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 224, issue 2, 2021

Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models pp. 245-270

Badi Baltagi, Alain Pirotte and Zhenlin Yang

The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions pp. 271-285

Xiaohan Zhong and Lin Zhu

An empirical total survey error decomposition using data combination pp. 286-305

Bruce D. Meyer and Nikolas Mittag

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model pp. 306-329

Feiyu Jiang, Dong Li and Ke Zhu

Robust estimation with exponentially tilted Hellinger distance pp. 330-344

Bertille Antoine and Prosper Dovonon

An econometric model of network formation with an application to board interlocks between firms pp. 345-370

Cristina Gualdani

An improved bootstrap test for restricted stochastic dominance pp. 371-393

Thomas M. Lok and Rami V. Tabri

Time-varying instrumental variable estimation pp. 394-415

Liudas Giraitis, George Kapetanios and Massimiliano Marcellino

Robust nonlinear regression estimation in null recurrent time series pp. 416-438

Francesco Bravo, Degui Li and Dag Tjøstheim

Recursive estimation in large panel data models: Theory and practice pp. 439-465

Bin Jiang, Yanrong Yang, Jiti Gao and Cheng Hsiao

Volume 224, issue 1, 2021

Continuous record Laplace-based inference about the break date in structural change models pp. 3-21

Alessandro Casini and Pierre Perron

Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration pp. 22-38

Josep Carrion-i-Silvestre and Dukpa Kim

Inference after estimation of breaks pp. 39-59

Isaiah Andrews, Toru Kitagawa and Adam McCloskey

Boosting high dimensional predictive regressions with time varying parameters pp. 60-87

Kashif Yousuf and Serena Ng

Sieve estimation of option-implied state price density pp. 88-112

Junwen Lu and Zhongjun Qu

Inference in time series models using smoothed-clustered standard errors pp. 113-133

Seunghwa Rho and Timothy Vogelsang

Dynamic spatial panel data models with common shocks pp. 134-160

Jushan Bai and Kunpeng Li

Bootstrapping non-stationary stochastic volatility pp. 161-180

H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev and Anders Rahbek

Simple estimators and inference for higher-order stochastic volatility models pp. 181-197

Md. Nazmul Ahsan and Jean-Marie Dufour

Simple tests for stock return predictability with good size and power properties pp. 198-214

David Harvey, Stephen J. Leybourne and Robert Taylor

Consistent inference for predictive regressions in persistent economic systems pp. 215-244

Torben Andersen and Rasmus T. Varneskov

Volume 223, issue 2, 2021

Sufficient statistics for unobserved heterogeneity in structural dynamic logit models pp. 280-311

Victor Aguirregabiria, Jiaying Gu and Yao Luo

Semiparametric estimation of dynamic discrete choice models pp. 312-327

Nicholas Buchholz, Matthew Shum and Haiqing Xu

Solving dynamic discrete choice models using smoothing and sieve methods pp. 328-360

Dennis Kristensen, Patrick K. Mogensen, Jong Myun Moon and Bertel Schjerning

The likelihood of mixed hitting times pp. 361-375

Jaap H. Abbring and Tim Salimans

Bidding frictions in ascending auctions pp. 376-400

Aaron Barkley, Joachim R. Groeger and Robert A. Miller

Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia pp. 401-432

Fedor Iskhakov and Michael Keane

Labor market search, informality, and on-the-job human capital accumulation pp. 433-453

Matteo Bobba, Luca Flabbi, Santiago Levy and Mauricio Tejada

Illegal drugs, education, and labor market outcomes pp. 454-484

Alvaro Mezza and Moshe Buchinsky

Volume 223, issue 1, 2021

Indirect inference for locally stationary models pp. 1-27

David T. Frazier and Bonsoo Koo

Nonparametric regression with selectively missing covariates pp. 28-52

Christoph Breunig and Peter Haan

Nonparametric estimation of large covariance matrices with conditional sparsity pp. 53-72

Hanchao Wang, Bin Peng, Degui Li and Chenlei Leng

Integrated likelihood based inference for nonlinear panel data models with unobserved effects pp. 73-95

Martin Schumann, Thomas A. Severini and Gautam Tripathi

Model selection in utility-maximizing binary prediction pp. 96-124

Jiun-Hua Su

Inference without smoothing for large panels with cross-sectional and temporal dependence pp. 125-160

Javier Hidalgo and Marcia Schafgans

Shrinkage for categorical regressors pp. 161-189

Phillip Heiler and Jana Mareckova

Model averaging prediction for time series models with a diverging number of parameters pp. 190-221

Jun Liao, Guohua Zou, Yan Gao and Xinyu Zhang

Macroeconomic uncertainty prices when beliefs are tenuous pp. 222-250

Lars Hansen and Thomas Sargent

Efficient estimation and filtering for multivariate jump–diffusions pp. 251-275

François Guay and Gustavo Schwenkler

Volume 222, issue 2, 2021

Bounds on distributional treatment effect parameters using panel data with an application on job displacement pp. 861-881

Brantly Callaway

Limit theorems for network dependent random variables pp. 882-908

Denis Kojevnikov, Vadim Marmer and Kyungchul Song

A weighted sieve estimator for nonparametric time series models with nonstationary variables pp. 909-932

