JournalTOCs

Journal of Econometrics
Journal Prestige (SJR): 5.191

Citation Impact (citeScore): 2
Number of Followers: 84

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

[2974 journals]

Robustifying Markowitz
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  Abstract: Publication date: Available online 3 February 2023Source: Journal of EconometricsAuthor(s): Alla Petukhina, Yegor Klochkov, Wolfgang Karl Härdle, Nikita Zhivotovskiy
Initial conditions and Blundell–Bond estimators
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  Abstract: Publication date: Available online 3 February 2023Source: Journal of EconometricsAuthor(s): Richard Blundell, Steve Bond
Estimation and inference in factor copula models with exogenous covariates
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  Abstract: Publication date: Available online 3 February 2023Source: Journal of EconometricsAuthor(s): Alexander Mayer, Dominik Wied
Mining the factor zoo: Estimation of latent factor models with sufficient
proxies
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  Abstract: Publication date: Available online 3 February 2023Source: Journal of EconometricsAuthor(s): Runzhe Wan, Yingying Li, Wenbin Lu, Rui Song
The story of GARCH: A personal odyssey
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  Abstract: Publication date: Available online 2 February 2023Source: Journal of EconometricsAuthor(s): Tim Bollerslev
Wild bootstrap inference for penalized quantile regression for
longitudinal data
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  Abstract: Publication date: Available online 2 February 2023Source: Journal of EconometricsAuthor(s): Carlos Lamarche, Thomas Parker
One instrument to rule them all: The bias and coverage of just-ID IV
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  Abstract: Publication date: Available online 1 February 2023Source: Journal of EconometricsAuthor(s): Joshua Angrist, Michal Kolesár
Estimation of common factors for microstructure noise and efficient price
in a high-frequency dual factor model
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  Abstract: Publication date: Available online 1 February 2023Source: Journal of EconometricsAuthor(s): Yu-Ning Li, Jia Chen, Oliver Linton
Binary response models for heterogeneous panel data with interactive fixed
effects
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  Abstract: Publication date: Available online 1 February 2023Source: Journal of EconometricsAuthor(s): Jiti Gao, Fei Liu, Bin Peng, Yayi Yan
On the past, present, and future of the Diebold–Yilmaz approach to
dynamic network connectedness
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  Abstract: Publication date: Available online 1 February 2023Source: Journal of EconometricsAuthor(s): Francis X. Diebold, Kamil Yilmaz
An autocovariance-based learning framework for high-dimensional functional
time series
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  Abstract: Publication date: Available online 1 February 2023Source: Journal of EconometricsAuthor(s): Jinyuan Chang, Cheng Chen, Xinghao Qiao, Qiwei Yao
Introduction to the Special Issue: Models of linked employer–employee
data: Twenty years after “High Wage Workers and High Wage Firms”
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  Abstract: Publication date: Available online 31 January 2023Source: Journal of EconometricsAuthor(s): David Card, Ian Schmutte, Lars Vilhuber
The validity of bootstrap testing for threshold autoregression
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  Abstract: Publication date: Available online 31 January 2023Source: Journal of EconometricsAuthor(s): Simone Giannerini, Greta Goracci, Anders Rahbek
Spatial autoregressions with an extended parameter space and
similarity-based weights
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  Abstract: Publication date: Available online 30 January 2023Source: Journal of EconometricsAuthor(s): Francesca Rossi, Offer Lieberman
Debiased machine learning of set-identified linear models
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  Abstract: Publication date: Available online 28 January 2023Source: Journal of EconometricsAuthor(s): Vira Semenova
Identification of time-varying transformation models with fixed effects,
with an application to unobserved heterogeneity in resource shares
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Irene Botosaru, Chris Muris, Krishna Pendakur
Why randomize' Minimax optimality under permutation invariance
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yuehao Bai
Testing and support recovery of correlation structures for matrix-valued
observations with an application to stock market data
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang, Haipeng Shen
A simple joint model for returns, volatility and volatility of volatility
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yashuang (Dexter) Ding
Scalable inference for a full multivariate stochastic volatility model
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Petros Dellaportas, Michalis K. Titsias, Katerina Petrova, Anastasios Plataniotis
Relaxing conditional independence in an endogenous binary response model
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Alyssa Carlson
When bias contributes to variance: True limit theory in functional
coefficient cointegrating regression
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Peter C.B. Phillips, Ying Wang
Estimating the variance of a combined forecast: Bootstrap-based approach
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Ulrich Hounyo, Kajal Lahiri
A discrete-time hedging framework with multiple factors and fat tails: On
what matters
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin
Modeling and forecasting realized volatility with the fractional
Ornstein–Uhlenbeck process
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xiaohu Wang, Weilin Xiao, Jun Yu
Smoothed quantile regression with large-scale inference
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou
t -ratios+with+many+instruments&rft.title=Journal+of+Econometrics&rft.issn=0304-4076&rft.date=&rft.volume=">Second-order refinements for t -ratios with many instruments
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Yukitoshi Matsushita, Taisuke Otsu
High dimensional semiparametric moment restriction models
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Chaohua Dong, Jiti Gao, Oliver Linton
Fully modified least squares cointegrating parameter estimation in
multicointegrated systems
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): Igor L. Kheifets, Peter C.B. Phillips
Cluster-robust inference: A guide to empirical practice
