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 214, issue 2, 2020

Nonparametric filtering of conditional state-price densities pp. 295-325

Jeroen Dalderop

Variance disparity and market frictions pp. 326-348

Yang-Ho Park

Nonparametric assessment of hedge fund performance pp. 349-378

Caio Almeida, Kym Ardison and René Garcia

On rank estimators in increasing dimensions pp. 379-412

Yanqin Fan, Fang Han, Wei Li and Xiao-Hua Zhou

Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt pp. 413-432

Karim Chalak and Daniel Kim

Inference in heavy-tailed vector error correction models pp. 433-450

Rui She and Shiqing Ling

Panel threshold regressions with latent group structures pp. 451-481

Ke Miao, Liangjun Su and Wendun Wang

High-dimensional minimum variance portfolio estimation based on high-frequency data pp. 482-494

T. Tony Cai, Jianchang Hu, Yingying Li and Xinghua Zheng

Robust estimation with many instruments pp. 495-512

Mikkel Sølvsten

Modelling regional patterns of inefficiency: A Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales pp. 513-539

Nadja Klein, Helmut Herwartz and Thomas Kneib

Volume 214, issue 1, 2020

Econometric estimates of Earth’s transient climate sensitivity pp. 6-32

Peter Phillips, Thomas Leirvik and Trude Storelvmo

Modeling time series when some observations are zero pp. 33-45

Andrew Harvey and Ryoko Ito

Long-term forecasting of El Niño events via dynamic factor simulations pp. 46-66

Mengheng Li, Siem Jan Koopman, Rutger Lit and Desislava Petrova

Statistical approximation of high-dimensional climate models pp. 67-80

Alena Miftakhova, Kenneth Judd, Thomas S. Lontzek and Karl Schmedders

Autoregressive wild bootstrap inference for nonparametric trends pp. 81-109

Marina Friedrich, Stephan Smeekes and Jean-Pierre Urbain

Expected utility and catastrophic risk in a stochastic economy–climate model pp. 110-129

Masako Ikefuji, Roger Laeven, Jan Magnus and Chris Muris

Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures pp. 130-152

Dukpa Kim, Tatsushi Oka, Francisco Estrada and Pierre Perron

Trends in distributional characteristics: Existence of global warming pp. 153-174

María Dolores Gadea Rivas and Jesus Gonzalo

A multicointegration model of global climate change pp. 175-197

Stephan B. Bruns, Zsuzsanna Csereklyei and David Stern

Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis pp. 198-215

Matthew Holt and Timo Teräsvirta

Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions pp. 216-255

Martin Wagner, Peter Grabarczyk and Seung Hyun Hong

Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions pp. 256-273

Felix Pretis

Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate pp. 274-294

Yoosoon Chang, Robert Kaufmann, Chang Sik Kim, J. Miller, Joon Y. Park and Sungkeun Park

Volume 213, issue 2, 2019

Simulated likelihood estimators for discretely observed jump–diffusions pp. 297-320

K. Giesecke and G. Schwenkler

Consistent non-Gaussian pseudo maximum likelihood estimators pp. 321-358

Gabriele Fiorentini and Enrique Sentana

Bootstrapping structural change tests pp. 359-397

Otilia Boldea, Adriana Cornea-Madeira and Alastair R. Hall

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors pp. 398-433

Humberto Moreira and Marcelo Moreira

A likelihood ratio test for spatial model selection pp. 434-458

Tuo Liu and Lung-Fei Lee

Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence pp. 459-492

Cavit Pakel

Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns pp. 493-515

Marc S. Paolella, Paweł Polak and Patrick S. Walker

Uniform confidence bands for nonparametric errors-in-variables regression pp. 516-555

Kengo Kato and Yuya Sasaki

A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms pp. 556-577

Luis Orea and Inmaculada Álvarez

Saddlepoint approximations for short and long memory time series: A frequency domain approach pp. 578-592

Davide La Vecchia and Elvezio Ronchetti

Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models pp. 593-607

Ling Zhou, Huazhen Lin, Kani Chen and Hua Liang

Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity pp. 608-631

Oliver Linton and Zhijie Xiao

Volume 213, issue 1, 2019

Conditional quantile processes based on series or many regressors pp. 4-29

Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Ivan Fernandez-Val

Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions pp. 30-53

Xiaohong Chen, Demian Pouzo and James Powell

Quantile-regression-based clustering for panel data pp. 54-67

Yingying Zhang, Huixia Judy Wang and Zhongyi Zhu

Panel data quantile regression with grouped fixed effects pp. 68-91

Jiaying Gu and Stanislav Volgushev

What do mean impacts miss? Distributional effects of corporate diversification pp. 92-120

