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 248, issue C, 2025

The term structure of macroeconomic risks at the effective lower bound

Guillaume Roussellet

When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance

Yacine Aït-Sahalia, Felix Matthys, Emilio Osambela and Ronnie Sircar

Score-type tests for normal mixtures

Dante Amengual, Xinyue Bei, Marine Carrasco and Enrique Sentana

Efficiency bounds for moment condition models with mixed identification strength

Prosper Dovonon, Yves F. Atchadé and Firmin Doko Tchatoka

Identification robust inference for the risk premium in term structure models

Frank Kleibergen and Lingwei Kong

Spanning latent and observable factors

E. Andreou, P. Gagliardini, E. Ghysels and M. Rubin

Regularizing stock return covariance matrices via multiple testing of correlations

Richard Luger

The chained difference-in-differences

Christophe Bellégo, David Benatia and Vincent Dortet-Bernadet

Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis

Bertille Antoine and Wenqian Sun

Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation

Firmin Doko Tchatoka and Jean-Marie Dufour

Conditional spectral methods

Federico M. Bandi and Yinan Su

Weak identification in discrete choice models

David T. Frazier, Eric Renault, Lina Zhang and Xueyan Zhao

Uncovering asset market participation from household consumption and income

Veronika Czellar, René Garcia and François Le Grand

Long-run risk in stationary vector autoregressive models

Christian Gourieroux and Joann Jasiak

Identification-robust and simultaneous inference in multifactor asset pricing models

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf

Functional ecological inference

Christian Bontemps, Jean-Pierre Florens and Nour Meddahi

Identification, inference and risk

Bertille Antoine, Patrick Gagliardini, René Garcia and Enrique Sentana

Identifying the volatility risk price through the leverage effect

Xu Cheng, Eric Renault and Paul Sangrey

Reprint of: Finite underidentification

Enrique Sentana

Volume 247, issue C, 2025

Natural disasters as macroeconomic tail risks

Sulkhan Chavleishvili and Emanuel Moench

Bootstrapping out-of-sample predictability tests with real-time data

Sílvia Gonçalves, Michael W. McCracken and Yongxu Yao

Modelling large dimensional datasets with Markov switching factor models

Matteo Barigozzi and Daniele Massacci

On testing for spatial or social network dependence in panel data allowing for network variability

Xiaodong Liu and Ingmar R. Prucha

Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds

Junlong Feng and Sokbae (Simon) Lee

Inference on dynamic systemic risk measures

Christian Francq and Jean-Michel Zakoïan

Shrinkage estimators for periodic autoregressions

Richard Paap and Philip Hans Franses

Bond risk premiums at the zero lower bound

Martin M. Andreasen, Kasper Jørgensen and Andrew Meldrum

Uniform inference for cointegrated vector autoregressive processes

Christian Holberg and Susanne Ditlevsen

Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments

Samuele Centorrino, Frédérique Fève and Jean-Pierre Florens

The robust F-statistic as a test for weak instruments

Frank Windmeijer

Simulation error and numerical instability in estimating random coefficient logit demand models

Daniel Brunner, Florian Heiss, André Romahn and Constantin Weiser

Volume 245, issue 1, 2024

Why are replication rates so low?

Patrick Vu

On the spectral density of fractional Ornstein–Uhlenbeck processes

Shuping Shi, Jun Yu and Chen Zhang

Inference in cluster randomized trials with matched pairs

Yuehao Bai, Jizhou Liu, Azeem Shaikh and Max Tabord-Meehan

Inference in predictive quantile regressions

Alex Maynard, Katsumi Shimotsu and Nina Kuriyama

Testing for strong exogeneity in Proxy-VARs

Martin Bruns and Sascha A. Keweloh

Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application

Han Hong, Gaosheng Ju, Qi Li and Karen X. Yan

Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing

William A. Brock and J. Miller

Volume 244, issue 2, 2024

Target PCA: Transfer learning large dimensional panel data

Junting Duan, Markus Pelger and Ruoxuan Xiong

State-dependent local projections

Sílvia Gonçalves, Ana María Herrera, Lutz Kilian and Elena Pesavento

Local projections vs. VARs: Lessons from thousands of DGPs

Dake Li, Mikkel Plagborg-Moller and Christian K. Wolf

Local projections in unstable environments

Atsushi Inoue, Barbara Rossi and Yiru Wang

Reprint of: Robust inference on correlation under general heterogeneity

Liudas Giraitis, Yufei Li and Peter Phillips

Reprint of: The likelihood ratio test for structural changes in factor models

Jushan Bai, Jiangtao Duan and Xu Han

Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk

Valentina Corradi, Jack Fosten and Daniel Gutknecht

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Paolo Gorgi, Siem Jan Koopman and Julia Schaumburg

Functional quantile autoregression

Chaohua Dong, Rong Chen, Zhijie Xiao and Weiyi Liu

Some fixed-b results for regressions with high frequency data over long spans

Taeyoon Hwang and Timothy J. Vogelsang

Scenario-based quantile connectedness of the U.S. interbank liquidity risk network

Tomohiro Ando, Jushan Bai, Lina Lu and Cindy M. Vojtech

Specification tests for non-Gaussian structural vector autoregressions

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Introduction to the Themed Issue: Macroeconometrics

Zhongjun Qu

Estimation of continuous-time linear DSGE models from discrete-time measurements

Bent Jesper Christensen, Luca Neri and Juan Parra-Alvarez

Volume 244, issue 1, 2024

Tuning-parameter-free propensity score matching approach for causal inference under shape restriction

Yukun Liu and Jing Qin

Fixed-b asymptotics for panel models with two-way clustering

Kaicheng Chen and Timothy J. Vogelsang

An unbounded intensity model for point processes

Kim Christensen and Aleksey Kolokolov

Threshold spatial autoregressive model

Kunpeng Li and Wei Lin

Measuring diagnostic test performance using imperfect reference tests: A partial identification approach

Filip Obradović

Latent utility and permutation invariance: A revealed preference approach

Roy Allen and John Rehbeck

Testing for sparse idiosyncratic components in factor-augmented regression models

Jad Beyhum and Jonas Striaukas

A method of moments approach to asymptotically unbiased Synthetic Controls

Joseph Fry

Empirical risk minimization for time series: Nonparametric performance bounds for prediction

Christian Brownlees and Jordi Llorens-Terrazas

Large Bayesian SVARs with linear restrictions

Chenghan Hou

High-dimensional model-assisted inference for treatment effects with multi-valued treatments

Wenfu Xu and Zhiqiang Tan

GMM estimation for high-dimensional panel data models

Tingting Cheng, Chaohua Dong, Jiti Gao and Oliver Linton

Identification in discrete choice models with imperfect information

Cristina Gualdani and Shruti Sinha

Heterogeneous treatment effect bounds under sample selection with an application to the effects of social media on political polarization

Phillip Heiler

Identification and estimation of unconditional policy effects of an endogenous binary treatment: An unconditional MTE approach

Julian Martinez-Iriarte and Yixiao Sun

A gentle introduction to matrix calculus

Jan R. Magnus

Estimating option pricing models using a characteristic function-based linear state space representation

H. Peter Boswijk, Roger Laeven and Evgenii Vladimirov

On uniform confidence intervals for the tail index and the extreme quantile

Yuya Sasaki and Yulong Wang