Journal of Econometrics

1973 - 2026

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

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Volume 256, issue PB, 2026

Semiparametric Bayesian estimation in an ordinal probit model with application to life satisfaction across countries, age and gender

Justin L. Tobias and Timothy N. Bond

Stochastic volatility in mean: Efficient analysis by a generalized mixture sampler

Daichi Hiraki, Siddhartha Chib and Yasuhiro Omori

Large Bayesian matrix autoregressions

Joshua C.C. Chan and Yaling Qi

Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications

Yong Li, Sushanta K. Mallick, Nianling Wang, Jun Yu and Tao Zeng

A Bayesian approach to modeling economic growth: Variable selection and cross-sectional dependence

Guohua Feng, Chuan Wang and Subal C. Kumbhakar

Model uncertainty in the cross-section of stock returns

Jiantao Huang and Ran Shi

Structural breaks, model uncertainty and factor selection

Siddhartha Chib and Simon C. Smith

Bayesian model comparison for large Bayesian VARs after the COVID-19 pandemic

Joshua C.C. Chan, Xuewen Yu and Wei Zhang

Bayesian space–time varying coefficient modeling for climate econometrics: A spatial–temporal Gaussian process approach

Gyuhyeong Goh, Jisang Yu, Myungjin Kim and Jesse Tack

Bayesian estimation of a semiparametric stochastic frontier model with persistent and transient inefficiencies

Puguang Nie, Christopher F. Parmeter, Valentin Zelenyuk and Xibin Zhang

A semiparametric Bayesian estimator of copula density

Qiaoyu Wang, Ximing Wu, Taining Wang, Subal C. Kumbhakar and Sui Luo

Bayesian evaluation of mutual fund performance with non-random missing data: Application to the Chinese market

Tianyi Liu, Qianchao Wang, Yanping Yi and Yonghui Zhang

Partial identification of structural vector autoregressions with non-centred stochastic volatility

Helmut Lütkepohl, Fei Shang, Luis Uzeda and Tomasz Woźniak

Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency

Dimitris Korobilis, Emmanuel C. Mamatzakis and Vasileios Pappas

A dynamic state-space HAR model

Mike Tsionas, Aya Ghalayini, Marwan Izzeldin and Lorenzo Trapani

Text-term selection and analysis: Frequentist and Bayesian strategies and interpretations

Cathy Yi-Hsuan Chen, George Kapetanios and Wei-Biao Wu

Likelihood specification in simultaneous equation models for discrete data

Ivan Jeliazkov and Angela Vossmeyer

Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach

Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Frederik Lund-Thomsen, Simone Manganelli and Bernd Schwaab

Testing for differences in high-frequency network connectedness from variance decompositions

Mattia Bevilacqua, Michael Ellington and Rodrigo Hizmeri

Concentrated MCMC estimation

Xuan Xiao, Xingbai Xu, Chengwei Tang and Tuo Liu

Bayesian model averaging with non-conjugate priors

Anastasios E. Tasiopoulos, Efthymios G. Tsionas and Nikolaos D. Vlastakis

Bayesian methods in economics and finance: A unified survey and taxonomy

Subal C. Kumbhakar and Sushanta K. Mallick

Volume 256, issue PA, 2026

Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets

Malte Londschien and Peter Bühlmann

Semi-nonparametric models of multidimensional matching: An optimal transport approach

Dongwoo Kim and Young Jun Lee

Treatment effects with targeting instruments

Sokbae Lee and Bernard Salanié

Bounding treatment effects by pooling limited information across observations

Sokbae Lee and Martin Weidner

Singular vector autoregressions

Eric Eisenstat and Rodney W. Strachan

A kernelization-based approach to nonparametric binary choice models

Guo Yan

Time domain estimation of non-fundamental ARMA models in the presence of heteroskedasticity of unknown form

Ignacio N. Lobato and Carlos Velasco

Estimation and inference in boundary discontinuity designs: Distance-based methods

Matias D. Cattaneo, Rocío Titiunik and Yu, Ruiqi (Rae)

Estimation of characteristics-based quantile factor models

Liang Chen, Juan J. Dolado, Jesús Gonzalo and Haozi Pan

Distributional effects with two-sided measurement error: An application to intergenerational income mobility

Brantly Callaway, Tong Li, Irina Murtazashvili and Emmanuel S. Tsyawo

AIC for many-regressor heteroskedastic regressions

Stanislav Anatolyev

Identification and estimation in a time-varying endogenous random coefficient panel data model

Ming Li

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