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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 Downloads
Gonzalo Vazquez-Bare
Identification of mixtures of dynamic discrete choices Downloads
Ayden Higgins and Koen Jochmans
Under-identification of structural models based on timing and information set assumptions Downloads
Daniel A. Ackerberg, Garth Frazer, Kyoo il Kim, Yao Luo and Yingjun Su
Inference under covariate-adaptive randomization with imperfect compliance Downloads
Federico A. Bugni and Mengsi Gao
Linear panel regressions with two-way unobserved heterogeneity Downloads
Hugo Freeman and Martin Weidner
Stable outcomes and information in games: An empirical framework Downloads
Paul S. Koh
Econometric inference on a large Bayesian game with heterogeneous beliefs Downloads
Denis Kojevnikov and Kyungchul Song
Penetrating sporadic return predictability Downloads
Yundong Tu and Xinling Xie
A new generalized exponentially weighted moving average quantile model and its statistical inference Downloads
Ke Zhu
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model Downloads
Yanqin Fan, Fang Han and Hyeonseok Park
Adaptive robust large volatility matrix estimation based on high-frequency financial data Downloads
Minseok Shin, Donggyu Kim and Jianqing Fan
Identification of dynamic binary response models Downloads
S. Khan, M. Ponomareva and E. Tamer
What is a standard error? Downloads
Andrew Gelman
What is uncertainty in today’s practice of data science? Downloads
Bin Yu

Volume 236, issue 2, 2023

A structural analysis of simple contracts Downloads
Yonghong An, Shengjie Hong and Daiqiang Zhang
Moments, shocks and spillovers in Markov-switching VAR models Downloads
Erik Kole and Dick van Dijk
Inference and forecasting for continuous-time integer-valued trawl processes Downloads
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart
A solution to the global identification problem in DSGE models Downloads
Andrzej Kocięcki and Marcin Kolasa
Generalized linear models with structured sparsity estimators Downloads
Mehmet Caner
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume Downloads
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 Downloads
Clément de Chaisemartin and D’Haultfœuille, Xavier
Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk Downloads
Valentina Corradi, Jack Fosten and Daniel Gutknecht
Bayesian Artificial Neural Networks for frontier efficiency analysis Downloads
Mike Tsionas, Christopher F. Parmeter and Valentin Zelenyuk
Treatment effect models with strategic interaction in treatment decisions Downloads
Tadao Hoshino and Takahide Yanagi

Volume 236, issue 1, 2023

Policy evaluation during a pandemic Downloads
Brantly Callaway and Tong Li
Identification of auction models using order statistics Downloads
Yao Luo and Ruli Xiao
Dynamic discrete choice models with incomplete data: Sharp identification Downloads
Yuya Sasaki, Yuya Takahashi, Yi Xin and Yingyao Hu
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds Downloads
Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and Olena Melin
Semiparametric estimation of latent variable asset pricing models Downloads
Jeroen Dalderop
Structural VAR models in the Frequency Domain Downloads
Alain Guay and Florian Pelgrin
We modeled long memory with just one lag! Downloads
Luc Bauwens, Guillaume Chevillon and Sébastien Laurent
High-dimensional conditionally Gaussian state space models with missing data Downloads
Joshua Chan, Aubrey Poon and Dan Zhu
Large stochastic volatility in mean VARs Downloads
Jamie L. Cross, Chenghan Hou, Gary Koop and Aubrey Poon
Maximum likelihood estimation for α-stable double autoregressive models Downloads
Dong Li, Yuxin Tao, Yaxing Yang and Rongmao Zhang
Testing many restrictions under heteroskedasticity Downloads
Stanislav Anatolyev and Mikkel Sølvsten
Post-processed posteriors for sparse covariances Downloads
Kwangmin Lee and Jaeyong Lee

