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 234, issue S, 2023

Reprint of: Formulation and estimation of stochastic frontier production function models pp. 15-24

Dennis Aigner, C. Lovell and Peter Schmidt

Reprint of: Generalized Autoregressive Conditional Heteroskedasticity pp. 25-37

Tim Bollerslev

Reprint of: Initial conditions and moment restrictions in dynamic panel data models pp. 38-55

Richard Blundell and Stephen Bond

Reprint of: Testing for unit roots in heterogeneous panels pp. 56-69

Kyung So Im, Mohammad Pesaran and Yongcheol Shin

Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms pp. 70-90

Francis Diebold and Kamil Yilmaz

Volume 234, issue 2, 2023

Isotonic regression discontinuity designs pp. 371-393

Andrii Babii and Rohit Kumar

Estimation and inference for policy relevant treatment effects pp. 394-450

Yuya Sasaki and Takuya Ura

Estimation of treatment effects under endogenous heteroskedasticity pp. 451-478

Jason Abrevaya and Haiqing Xu

Identifying treatment effects in the presence of confounded types pp. 479-511

Desire Kedagni

Forward-selected panel data approach for program evaluation pp. 512-535

Zhentao Shi and Jingyi Huang

Partially identifying competing risks models: An application to the war on cancer pp. 536-564

Dongwoo Kim

Identifying marginal treatment effects in the presence of sample selection pp. 565-584

Otavio Bartalotti, Desire Kedagni and Vitor Possebom

Identification and estimation of triangular models with a binary treatment pp. 585-623

Santiago Pereda-Fernández

Treatment recommendation with distributional targets pp. 624-646

Anders Kock, David Preinerstorfer and Bezirgen Veliyev

Probabilistic prediction for binary treatment choice: With focus on personalized medicine pp. 647-663

Charles Manski

Nonparametric difference-in-differences in repeated cross-sections with continuous treatments pp. 664-690

D’Haultfœuille, Xavier, Stefan Hoderlein and Yuya Sasaki

Synthetic Learner: Model-free inference on treatments over time pp. 691-713

Davide Viviano and Jelena Bradic

Estimation and inference of treatment effects with L2-boosting in high-dimensional settings pp. 714-731

Jannis Kueck, Ye Luo, Martin Spindler and Zigan Wang

Multiple treatments with strategic substitutes pp. 732-757

Jorge F. Balat and Sukjin Han

Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations pp. 758-776

Liang Jiang, Peter Phillips, Yubo Tao and Yichong Zhang

Volume 234, issue 1, 2023

State-domain change point detection for nonlinear time series regression pp. 3-27

Yan Cui, Jun Yang and Zhou Zhou

Improved marginal likelihood estimation via power posteriors and importance sampling pp. 28-52

Yong Li, Nianling Wang and Jun Yu

Bias reduction in spot volatility estimation from options pp. 53-81

Viktor Todorov and Yang Zhang

Maximum likelihood estimation of stochastic frontier models with endogeneity pp. 82-105

Samuele Centorrino and María Pérez-Urdiales

Irregular identification of structural models with nonparametric unobserved heterogeneity pp. 106-127

Juan Carlos Escanciano

Vector copulas pp. 128-150

Yanqin Fan and Marc Henry

Most powerful test against a sequence of high dimensional local alternatives pp. 151-177

Yi He, Sombut Jaidee and Jiti Gao

Conditional asymmetry in Power ARCH(∞) models pp. 178-204

Julien Royer

Quantile regression with censoring and sample selection pp. 205-226

Songnian Chen and Qian Wang

A new robust inference for predictive quantile regression pp. 227-250

Zongwu Cai, Haiqiang Chen and Xiaosai Liao

Quasi score-driven models pp. 251-275

F. Blasques, Christian Francq and Sébastien Laurent

Structural inference in sparse high-dimensional vector autoregressions pp. 276-300

J. Krampe, E. Paparoditis and Carsten Trenkler

Identification of unobserved distribution factors and preferences in the collective household model pp. 301-326