Chaohua Dong, Oliver Linton and Bin Peng

A Bayesian robust chi-squared test for testing simple hypotheses pp. 933-958

Osman Doğan, Süleyman Taşpınar and Anil K. Bera

Uncovering heterogeneous social effects in binary choices pp. 959-973

Zhongjian Lin, Xun Tang and Ning Neil Yu

Time-varying model averaging pp. 974-992

Yuying Sun, Yongmiao Hong, Tae Hwy Lee, Shouyang Wang and Xinyu Zhang

Simple and trustworthy cluster-robust GMM inference pp. 993-1023

Jungbin Hwang

Solving Euler equations via two-stage nonparametric penalized splines pp. 1024-1056

Liyuan Cui, Yongmiao Hong and Yingxing Li

Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models pp. 1057-1082

Joel L. Horowitz

Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores pp. 1083-1108

Phillip Heiler and Ekaterina Kazak

Volume 222, issue 1, 2021

A survey of preference estimation with unobserved choice set heterogeneity pp. 4-43

Gregory S. Crawford, Rachel Griffith and Alessandro Iaria

Using penalized likelihood to select parameters in a random coefficients multinomial logit model pp. 44-55

Joel L. Horowitz and Lars Nesheim

BLP estimation using Laplace transformation and overlapping simulation draws pp. 56-72

Han Hong, Huiyu Li and Jessie Li

Control variables, discrete instruments, and identification of structural functions pp. 73-88

Whitney Newey and Sami Stouli

Assessing consumer demand with noisy neural measurements pp. 89-106

Ryan Webb, Nitin Mehta and Ifat Levy

Evaluating consumers’ choices of Medicare Part D plans: A study in behavioral welfare economics pp. 107-140

Michael Keane, Jonathan Ketcham, Nicolai Kuminoff and Timothy Neal

Disentangling moral hazard and adverse selection in private health insurance pp. 141-160

David Powell and Dana Goldman

How well do structural demand models work? Counterfactual predictions in school choice pp. 161-195

Parag Pathak and Peng Shi

Vehicle size choice and automobile externalities: A dynamic analysis pp. 196-218

Clifford Winston and Jia Yan

Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market pp. 219-243

George Hall and John Rust

The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects pp. 244-260

Mark Jenkins, Paul Liu, Rosa Matzkin and Daniel L. McFadden

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia pp. 269-294

Jianqing Fan, Yuan Ke and Yuan Liao

Estimation and inference in semiparametric quantile factor models pp. 295-323

Shujie Ma, Oliver Linton and Jiti Gao

Time-varying general dynamic factor models and the measurement of financial connectedness pp. 324-343

Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and Rainer von Sachs

Tail risk and return predictability for the Japanese equity market pp. 344-363

Torben Andersen, Viktor Todorov and Masato Ubukata

Closed-form implied volatility surfaces for stochastic volatility models with jumps pp. 364-392

Yacine Ait-Sahalia, Chenxu Li and Chen Xu Li

Volatility analysis with realized GARCH-Itô models pp. 393-410

Xinyu Song, Donggyu Kim, Huiling Yuan, Xiangyu Cui, Zhiping Lu, Yong Zhou and Yazhen Wang

The Observed Asymptotic Variance: Hard edges, and a regression approach pp. 411-428

Per A. Mykland and Lan Zhang

Autoencoder asset pricing models pp. 429-450

Shihao Gu, Bryan Kelly and Dacheng Xiu

Generalized aggregation of misspecified models: With an application to asset pricing pp. 451-467

Nikolay Gospodinov and Esfandiar Maasoumi

The implied arbitrage mechanism in financial markets pp. 468-483

Shiyi Chen, Michael T. Chng and Qingfu Liu

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models pp. 484-501

Xiaohong Chen, Zhuo Huang and Yanping Yi

High dimensional minimum variance portfolio estimation under statistical factor models pp. 502-515

Yi Ding, Yingying Li and Xinghua Zheng

New testing approaches for mean–variance predictability pp. 516-538

Gabriele Fiorentini and Enrique Sentana

Autoregressive models for matrix-valued time series pp. 539-560

Rong Chen, Han Xiao and Dan Yang

The wisdom of the crowd and prediction markets pp. 561-578

Min Dai, Yanwei Jia and Steven Kou

Max-linear regression models with regularization pp. 579-600

Qiurong Cui, Yuqing Xu, Zhengjun Zhang and Vincent Chan

Testing for observation-dependent regime switching in mixture autoregressive models pp. 601-624

Mika Meitz and Pentti Saikkonen

Testing constancy in varying coefficient models pp. 625-644

Miguel Delgado and Luis A. Arteaga-Molina

Dynamic decisions under subjective expectations: A structural analysis pp. 645-675

Yonghong An, Yingyao Hu and Ruli Xiao

On the validity of Akaike’s identity for random fields pp. 676-687

Carsten Jentsch and Marco Meyer

Nonparametric estimation of jump diffusion models pp. 688-715

Joon Y. Park and Bin Wang

(Machine) learning parameter regions pp. 716-744

José Luis Montiel Olea and James Nesbit

On factor models with random missing: EM estimation, inference, and cross validation pp. 745-777

Sainan Jin, Ke Miao and Liangjun Su

Linear IV regression estimators for structural dynamic discrete choice models pp. 778-804

Myrto Kalouptsidi, Paul T. Scott and Eduardo Souza-Rodrigues

Empirical asset pricing with multi-period disaster risk: A simulation-based approach pp. 805-832

Jantje Sönksen and Joachim Grammig

Bayesian MIDAS penalized regressions: Estimation, selection, and prediction pp. 833-860

Matteo Mogliani and Anna Simoni