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 230, issue 2, 2022

Predictive functional linear models with diverging number of semiparametric single-index interactions pp. 221-239

Yanghui Liu, Yehua Li, Raymond J. Carroll and Naisyin Wang

Global temperatures and greenhouse gases: A common features approach pp. 240-254

Li Chen, Jiti Gao and Farshid Vahid

Nonparametric jump variation measures from options pp. 255-280

Viktor Todorov

Markov switching panel with endogenous synchronization effects pp. 281-298

Komla M. Agudze, Monica Billio, Roberto Casarin and Francesco Ravazzolo

Sampling properties of the Bayesian posterior mean with an application to WALS estimation pp. 299-317

Giuseppe De Luca, Jan R. Magnus and Franco Peracchi

Inference on covariance-mean regression pp. 318-338

Tao Zou, Wei Lan, Runze Li and Chih-Ling Tsai

Fast and accurate variational inference for models with many latent variables pp. 339-362

Rubén Loaiza-Maya, Michael Stanley Smith, David J. Nott and Peter Danaher

Estimation and inference about tail features with tail censored data pp. 363-387

Yulong Wang and Zhijie Xiao

Estimation of varying coefficient models with measurement error pp. 388-415

Hao Dong, Taisuke Otsu and Luke Taylor

Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors pp. 416-431

Dongxiao Han, Jian Huang, Yuanyuan Lin and Guohao Shen

GMM quantile regression pp. 432-452

Sergio Firpo, Antonio Galvao, Cristine Pinto, Alexandre Poirier and Graciela Sanroman

Nonparametric inference for quantile cointegrations with stationary covariates pp. 453-482

Yundong Tu, Han-Ying Liang and Qiying Wang

Testing for the presence of jump components in jump diffusion models pp. 483-509

Bin Wang and Xu Zheng

Local mispricing and microstructural noise: A parametric perspective pp. 510-534

Torben Andersen, Ilya Archakov, Gökhan Cebiroglu and Nikolaus Hautsch

How should parameter estimation be tailored to the objective? pp. 535-558

Peter Hansen and Elena-Ivona Dumitrescu

Volume 230, issue 1, 2022

Bayesian factor-adjusted sparse regression pp. 3-19

Jianqing Fan, Bai Jiang and Qiang Sun

Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity pp. 20-38

Tomohiro Ando, Jushan Bai and Kunpeng Li

Parsimony inducing priors for large scale state–space models pp. 39-61

Hedibert F. Lopes, Robert E. McCulloch and Ruey S. Tsay

Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity pp. 62-82

Andriy Norets and Justinas Pelenis

Posterior-based Wald-type statistics for hypothesis testing pp. 83-113

Xiaobin Liu, Yong Li, Jun Yu and Tao Zeng

Real-time Bayesian learning and bond return predictability pp. 114-130

Runqing Wan, Andras Fulop and Junye Li

Bayesian nonparametric learning of how skill is distributed across the mutual fund industry pp. 131-153

Mark Fisher and Mark Jensen

Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models pp. 154-182

Katerina Petrova

Factor investing: A Bayesian hierarchical approach pp. 183-200

Guanhao Feng and Jingyu He

Affine arbitrage-free yield net models with application to the euro debt crisis pp. 201-220

Zhiwu Hong, Linlin Niu and Chen Zhang

Volume 229, issue 2, 2022

Semiparametric model averaging prediction for dichotomous response pp. 219-245

Fang Fang, Jialiang Li and Xiaochao Xia

On improvability of model selection by model averaging pp. 246-262

Jingfu Peng and Yuhong Yang

Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect pp. 263-275

Tadao Hoshino

A doubly corrected robust variance estimator for linear GMM pp. 276-298

Jungbin Hwang, Byunghoon Kang and Seojeong Lee

Nonparametric estimation of the random coefficients model: An elastic net approach pp. 299-321

Florian Heiss, Stephan Hetzenecker and Maximilian Osterhaus

On LASSO for predictive regression pp. 322-349

Ji Hyung Lee, Zhentao Shi and Zhan Gao

Transformations and moment conditions for dynamic fixed effects logit models pp. 350-362

