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 252, issue PB, 2025

Identification of time-varying counterfactual parameters in nonlinear panel models

Irene Botosaru and Chris Muris

Phase transitions in nonparametric regressions

Ying Zhu

Loss aversion and the welfare ranking of policy interventions

Sergio Firpo, Antonio Galvao, Martyna Kobus, Thomas Parker and Pedro Rosa-Dias

Estimation of wage inequality in the UK by quantile regression with censored selection

Songnian Chen, Nianqing Liu, Hanghui Zhang and Yahong Zhou

Test of neglected heterogeneity in dyadic models

Jinyong Hahn, Hyungsik Roger Moon and Ruoyao Shi

Improved estimation of semiparametric dynamic copula models with filtered nonstationarity

Xiaohong Chen, Bo Wang, Zhijie Xiao and Yanping Yi

Statistical inference for the low dimensional parameters of linear regression models in the presence of high-dimensional data: An orthogonal projection approach

Cheng Hsiao and Qiankun Zhou

Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators

Matias Cattaneo, Max H. Farrell, Michael Jansson and Ricardo P. Masini

Nonlinear budget set regressions in random utility models: Theory and application to taxable income

Sören Blomquist, Anil Kumar, Che-Yuan Liang and Whitney K. Newey

Identification and estimation of partial effects in nonlinear semiparametric panel models

Laura Liu, Alexandre Poirier and Ji-Liang Shiu

Estimating high dimensional monotone index models by iterative convex optimization

Shakeeb Khan, Xiaoying Lan, Elie Tamer and Qingsong Yao

Measuring the effects of segregation in the presence of social spillovers: A nonparametric approach

Bryan S. Graham, Guido W. Imbens and Geert Ridder

Increasing the power of moment-based tests

Tiemen Woutersen

Introduction to the Annals Issue in Honor of James Powell

Bryan Graham, Hidehiko Ichimura, Michael Jansson and Shakeeb Khan

Volume 252, issue PA, 2025

High dimensional factor analysis with weak factors

Jungjun Choi and Ming Yuan

On-line detection of changes in the shape of intraday volatility curves

Torben G. Andersen, Yingwen Tan, Viktor Todorov and Zhiyuan Zhang

Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models

Antoine A. Djogbenou and Ulrich Hounyo

Structural periodic vector autoregressions

Daniel Dzikowski and Carsten Jentsch

Quantile graphical models: Prediction and conditional independence with applications to systemic risk

Alexandre Belloni, Mingli Chen and Victor Chernozhukov

Inference on model parameters with many L-moments

Luis A.F. Alvarez, Chang Chiann and Pedro A. Morettin

Nonparametric regression under cluster sampling

Yuya Shimizu

Cointegration with occasionally binding constraints

James A. Duffy, Sophocles Mavroeidis and Sam Wycherley

Matrix-valued factor model with time-varying main effects

Clifford Lam and Zetai Cen

Addressing endogeneity issues in a spatial autoregressive model using copulas

Yanli Lin and Yichun Song

Risk premia from the cross-section of individual assets

Frank Kleibergen and Zhaoguo Zhan

GMM estimation with Brownian kernels applied to income inequality measurement

Jin Seo Cho and Peter C.B. Phillips

Weak identification with bounds in a class of minimum distance models

Gregory Fletcher Cox

Estimation of spatial autoregressive panel data models with nonparametric endogenous effect

Zixin Yang, Xiaojun Song and Jihai Yu

Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters

Falong Tan, Xu Guo and Lixing Zhu

Identification- and many moment-robust inference via invariant moment conditions

Tom Boot and Johannes W. Ligtenberg

Weighted-average quantile regression

Denis Chetverikov, Yukun Liu and Aleh Tsyvinski

Shrinkage methods for treatment choice

Takuya Ishihara and Daisuke Kurisu

Making distributionally robust portfolios feasible in high dimension

Ruike Wu, Yanrong Yang, Han Lin Shang and Huanjun Zhu

Causal inference in network experiments: Regression-based analysis and design-based properties

