Journal of Econometrics

1973 - 2025

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

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Volume 243, issue 1, 2024

Earnings dynamics and intergenerational transmission of skill

Lance Lochner and Youngmin Park

Some children left behind: Variation in the effects of an educational intervention

Julie Buhl-Wiggers, Jason Kerwin, Juan Munoz-Morales, Jeffrey Smith and Rebecca Thornton

You are what your parents expect: Height and local reference points

Fan Wang, Esteban Puentes, Jere R. Behrman and Flávio Cunha

Gender pension gaps in a private retirement accounts system: A dynamic model of household labor supply and savings

Clement Joubert and Petra Todd

Sample selection models without exclusion restrictions: Parameter heterogeneity and partial identification

Bo E. Honoré and Luojia Hu

Eliciting willingness-to-pay to decompose beliefs and preferences that determine selection into competition in lab experiments

Yvonne Chen, Deniz Dutz, Li Li, Sarah Moon, Edward Vytlacil and Songfa Zhong

Robust inference for moment condition models without rational expectations

Xiaohong Chen, Lars Hansen and Peter G. Hansen

Dealing with imperfect randomization: Inference for the highscope perry preschool program

James Heckman, Rodrigo Pinto and Azeem Shaikh

Policy evaluation with multiple instrumental variables

Magne Mogstad, Alexander Torgovitsky and Christopher Walters

Econometric causality: The central role of thought experiments

James Heckman and Rodrigo Pinto

Human capital and migration: A cautionary tale

Salvador Navarro and Jin Zhou

Introduction to the annals issue in honor of James J Heckman

Xiaohong Chen and Edward Vytlacil

Reprint of: Profiling the plight of disconnected youth in America

Thomas MaCurdy, David Glick, Sonam Sherpa and Sriniketh Nagavarapu

Volume 242, issue 2, 2024

A Correlated Random Coefficient panel model with time-varying endogeneity

Louise Laage

Nonparametric identification and estimation of stochastic block models from many small networks

Koen Jochmans

Identification and estimation of dynamic structural models with unobserved choices

Yingyao Hu and Yi Xin

On LASSO for high dimensional predictive regression

Ziwei Mei and Zhentao Shi

Change-point analysis of time series with evolutionary spectra

Alessandro Casini and Pierre Perron

Semiparametrically optimal cointegration test

Bo Zhou

Volume 242, issue 1, 2024

Modeling long cycles

Da Natasha Kang and Vadim Marmer

Better the devil you know: Improved forecasts from imperfect models

Dong Hwan Oh and Andrew J. Patton

Nonlinear and nonseparable structural functions in regression discontinuity designs with a continuous treatment

Haitian Xie

2SLS with multiple treatments

Manudeep Bhuller and Henrik Sigstad

A simple specification test for models with many conditional moment inequalities

Mathieu Marcoux, Thomas M. Russell and Yuanyuan Wan

Maximum likelihood estimation of a spatial autoregressive model for origin–destination flow variables

Hanbat Jeong and Lung-fei Lee

On the performance of the Neyman Allocation with small pilots

Yong Cai and Ahnaf Rafi

Prewhitened long-run variance estimation robust to nonstationarity

Alessandro Casini and Pierre Perron

Volume 241, issue 2, 2024

Correcting attrition bias using changes-in-changes

Dalia Ghanem, Sarojini Hirshleifer, Desire Kedagni and Karen Ortiz-Becerra

Hybrid unadjusted Langevin methods for high-dimensional latent variable models

Rubén Loaiza-Maya, Didier Nibbering and Dan Zhu

Dynamic partial correlation models

D’Innocenzo, Enzo and Andre Lucas

Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

Yifan Li, Ingmar Nolte and Manh Cuong Pham

Estimation and inference for high dimensional factor model with regime switching

Giovanni Urga and Fa Wang

Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach

Shuyao Ke, Peter Phillips and Liangjun Su

The local to unity dynamic Tobit model

Anna Bykhovskaya and James A. Duffy

Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation

Bernd Funovits

Measuring tail risk

Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk and Christoph Matthias Würsig

Extreme expectile estimation for short-tailed data

Abdelaati Daouia, Simone A. Padoan and Gilles Stupfler

Volume 241, issue 1, 2024

Spectral clustering with variance information for group structure estimation in panel data

Lu Yu, Jiaying Gu and Stanislav Volgushev

Predictive ability tests with possibly overlapping models

Valentina Corradi, Jack Fosten and Daniel Gutknecht

No star is good news: A unified look at rerandomization based on p-values from covariate balance tests

Anqi Zhao and Peng Ding

Bayesian estimation of cluster covariance matrices of unknown form

Drew Creal and Jaeho Kim

Wild bootstrap inference for instrumental variables regressions with weak and few clusters

