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 237, issue 2, 2023

Volatility measurement with pockets of extreme return persistence

Torben Andersen, Yingying Li, Viktor Todorov and Bo Zhou

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

Abdelhakim Aknouche and Christian Francq

Dynamic conditional eigenvalue GARCH

Simon Hetland, Rasmus Søndergaard Pedersen and Anders Rahbek

A dynamic conditional score model for the log correlation matrix

Christian M. Hafner and Linqi Wang

Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects

P. Gorgi and Siem Jan Koopman

Comparing forecasting performance in cross-sections

Ritong Qu, Allan Timmermann and Yinchu Zhu

Evaluating forecast performance with state dependence

Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan

CRPS learning

Jonathan Berrisch and Florian Ziel

Extensions to IVX methods of inference for return predictability

Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor

Dynamic clustering of multivariate panel data

Igor Custodio João, Andre Lucas, Julia Schaumburg and Bernd Schwaab

Optimal model averaging based on forward-validation

Xiaomeng Zhang and Xinyu Zhang

Machine learning panel data regressions with heavy-tailed dependent data: Theory and application

Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas

Transformed regression-based long-horizon predictability tests

Matei Demetrescu, Paulo Rodrigues and Robert Taylor

On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates

Francis Diebold, Minchul Shin and Boyuan Zhang

Semiparametric modeling of multiple quantiles

Leopoldo Catania and Alessandra Luati

A flexible predictive density combination for large financial data sets in regular and crisis periods

Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk

Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach

Rui Fan, Ji Hyung Lee and Youngki Shin

Uniform predictive inference for factor models with instrumental and idiosyncratic betas

Mingmian Cheng, Yuan Liao and Xiye Yang

Dynamic factor copula models with estimated cluster assignments

Dong Hwan Oh and Andrew J. Patton

A penalized two-pass regression to predict stock returns with time-varying risk premia

Gaetan Bakalli, Stéphane Guerrier and Olivier Scaillet

Taking stock of long-horizon predictability tests: Are factor returns predictable?

Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis

Time-varying forecast combination for high-dimensional data

Bin Chen and Kenwin Maung

Are bond returns predictable with real-time macro data?

Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong and Guofu Zhou

Time-Varying Parameters in Econometrics: The editor’s foreword

F. Blasques, Andrew Harvey, Siem Jan Koopman and Andre Lucas

Business-cycle consumption risk and asset prices

Federico M. Bandi and Andrea Tamoni

Score-driven models for realized volatility

Andrew Harvey and Dario Palumbo

Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance

Dennis Umlandt

Better bunching, nicer notching

Marinho Bertanha, Andrew H. McCallum and Nathan Seegert

What is a standard error? (And how should we compute it?)

Jeffrey Wooldridge

Instrument validity for heterogeneous causal effects

Zhenting Sun

Some impossibility results for inference with cluster dependence with large clusters

Denis Kojevnikov and Kyungchul Song

Semiparametric estimation of long-term treatment effects

Jiafeng Chen and David M. Ritzwoller

Volume 237, issue 1, 2023

Identification and estimation of spillover effects in randomized experiments

Gonzalo Vazquez-Bare

Identification of mixtures of dynamic discrete choices

Ayden Higgins and Koen Jochmans

Under-identification of structural models based on timing and information set assumptions

Daniel Ackerberg, Garth Frazer, Kyoo il Kim, Yao Luo and Yingjun Su

Inference under covariate-adaptive randomization with imperfect compliance

Federico A. Bugni and Mengsi Gao

Linear panel regressions with two-way unobserved heterogeneity

Hugo Freeman and Martin Weidner

Stable outcomes and information in games: An empirical framework

Paul S. Koh

Econometric inference on a large Bayesian game with heterogeneous beliefs

Denis Kojevnikov and Kyungchul Song

Penetrating sporadic return predictability

Yundong Tu and Xinling Xie

A new generalized exponentially weighted moving average quantile model and its statistical inference

Ke Zhu

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Yanqin Fan, Fang Han and Hyeonseok Park

Adaptive robust large volatility matrix estimation based on high-frequency financial data

Minseok Shin, Donggyu Kim and Jianqing Fan

Identification of dynamic binary response models

S. Khan, Maria Ponomareva and E. Tamer

What is a standard error?

Andrew Gelman

What is uncertainty in today’s practice of data science?

Bin Yu

Volume 236, issue 2, 2023

A structural analysis of simple contracts

Yonghong An, Shengjie Hong and Daiqiang Zhang

Moments, shocks and spillovers in Markov-switching VAR models

Erik Kole and Dick van Dijk

Inference and forecasting for continuous-time integer-valued trawl processes

Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut Veraart

A solution to the global identification problem in DSGE models

Andrzej Kocięcki and Marcin Kolasa

Generalized linear models with structured sparsity estimators

Mehmet Caner

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

Two-way fixed effects and differences-in-differences estimators with several treatments

Clément de Chaisemartin and D’Haultfœuille, Xavier

Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk

Valentina Corradi, Jack Fosten and Daniel Gutknecht

Bayesian Artificial Neural Networks for frontier efficiency analysis

Mike Tsionas, Christopher F. Parmeter and Valentin Zelenyuk

Treatment effect models with strategic interaction in treatment decisions

Tadao Hoshino and Takahide Yanagi

Volume 236, issue 1, 2023

Policy evaluation during a pandemic

Brantly Callaway and Tong Li

Identification of auction models using order statistics

Yao Luo and Ruli Xiao

Dynamic discrete choice models with incomplete data: Sharp identification

Yuya Sasaki, Yuya Takahashi, Yi Xin and Yingyao Hu

Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and Olena Melin

Semiparametric estimation of latent variable asset pricing models

Jeroen Dalderop

Structural VAR models in the Frequency Domain

Alain Guay and Florian Pelgrin

We modeled long memory with just one lag!

Luc Bauwens, Guillaume Chevillon and Sébastien Laurent

High-dimensional conditionally Gaussian state space models with missing data

Joshua Chan, Aubrey Poon and Dan Zhu

Large stochastic volatility in mean VARs

Jamie Cross, Chenghan Hou, Gary Koop and Aubrey Poon

Maximum likelihood estimation for α-stable double autoregressive models

Dong Li, Yuxin Tao, Yaxing Yang and Rongmao Zhang

Testing many restrictions under heteroskedasticity

Stanislav Anatolyev and Mikkel Sølvsten

Post-processed posteriors for sparse covariances

Kwangmin Lee and Jaeyong Lee