JournalTOCs

Journal of Econometrics
Journal Prestige (SJR): 5.191

Citation Impact (citeScore): 2
Number of Followers: 82

Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0304-4076 - ISSN (Online) 1872-6895
Published by Elsevier

[2974 journals]

Discussion of “What is a standard error'”
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): James L. Powell
Identification of dynamic binary response models
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): S. Khan, M. Ponomareva, E. Tamer
Adaptive robust large volatility matrix estimation based on high-frequency
financial data
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Minseok Shin, Donggyu Kim, Jianqing Fan
What is uncertainty in today’s practice of data science'
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Bin Yu
On model selection criteria for climate change impact studies
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  Abstract: Publication date: Available online 9 September 2023Source: Journal of EconometricsAuthor(s): Xiaomeng Cui, Bulat Gafarov, Dalia Ghanem, Todd Kuffner
What is a standard error'
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Andrew Gelman
Econometric inference on a large Bayesian game with heterogeneous beliefs
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Denis Kojevnikov, Kyungchul Song
Estimation and inference in a high-dimensional semiparametric Gaussian
copula vector autoregressive model
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Yanqin Fan, Fang Han, Hyeonseok Park
Linear panel regressions with two-way unobserved heterogeneity
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Hugo Freeman, Martin Weidner
A new generalized exponentially weighted moving average quantile model and
its statistical inference
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Ke Zhu
Inference under covariate-adaptive randomization with imperfect compliance
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Federico A. Bugni, Mengsi Gao
Penetrating sporadic return predictability
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Yundong Tu, Xinling Xie
Stable outcomes and information in games: An empirical framework
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  Abstract: Publication date: November 2023Source: Journal of Econometrics, Volume 237, Issue 1Author(s): Paul S. Koh
Assumption-lean falsification tests of rate double-robustness of
double-machine-learning estimators
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  Abstract: Publication date: Available online 19 August 2023Source: Journal of EconometricsAuthor(s): Lin Liu, Rajarshi Mukherjee, James M. Robins
Long monthly temperature series and the Vector Seasonal Shifting Mean and
Covariance Autoregressive model
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  Abstract: Publication date: Available online 12 August 2023Source: Journal of EconometricsAuthor(s): Changli He, Jian Kang, Annastiina Silvennoinen, Timo Teräsvirta
Treatment effect models with strategic interaction in treatment decisions
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Tadao Hoshino, Takahide Yanagi
A structural analysis of simple contracts
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Yonghong An, Shengjie Hong, Daiqiang Zhang
Predictive modeling of financial data
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  Abstract: Publication date: Available online 28 July 2023Source: Journal of EconometricsAuthor(s): Torben G. Andersen, Robert Taylor, Allan Timmermann, Dacheng Xiu
Two-way fixed effects and differences-in-differences estimators with
several treatments
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Clément de Chaisemartin, Xavier D’Haultfœuille
Out-of-sample tests for conditional quantile coverage an application to
Growth-at-Risk
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Valentina Corradi, Jack Fosten, Daniel Gutknecht
Bayesian Artificial Neural Networks for frontier efficiency analysis
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Mike Tsionas, Christopher F. Parmeter, Valentin Zelenyuk
Moments, shocks and spillovers in Markov-switching VAR models
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Erik Kole, Dick van Dijk
When will Arctic sea ice disappear' Projections of area, extent,
thickness, and volume
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Francis X. Diebold, Glenn D. Rudebusch, Maximilian Göbel, Philippe Goulet Coulombe, Boyuan Zhang
A solution to the global identification problem in DSGE models
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Andrzej Kocięcki, Marcin Kolasa
Generalized linear models with structured sparsity estimators
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Mehmet Caner
Inference and forecasting for continuous-time integer-valued trawl
processes
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  Abstract: Publication date: October 2023Source: Journal of Econometrics, Volume 236, Issue 2Author(s): Mikkel Bennedsen, Asger Lunde, Neil Shephard, Almut E.D. Veraart
Heterogeneity of consumption responses to income shocks in the presence of
nonlinear persistence
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  Abstract: Publication date: Available online 15 June 2023Source: Journal of EconometricsAuthor(s): Manuel Arellano, Richard Blundell, Stéphane Bonhomme, Jack Light
Business-cycle consumption risk and asset prices
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  Abstract: Publication date: Available online 13 June 2023Source: Journal of EconometricsAuthor(s): Federico M. Bandi, Andrea Tamoni
Identification of mixtures of dynamic discrete choices
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  Abstract: Publication date: Available online 10 June 2023Source: Journal of EconometricsAuthor(s): Ayden Higgins, Koen Jochmans
Under-identification of structural models based on timing and information
set assumptions
