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 239, issue 2, 2024

Testing specification of distribution in stochastic frontier analysis

Ming-Yen Cheng, Shouxia Wang, Lucy Xia and Xibin Zhang

Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach

Jin-Ting Zhang, Jia Guo and Bu Zhou

Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property

Zhanrui Cai, Changcheng Li, Jiawei Wen and Songshan Yang

A Multi-Kink quantile regression model with common structure for panel data analysis

Yan Sun, Chuang Wan, Wenyang Zhang and Wei Zhong

Optimal covariance matrix estimation for high-dimensional noise in high-frequency data

Jinyuan Chang, Qiao Hu, Cheng Liu and Cheng Yong Tang

A generalized knockoff procedure for FDR control in structural change detection

Jingyuan Liu, Ao Sun and Yuan Ke

Time-varying minimum variance portfolio

Qingliang (Michael) Fan, Ruike Wu, Yanrong Yang and Wei Zhong

A latent class Cox model for heterogeneous time-to-event data

Youquan Pei, Heng Peng and Jinfeng Xu

A post-screening diagnostic study for ultrahigh dimensional data

Yaowu Zhang, Yeqing Zhou and Liping Zhu

Mixed membership estimation for social networks

Jiashun Jin, Zheng Tracy Ke and Shengming Luo

An autocovariance-based learning framework for high-dimensional functional time series

Jinyuan Chang, Cheng Chen, Xinghao Qiao and Qiwei Yao

Mining the factor zoo: Estimation of latent factor models with sufficient proxies

Runzhe Wan, Yingying Li, Wenbin Lu and Rui Song

Robustifying Markowitz

Alla Petukhina, Yegor Klochkov, Wolfgang Karl Härdle and Nikita Zhivotovskiy

Spherical autoregressive models, with application to distributional and compositional time series

Changbo Zhu and Hans-Georg Müller

The nonparametric Box–Cox model for high-dimensional regression analysis

He Zhou and Hui Zou

Stock co-jump networks

Yi Ding, Yingying Li, Guoli Liu and Xinghua Zheng

High frequency market making: The role of speed

Yacine Ait-Sahalia and Mehmet Sağlam

Inferential theory for generalized dynamic factor models

Matteo Barigozzi, Marc Hallin, Matteo Luciani and Paolo Zaffaroni

Realized regression with asynchronous and noisy high frequency and high dimensional data

Dachuan Chen, Per A. Mykland and Lan Zhang

Power enhancement for testing multi-factor asset pricing models via Fisher’s method

Xiufan Yu, Jiawei Yao and Lingzhou Xue

Retire: Robust expectile regression in high dimensions

Rebeka Man, Kean Ming Tan, Zian Wang and Wen-Xin Zhou

Inference on the best policies with many covariates

Waverly Wei, Yuqing Zhou, Zeyu Zheng and Jingshen Wang

Bipartite network influence analysis of a two-mode network

Yujia Wu, Wei Lan, Xinyan Fan and Kuangnan Fang

Dynamic modeling for multivariate functional and longitudinal data

Siteng Hao, Shu-Chin Lin, Jane-Ling Wang and Qixian Zhong

Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective

Weichen Wang, Ran An and Ziwei Zhu

Reprint: Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic

Xu Guo, Runze Li, Jingyuan Liu and Mudong Zeng

Reprint: Hypothesis testing on high dimensional quantile regression

Zhao Chen, Vivian Xinyi Cheng and Xu Liu

Volume 239, issue 1, 2024

Beyond RCP8.5: Marginal mitigation using quasi-representative concentration pathways

J. Miller and William A. Brock

Modelling cycles in climate series: The fractional sinusoidal waveform process

Tommaso Proietti and Federico Maddanu

Sieve bootstrap inference for linear time-varying coefficient models

Marina Friedrich and Yicong Lin

The validity of bootstrap testing for threshold autoregression

Simone Giannerini, Greta Goracci and Anders Rahbek

Modelling circular time series

Andrew Harvey, Stan Hurn, Dario Palumbo and Stephen Thiele

Common volatility shocks driven by the global carbon transition

Susana Campos-Martins and David Hendry

Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model

Changli He, Jian Kang, Annastiina Silvennoinen and Timo Teräsvirta

On model selection criteria for climate change impact studies

Xiaomeng Cui, Bulat Gafarov, Dalia Ghanem and Todd Kuffner

Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data

Hanno Reuvers and Etienne Wijler

Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change

Xiyu Jiao, Felix Pretis and Moritz Schwarz

Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume

Francis Diebold, Glenn Rudebusch, Maximilian Göbel, Philippe Goulet Coulombe and Boyuan Zhang

Volume 238, issue 2, 2024

A residual bootstrap for conditional Value-at-Risk

Eric Beutner, Alexander Heinemann and Stephan Smeekes

Profiling the plight of disconnected youth in America

Thomas MaCurdy, David Glick, Sonam Sherpa and Sriniketh Nagavarapu

Sharp bounds in the latent index selection model

Philip Marx

An information–Theoretic approach to partially identified auction models

Sung Jae Jun and Joris Pinkse

Identification and estimation of sequential games of incomplete information with multiple equilibria

