictions to identify models with partially latent covariates pp. 892-921

Minji Bang, Wayne Yuan Gao, Andrew Postlewaite and Holger Sieg

Using large samples in econometrics pp. 922-926

James MacKinnon

Profile GMM estimation of panel data models with interactive fixed effects pp. 927-948

Shengjie Hong, Liangjun Su and Tao Jiang

Bootstrap specification tests for dynamic conditional distribution models pp. 949-971

Indeewara Perera and Mervyn J. Silvapulle

Testing the martingale difference hypothesis in high dimension pp. 972-1000

Jinyuan Chang, Qing Jiang and Xiaofeng Shao

Semiparametric partially linear varying coefficient modal regression pp. 1001-1026

Aman Ullah, Tao Wang and Weixin Yao

Indirect inference estimation of dynamic panel data models pp. 1027-1053

Yong Bao and Xuewen Yu

Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models pp. 1054-1086

Jonas E. Arias, Juan F. Rubio-Ramírez and Minchul Shin

Nonparametric identification and estimation of the extended Roy model pp. 1087-1113

Ji Hyung Lee and Byoung G. Park

Lasso inference for high-dimensional time series pp. 1114-1143

Robert Adamek, Stephan Smeekes and Ines Wilms

ETF Basket-Adjusted Covariance estimation pp. 1144-1171

Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel

Distinguishing incentive from selection effects in auction-determined contracts pp. 1172-1202

Laurent Lamy, Manasa Patnam and Michael Visser

Peer effects and endogenous social interactions pp. 1203-1214

Koen Jochmans

The role of score and information bias in panel data likelihoods pp. 1215-1238

Martin Schumann, Thomas A. Severini and Gautam Tripathi

Community network auto-regression for high-dimensional time series pp. 1239-1256

Elynn Y. Chen, Jianqing Fan and Xuening Zhu

Nonparametric identification and estimation with discrete instruments and regressors pp. 1257-1279

Isaac Loh

Asymptotic F test in regressions with observations collected at high frequency over long span pp. 1281-1309

Daniel F. Pellatt and Yixiao Sun

Two-step estimation of censored quantile regression for duration models with time-varying regressors pp. 1310-1336

Songnian Chen

Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding pp. 1337-1354

Song Xi Chen, Bin Guo and Yumou Qiu

Penalized time-varying model averaging pp. 1355-1377

Yuying Sun, Yongmiao Hong, Shouyang Wang and Xinyu Zhang

Time-varying unobserved heterogeneity in earnings shocks pp. 1378-1393

Irene Botosaru

Intraday cross-sectional distributions of systematic risk pp. 1394-1418

Torben Andersen, Raul Riva, Martin Thyrsgaard and Viktor Todorov

Comparing stochastic volatility specifications for large Bayesian VARs pp. 1419-1446

Joshua Chan

The distribution of rolling regression estimators pp. 1447-1463

Zongwu Cai and Ted Juhl

Estimation and identification of latent group structures in panel data pp. 1464-1482

Ali Mehrabani

Parametric estimation of long memory in factor models pp. 1483-1499

Yunus Emre Ergemen

Estimation and inference in factor copula models with exogenous covariates pp. 1500-1521

Alexander Mayer and Dominik Wied

Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model pp. 1522-1541

Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann

Joint inference based on Stein-type averaging estimators in the linear regression model pp. 1542-1563

Tom Boot

A functional estimation approach to the first-price auction models pp. 1564-1588

Andreea Enache, Jean-Pierre Florens and Erwann Sbai

Identifying causal effects in experiments with spillovers and non-compliance pp. 1589-1624

Francis J. DiTraglia, Camilo García-Jimeno, O’Keeffe-O’Donovan, Rossa and Alejandro Sánchez-Becerra

Instrument strength in IV estimation and inference: A guide to theory and practice pp. 1625-1653

Michael Keane and Timothy Neal

Binary response models for heterogeneous panel data with interactive fixed effects pp. 1654-1679

Jiti Gao, Fei Liu, Bin Peng and Yayi Yan

Uniform inference for value functions pp. 1680-1699

Sergio Firpo, Antonio Galvao and Thomas Parker

IV methods for Tobit models pp. 1700-1724

Andrew Chesher, Dongwoo Kim and Adam Rosen

Debiased machine learning of set-identified linear models pp. 1725-1746

Vira Semenova

Jackknife estimation of a cluster-sample IV regression model with many weak instruments pp. 1747-1769

John C. Chao, Norman R. Swanson and Tiemen Woutersen

Spatial autoregressions with an extended parameter space and similarity-based weights pp. 1770-1798

