The Econometrics Journal

2019 - 2025

Continuation of Econometrics Journal.

Current editor(s): Jaap Abbring

From Royal Economic Society
Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

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Volume 25, issue 3, 2022

The triple difference estimator (Semiparametric difference-in-differences estimators) pp. 531-553

Andreas Olden and Jarle Møen

Estimation and inference on treatment effects under treatment-based sampling designs (Instrumental variables estimates of the effect of subsidized training on the quantiles of trainee earnings) pp. 554-575

Kyungchul Song and Zhengfei Yu

Debiased machine learning of global and local parameters using regularized Riesz representers (Semiparametric instrumental variable estimation of treatment response models) pp. 576-601

Victor Chernozhukov, Whitney K Newey and Rahul Singh

Double machine learning-based programme evaluation under unconfoundedness (Econometric methods for program evaluation) pp. 602-627

Michael Knaus

Evaluating (weighted) dynamic treatment effects by double machine learning (Identification of causal effects using instrumental variables) pp. 628-648

Hugo Bodory, Martin Huber and Lukáš Lafférs

Doubly robust identification for causal panel data models (Sufficient statistics for unobserved heterogeneity in structural dynamic logit models) pp. 649-674

Dmitry Arkhangelsky and Guido W Imbens

Distribution regression in duration analysis: an application to unemployment spells (Lecture notes in statistics: Proceedings) pp. 675-698

Miguel Delgado, Andrés García-Suaza and Pedro H C Sant’Anna

Algorithms for inference in SVARs identified with sign and zero restrictions (Identification and inference with ranking restrictions) pp. 699-718

Matthew Read

CCE in heterogenous fixed-T panels (To pool or not to pool: Homogeneous versus heterogenous estimators applied to cigarette demand) pp. 719-738

Joakim Westerlund and Yousef Kaddoura

Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants (Increased risk of hospitalisation associated with infection with SARS-CoV-2 lineage B.1.1.7 in Denmark) pp. 739-761

Peter Hansen

On reduced form estimation of the effect of policy interventions on the COVID-19 pandemic (What explains temporal and geographic variation in the early us coronavirus pandemic?) pp. 762-780

Ivan Korolev

Effects of Covid-19 lockdowns on social distancing in Turkey (Synthetic control methods for comparative case studies: Estimating the effect of California’s tobacco control program) pp. 781-805

Fırat Bilgel

Volume 25, issue 2, 2022

Ten years of Denis Sargan Econometrics Prizes pp. i-iii

Jaap H Abbring

Causal mediation analysis with double machine learning (Mediation analysis via potential outcomes models) pp. 277-300

Helmut Farbmacher, Martin Huber, Lukáš Lafférs, Henrika Langen and Martin Spindler

Designed quadrature to approximate integrals in maximum simulated likelihood estimation (Evaluating simulation-based approaches and multivariate quadrature on sparse grids in estimating multivariate binary probit models) pp. 301-321

Prateek Bansal, Vahid Keshavarzzadeh, Cristian Guevara, Shanjun Li and Ricardo A Daziano

Optimal minimax rates against nonsmooth alternatives (Optimal testing for additivity in multiple nonparametric regression) pp. 322-339

Kohtaro Hitomi, Masamune Iwasawa and Yoshihiko Nishiyama

Two-stage instrumental variable estimation of linear panel data models with interactive effects (Eigenvalue ratio test for the number of factors) pp. 340-361

Guowei Cui, Milda NorkutÄ—, Vasilis Sarafidis and Takashi Yamagata

Detecting common breaks in the means of high dimensional cross-dependent panels (Structural breaks in panel data: large number of panels and short length time series) pp. 362-383

Lajos Horváth, Zhenya Liu, Gregory Rice and Yuqian Zhao

Testing conditional moment restriction models using empirical likelihood (Efficient estimation of models with conditional moment restrictions containing unknown functions) pp. 384-403

Yves G Berger

Distributional robustness of K-class estimators and the PULSE (The colonial origins of comparative development: An empirical investigation) pp. 404-432