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  Abstract: Publication date: Available online 9 June 2023Source: Journal of EconometricsAuthor(s): Daniel A. Ackerberg, Garth Frazer, Kyoo il Kim, Yao Luo, Yingjun Su
Semiparametric approach to estimation of marginal mean effects and
marginal quantile effects
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  Abstract: Publication date: Available online 9 June 2023Source: Journal of EconometricsAuthor(s): Seong-ho Lee, Yanyuan Ma, Elvezio Ronchetti
Realized regression with asynchronous and noisy high frequency and high
dimensional data
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  Abstract: Publication date: Available online 3 June 2023Source: Journal of EconometricsAuthor(s): Dachuan Chen, Per A. Mykland, Lan Zhang
Modelling circular time series
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  Abstract: Publication date: Available online 29 May 2023Source: Journal of EconometricsAuthor(s): Andrew Harvey, Stan Hurn, Dario Palumbo, Stephen Thiele
Score-driven models for realized volatility
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  Abstract: Publication date: Available online 22 May 2023Source: Journal of EconometricsAuthor(s): Andrew Harvey, Dario Palumbo
Are bond returns predictable with real-time macro data'
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  Abstract: Publication date: Available online 24 April 2023Source: Journal of EconometricsAuthor(s): Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou
High frequency market making: The role of speed
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  Abstract: Publication date: Available online 5 April 2023Source: Journal of EconometricsAuthor(s): Yacine Aït-Sahalia, Mehmet Sağlam
Time-Varying Parameters in Econometrics: The editor’s foreword
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  Abstract: Publication date: Available online 3 April 2023Source: Journal of EconometricsAuthor(s): F. Blasques, A.C. Harvey, S.J. Koopman, A. Lucas
Instrumental variable estimation with first-stage heterogeneity
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  Abstract: Publication date: Available online 27 March 2023Source: Journal of EconometricsAuthor(s): Alberto Abadie, Jiaying Gu, Shu Shen
Feature-splitting algorithms for ultrahigh dimensional quantile regression
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  Abstract: Publication date: Available online 24 March 2023Source: Journal of EconometricsAuthor(s): Jiawei Wen, Songshan Yang, Christina Dan Wang, Yifan Jiang, Runze Li
Stock co-jump networks
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  Abstract: Publication date: Available online 22 March 2023Source: Journal of EconometricsAuthor(s): Yi Ding, Yingying Li, Guoli Liu, Xinghua Zheng
Time-varying forecast combination for high-dimensional data
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  Abstract: Publication date: Available online 17 March 2023Source: Journal of EconometricsAuthor(s): Bin Chen, Kenwin Maung
Inferential theory for generalized dynamic factor models
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  Abstract: Publication date: Available online 13 March 2023Source: Journal of EconometricsAuthor(s): Matteo Barigozzi, Marc Hallin, Matteo Luciani, Paolo Zaffaroni
The nonparametric Box–Cox model for high-dimensional regression
analysis
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  Abstract: Publication date: Available online 8 March 2023Source: Journal of EconometricsAuthor(s): He Zhou, Hui Zou
The term structure of macroeconomic risks at the effective lower bound
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  Abstract: Publication date: Available online 21 February 2023Source: Journal of EconometricsAuthor(s): Guillaume Roussellet
Taking stock of long-horizon predictability tests: Are factor returns
predictable'
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  Abstract: Publication date: Available online 17 February 2023Source: Journal of EconometricsAuthor(s): Alexandros Kostakis, Tassos Magdalinos, Michalis P. Stamatogiannis
Is Newey–West optimal among first-order kernels'
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  Abstract: Publication date: Available online 14 February 2023Source: Journal of EconometricsAuthor(s): Thomas Kolokotrones, James H. Stock, Christopher D. Walker
Spherical autoregressive models, with application to distributional and
compositional time series
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  Abstract: Publication date: Available online 9 February 2023Source: Journal of EconometricsAuthor(s): Changbo Zhu, Hans-Georg Müller
Common volatility shocks driven by the global carbon transition
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  Abstract: Publication date: Available online 23 June 2023Source: Journal of EconometricsAuthor(s): Susana Campos-Martins, David F. Hendry
Inference on the best policies with many covariates
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  Abstract: Publication date: Available online 17 June 2023Source: Journal of EconometricsAuthor(s): Waverly Wei, Yuqing Zhou, Zeyu Zheng, Jingshen Wang
Score-driven asset pricing: Predicting time-varying risk premia based on
cross-sectional model performance
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  Abstract: Publication date: Available online 17 June 2023Source: Journal of EconometricsAuthor(s): Dennis Umlandt
Retire: Robust expectile regression in high dimensions
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  Abstract: Publication date: Available online 17 June 2023Source: Journal of EconometricsAuthor(s): Rebeka Man, Kean Ming Tan, Zian Wang, Wen-Xin Zhou
Power enhancement for testing multi-factor asset pricing models via
Fisher’s method
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  Abstract: Publication date: Available online 15 June 2023Source: Journal of EconometricsAuthor(s): Xiufan Yu, Jiawei Yao, Lingzhou Xue