Journal of Econometrics

1973 - 2025

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

From Elsevier
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Volume 250, issue C, 2025

Faster estimation of dynamic discrete choice models using index invertibility

Jackson Bunting and Takuya Ura

Pairwise valid instruments

Zhenting Sun and Kaspar Wüthrich

Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties

Sergei Bazylik, Magne Mogstad, Joseph P. Romano, Azeem Shaikh and Daniel Wilhelm

A simple and computationally trivial estimator for grouped fixed effects models

Martin Mugnier

Dimension-agnostic change point detection

Hanjia Gao, Runmin Wang and Xiaofeng Shao

Dynamic treatment effect estimation with interactive fixed effects and short panels

Nicholas L. Brown and Kyle Butts

Realized candlestick wicks

Yifan Li, Ingmar Nolte, Sandra Nolte and Shifan Yu

Inference for large dimensional factor models under general missing data patterns

Liangjun Su and Fa Wang

On changepoint detection in functional data using empirical energy distance

B. Cooper Boniece, Lajos Horváth and Lorenzo Trapani

Volume 249, issue PC, 2025

Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach

Dimitris Korobilis and Maximilian Schröder

Inequality and the zero lower bound

Jesus Fernandez-Villaverde, Joël Marbet, Galo Nuño and Omar Rachedi

Bayesian neural networks for macroeconomic analysis

Niko Hauzenberger, Florian Huber, Karin Klieber and Massimiliano Marcellino

Refining public policies with machine learning: The case of tax auditing

Marco Battaglini, Luigi Guiso, Chiara Lacava, Douglas Miller and Eleonora Patacchini

Central bank communication on social media: What, to whom, and how?

Yuriy Gorodnichenko, Tho Pham and Oleksandr Talavera

How do firms’ financial conditions influence the transmission of monetary policy? A non-parametric local projection approach

Livia Paranhos

Paying over the odds at the end of the fiscal year. Evidence from Ukraine

Margaryta Klymak and Stuart Baumann

Mind your language: Market responses to central bank speeches

Maximilian Ahrens, Deniz Erdemlioglu, Michael McMahon, Christopher Neely and Xiye Yang

Satellites turn “concrete”: Tracking cement with satellite data and neural networks

Alexandre d'Aspremont, Simon Ben Arous, Jean-Charles Bricongne, Benjamin Lietti and Baptiste Meunier

Estimating time-varying networks for high-dimensional time series

Jia Chen, Degui Li, Yu-Ning Li and Oliver Linton

Machine learning who to nudge: Causal vs predictive targeting in a field experiment on student financial aid renewal

Susan Athey, Niall Keleher and Jann Spiess

Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches

Christoph Bertsch, Isaiah Hull, Robin L. Lumsdaine and Xin Zhang

Machine Learning for Economic Policy

Maryam Haghighi, Andreas Joseph, George Kapetanios, Christopher Kurz, Michele Lenza and Juri Marcucci

Volume 249, issue PB, 2025

Simple subvector inference on sharp identified set in affine models

Bulat Gafarov

Identification and estimation of a search model with heterogeneous consumers and firms

Mateusz Myśliwski, May Rostom, Fabio Sanches, Daniel Silva and Sorawoot Srisuma

Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects

Sainan Jin, Xun Lu and Liangjun Su

Penalized estimation of finite mixture models

Sofya Budanova

Multiplicative factor model for volatility

Yi Ding, Robert Engle, Yingying Li and Xinghua Zheng

On time-varying panel data models with time-varying interactive fixed effects

Xia Wang, Sainan Jin, Yingxing Li, Junhui Qian and Liangjun Su

A large confirmatory dynamic factor model for stock market returns in different time zones

Oliver B. Linton, Haihan Tang and Jianbin Wu

When structural break meets threshold effect: Factor analysis under structural instabilities

