Econometric Reviews

1997 - 2025

Current editor(s): Dr. Essie Maasoumi

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Volume 44, issue 5, 2025

Heavy tail robust estimation and inference for average treatment effects pp. 544-586

Saraswata Chaudhuri and Jonathan B. Hill

Inference in the presence of unknown rates pp. 587-597

Hao Dong, Taisuke Otsu and Luke Taylor

Directional predictability tests pp. 598-629

Weifeng Jin and Carlos Velasco

Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation pp. 630-648

Ruofan Xu, Jiti Gao, Tatsushi Oka and Yoon–Jae Whang

Generalized spatial matrix specifications pp. 649-672

Samantha Leorato and Andrea Martinelli

Volume 44, issue 4, 2025

Robust inference on income inequality: t-statistic based approach pp. 384-415

Rustam Ibragimov, Paul Kattuman and Anton Skrobotov

Ordered correlation forest pp. 416-432

Riccardo Di Francesco

Estimating production functions using costs when outputs are restricted pp. 433-461

Emir Malikov, Shunan Zhao, Subal C. Kumbhakar and David Bernstein

Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model pp. 462-511

Jieun Lee

Testing for nonlinear cointegration under heteroskedasticity pp. 512-543

Christoph Hanck and Till Massing

Volume 44, issue 3, 2025

Nonseparable panel models with index structure and correlated random effects pp. 246-274

Pavel Čížek and Serhan Sadikoğlu

Assessing volatility persistence in fractional Heston models with self-exciting jumps pp. 275-311

Gilles de Truchis, Bernard Desgraupes and Elena-Ivona Dumitrescu

Asymptotic inference for a sign-double autoregressive (SDAR) model of order one pp. 312-334

Emma Iglesias

Uniform inference in linear error-in-variables models: Divide-and-conquer pp. 335-355

Tom Boot and Artūras Juodis

The heterogeneous impact of parental leave take up on the wage distribution: Evidence from Luxembourg pp. 356-383

Michela Bia, German Blanco and Marie Valentova

Volume 44, issue 2, 2025

Bounded tilting estimation pp. 127-140

Susanne Schennach and Oscar Wahlstrom

Indian Buffet process factor model for counterfactual analysis pp. 141-162

Stanley Iat-Meng Ko

Frequency domain local bootstrap in short and long memory time series pp. 163-191

Josu Arteche

Regularized maximum likelihood estimation for the random coefficients model pp. 192-213

Fabian Dunker, Emil Mendoza and Marco Reale

Using generalized estimating equations to estimate nonlinear models with spatial data pp. 214-242

Weining Wang, Jeffrey Wooldridge, Mengshan Xu, Cuicui Lu and Chaowen Zheng

List of reviewers for Econometric Reviews, volume 43 pp. 243-244

The Editors

Fellows and scholars of Econometric Reviews, 2024 pp. 245-245

Yuya Sasaki

Volume 44, issue 1, 2024

Best Paper Award: Econometric Reviews, 2024 pp. 1-1

Yuya Sasaki

Using machine learning for efficient flexible regression adjustment in economic experiments pp. 2-40

John List, Ian Muir and Gregory Sun

Boosting the HP filter for trending time series with long-range dependence pp. 41-79

Eva Biswas, Farzad Sabzikar and Peter Phillips

Bootstrap inference on a factor model based average treatment effects estimator pp. 80-89

Luya Wang, Jeffrey Racine and Qiaoyu Wang

Empirical Monte Carlo evidence on estimation of timing-of-events models pp. 90-118

Stefano Lombardi, Gerard J. van den Berg and Johan Vikström

ER interview: Essie Maasoumi, editor of Econometric Reviews (1987–2024) pp. 119-126

Badi Baltagi

Volume 43, issue 10, 2024

Lag order selection for long-run variance estimation in econometrics pp. 774-795

Marco Morales

Selecting the number of factors in approximate factor models using group variable regularization pp. 796-823

Maurizio Daniele

Estimation of random functions proxying for unobservables pp. 824-847

Jerome M. Krief and Christopher F. Parmeter

Editorial pp. 848-849

Yuya Sasaki

Best Paper Award pp. 850-850

Yuya Sasaki

Volume 43, issue 9, 2024

A one-covariate-at-a-time multiple testing approach to variable selection in additive models pp. 671-712