Francesca Rossi and Offer Lieberman

Wild bootstrap inference for penalized quantile regression for longitudinal data pp. 1799-1826

Carlos Lamarche and Thomas Parker

Refining set-identification in VARs through independence pp. 1827-1847

Thorsten Drautzburg and Jonathan H. Wright

Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators pp. 1848-1875

Jiafeng Chen, Xiaohong Chen and Elie Tamer

Shrinkage estimation of multiple threshold factor models pp. 1876-1892

Chenchen Ma and Yundong Tu

Approximate factor models with weaker loadings pp. 1893-1916

Jushan Bai and Serena Ng

Large volatility matrix analysis using global and national factor models pp. 1917-1933

Sung Hoon Choi and Donggyu Kim

Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications pp. 1934-1954

Ruijun Bu, Jihyun Kim and Bin Wang

Identifying latent group structures in spatial dynamic panels pp. 1955-1980

Liangjun Su, Wuyi Wang and Xingbai Xu

One-way or two-way factor model for matrix sequences? pp. 1981-2004

Yong He, Xinbing Kong, Lorenzo Trapani and Long Yu

Wald, QLR, and score tests when parameters are subject to linear inequality constraints pp. 2005-2026

Yanqin Fan and Xuetao Shi

Testing for the appropriate level of clustering in linear regression models pp. 2027-2056

James MacKinnon, Morten Nielsen and Matthew Webb

Social threshold regression pp. 2057-2081

Antri Konstantinidi, Andros Kourtellos and Yiguo Sun

Stochastic properties of nonlinear locally-nonstationary filters pp. 2082-2095

Francisco Blasques and Marc Nientker

Inference on individual treatment effects in nonseparable triangular models pp. 2096-2124

Jun Ma, Vadim Marmer and Zhengfei Yu

The spread of COVID-19 in London: Network effects and optimal lockdowns pp. 2125-2154

Christian Julliard, Ran Shi and Kathy Yuan

Efficient peer effects estimators with group effects pp. 2155-2194

Guido M. Kuersteiner, Ingmar R. Prucha and Ying Zeng

Sparse quantile regression pp. 2195-2217

Le-Yu Chen and Sokbae (Simon) Lee

What’s trending in difference-in-differences? A synthesis of the recent econometrics literature pp. 2218-2244

Jonathan Roth, Sant’Anna, Pedro H.C., Alyssa Bilinski and John Poe

Semi-nonparametric estimation of random coefficients logit model for aggregate demand pp. 2245-2265

Zhentong Lu, Xiaoxia Shi and Jing Tao

Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics pp. 2266-2284

João Nicolau, Paulo Rodrigues and Marian Z. Stoykov

Reproducibility and transparency versus privacy and confidentiality: Reflections from a data editor pp. 2285-2294

Lars Vilhuber

Volume 235, issue 1, 2023

Identification-robust nonparametric inference in a linear IV model pp. 1-24

Bertille Antoine and Pascal Lavergne

Over-identified Doubly Robust identification and estimation pp. 25-42

Arthur Lewbel, Jin Young Choi and Zhuzhu Zhou

Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model pp. 43-64

Bastian Gribisch and Jan Patrick Hartkopf

A higher-order correct fast moving-average bootstrap for dependent data pp. 65-81

Davide La Vecchia, Alban Moor and Olivier Scaillet

On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference pp. 82-104

Nicolas Van de Sijpe and Frank Windmeijer

A corrected Clarke test for model selection and beyond pp. 105-132

Florian Brück, Jean-David Fermanian and Aleksey Min

Bootstrap inference for Hawkes and general point processes pp. 133-165

Giuseppe Cavaliere, Ye Lu, Anders Rahbek and Jacob Stærk-Østergaard

Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic pp. 166-179

Xu Guo, Runze Li, Jingyuan Liu and Mudong Zeng

Time series estimation of the dynamic effects of disaster-type shocks pp. 180-201

Richard Davis and Serena Ng

Asymptotic properties of Bayesian inference in linear regression with a structural break pp. 202-219

Kenichi Shimizu

A condition for the identification of multivariate models with binary instruments pp. 220-238

Florian F. Gunsilius

Bootstrap analysis of mutual fund performance pp. 239-255

Haitao Huang, Lei Jiang, Xuan Leng and Liang Peng

The effects of training incidence and planned training duration on labor market transitions pp. 256-279

Bernd Fitzenberger, Aderonke Osikominu and Marie Paul

Model averaging prediction by K-fold cross-validation pp. 280-301

Xinyu Zhang and Chu-An Liu

Logical differencing in dyadic network formation models with nontransferable utilities pp. 302-324

Wayne Yuan Gao, Ming Li and Sheng Xu