Wenjie Wang and Yichong Zhang

Estimation and inference of seller’s expected revenue in first-price auctions

Federico Zincenko

A vector monotonicity assumption for multiple instruments

Leonard Goff

Testing identification conditions of LATE in fuzzy regression discontinuity designs

Yu-Chin Hsu, Ji-Liang Shiu and Yuanyuan Wan

Covariate adjustment in experiments with matched pairs

Yuehao Bai, Liang Jiang, Joseph P. Romano, Azeem Shaikh and Yichong Zhang

The law of large numbers for large stable matchings

Jacob Schwartz and Kyungchul Song

Volume 240, issue 2, 2024

Standard errors for panel data models with unknown clusters

Jushan Bai, Sung Hoon Choi and Yuan Liao

Maximum likelihood estimation of latent Markov models using closed-form approximations

Yacine Ait-Sahalia, Chenxu Li and Chen Xu Li

Network and panel quantile effects via distribution regression

Victor Chernozhukov, Iván Fernández-Val and Martin Weidner

Financially adaptive clinical trials via option pricing analysis

Shomesh E. Chaudhuri and Andrew W. Lo

A comparison of the GB2 and skewed generalized log-t distributions with an application in finance

Joshua D. Higbee and James McDonald

Local regression distribution estimators

Matias Cattaneo, Michael Jansson and Xinwei Ma

Testing and relaxing the exclusion restriction in the control function approach

D’Haultfœuille, Xavier, Stefan Hoderlein and Yuya Sasaki

Using Wasserstein Generative Adversarial Networks for the design of Monte Carlo simulations

Susan Athey, Guido W. Imbens, Jonas Metzger and Evan Munro

Nonseparable sample selection models with censored selection rules

Ivan Fernández-Val, Aico van Vuuren and Francis Vella

Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

Frank Windmeijer

On uniform inference in nonlinear models with endogeneity

Shakeeb Khan and Denis Nekipelov

Testing unconditional and conditional independence via mutual information

Chunrong Ai, Li-Hsien Sun, Zheng Zhang and Liping Zhu

Kernel density estimation for undirected dyadic data

Bryan S. Graham, Fengshi Niu and James Powell

One instrument to rule them all: The bias and coverage of just-ID IV

Joshua Angrist and Michal Kolesár

Is Newey–West optimal among first-order kernels?

Thomas Kolokotrones, James H. Stock and Christopher D. Walker

Instrumental variable estimation with first-stage heterogeneity

Alberto Abadie, Jiaying Gu and Shu Shen

Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence

Manuel Arellano, Richard Blundell, Stéphane Bonhomme and Jack Light

Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators

Lin Liu, Rajarshi Mukherjee and James M. Robins

Volume 240, issue 1, 2024

Likelihood approach to dynamic panel models with interactive effects

Jushan Bai

Locally robust inference for non-Gaussian linear simultaneous equations models

Adam Lee and Geert Mesters

Cross-section bootstrap for CCE regressions

Ignace De Vos and Ovidijus Stauskas

Bias in local projections

Edward P. Herbst and Benjamin K. Johannsen

Volatility of volatility and leverage effect from options

Carsten H. Chong and Viktor Todorov

Identification of a rational inattention discrete choice model

Moyu Liao

Time-varying multivariate causal processes

Jiti Gao, Bin Peng, Wei Biao Wu and Yayi Yan

Panel quantile regression for extreme risk

Yanxi Hou, Xuan Leng, Liang Peng and Yinggang Zhou

Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction

Peng Shi and Zifeng Zhao

Classical p-values and the Bayesian posterior probability that the hypothesis is approximately true

Brendan Kline

Identifying the effects of a program offer with an application to Head Start

Vishal Kamat

A computational approach to identification of treatment effects for policy evaluation

Sukjin Han and Shenshen Yang

The variance of regression coefficients when the population is finite

Richard Startz and Douglas Steigerwald

Inference for low-rank completion without sample splitting with application to treatment effect estimation

Jungjun Choi, Hyukjun Kwon and Yuan Liao

Confidence intervals of treatment effects in panel data models with interactive fixed effects

Xingyu Li, Yan Shen and Qiankun Zhou

Panel data models with time-varying latent group structures

Yiren Wang, Peter Phillips and Liangjun Su

Non-representative sampled networks: Estimation of network structural properties by weighting

Chih-Sheng Hsieh, Yu-Chin Hsu, Stanley I.M. Ko, Jaromír Kovářík and Trevon Logan

Nonparametric estimation for high-frequency data incorporating trading information

Wenhao Cui, Jie Hu and Jiandong Wang

Robust inference on correlation under general heterogeneity

Liudas Giraitis, Yufei Li and Peter Phillips

Finite underidentification

Enrique Sentana

Time-varying forecast combination for factor-augmented regressions with smooth structural changes

Qitong Chen, Yongmiao Hong and Haiqi Li

High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times

Dachuan Chen