Chenchen Ma and Yundong Tu

Estimation and uniform inference in sparse high-dimensional additive models

Philipp Bach, Sven Klaassen, Jannis Kueck and Martin Spindler

Tensor time series imputation through tensor factor modelling

Zetai Cen and Clifford Lam

Bootstrap based asymptotic refinements for high-dimensional nonlinear models

Joel L. Horowitz and Ahnaf Rafi

Adjustments with many regressors under covariate-adaptive randomizations

Liang Jiang, Liyao Li, Ke Miao and Yichong Zhang

Quantile Granger causality in the presence of instability

Alexander Mayer, Dominik Wied and Victor Troster

Huber Principal Component Analysis for large-dimensional factor models

Yong He, Lingxiao Li, Dong Liu and Wen-Xin Zhou

Model averaging prediction for possibly nonstationary autoregressions

Tzu-Chi Lin and Chu-An Liu

Supervised factor modeling for high-dimensional linear time series

Feiqing Huang, Kexin Lu, Yao Zheng and Guodong Li

Limit theory and inference in non-cointegrated functional coefficient regression

Ying Wang, Peter Phillips and Yundong Tu

Subjective expectations and demand for contraception

Grant Miller, Aureo de Paula and Christine Valente

Regret analysis in threshold policy design

Federico Crippa

Quantile prediction with factor-augmented regression: Structural instability and model uncertainty

Yundong Tu and Siwei Wang

Inference for deprivation profiles in a binary setting

Maria Grazia Pittau, Pier Luigi Conti and Roberto Zelli

Asymptotic theory for two-way clustering

Luther Yap

Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach

Matei Demetrescu, Paulo M.M. Rodrigues and Robert Taylor

Cross-sectional dependence in idiosyncratic volatility

Ilze Kalnina and Kokouvi Tewou

Estimating coefficient-by-coefficient breaks in panel data models

Yousef Kaddoura

Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors

Ying Wang and Peter Phillips

Volume 249, issue PA, 2025

Feature-splitting algorithms for ultrahigh dimensional quantile regression

Jiawei Wen, Songshan Yang, Christina Dan Wang, Yifan Jiang and Runze Li

Semiparametric approach to estimation of marginal mean effects and marginal quantile effects

Seong-ho Lee, Yanyuan Ma and Elvezio Ronchetti

Simultaneous estimation and group identification for network vector autoregressive model with heterogeneous nodes

Xuening Zhu, Ganggang Xu and Jianqing Fan

Inference on quantile processes with a finite number of clusters

Andreas Hagemann

Fast inference for quantile regression with tens of millions of observations

Sokbae Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin

Distributional counterfactual analysis in high-dimensional setup

Ricardo Masini

Unconditional quantile partial effects via conditional quantile regression

Javier Alejo, Antonio Galvao, Julian Martinez-Iriarte and Gabriel Montes-Rojas

Quantile control via random forest

Qiang Chen, Zhijie Xiao and Qingsong Yao

Sequential quantile regression for stream data by least squares

Ye Fan and Nan Lin

On superlevel sets of conditional densities and multivariate quantile regression

Annika Camehl, Dennis Fok and Kathrin Gruber

Testing heterogeneous treatment effect with quantile regression under covariate-adaptive randomization

Yang Liu, Lucy Xia and Feifang Hu

Efficient quantile covariate adjusted response adaptive experiments

Zhonghua Li, Lan Luo, Jingshen Wang and Long Feng

Multiway empirical likelihood

Harold D. Chiang, Yukitoshi Matsushita and Taisuke Otsu

Inference on time series nonparametric conditional moment restrictions using nonlinear sieves

Xiaohong Chen, Yuan Liao and Weichen Wang

Interval quantile correlations with applications to testing high-dimensional quantile effects

Yaowu Zhang, Yeqing Zhou and Liping Zhu

Statistical inference for smoothed quantile regression with streaming data

Jinhan Xie, Xiaodong Yan, Bei Jiang and Linglong Kong

Themed issue: Quantile regression and data heterogeneity

Xiaohong Chen and Xuming He