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 221, issue 2, 2021

Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration pp. 337-367

Kai Yang and Lung-fei Lee

Robust and optimal estimation for partially linear instrumental variables models with partial identification pp. 368-380

Qihui Chen

Varying random coefficient models pp. 381-408

Christoph Breunig

Testing high-dimensional covariance matrices under the elliptical distribution and beyond pp. 409-423

Xinxin Yang, Xinghua Zheng and Jiaqi Chen

Spatial dynamic panel data models with correlated random effects pp. 424-454

Liyao Li and Zhenlin Yang

Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors pp. 455-482

Matteo Barigozzi, Marco Lippi and Matteo Luciani

Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks pp. 483-509

Lei Hou, Kunpeng Li, Qi Li and Min Ouyang

Detection of units with pervasive effects in large panel data models pp. 510-541

George Kapetanios, Mohammad Pesaran and S. Reese

Missing observations in observation-driven time series models pp. 542-568

Francisco Blasques, P. Gorgi and Siem Jan Koopman

The factor analytical approach in near unit root interactive effects panels pp. 569-590

Milda Norkutė and Joakim Westerlund

Estimation and inference in spatial models with dominant units pp. 591-615

Mohammad Pesaran and Cynthia Fan Yang

Diffusion copulas: Identification and estimation pp. 616-643

Ruijun Bu, Kaddour Hadri and Dennis Kristensen

Overlap in observational studies with high-dimensional covariates pp. 644-654

D’Amour, Alexander, Peng Ding, Avi Feller, Lihua Lei and Jasjeet Sekhon

The continuous-time limit of score-driven volatility models pp. 655-675

Giuseppe Buccheri, Fulvio Corsi, Franco Flandoli and Giulia Livieri

Volume 221, issue 1, 2021

Bootstrap based probability forecasting in multiplicative error models pp. 1-24

Indeewara Perera and Mervyn J. Silvapulle

Computing semiparametric efficiency bounds in discrete choice models with strategic-interactions and rational expectations pp. 25-42

Andres Aradillas-Lopez

A general semiparametric approach to inference with marker-dependent hazard rate models pp. 43-67

Gerard. J. van den Berg, Lena Janys, Enno Mammen and Jens Perch Nielsen

Jackknife empirical likelihood for inequality constraints on regular functionals pp. 68-77

Ruxin Chen and Rami V. Tabri

Efficient size correct subset inference in homoskedastic linear instrumental variables regression pp. 78-96

Frank Kleibergen

ExpectHill estimation, extreme risk and heavy tails pp. 97-117

Abdelaati Daouia, Stéphane Girard and Gilles Stupfler

Hierarchical Markov-switching models for multivariate integer-valued time-series pp. 118-137

Leopoldo Catania and Roberto Di Mari

Testing continuity of a density via g-order statistics in the regression discontinuity design pp. 138-159

Federico Bugni and Ivan Canay

Likelihood inference and the role of initial conditions for the dynamic panel data model pp. 160-179

José Diogo Barbosa and Marcelo Moreira

Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables pp. 180-197

Xi Qu, Lung-fei Lee and Chao Yang

Nonstationary panel models with latent group structures and cross-section dependence pp. 198-222

Wenxin Huang, Sainan Jin, Peter Phillips and Liangjun Su

Optimal Linear Instrumental Variables Approximations pp. 223-246

Juan Carlos Escanciano and Wei Li

An automated approach towards sparse single-equation cointegration modelling pp. 247-276

Stephan Smeekes and Etienne Wijler

Estimating multiple breaks in nonstationary autoregressive models pp. 277-311

Tianxiao Pang, Lingjie Du and Terence Tai Leung Chong

Frequentist properties of Bayesian inequality tests pp. 312-336

David Kaplan and Longhao Zhuo

Volume 220, issue 2, 2021

Second-order corrected likelihood for nonlinear panel models with fixed effects pp. 227-252

Geert Dhaene and Yutao Sun

Semiparametric identification in panel data discrete response models pp. 253-271

Eleni Aristodemou

Identifying latent group structures in nonlinear panels pp. 272-295

Wuyi Wang and Liangjun Su

Nonlinear factor models for network and panel data pp. 296-324

Mingli Chen, Ivan Fernandez-Val and Martin Weidner

On the robustness of the pooled CCE estimator pp. 325-348

Artūras Juodis, Hande Karabiyik and Joakim Westerlund

Estimating and testing high dimensional factor models with multiple structural changes pp. 349-365

Badi Baltagi, Chihwa Kao and Fa Wang

Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors pp. 366-398

Elena Andreou and Eric Ghysels

Estimation of heterogeneous panels with systematic slope variations pp. 399-415

Jörg Breitung and Nazarii Salish

Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure pp. 416-446

Milda Norkutė, Vasilis Sarafidis, Takashi Yamagata and Guowei Cui

Heterogeneous structural breaks in panel data models pp. 447-473

Ryo Okui and Wendun Wang

Inferential theory for heterogeneity and cointegration in large panels pp. 474-503

Lorenzo Trapani

Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure pp. 504-531

George Kapetanios, Laura Serlenga and Yongcheol Shin

An econometric approach to the estimation of multi-level models pp. 532-543

Yimin Yang and Peter Schmidt

Detecting granular time series in large panels pp. 544-561

Christian Brownlees and Geert Mesters

Estimation of a nonparametric model for bond prices from cross-section and time series information pp. 562-588

Bonsoo Koo, Davide La Vecchia and Oliver Linton

Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit pp. 589-605

Lynda Khalaf, Maral Kichian, Charles J. Saunders and Marcel Voia

Volume 220, issue 1, 2021

Panel forecasts of country-level Covid-19 infections pp. 2-22

Laura Liu, Hyungsik Roger Moon and Frank Schorfheide

Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S pp. 23-62

Victor Chernozhukov, Hiroyuki Kasahara and Paul Schrimpf

Identification and estimation of the SEIRD epidemic model for COVID-19 pp. 63-85

Ivan Korolev

Consumer panic in the COVID-19 pandemic pp. 86-105

Michael Keane and Timothy Neal

Estimating the fraction of unreported infections in epidemics with a known epicenter: An application to COVID-19 pp. 106-129

Ali Hortacsu, Jiarui Liu and Timothy Schwieg

When will the Covid-19 pandemic peak? pp. 130-157

Shaoran Li and Oliver Linton

Sparse HP filter: Finding kinks in the COVID-19 contact rate pp. 158-180

Sokbae (Simon) Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin

Estimating the COVID-19 infection rate: Anatomy of an inference problem pp. 181-192

Charles Manski and Francesca Molinari

Estimation of Covid-19 prevalence from serology tests: A partial identification approach pp. 193-213

Panos Toulis