Stefan Hubner

Finite-sample corrected inference for two-step GMM in time series pp. 327-352

Jungbin Hwang and Gonzalo Valdés

PELVE: Probability Equivalent Level of VaR and ES pp. 353-370

Hengxin Li and Ruodu Wang

Volume 233, issue 2, 2023

It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages pp. 340-374

Sabrina Di Addario, Patrick Kline, Raffaele Saggio and Mikkel Sølvsten

Do firm effects drift? Evidence from Washington administrative data pp. 375-395

Marta Lachowska, Alexandre Mas, Raffaele Saggio and Stephen Woodbury

Firm pay dynamics pp. 396-423

Niklas Engbom, Christian Moser and Jan Sauermann

Establishment age and wages pp. 424-442

Johannes Schmieder

Twisting the demand curve: Digitalization and the older workforce pp. 443-467

Erling Barth, James Davis, Richard Freeman and Kristina McElheran

Social connections and the sorting of workers to firms pp. 468-506

Marcus Eliason, Lena Hensvik, Francis Kramarz and Oskar Skans

Gender differences in sorting on wages and risk pp. 507-523

Kurt Lavetti and Ian Schmutte

Cyclical labor market sorting pp. 524-543

Leland D. Crane, Henry R. Hyatt and Seth M. Murray

Employer policies and the immigrant–native earnings gap pp. 544-567

Benoit Dostie, Jiang Li, David Card and Daniel Parent

The determinants of displaced workers’ wages: Sorting, matching, selection, and the Hartz reforms pp. 568-595

Simon Woodcock

The persistence of wages pp. 596-611

Anabela Carneiro, Pedro Portugal, Pedro Raposo and Paulo Rodrigues

Union membership density and wages: The role of worker, firm, and job-title heterogeneity pp. 612-632

John T. Addison, Pedro Portugal and Hugo de Almeida Vilares

Unequal use of social insurance benefits: The role of employers pp. 633-660

Sarah Bana, Kelly Bedard, Maya Rossin-Slater and Jenna Stearns

Internal labor markets: A worker flow approach pp. 661-688

Ingrid Huitfeldt, Andreas R. Kostøl, Jan Nimczik and Andrea Weber

Estimation of spillover effects with matched data or longitudinal network data pp. 689-714

Martin Braun and Valentin Verdier

Volume 233, issue 1, 2023

Multi-dimensional latent group structures with heterogeneous distributions pp. 1-21

Xuan Leng, Heng Chen and Wendun Wang

Canonical correlation-based model selection for the multilevel factors pp. 22-44

In Choi, Rui Lin and Yongcheol Shin

Estimation of panel group structure models with structural breaks in group memberships and coefficients pp. 45-65

Robin L. Lumsdaine, Ryo Okui and Wendun Wang

Shrinkage estimation of network spillovers with factor structured errors pp. 66-87

Ayden Higgins and Federico Martellosio

A test for Kronecker Product Structure covariance matrix pp. 88-112

Patrik Guggenberger, Frank Kleibergen and Sophocles Mavroeidis

Factor-based imputation of missing values and covariances in panel data of large dimensions pp. 113-131

Ercument Cahan, Jushan Bai and Serena Ng

Group fused Lasso for large factor models with multiple structural breaks pp. 132-154

Chenchen Ma and Yundong Tu

High-dimensional VARs with common factors pp. 155-183

Ke Miao, Peter Phillips and Liangjun Su

Treatment effects in interactive fixed effects models with a small number of time periods pp. 184-208

Brantly Callaway and Sonia Karami

Quasi-maximum likelihood estimation of break point in high-dimensional factor models pp. 209-236

Jiangtao Duan, Jushan Bai and Xu Han

Information criteria for latent factor models: A study on factor pervasiveness and adaptivity pp. 237-250

Xiao Guo, Yu Chen and Cheng Yong Tang

Identifying latent factors based on high-frequency data pp. 251-270

Yucheng Sun, Wen Xu and Chuanhai Zhang

Large dimensional latent factor modeling with missing observations and applications to causal inference pp. 271-301

Ruoxuan Xiong and Markus Pelger

Testing for structural changes in large dimensional factor models via discrete Fourier transform pp. 302-331

Zhonghao Fu, Yongmiao Hong and Xia Wang