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  Abstract: Publication date: February 2023Source: Journal of Econometrics, Volume 232, Issue 2Author(s): James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb
Dividend suspensions and cash flows during the Covid-19 pandemic: A
dynamic econometric model
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  Abstract: Publication date: Available online 23 January 2023Source: Journal of EconometricsAuthor(s): Davide Pettenuzzo, Riccardo Sabbatucci, Allan Timmermann
A penalized two-pass regression to predict stock returns with time-varying
risk premia
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  Abstract: Publication date: Available online 14 January 2023Source: Journal of EconometricsAuthor(s): Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
Dynamic factor copula models with estimated cluster assignments
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  Abstract: Publication date: Available online 12 January 2023Source: Journal of EconometricsAuthor(s): Dong Hwan Oh, Andrew J. Patton
Predictive quantile regression with mixed roots and increasing dimensions:
The ALQR approach
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  Abstract: Publication date: Available online 10 January 2023Source: Journal of EconometricsAuthor(s): Rui Fan, Ji Hyung Lee, Youngki Shin
Note from editors
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  Abstract: Publication date: Available online 9 January 2023Source: Journal of EconometricsAuthor(s): Elie Tamer
A flexible predictive density combination for large financial data sets in
regular and crisis periods
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  Abstract: Publication date: Available online 7 January 2023Source: Journal of EconometricsAuthor(s): Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. van Dijk
Corrigendum to “Local mispricing and microstructural noise: A parametric
perspective” [J. Econometrics 230 (2022) 510–534]
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  Abstract: Publication date: Available online 6 January 2023Source: Journal of EconometricsAuthor(s): Torben G. Andersen, Ilya Archakov, Gökhan Cebiroglu, Nikolaus Hautsch
Parametric estimation of long memory in factor models
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  Abstract: Publication date: Available online 6 January 2023Source: Journal of EconometricsAuthor(s): Yunus Emre Ergemen
Uniform predictive inference for factor models with instrumental and
idiosyncratic betas
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  Abstract: Publication date: Available online 5 January 2023Source: Journal of EconometricsAuthor(s): Mingmian Cheng, Yuan Liao, Xiye Yang
Estimation and identification of latent group structures in panel data
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  Abstract: Publication date: Available online 26 December 2022Source: Journal of EconometricsAuthor(s): Ali Mehrabani
The role of score and information bias in panel data likelihoods
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  Abstract: Publication date: Available online 23 December 2022Source: Journal of EconometricsAuthor(s): Martin Schumann, Thomas A. Severini, Gautam Tripathi
Intraday cross-sectional distributions of systematic risk
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  Abstract: Publication date: Available online 20 December 2022Source: Journal of EconometricsAuthor(s): Torben G. Andersen, Raul Riva, Martin Thyrsgaard, Viktor Todorov
The distribution of rolling regression estimators
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  Abstract: Publication date: Available online 17 December 2022Source: Journal of EconometricsAuthor(s): Zongwu Cai, Ted Juhl
Semiparametric modeling of multiple quantiles
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  Abstract: Publication date: Available online 14 December 2022Source: Journal of EconometricsAuthor(s): Leopoldo Catania, Alessandra Luati
Comparing stochastic volatility specifications for large Bayesian VARs
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  Abstract: Publication date: Available online 10 December 2022Source: Journal of EconometricsAuthor(s): Joshua C.C. Chan
Penalized time-varying model averaging
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  Abstract: Publication date: Available online 2 December 2022Source: Journal of EconometricsAuthor(s): Yuying Sun, Yongmiao Hong, Shouyang Wang, Xinyu Zhang
Regression-adjusted estimation of quantile treatment effects under
covariate-adaptive randomizations
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  Abstract: Publication date: Available online 30 November 2022Source: Journal of EconometricsAuthor(s): Liang Jiang, Peter C.B. Phillips, Yubo Tao, Yichong Zhang
Higher-order least squares inference for spatial autoregressions
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Francesca Rossi, Peter M. Robinson
Estimation of spatial sample selection models: A partial maximum
likelihood approach
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Renata Rabovič, Pavel Čížek
A spatial panel quantile model with unobserved heterogeneity
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Tomohiro Ando, Kunpeng Li, Lina Lu
Spatial econometrics for misaligned data
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Guillaume Allaire Pouliot
Efficient closed-form estimation of large spatial autoregressions
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Abhimanyu Gupta
Sparse spatio-temporal autoregressions by profiling and bagging
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Yingying Ma, Shaojun Guo, Hansheng Wang
Who should get vaccinated' Individualized allocation of vaccines over
SIR network
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Toru Kitagawa, Guanyi Wang
Nonparametric comparison of epidemic time trends: The case of COVID-19
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Marina Khismatullina, Michael Vogt
How to go viral: A COVID-19 model with endogenously time-varying
parameters
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Paul Ho, Thomas A. Lubik, Christian Matthes
Nowcasting in a pandemic using non-parametric mixed frequency VARs
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer, Josef Schreiner
Time varying Markov process with partially observed aggregate data: An
application to coronavirus
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): C. Gourieroux, J. Jasiak
Nowcasting the output gap
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Tino Berger, James Morley, Benjamin Wong
Time series analysis of COVID-19 infection curve: A change-point
perspective
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  Abstract: Publication date: January 2023Source: Journal of Econometrics, Volume 232, Issue 1Author(s): Feiyu Jiang, Zifeng Zhao, Xiaofeng Shao