Yoshitsugu Kitazawa

Testing the eigenvalue structure of spot and integrated covariance pp. 363-395

Prosper Dovonon, Abderrahim Taamouti and Julian Williams

Spurious functional-coefficient regression models and robust inference with marginal integration pp. 396-421

Yundong Tu and Ying Wang

Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps pp. 422-451

Yingying Li, Guangying Liu and Zhiyuan Zhang

Volume 229, issue 1, 2022

Asymptotic properties of correlation-based principal component analysis pp. 1-18

Jungjun Choi and Xiye Yang

An incidental parameters free inference approach for panels with common shocks pp. 19-54

Artūras Juodis and Vasilis Sarafidis

Estimation and inference in heterogeneous spatial panels with a multifactor error structure pp. 55-79

Jia Chen, Yongcheol Shin and Chaowen Zheng

Factor models with local factors — Determining the number of relevant factors pp. 80-102

Simon Freyaldenhoven

Factor models with many assets: Strong factors, weak factors, and the two-pass procedure pp. 103-126

Stanislav Anatolyev and Anna Mikusheva

Functional time series approach to analyzing asset returns co-movements pp. 127-151

Patrick W. Saart and Yingcun Xia

High-dimensional test for alpha in linear factor pricing models with sparse alternatives pp. 152-175

Long Feng, Wei Lan, Binghui Liu and Yanyuan Ma

Kotlarski with a factor loading pp. 176-179

Arthur Lewbel

Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions pp. 180-200

Fa Wang

Projected estimation for large-dimensional matrix factor models pp. 201-217

Long Yu, Yong He, Xinbing Kong and Xinsheng Zhang

Volume 228, issue 2, 2022

SONIC: SOcial Network analysis with Influencers and Communities pp. 177-220

Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yegor Klochkov

Measuring news sentiment pp. 221-243

Adam Hale Shapiro, Moritz Sudhof and Daniel Wilson

An explainable attention network for fraud detection in claims management pp. 244-258

Helmut Farbmacher, Leander Löw and Martin Spindler

Can we measure inflation expectations using Twitter? pp. 259-277

Cristina Angelico, Juri Marcucci, Marcello Miccoli and Filippo Quarta

Instrument-free identification and estimation of differentiated products models using cost data pp. 278-301

David P. Byrne, Susumu Imai, Neelam Jain and Vasilis Sarafidis

Infinite Markov pooling of predictive distributions pp. 302-321

Xin Jin, John Maheu and Qiao Yang

Latent complementarity in bundles models pp. 322-341

Roy Allen and John Rehbeck

A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions pp. 342-358

Ali Fakih, Paul Makdissi, Walid Marrouch, Rami V. Tabri and Myra Yazbeck

Illuminating economic growth pp. 359-378

Yingyao Hu and Jiaxiong Yao

An integrated panel data approach to modelling economic growth pp. 379-397

Guohua Feng, Jiti Gao and Bin Peng

Volume 228, issue 1, 2022

High-dimensional linear models with many endogenous variables pp. 4-26

Alexandre Belloni, Christian Hansen and Whitney Newey

Nonparametric Bayes subject to overidentified moment conditions pp. 27-38

A. Ronald Gallant

Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models pp. 39-61

Chunrong Ai, Oliver Linton and Zheng Zhang

Bayesian estimation of long-run risk models using sequential Monte Carlo pp. 62-84

Andras Fulop, Jeremy Heng, Junye Li and Hening Liu

Constrained estimation using penalization and MCMC pp. 85-106

A. Ronald Gallant, Han Hong, Michael Leung and Jessie Li

Robust Bayesian inference in proxy SVARs pp. 107-126

Raffaella Giacomini, Toru Kitagawa and Matthew Read

Copula-based time series with filtered nonstationarity pp. 127-155

Xiaohong Chen, Zhijie Xiao and Bo Wang

Variation and efficiency of high-frequency betas pp. 156-175

Congshan Zhang, Jia Li, Viktor Todorov and George Tauchen