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 227, issue 2, 2022

Stationary vine copula models for multivariate time series pp. 305-324

Thomas Nagler, Daniel Krüger and Aleksey Min

Maximum likelihood estimation for score-driven models pp. 325-346

Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman and Andre Lucas

Semiparametric testing with highly persistent predictors pp. 347-370

Bas J.M. Werker and Bo Zhou

Functional coefficient panel modeling with communal smoothing covariates pp. 371-407

Peter Phillips and Ying Wang

Simultaneous inference for time-varying models pp. 408-428

Sayar Karmakar, Stefan Richter and Wei Biao Wu

Residual-augmented IVX predictive regression pp. 429-460

Matei Demetrescu and Paulo Rodrigues

The drift burst hypothesis pp. 461-497

Kim Christensen, Roel Oomen and Roberto Renò

Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” pp. 498-505

Mark Bognanni

Volume 227, issue 1, 2022

Goodness-of-fit testing for time series models via distance covariance pp. 4-24

Phyllis Wan and Richard A. Davis

Understanding temporal aggregation effects on kurtosis in financial indices pp. 25-46

Offer Lieberman and Peter Phillips

Testing the existence of moments for GARCH processes pp. 47-64

Christian Francq and Jean-Michel Zakoian

A time-varying parameter model for local explosions pp. 65-84

Francisco Blasques, Siem Jan Koopman and Marc Nientker

Testing for episodic predictability in stock returns pp. 85-113

Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor

Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence pp. 114-133

Zongwu Cai, Ying Fang and Qiuhua Xu

β in the tails pp. 134-150

Federico M. Bandi and Roberto Renò

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management pp. 151-167

Mike K.P. So, Thomas W.C. Chan and Amanda M.Y. Chu

Asset selection based on high frequency Sharpe ratio pp. 168-188

Christina Dan Wang, Zhao Chen, Yimin Lian and Min Chen

Occupation density estimation for noisy high-frequency data pp. 189-211

Congshan Zhang, Jia Li and Tim Bollerslev

Identification of structural multivariate GARCH models pp. 212-227

Christian Hafner, Helmut Herwartz and Simone Maxand

LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise pp. 228-240

Xingfa Zhang, Rongmao Zhang, Yuan Li and Shiqing Ling

Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models pp. 241-263

Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek

Hybrid quantile estimation for asymmetric power GARCH models pp. 264-284

Guochang Wang, Ke Zhu, Guodong Li and Wai Keung Li

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers pp. 285-304

Manabu Asai, Chia-Lin Chang and Michael McAleer

Volume 226, issue 2, 2022

Identification of semiparametric model coefficients, with an application to collective households pp. 205-223

Arthur Lewbel and Xirong Lin

Quantile regression methods for first-price auctions pp. 224-247

Nathalie Gimenes and Emmanuel Guerre

Inference on estimators defined by mathematical programming pp. 248-268

Yu-Wei Hsieh, Xiaoxia Shi and Matthew Shum

Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors pp. 269-294

Yingyao Hu, Susanne Schennach and Ji-Liang Shiu

Testing for risk aversion in first-price sealed-bid auctions pp. 295-320

Sung Jae Jun and Federico Zincenko

Sample selection models with monotone control functions pp. 321-342

Ruixuan Liu and Zhengfei Yu

Identification of dynamic games with unobserved heterogeneity and multiple equilibria pp. 343-367

Yao Luo, Ping Xiao and Ruli Xiao

Estimating multinomial choice models with unobserved choice sets pp. 368-398

Zhentong Lu

A wavelet method for panel models with jump discontinuities in the parameters pp. 399-422

O. Bada, A. Kneip, D. Liebl, T. Mensinger, J. Gualtieri and Robin Sickles

A test of the selection on observables assumption using a discontinuously distributed covariate pp. 423-450

Umair Khalil and Neşe Yıldız

Inference in ordered response games with complete information pp. 451-476

Andres Aradillas-Lopez and Adam Rosen

Estimating unobserved individual heterogeneity using pairwise comparisons pp. 477-497

Elena Krasnokutskaya, Kyungchul Song and Xun Tang

Volume 226, issue 1, 2022

Feedback in panel data models pp. 4-20

Gary Chamberlain

Robust likelihood estimation of dynamic panel data models pp. 21-61

Javier Alvarez and Manuel Arellano

Design-based analysis in Difference-In-Differences settings with staggered adoption pp. 62-79

Susan Athey and Guido Imbens

Estimation and inference of semiparametric models using data from several sources pp. 80-103

Moshe Buchinsky, Fanghua Li and Zhipeng Liao

Minimax-regret sample design in anticipation of missing data, with application to panel data pp. 104-114

Jeff Dominitz and Charles Manski

Semiparametrically efficient estimation of the average linear regression function pp. 115-138

Bryan S. Graham and Cristine Pinto

Analyzing cross-validation for forecasting with structural instability pp. 139-154

Keisuke Hirano and Jonathan Wright

Who wins, who loses? Identification of conditional causal effects, and the welfare impact of changing wages pp. 155-170

Maximilian Kasy

Approximation of sign-regular kernels pp. 171-191

Thomas A. Knox

Censored quantile regression survival models with a cure proportion pp. 192-203

Naveen Narisetty and Roger Koenker

Volume 225, issue 2, 2021

Identification in nonparametric models for dynamic treatment effects pp. 132-147

Sukjin Han

Permutation test for heterogeneous treatment effects with a nuisance parameter pp. 148-174

EunYi Chung and Mauricio Olivares

Estimating dynamic treatment effects in event studies with heterogeneous treatment effects pp. 175-199

Liyang Sun and Sarah Abraham

Difference-in-Differences with multiple time periods pp. 200-230

Brantly Callaway and Sant’Anna, Pedro H.C.

The identification region of the potential outcome distributions under instrument independence pp. 231-253

Toru Kitagawa

Difference-in-differences with variation in treatment timing pp. 254-277

Andrew Goodman-Bacon

Covariate-adjusted Fisher randomization tests for the average treatment effect pp. 278-294

Anqi Zhao and Peng Ding

Matching estimators with few treated and many control observations pp. 295-307

Bruno Ferman

Volume 225, issue 1, 2021

Detecting groups in large vector autoregressions pp. 2-26

Guðmundur Guðmundsson and Christian Brownlees

Identification of structural vector autoregressions through higher unconditional moments pp. 27-46

Alain Guay

Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty pp. 47-73

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Inference in Structural Vector Autoregressions identified with an external instrument pp. 74-87

José L. Montiel Olea, James H. Stock and Mark W. Watson

Inference in Bayesian Proxy-SVARs pp. 88-106

Jonas E. Arias, Juan F Rubio-Ramirez and Daniel Waggoner

Impulse response analysis for structural dynamic models with nonlinear regressors pp. 107-130

Silvia Goncalves, Ana María Herrera, Lutz Kilian and Elena Pesavento