Mengsi Gao and Peng Ding

Robust mutual fund selection with false discovery rate control

Hongfei Wang, Ping Zhao, Long Feng and Zhaojun Wang

Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations

Minseok Shin, Donggyu Kim, Yazhen Wang and Jianqing Fan

Volume 251, issue C, 2025

Distribution regression with censored selection

Songnian Chen, Nianqing Liu and Hanghui Zhang

Multilevel matrix factor model

Yuteng Zhang, Yongchang Hui, Junrong Song and Shurong Zheng

Time-varying vector error-correction models: Estimation and inference

Jiti Gao, Bin Peng and Yayi Yan

Multivariate stochastic volatility models based on generalized Fisher transformation

Han Chen, Yijie Fei and Jun Yu

A robust residual-based test for structural changes in factor models

Bin Peng, Liangjun Su and Yayi Yan

Asymptotic theory of the best-choice rerandomization using the Mahalanobis distance

Yuhao Wang and Xinran Li

Hedonic prices and quality adjusted price indices powered by AI

Patrick Bajari, Z. Cen, V. Chernozhukov, M. Manukonda, S. Vijaykumar, J. Wang, R. Huerta, J. Li, L. Leng, George Monokroussos and S. Wang

Bias correction for quantile regression estimators

Grigory Franguridi, Bulat Gafarov and Kaspar Wüthrich

Bernstein-type inequalities and nonparametric estimation under near-epoch dependence

Zihao Yuan and Martin Spindler

Generalized Lee bounds

Vira Semenova

Fast computation of exact confidence intervals for randomized experiments with binary outcomes

P.M. Aronow, Haoge Chang and Patrick Lopatto

Global identification, estimation and inference of structural impulse response functions in factor models: A unified framework

Xu Han

High frequency factor analysis with partially observable factors

Dachuan Chen, Wenqi Lu and Siyu Xie

A comparative analysis of two-way fixed effects estimators in staggered treatment designs

Jhordano Aguilar-Loyo

Layered policy analysis in program evaluation using the marginal treatment effect

Ismael Mourifié and Yuanyuan Wan

Neural Conformal Inference for jump diffusion processes

Hyeong Jin Hyun and Xiao Wang

A general test for functional inequalities

Jia Li, Zhipeng Liao and Wenyu Zhou

Sieve estimation of state-varying factor models

Liangjun Su, Sainan Jin and Xia Wang

Robust estimation for dynamic spatial autoregression models with nearly optimal rates

Yin Lu, Chunbai Tao, Di Wang, Gazi Salah Uddin, Libo Wu and Xuening Zhu

Taking advantage of biased proxies for forecast evaluation

Giuseppe Buccheri, Roberto Renò and Giorgio Vocalelli

High dimensional binary choice model with unknown heteroskedasticity or instrumental variables

Fu Ouyang and Thomas T. Yang

Factor-guided estimation of large covariance matrix function with conditional functional sparsity

Dong Li, Xinghao Qiao and Zihan Wang

Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules

Fabrizio Ghezzi, Eduardo Rossi and Lorenzo Trapani

An order-invariant score-driven dynamic factor model

Mariia Artemova

A unified test for regression discontinuity designs

Koki Fusejima, Takuya Ishihara and Masayuki Sawada

Bregman model averaging for forecast combination

Yi-Ting Chen, Chu-An Liu and Jiun-Hua Su

Spatial panel data models with structural change

Luya Wang and Kunpeng Li

Quantile regression with group-level treatments

Songnian Chen

On regression-adjusted imputation estimators of average treatment effects

Zhexiao Lin and Fang Han

Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure

Siqi Dai, Yongmiao Hong, Haiqi Li and Chaowen Zheng

Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio

Mehmet Caner and Maurizio Daniele

Identification and inference for semiparametric single index transformation models

Yingqian Lin and Yundong Tu

Support vector decision making

Yixiao Sun