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 219, issue 2, 2020

The term structure of equity and variance risk premia pp. 204-230

Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini

Point optimal testing with roots that are functionally local to unity pp. 231-259

Anna Bykhovskaya and Peter Phillips

Score tests in GMM: Why use implied probabilities? pp. 260-280

Saraswata Chaudhuri and Eric Renault

Asymptotic theory for time series with changing mean and variance pp. 281-313

Violetta Dalla, Liudas Giraitis and Peter M. Robinson

Testing for a trend with persistent errors pp. 314-328

Graham Elliott

Heterogeneous panel data models with cross-sectional dependence pp. 329-353

Jiti Gao, Kai Xia and Huanjun Zhu

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem pp. 354-388

David Harris, Hsein Kew and Robert Taylor

Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff pp. 389-424

Seok Young Hong and Oliver Linton

Hypothesis testing based on a vector of statistics pp. 425-455

Maxwell King, Xibin Zhang and Muhammad Akram

High-dimensional predictive regression in the presence of cointegration pp. 456-477

Bonsoo Koo, Heather Anderson, Myung Hwan Seo and Wenying Yao

High-frequency jump tests: Which test should we use? pp. 478-487

Worapree Maneesoonthorn, Gael M. Martin and Catherine Forbes

Adjusted QMLE for the spatial autoregressive parameter pp. 488-506

Federico Martellosio and Grant Hillier

Econometric analysis of production networks with dominant units pp. 507-541

Mohammad Pesaran and Cynthia Fan Yang

Volume 219, issue 1, 2020

Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids pp. 1-18

Nathalie Gimenes and Emmanuel Guerre

Specification test on mixed logit models pp. 19-37

Jinyong Hahn, Jerry Hausman and Josh Lustig

Uniform nonparametric inference for time series pp. 38-51

Jia Li and Zhipeng Liao

Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root pp. 52-65

Yingqian Lin and Yundong Tu

Estimation and inference of change points in high-dimensional factor models pp. 66-100

Jushan Bai, Xu Han and Yutang Shi

Doubly robust difference-in-differences estimators pp. 101-122

Sant’Anna, Pedro H.C. and Jun Zhao

Testing-optimal kernel choice in HAR inference pp. 123-136

Yixiao Sun and Jingjing Yang

Panel threshold models with interactive fixed effects pp. 137-170

Ke Miao, Kunpeng Li and Liangjun Su

Ill-posed estimation in high-dimensional models with instrumental variables pp. 171-200

Christoph Breunig, Enno Mammen and Anna Simoni

Volume 218, issue 2, 2020

Impossible inference in econometrics: Theory and applications pp. 247-270

Marinho Bertanha and Marcelo Moreira

Testing identification strength pp. 271-293

Bertille Antoine and Eric Renault

Testing the impossible: Identifying exclusion restrictions pp. 294-316

Jan Kiviet

Inference in partially identified heteroskedastic simultaneous equations models pp. 317-345

Helmut Lütkepohl, George Milunovich and Minxian Yang

Inference in second-order identified models pp. 346-372

Prosper Dovonon, Alastair R. Hall and Frank Kleibergen

A geometric approach to inference in set-identified entry games pp. 373-389

Christian Bontemps and Rohit Kumar

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory pp. 390-418

Firmin Doko Tchatoka and Jean-Marie Dufour

Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels pp. 419-434

Lynda Khalaf and Charles J. Saunders

Randomization inference for difference-in-differences with few treated clusters pp. 435-450

James MacKinnon and Matthew Webb

The fast iterated bootstrap pp. 451-475

Russell Davidson and Mirza Trokić

Bootstrapping factor models with cross sectional dependence pp. 476-495

Silvia Goncalves and Benoit Perron

Generic results for establishing the asymptotic size of confidence sets and tests pp. 496-531

Donald Andrews, Xu Cheng and Patrik Guggenberger

Inference of local regression in the presence of nuisance parameters pp. 532-560

Ke-Li Xu

Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models pp. 561-586

Ivana Komunjer and Yinchu Zhu

Regression discontinuity designs, white noise models, and minimax pp. 587-608

Purevdorj Tuvaandorj

Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects pp. 609-632

John Galbraith and Victoria Zinde-Walsh

Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality pp. 633-654

Eric Ghysels, Jonathan B. Hill and Kaiji Motegi

Testing distributional assumptions using a continuum of moments pp. 655-689

Dante Amengual, Marine Carrasco and Enrique Sentana

Volatility regressions with fat tails pp. 690-713

Jihyun Kim and Nour Meddahi

Stationary bubble equilibria in rational expectation models pp. 714-735

C. Gourieroux, Joann Jasiak and Alain Monfort

A Simple R-estimation method for semiparametric duration models pp. 736-749

Marc Hallin and Davide La Vecchia

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects pp. 750-770

Sermin Gungor and Richard Luger

Volume 218, issue 1, 2020

Estimating latent asset-pricing factors pp. 1-31

Martin Lettau and Markus Pelger

Statistical inferences for price staleness pp. 32-81

Aleksey Kolokolov, Giulia Livieri and Davide Pirino

Spatial dynamic models with intertemporal optimization: Specification and estimation pp. 82-104

Hanbat Jeong and Lung-fei Lee

Reducing the state space dimension in a large TVP-VAR pp. 105-118

Joshua Chan, Eric Eisenstat and Rodney Strachan

A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models pp. 119-139

Jianqing Fan, Yang Feng and Lucy Xia

Asymptotic F tests under possibly weak identification pp. 140-177

Julian Martinez-Iriarte, Yixiao Sun and Xuexin Wang

On the unbiased asymptotic normality of quantile regression with fixed effects pp. 178-215

Antonio Galvao, Jiaying Gu and Stanislav Volgushev

Regression discontinuity design with many thresholds pp. 216-241

Marinho Bertanha