Volume 235, issue 2, 2023

Sieve BLP: A semi-nonparametric model of demand for differentiated products pp. 325-351 Downloads
Ao Wang
Testing for time stochastic dominance pp. 352-371 Downloads
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 Downloads
Alessandro Casini
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models pp. 393-417 Downloads
Mehmet Caner, Marcelo Medeiros and Gabriel F.R. Vasconcelos
Partial identification and inference in moment models with incomplete data pp. 418-443 Downloads
Yanqin Fan, Xuetao Shi and Jing Tao
Distribution-invariant differential privacy pp. 444-453 Downloads
Xuan Bi and Xiaotong Shen
Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model pp. 454-469 Downloads
Tao Yu, Pengfei Li, Baojiang Chen, Ao Yuan and Jing Qin
GARCH density and functional forecasts pp. 470-483 Downloads
Karim M. Abadir, Alessandra Luati and Paolo Paruolo
Robust inference in first-price auctions: Overbidding as an identifying restriction pp. 484-506 Downloads
Serafin Grundl and Yu Zhu
Testing stochastic dominance with many conditioning variables pp. 507-527 Downloads
Oliver Linton, Myung Hwan Seo and Yoon-Jae Whang
Partial identification in nonseparable binary response models with endogenous regressors pp. 528-562 Downloads
Jiaying Gu and Thomas M. Russell
Robust inference with stochastic local unit root regressors in predictive regressions pp. 563-591 Downloads
Yanbo Liu and Peter Phillips
Model averaging for asymptotically optimal combined forecasts pp. 592-607 Downloads
Yi-Ting Chen and Chu-An Liu
Global robust Bayesian analysis in large models pp. 608-642 Downloads
Paul Ho
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions pp. 643-665 Downloads
Gabriele Fiorentini and Enrique Sentana
Prices, profits, proxies, and production pp. 666-693 Downloads
Victor Aguiar, Nail Kashaev and Roy Allen
Uniform inference in linear panel data models with two-dimensional heterogeneity pp. 694-719 Downloads
Xun Lu and Liangjun Su
Specification tests for time-varying coefficient models pp. 720-744 Downloads
Zhonghao Fu, Yongmiao Hong, Liangjun Su and Xia Wang
A GMM approach to estimate the roughness of stochastic volatility pp. 745-778 Downloads
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen and Bezirgen Veliyev
News-implied linkages and local dependency in the equity market pp. 779-815 Downloads
Shuyi Ge, Shaoran Li and Oliver Linton
Threshold regression with nonparametric sample splitting pp. 816-842 Downloads
Yoonseok Lee and Yulong Wang
Variance–covariance from a metropolis chain on a curved, singular manifold pp. 843-861 Downloads
A. Ronald Gallant
Identification and inference of network formation games with misclassified links pp. 862-891 Downloads
Luis E. Candelaria and Takuya Ura
Using monotonicity restrictions to identify models with partially latent covariates pp. 892-921 Downloads
Minji Bang, Wayne Yuan Gao, Andrew Postlewaite and Holger Sieg
Using large samples in econometrics pp. 922-926 Downloads
James MacKinnon
Profile GMM estimation of panel data models with interactive fixed effects pp. 927-948 Downloads
Shengjie Hong, Liangjun Su and Tao Jiang
Bootstrap specification tests for dynamic conditional distribution models pp. 949-971 Downloads
Indeewara Perera and Mervyn J. Silvapulle
Testing the martingale difference hypothesis in high dimension pp. 972-1000 Downloads
Jinyuan Chang, Qing Jiang and Xiaofeng Shao
Semiparametric partially linear varying coefficient modal regression pp. 1001-1026 Downloads
Aman Ullah, Tao Wang and Weixin Yao
Indirect inference estimation of dynamic panel data models pp. 1027-1053 Downloads
Yong Bao and Xuewen Yu
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models pp. 1054-1086 Downloads
Jonas E. Arias, Juan F. Rubio-Ramírez and Minchul Shin
Nonparametric identification and estimation of the extended Roy model pp. 1087-1113 Downloads
Ji Hyung Lee and Byoung G. Park
Lasso inference for high-dimensional time series pp. 1114-1143 Downloads
Robert Adamek, Stephan Smeekes and Ines Wilms
ETF Basket-Adjusted Covariance estimation pp. 1144-1171 Downloads
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Distinguishing incentive from selection effects in auction-determined contracts pp. 1172-1202 Downloads
Laurent Lamy, Manasa Patnam and Michael Visser
Peer effects and endogenous social interactions pp. 1203-1214 Downloads
Koen Jochmans
The role of score and information bias in panel data likelihoods pp. 1215-1238 Downloads
Martin Schumann, Thomas A. Severini and Gautam Tripathi
Community network auto-regression for high-dimensional time series pp. 1239-1256 Downloads
Elynn Y. Chen, Jianqing Fan and Xuening Zhu
Nonparametric identification and estimation with discrete instruments and regressors pp. 1257-1279 Downloads
Isaac Loh
Asymptotic F test in regressions with observations collected at high frequency over long span pp. 1281-1309 Downloads
Daniel F. Pellatt and Yixiao Sun