Martin Emil Jakobsen and Jonas Peters

Misclassification-robust semiparametric estimation of single-index binary-choice models (Local NLLS estimation of semi-parametric binary choice models) pp. 433-454

P Čížek and S Sadıkoğlu

Single step estimation of ARMA roots for nonfundamental nonstationary fractional models (Non-fundamentalness in structural econometric models: A review) pp. 455-476

Ignacio N Lobato and Carlos Velasco

Nonparametric bounds on treatment effects with imperfect instruments (Instrument-based estimation with binarized treatments: Issues and tests for the exclusion restriction) pp. 477-493

Kyunghoon Ban and Désiré Kédagni

Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices (Commodity-price comovement and global economic activity) pp. 494-514

Chiara Casoli and Riccardo (Jack) Lucchetti

Estimating the SARS-CoV-2 infection fatality rate by data combination: The case of Germany’s first wave* (Vergleich europäischer Gesundheitssysteme in der COVID-19-Pandemie) pp. 515-530

Thomas Dimpfl, Jantje Sönksen, Ingo Bechmann and Joachim Grammig

Volume 25, issue 1, 2022

Bounding infection prevalence by bounding selectivity and accuracy of tests: with application to early COVID-19 pp. 1-14

Jörg Stoye

Large-scale sport events and COVID-19 infection effects: evidence from the German professional football ‘experiment’ pp. 15-45

Philipp Breidenbach and Timo Mitze

The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy pp. 46-70

Roy Cerqueti, Raffaella Coppier, Alessandro Girardi and Marco Ventura

Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV pp. 71-97

Marine Carrasco and Mohamed Doukali

R-estimators in GARCH models: asymptotics and applications pp. 98-113

Hang Liu and Kanchan Mukherjee

Nonparametric panel data regression with parametric cross-sectional dependence pp. 114-133

Alexandra Soberon, Juan M Rodriguez-Poo and Peter M Robinson

Factor-augmented forecasting regressions with threshold effects (What drives oil prices? Emerging versus developed economies) pp. 134-154

Yayi Yan and Tingting Cheng

Rank-invariance conditions for the comparison of volatility forecasts (A tale of two time scales: determining integrated volatility with noisy high-frequency data) pp. 155-175

Alessandro Palandri

Estimation of nonstationary nonparametric regression model with multiplicative structure (Income and wealth distribution in macroeconomics: A continuous-time approach) pp. 176-214

Likai Chen, Ekaterina Smetanina and Wei Biao Wu

Synthetic control method with convex hull restrictions: a Bayesian maximum a posteriori approach (Using synthetic controls: Feasibility, data requirements, and methodological aspects) pp. 215-232

Gyuhyeong Goh and Jisang Yu

Regularised orthogonal machine learning for nonlinear semiparametric models (Efficient estimation of models with conditional moment restrictions containing unknown functions) pp. 233-255

Denis Nekipelov, Vira Semenova and Vasilis Syrgkanis

Partially linear models with endogeneity: a conditional moment-based approach (Efficient estimation of models with conditional moment restrictions containing unknown functions) pp. 256-275

Bertille Antoine and Xiaolin Sun

Volume 24, issue 3, 2021

The spread of COVID-19 and the BCG vaccine: A natural experiment in reunified Germany pp. 353-376

Richard Bluhm and Maxim Pinkovskiy

Sparse covariance estimation in logit mixture models pp. 377-398

Youssef M Aboutaleb, Mazen Danaf, Yifei Xie and Moshe E Ben-Akiva

Computing moment inequality models using constrained optimization pp. 399-416

Baiyu Dong, Yu-Wei Hsieh and Matthew Shum Caltech

Identification without assuming mean stationarity: quasi–maximum likelihood estimation of dynamic panel models with endogenous regressors pp. 417-441

Hugo Kruiniger

Large mixed-frequency VARs with a parsimonious time-varying parameter structure pp. 442-461

Thomas B Götz and Klemens Hauzenberger

Panel kink threshold regression model with a covariate-dependent threshold pp. 462-481

