The Econometrics Journal

2019 - 2026

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 26, issue 3, 2023

Royal Economic Society Annual Conference 2022 Special Issue on The New Difference-in-Differences pp. Ci-Cii

Jaap H Abbring

Two-way fixed effects and differences-in-differences with heterogeneous treatment effects: a survey pp. C1-C30

Clément de Chaisemartin and Xavier D’Haultfœuille

Simple approaches to nonlinear difference-in-differences with panel data pp. C31-C66

Jeffrey Wooldridge

Choosing exogeneity assumptions in potential outcome models pp. 327-349

Matthew Masten and Alexandre Poirier

A first-stage representation for instrumental variables quantile regression pp. 350-377

Javier Alejo, Antonio Galvao and Gabriel Montes-Rojas

It is never too LATE: a new look at local average treatment effects with or without defiers pp. 378-404

Christian M Dahl, Martin Huber and Giovanni Mellace

Using information criteria to select averages in CCE pp. 405-421

Luca Margaritella and Joakim Westerlund

Three-way gravity models with multiplicative unobserved effects pp. 422-443

Yimin Yang and Huili Zhang

Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England: a dynamic intensity model pp. 444-466

Otilia Boldea, Adriana Cornea-Madeira and Joao Madeira

Testing for parameter change epochs in GARCH time series pp. 467-491

Stefan Richter, Weining Wang and Wei Biao Wu

Model selection for varying coefficient nonparametric transformation model pp. 492-512

Xiao Zhang, Xu Liu and Xingjie Shi

Volume 26, issue 2, 2023

The 2022 Denis Sargan Econometrics Prize pp. i-i

Jaap H Abbring

Inference in regression discontinuity designs with high-dimensional covariates pp. 105-123

Alexander Kreiss and Christoph Rothe

IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk pp. 124-146

Guowei Cui, Vasilis Sarafidis and Takashi Yamagata

Testing for quantile sample selection pp. 147-173

Valentina Corradi and Daniel Gutknecht

Semi-parametric inference on Gini indices of two semi-continuous populations under density ratio models pp. 174-188

Meng Yuan, Pengfei Li and Changbao Wu

Comparing latent inequality with ordinal data pp. 189-214

David Kaplan and Wei Zhao

Feasible weighted projected principal component analysis for semi-parametric factor models pp. 215-234

Sung Hoon Choi

Feasible IV regression without excluded instruments pp. 235-256

Emmanuel Selorm Tsyawo

A nonparametric test for cooperation in discrete games pp. 257-278

Andres Aradillas-Lopez and Lidia Kosenkova

Nonparametric identification of random coefficients in aggregate demand models for differentiated products pp. 279-306

Fabian Dunker, Stefan Hoderlein and Hiroaki Kaido

Estimation of high-dimensional vector autoregression via sparse precision matrix pp. 307-326

Benjamin Poignard and Manabu Asai

Volume 26, issue 1, 2023

Royal Economic Society Annual Conference 2021 Special Issue on Econometrics of Dynamic Discrete Choice pp. Ci-Cii

Jaap H Abbring

Dynamic demand for differentiated products with fixed-effects unobserved heterogeneity pp. C1-C25

Victor Aguirregabiria

Combining counterfactual outcomes and ARIMA models for policy evaluation pp. 1-24

Fiammetta Menchetti, Fabrizio Cipollini and Fabrizia Mealli

Bubble testing under polynomial trends pp. 25-44

Xiaohu Wang and Jun Yu

Equilibrium multiplicity in dynamic games: Testing and estimation pp. C26-C42

Taisuke Otsu and Martin Pesendorfer

Matching with semi-bandits pp. 45-66

Maximilian Kasy and Alexander Teytelboym

Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities pp. 67-87

Chaojun Li and Yan Liu

Explicit minimal representation of variance matrices, and its implication for dynamic volatility models pp. 88-104

Karim M Abadir

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 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