Liangjun Su, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

Non linear correlated random effects models with endogeneity and unbalanced panels pp. 713-732

Michael Bates, Leslie E. Papke and Jeffrey Wooldridge

Lassoed boosting and linear prediction in the equities market pp. 733-751

Huang Xiao

On the estimation of quantile treatment effects using a semiparametric propensity score pp. 752-773

Mingfeng Zhan and Karen X. Yan

Volume 43, issue 8, 2024

Optimal smoothing parameter selection in single-index model derivative estimation pp. 559-580

Shuang Yao and Guannan Liu

Tricks with metrics: combining statistics for improved inference in regression analysis pp. 581-594

Pierre Nguimkeu

Estimation of counterfactual distributions with a continuous endogenous treatment pp. 595-637

Santiago Pereda-Fernández

Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices pp. 638-670

Francisco Blasques, Enzo D’Innocenzo and Siem Jan Koopman

Volume 43, issue 7, 2024

Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects pp. 452-489

Lixiong Yang, I-Po Chen, Chingnun Lee and Mingjian Ren

Smoothed gradient least squares estimator for linear threshold models pp. 490-517

Yiguo Sun

Inference in the nonparametric stochastic frontier model pp. 518-539

Christopher F. Parmeter, Leopold Simar, Ingrid Van Keilegom and Valentin Zelenyuk

Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models pp. 540-557

Jad Beyhum, Jean-Pierre Florens, Elia Lapenta and Ingrid Van Keilegom

Volume 43, issue 6, 2024

Estimation of average treatment effects for massively unbalanced binary outcomes pp. 319-344

Jinyong Hahn, Xueyuan Liu and Geert Ridder

Powerful t-tests in the presence of nonclassical measurement error pp. 345-378

Dongwoo Kim and Daniel Wilhelm

MCMC conditional maximum likelihood for the two-way fixed-effects logit pp. 379-404

Francesco Bartolucci, Claudia Pigini and Francesco Valentini

An approximated exponentially tilted empirical likelihood estimator of moment condition models pp. 405-433

Fei Jin and Yuqin Wang

Semiparametric spatial autoregressive models with nonlinear endogeneity pp. 434-451

Yiguo Sun

Volume 43, issue 5, 2024

Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency pp. 238-268

Jun Cai, William C. Horrace and Yoonseok Lee

Locally time-varying parameter regression pp. 269-300

Zhongfang He

A hybrid nonparametric multivariate density estimator with applications to risk management pp. 301-318

Juan Lin and Ximing Wu

Volume 43, issue 2-4, 2024

ANNOUNCEMENT pp. 97-97

The Editors

Post-averaging inference for optimal model averaging estimator in generalized linear models pp. 98-122

Dalei Yu, Heng Lian, Yuying Sun, Xinyu Zhang and Yongmiao Hong

A method to evaluate the rank condition for CCE estimators pp. 123-155

Ignace De Vos, Gerdie Everaert and Vasilis Sarafidis

Inferring inequality: Testing for median-preserving spreads in ordinal data pp. 156-174

Ramses Abul Naga, Christopher Stapenhurst and Gaston Yalonetzky

Doubly robust estimation of multivariate fractional outcome means with multivalued treatments pp. 175-196

Akanksha Negi and Jeffrey Wooldridge

Confidence intervals for intentionally biased estimators pp. 197-214

David Kaplan and Xin Liu

Nonparametric estimation of mediation effects with a general treatment pp. 215-237

Lukang Huang, Wei Huang, Oliver Linton and Zheng Zhang

Volume 43, issue 1, 2024

Time-dependent shrinkage of time-varying parameter regression models pp. 1-29

Zhongfang He

Testing Granger non-causality in expectiles pp. 30-51

Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti

A unifying switching regime regression framework with applications in health economics pp. 52-70

Giampiero Marra, Rosalba Radice and David Zimmer

Model averaging for generalized linear models in diverging model spaces with effective model size pp. 71-96

Chaoxia Yuan, Fang Fang and Jialiang Li