Journal of Econometrics

1973 - 2026

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

From Elsevier
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Volume 255, issue C, 2026

A sorted penalty estimator: Inference for a correlation-robust shrinkage method

Marcelo C. Medeiros and Chuanping Sun

Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models

Eric Beutner, Yicong Lin and Andre Lucas

Inference on breaks in weak location time series models with the estimating function approach

Christian Francq, Lorenzo Trapani and Jean-Michel Zakoïan

An empirical evaluation of some long-horizon macroeconomic forecasts

Kurt G. Lunsford and Kenneth D. West

Estimation and inference for unbalanced panel data models with interactive fixed effects

Liangjun Su, Fa Wang and Yiren Wang

A uniformly valid test for instrument exogeneity

Prosper Dovonon and Nikolay Gospodinov

The modified conditional sum-of-squares estimator for fractionally integrated models

Mustafa R. Kılınç and Michael Massmann

Estimation and inference of the forecast error variance decomposition for set-identified SVARs

Francesco Fusari, Joe Marlow and Alessio Volpicella

The information matrix test for Gaussian mixtures

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Robust econometrics for growth-at-risk

Tobias Adrian, Yuya Sasaki and Yulong Wang

Should we augment large covariance matrix estimation with auxiliary network information?

Shuyi Ge, Shaoran Li, Oliver Linton, Weiguang Liu and Wen Su

Monitoring joint tail risks: An application to growth and inflation

Valentina Corradi and Jordi Llorens-Terrazas

LASSO inference for high dimensional predictive regressions

Zhan Gao, Ji Hyung Lee, Ziwei Mei and Zhentao Shi

Using spatial modeling to address covariate measurement error

Susanne Schennach and Vincent Starck

Integrated variance estimation for assets traded in multiple venues

Gustavo Fruet Dias and Karsten Schweikert

Mixture matrix-valued autoregressive model

Fei Wu and Kung-Sik Chan

Nuclear norm regularized estimation of panel regression models

Hyungsik Roger Moon and Martin Weidner

Reduced rank multivariate spatial autoregressive model for large-scale networks

Tianyi Zhu, Dan Pu, Yingying Ma, Danyang Huang and Wei Lan

Identification of first-price auctions with endogenous entry and possibly biased beliefs

Tong Li and Yu Zhu

Latent factor analysis in short panels

Alain-Philippe Fortin, Patrick Gagliardini and Olivier Scaillet

Transfer estimates for causal effects across heterogeneous sites

Konrad Menzel

Implicit score-driven filters for time-varying parameter models

Rutger-Jan Lange, Bram van Os and Dick van Dijk

Volume 254, issue PB, 2026

GMM inference in the matrix exponential spatial specification

Ye Yang and Wim P.M. Vijverberg

Regularizing fairness in optimal policy learning with distributional targets

Anders Bredahl Kock and David Preinerstorfer

Minimax rates of convergence for nonparametric location-Scale models

Bingxin Zhao and Yuhong Yang

Estimating a conditional density ratio model for asset returns and option demand

Jeroen Dalderop and Oliver Linton

To be or not to be: Roughness or long memory in volatility?

Mikkel Bennedsen, Kim Christensen and Peter Korsbakke Christensen

Time-varying macroeconomic announcement risk

Michael Johannes, Norman J. Seeger and Jonathan R. Stroud

Semiparametric estimation of duration model with time-varying regressors and fixed effects

Songnian Chen and Qian Wang

High-dimensional conditional factor model

Zhonghao Fu, Shang Gao, Liangjun Su and Xia Wang

Diffusion index forecasting with tensor data

Bin Chen, Yuefeng Han and Qiyang Yu

Sign-based tests for structural changes in multivariate volatility

Jilin Wu, Zhijie Xiao, Mengxi Zhang and Zhenhuan Zhang

Convolution-t distributions

Peter Hansen and Chen Tong

Statistical inference of optimal allocations I: Regularities and their implications

Kai Feng, Han Hong and Denis Nekipelov

The informativeness of combined experimental and observational data under dynamic selection

Yechan Park and Yuya Sasaki

Volume 254, issue PA, 2026

Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model

Yu-Ning Li, Jia Chen and Oliver Linton

Robust estimation of integrated and spot volatility

Z. Merrick Li and Oliver Linton

Intraday volatility patterns from short-dated options

Viktor Todorov and Yang Zhang

Robust realized integrated beta estimator with application to dynamic analysis of integrated beta

Minseog Oh, Donggyu Kim and Yazhen Wang

High dimensional regression coefficient test with high frequency data

Dachuan Chen, Long Feng, Per A. Mykland and Lan Zhang

Realized drift

Sébastien Laurent, Roberto Renò and Shuping Shi

BUMVU estimators

Aleksey Kolokolov, Roberto Renò and Patrick Zoi

Probability distributions for realized covariance measures

Michael Stollenwerk

A multivariate realized GARCH model

Ilya Archakov, Peter Hansen and Asger Lunde

Bespoke realized volatility: Tailored measures of risk for volatility prediction

Andrew J. Patton and Haozhe Zhang

Testing for jumps in a discretely observed price process with endogenous sampling times

Qiyuan Li, Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu

Efficient sampling for realized variance estimation in time-changed diffusion models

Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka, Jasper Rennspies, Sina Streicher and Axel Friedrich Wolter

FX futures invariance

Torben G. Andersen, Oleg Bondarenko, Eleni Gousgounis and Esen Onur

Introduction to the Issue on High Frequency Econometrics

Lukas Bauer, Roxana Halbleib, Richard Olsen, Torben G. Andersen and Ingmar Nolte

Reprint of: Nonparametric estimation for high-frequency data incorporating trading information

Wenhao Cui, Jie Hu and Jiandong Wang