Two-step estimation of censored quantile regression for duration models with time-varying regressors pp. 1310-1336 Downloads
Songnian Chen
Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding pp. 1337-1354 Downloads
Song Xi Chen, Bin Guo and Yumou Qiu
Penalized time-varying model averaging pp. 1355-1377 Downloads
Yuying Sun, Yongmiao Hong, Shouyang Wang and Xinyu Zhang
Time-varying unobserved heterogeneity in earnings shocks pp. 1378-1393 Downloads
Irene Botosaru
Intraday cross-sectional distributions of systematic risk pp. 1394-1418 Downloads
Torben Andersen, Raul Riva, Martin Thyrsgaard and Viktor Todorov
Comparing stochastic volatility specifications for large Bayesian VARs pp. 1419-1446 Downloads
Joshua Chan
The distribution of rolling regression estimators pp. 1447-1463 Downloads
Zongwu Cai and Ted Juhl
Estimation and identification of latent group structures in panel data pp. 1464-1482 Downloads
Ali Mehrabani
Parametric estimation of long memory in factor models pp. 1483-1499 Downloads
Yunus Emre Ergemen
Estimation and inference in factor copula models with exogenous covariates pp. 1500-1521 Downloads
Alexander Mayer and Dominik Wied
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model pp. 1522-1541 Downloads
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Joint inference based on Stein-type averaging estimators in the linear regression model pp. 1542-1563 Downloads
Tom Boot
A functional estimation approach to the first-price auction models pp. 1564-1588 Downloads
Andreea Enache, Jean-Pierre Florens and Erwann Sbai
Identifying causal effects in experiments with spillovers and non-compliance pp. 1589-1624 Downloads
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 Downloads
Michael Keane and Timothy Neal
Binary response models for heterogeneous panel data with interactive fixed effects pp. 1654-1679 Downloads
Jiti Gao, Fei Liu, Bin Peng and Yayi Yan
Uniform inference for value functions pp. 1680-1699 Downloads
Sergio Firpo, Antonio Galvao and Thomas Parker
IV methods for Tobit models pp. 1700-1724 Downloads
Andrew Chesher, Dongwoo Kim and Adam Rosen
Debiased machine learning of set-identified linear models pp. 1725-1746 Downloads
Vira Semenova
Jackknife estimation of a cluster-sample IV regression model with many weak instruments pp. 1747-1769 Downloads
John C. Chao, Norman R. Swanson and Tiemen Woutersen
Spatial autoregressions with an extended parameter space and similarity-based weights pp. 1770-1798 Downloads
Francesca Rossi and Offer Lieberman
Wild bootstrap inference for penalized quantile regression for longitudinal data pp. 1799-1826 Downloads
Carlos Lamarche and Thomas Parker
Refining set-identification in VARs through independence pp. 1827-1847 Downloads
Thorsten Drautzburg and Jonathan H. Wright
Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators pp. 1848-1875 Downloads
Jiafeng Chen, Xiaohong Chen and Elie Tamer
Shrinkage estimation of multiple threshold factor models pp. 1876-1892 Downloads
Chenchen Ma and Yundong Tu
Approximate factor models with weaker loadings pp. 1893-1916 Downloads
Jushan Bai and Serena Ng
Large volatility matrix analysis using global and national factor models pp. 1917-1933 Downloads
Sung Hoon Choi and Donggyu Kim
Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications pp. 1934-1954 Downloads
Ruijun Bu, Jihyun Kim and Bin Wang
Identifying latent group structures in spatial dynamic panels pp. 1955-1980 Downloads
Liangjun Su, Wuyi Wang and Xingbai Xu
One-way or two-way factor model for matrix sequences? pp. 1981-2004 Downloads
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 Downloads
Yanqin Fan and Xuetao Shi
Testing for the appropriate level of clustering in linear regression models pp. 2027-2056 Downloads
James MacKinnon, Morten Nielsen and Matthew Webb
Social threshold regression pp. 2057-2081 Downloads
Antri Konstantinidi, Andros Kourtellos and Yiguo Sun
Stochastic properties of nonlinear locally-nonstationary filters pp. 2082-2095 Downloads
Francisco Blasques and Marc Nientker
Inference on individual treatment effects in nonseparable triangular models pp. 2096-2124 Downloads
Jun Ma, Vadim Marmer and Zhengfei Yu
The spread of COVID-19 in London: Network effects and optimal lockdowns pp. 2125-2154 Downloads
Christian Julliard, Ran Shi and Kathy Yuan
Efficient peer effects estimators with group effects pp. 2155-2194 Downloads
Guido M. Kuersteiner, Ingmar R. Prucha and Ying Zeng
Sparse quantile regression pp. 2195-2217 Downloads
Le-Yu Chen and Sokbae (Simon) Lee
What’s trending in difference-in-differences? A synthesis of the recent econometrics literature pp. 2218-2244 Downloads
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 Downloads
Zhentong Lu, Xiaoxia Shi and Jing Tao
Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics pp. 2266-2284 Downloads
João Nicolau, Paulo Rodrigues and Marian Z. Stoykov
Reproducibility and transparency versus privacy and confidentiality: Reflections from a data editor pp. 2285-2294 Downloads
Lars Vilhuber