Lixiong Yang, Chunli Zhang, Chingnun Lee and I-Po Chen

Unifying inference for semiparametric regression pp. 482-501

Shaoxin Hong, Jiancheng Jiang, Xuejun Jiang and Zhijie Xiao

On unit free assessment of the extent of multilateral distributional variation pp. 502-518

Gordon Anderson, Oliver Linton, Maria Grazia Pittau, Yoon-Jae Whang and Roberto Zelli

Partial effects in non-linear panel data models with correlated random effects pp. 519-535

Jason Abrevaya and Yu-Chin Hsu

Instrument-based estimation with binarised treatments: issues and tests for the exclusion restriction pp. 536-558

Martin Andresen and Martin Huber

Double/debiased machine learning for logistic partially linear model pp. 559-588

Molei Liu, Yi Zhang and Doudou Zhou

Exact computation of maximum rank correlation estimator pp. 589-607

Youngki Shin and Zvezdomir Todorov

Volume 24, issue 2, 2021

Editorial pp. Ci-Civ

Jaap H Abbring

Using a satisficing model of experimenter decision-making to guide finite-sample inference for compromised experiments pp. C1-C39

James Heckman and Ganesh Karapakula

Low-rank approximations of nonseparable panel models pp. C40-C77

Hugo Freeman and Martin Weidner

Identification in simple binary outcome panel data models pp. C78-C93

Bo E Honoré and Aureo de Paula

Estimation of dynamic models of recurrent events with censored data pp. 199-224

Sanghyeok Lee and Tue Gørgens

Panel VAR models with interactive fixed effects pp. 225-246

Mustafa Tuğan

A simple estimator for quantile panel data models using smoothed quantile regressions pp. 247-263

Liang Chen and Yulong Huo

Debiased machine learning of conditional average treatment effects and other causal functions pp. 264-289

Vira Semenova and Victor Chernozhukov

Complete subset averaging with many instruments pp. 290-314

Seojeong Lee and Youngki Shin

Forecasting using cross-section average–augmented time series regressions pp. 315-333

Hande Karabiyik and Joakim Westerlund

Units of measurement and the inverse hyperbolic sine transformation pp. 334-351

Ghislain B D Aihounton and Arne Henningsen

Volume 24, issue 1, 2021

Royal Economic Society Annual Conference 2018 Special Issue on Structural Macroeconometrics pp. Ci-Ciii

Jaap H Abbring and Jeffrey Campbell

Testing identification via heteroskedasticity in structural vector autoregressive models pp. 1-22

Helmut Lütkepohl, Mika Meitz, Aleksei Netšunajev and Pentti Saikkonen

Identifying and estimating the effects of unconventional monetary policy: How to do it and what have we learned? pp. C1-C32

Barbara Rossi

Testing exogeneity in nonparametric instrumental variables models identified by conditional quantile restrictions pp. 23-40

Jia-Young Michael Fu, Joel L Horowitz and Matthias Parey

Online estimation of DSGE models pp. C33-C58

Michael Cai, Marco Del Negro, Edward Herbst, Ethan Matlin, Reca Sarfati and Frank Schorfheide

Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses pp. 41-57

Anil Bera, Gabriel Montes-Rojas, Walter Sosa-Escudero and Javier Alejo

LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices pp. 58-82

Tim Ginker and Offer Lieberman

Generalized Forecast Averaging in Autoregressions with a Near Unit Root pp. 83-102

Mohitosh Kejriwal and Xuewen Yu

Binary classification with covariate selection through ℓ0-penalised empirical risk minimisation pp. 103-120

Le-Yu Chen and Sokbae (Simon) Lee

Identification of a class of index models: A topological approach pp. 121-133

Mogens Fosgerau and Dennis Kristensen

Machine learning estimation of heterogeneous causal effects: Empirical Monte Carlo evidence pp. 134-161

Michael Knaus, Michael Lechner and Anthony Strittmatter

Potential outcomes and finite-population inference for M-estimators pp. 162-176

Ruonan Xu

Model averaging estimation for high-dimensional covariance matrices with a network structure pp. 177-197

Rong Zhu, Xinyu Zhang, Yanyuan Ma and Guohua Zou