Zhijie Xiao and Lan Xu

Smoothed GMM for quantile models pp. 121-144

Luciano de Castro, Antonio Galvao, David Kaplan and Xin Liu

Quantiles via moments pp. 145-173

José A.F. Machado and João Santos Silva

Asymptotic inference for the constrained quantile regression process pp. 174-189

Thomas Parker

Placebo inference on treatment effects when the number of clusters is small pp. 190-209

Andreas Hagemann

Partial identification of the treatment effect distribution and its functionals pp. 210-234

Sergio Firpo and Geert Ridder

On the predictive risk in misspecified quantile regression pp. 235-260

Alexander Giessing and Xuming He

Predictive quantile regressions under persistence and conditional heteroskedasticity pp. 261-280

Rui Fan and Ji Hyung Lee

Edgeworth’s time series model: Not AR(1) but same covariance structure pp. 281-288

Stephen Portnoy

Review of median stable distributions and Schröder’s equation pp. 289-295

Gib Bassett

Volume 212, issue 2, 2019

Accelerating score-driven time series models pp. 359-376

Francisco Blasques, P. Gorgi and Siem Jan Koopman

A moment-based notion of time dependence for functional time series pp. 377-392

Nazarii Salish and Alexander Gleim

Asymptotic theory and wild bootstrap inference with clustered errors pp. 393-412

Antoine Djogbenou, James MacKinnon and Morten Nielsen

On asymptotic size distortions in the random coefficients logit model pp. 413-432

Philipp Ketz

Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates pp. 433-450

Xirong Chen, Degui Li, Qi Li and Zheng Li

Panel data analysis with heterogeneous dynamics pp. 451-475

Ryo Okui and Takahide Yanagi

Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms pp. 476-502

Heng Chen and Yanqin Fan

A diagnostic criterion for approximate factor structure pp. 503-521

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

Instrumental variables and the sign of the average treatment effect pp. 522-555

Cecilia Machado, Azeem Shaikh and Edward J. Vytlacil

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing pp. 556-583

Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev

Exact computation of Censored Least Absolute Deviations estimator pp. 584-606

Yannis Bilias, Kostas Florios and Spyros Skouras

Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice pp. 607-622

Guohua Feng, Bin Peng, Liangjun Su and Thomas Tao Yang

Indirect inference with a non-smooth criterion function pp. 623-645

David T. Frazier, Tatsushi Oka and Dan Zhu

Non-separable models with high-dimensional data pp. 646-677

Liangjun Su, Takuya Ura and Yichong Zhang

Volume 212, issue 1, 2019

Unified inference for nonlinear factor models from panels with fixed and large time span pp. 4-25

Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices pp. 26-46

Martin M. Andreasen, Jens H.E. Christensen and Glenn Rudebusch

Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty pp. 47-77

Andrii Babii, Xi Chen and Eric Ghysels

Rank regularized estimation of approximate factor models pp. 78-96

Jushan Bai and Serena Ng

Bayesian nonparametric sparse VAR models pp. 97-115

Monica Billio, Roberto Casarin and Luca Rossini

High-dimensional multivariate realized volatility estimation pp. 116-136

Tim Bollerslev, Nour Meddahi and Serge Nyawa

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors pp. 137-154

Andrea Carriero, Todd Clark and Massimiliano Marcellino

A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables pp. 155-176

Jia Chen, Degui Li and Oliver Linton

Generalized high-dimensional trace regression via nuclear norm regularization pp. 177-202

Jianqing Fan, Wenyan Gong and Ziwei Zhu

Monitoring banking system connectedness with big data pp. 203-220

Galina Hale and Jose Lopez

Large-scale portfolio allocation under transaction costs and model uncertainty pp. 221-240

Nikolaus Hautsch and Stefan Voigt

Adaptive hierarchical priors for high-dimensional vector autoregressions pp. 241-271

Dimitris Korobilis and Davide Pettenuzzo

Combining statistical intervals and market prices: The worst case state price distribution pp. 272-285

Per Aslak Mykland

A quasi-Bayesian local likelihood approach to time varying parameter VAR models pp. 286-306

Katerina Petrova

Extreme canonical correlations and high-dimensional cointegration analysis pp. 307-322

Alexei Onatski and Chen Wang

Variable selection in panel models with breaks pp. 323-344

Simon C. Smith, Allan Timmermann and Yinchu Zhu

Network quantile autoregression pp. 345-358

Xuening Zhu, Weining Wang, Hansheng Wang and Wolfgang Karl Härdle