Volume 235, issue 1, 2023

Identification-robust nonparametric inference in a linear IV model pp. 1-24 Downloads
Bertille Antoine and Pascal Lavergne
Over-identified Doubly Robust identification and estimation pp. 25-42 Downloads
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 Downloads
Bastian Gribisch and Jan Patrick Hartkopf
A higher-order correct fast moving-average bootstrap for dependent data pp. 65-81 Downloads
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 Downloads
Nicolas Van de Sijpe and Frank Windmeijer
A corrected Clarke test for model selection and beyond pp. 105-132 Downloads
Florian Brück, Jean-David Fermanian and Aleksey Min
Bootstrap inference for Hawkes and general point processes pp. 133-165 Downloads
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 Downloads
Xu Guo, Runze Li, Jingyuan Liu and Mudong Zeng
Time series estimation of the dynamic effects of disaster-type shocks pp. 180-201 Downloads
Richard Davis and Serena Ng
Asymptotic properties of Bayesian inference in linear regression with a structural break pp. 202-219 Downloads
Kenichi Shimizu
A condition for the identification of multivariate models with binary instruments pp. 220-238 Downloads
Florian F. Gunsilius
Bootstrap analysis of mutual fund performance pp. 239-255 Downloads
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 Downloads
Bernd Fitzenberger, Aderonke Osikominu and Marie Paul
Model averaging prediction by K-fold cross-validation pp. 280-301 Downloads
Xinyu Zhang and Chu-An Liu
Logical differencing in dyadic network formation models with nontransferable utilities pp. 302-324 Downloads
Wayne Yuan Gao, Ming Li and Sheng Xu
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