Jangsu Yoon

Unconditional effects of general policy interventions

Julian Martinez-Iriarte, Gabriel Montes-Rojas and Yixiao Sun

Role models and revealed gender-specific costs of STEM in an extended Roy model of major choice

Marc Henry, Romuald Méango and Ismaël Mourifié

Estimation of complier expected shortfall treatment effects with a binary instrumental variable

Bo Wei, Kean Ming Tan and Xuming He

Nested Pseudo likelihood estimation of continuous-time dynamic discrete games

Jason Blevins and Minhae Kim

What leads to measurement errors? Evidence from reports of program participation in three surveys

Pablo Celhay, Bruce D. Meyer and Nikolas Mittag

Quantile analysis of “hazard-rate” game models

Andreea Enache and Jean-Pierre Florens

A conditional linear combination test with many weak instruments

Dennis Lim, Wenjie Wang and Yichong Zhang

Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach

Yongmiao Hong, Oliver Linton, Brendan McCabe, Jiajing Sun and Shouyang Wang

An identification and testing strategy for proxy-SVARs with weak proxies

Giovanni Angelini, Giuseppe Cavaliere and Luca Fanelli

Estimation and variable selection for high-dimensional spatial dynamic panel data models

Li Hou, Baisuo Jin and Yuehua Wu

Tail behavior of ACD models and consequences for likelihood-based estimation

Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek and Frederik Vilandt

High-dimensional IV cointegration estimation and inference

Peter Phillips and Igor L. Kheifets

The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity

Alessandro Casini

Robust testing for explosive behavior with strongly dependent errors

Yiu Lim Lui, Peter Phillips and Jun Yu

Distributed estimation and inference for spatial autoregression model with large scale networks

Yimeng Ren, Zhe Li, Xuening Zhu, Yuan Gao and Hansheng Wang

Autoregressive conditional betas

F. Blasques, Christian Francq and Sébastien Laurent

The likelihood ratio test for structural changes in factor models

Jushan Bai, Jiangtao Duan and Xu Han

Bellman filtering and smoothing for state–space models

Rutger-Jan Lange

Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails

Juan Antolín-Díaz, Thomas Drechsel and Ivan Petrella

Observation-driven filtering of time-varying parameters using moment conditions

Drew Creal, Siem Jan Koopman, Andre Lucas and Marcin Zamojski

Identification of heterogeneous elasticities in gross-output production functions

Tong Li and Yuya Sasaki

Estimation and inference by stochastic optimization

Jean-Jacques Forneron

Nonparametric estimation of stochastic frontier models with weak separability

Samuele Centorrino and Christopher F. Parmeter

Semiparametric Bayesian estimation of dynamic discrete choice models

Andriy Norets and Kenichi Shimizu

Volume 238, issue 1, 2024

Systematic staleness

Federico M. Bandi, Davide Pirino and Roberto Renò

Hypothesis testing on high dimensional quantile regression

Zhao Chen, Vivian Xinyi Cheng and Xu Liu

High-dimensional low-rank tensor autoregressive time series modeling

Di Wang, Yao Zheng and Guodong Li

Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms’ Decision to Innovate

Vassilis Hajivassiliou and Frédérique Savignac

Optimal nonparametric range-based volatility estimation

Tim Bollerslev, Jia Li and Qiyuan Li

Local linearization based subvector inference in moment inequality models

Xinyue Bei

Binary choice with misclassification and social interactions, with an application to peer effects in attitude

Zhongjian Lin and Yingyao Hu

Detecting identification failure in moment condition models

Jean-Jacques Forneron

Inference in models with partially identified control functions

Andres Aradillas-Lopez

Causal inference of general treatment effects using neural networks with a diverging number of confounders

Xiaohong Chen, Ying Liu, Shujie Ma and Zheng Zhang

Bounding program benefits when participation is misreported

Denni Tommasi and Lina Zhang

Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity

Xingdong Feng, Wenyu Li and Qianqian Zhu

Nonparametric Gini-Frisch bounds

Karim Chalak

Identification of multi-valued treatment effects with unobserved heterogeneity

Koki Fusejima

Population interference in panel experiments

Kevin Han, Guillaume Basse and Iavor Bojinov

Endogeneity in weakly separable models without monotonicity

Songnian Chen, Shakeeb Khan and Xun Tang

Tuning parameter-free nonparametric density estimation from tabulated summary data

Ji Hyung Lee, Yuya Sasaki, Alexis Akira Toda and Yulong Wang

Asset pricing with neural networks: Significance tests

Hasan Fallahgoul, Vincentius Franstianto and Xin Lin

Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

Francisco Blasques, Janneke van Brummelen, Paolo Gorgi and Siem Jan Koopman

Semi-parametric single-index predictive regression models with cointegrated regressors

Weilun Zhou, Jiti Gao, David Harris and Hsein Kew

Rank-based max-sum tests for mutual independence of high-dimensional random vectors

Hongfei Wang, Binghui Liu, Long Feng and Yanyuan Ma

Matching points: Supplementing instruments with covariates in triangular models

Junlong Feng

Mental health and abortions among young women: time-varying unobserved heterogeneity, health behaviors, and risky decisions

Lena Janys and Bettina Siflinger