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Journal of Econometrics cover

Journal of Econometrics

IF4
Papers5332
Citations36271
Journal Papers 5332
Publication Date
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Practical estimation methods for high-dimensional multivariate stochastic volatility models
deleteJournal of Econometrics
IF4
delete2026-10-24
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PREAI
deleteMd. Nazmul Ahsan; Jean-Marie Dufour
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An identification-and dimensionality-robust test for instrumental variables models
deleteJournal of Econometrics
IF4
delete2026-10-23
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deleteManu Navjeevan
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Nickell meets Stambaugh: A tale of two biases in panel predictive regressions
deleteJournal of Econometrics
IF4
delete2026-10-23
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deleteChengwang Liao; Ziwei Mei; Zhentao Shi
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Feasible GLS for time series regression
deleteJournal of Econometrics
IF4
delete2026-10-10
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deletePierre Perron; Emilio González-Coya
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Nonparametric identification of first-price auction with unobserved competition: A density discontinuity framework
deleteJournal of Econometrics
IF4
delete2026-09-30
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deleteEmmanuel Guerre; Yao Luo
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Treatment evaluation at the intensive and extensive margins
deleteJournal of Econometrics
IF4
delete2026-09-28
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deletePhillip Heiler; Asbjørn Kaufmann; Bezirgen Veliyev
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Robust estimation and inference for high-dimensional panel data models
deleteJournal of Econometrics
IF4
delete2026-09-24
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deleteJiti Gao; Fei Liu; Bin Peng; Yayi Yan
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Real-time monitoring for stock return predictability in nonstationary volatility environments
deleteJournal of Econometrics
IF4
delete2026-09-23
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deleteMatei Demetrescu; Fabian Schmidt; A.M. Robert Taylor
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Measurement error and peer effects in networks
deleteJournal of Econometrics
IF4
delete2026-09-18
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deleteYann Bramoullé; Sebastiaan Maes
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Panel threshold regression with unobserved individual-specific threshold effects
deleteJournal of Econometrics
IF4
delete2026-09-11
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PREAI
deletePing Yu; Shengjie Hong; Peter C.B. Phillips
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High dimensional alpha test for linear factor pricing model with Lq-norm
deleteJournal of Econometrics
IF4
delete2026-09-09
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deletePing Zhao; Huifang Ma; Long Feng
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Testing asset pricing factor models: An out-of-sample perspective
deleteJournal of Econometrics
IF4
delete2026-09-09
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deleteJun Zhang; Wei Lan; Long Feng; Guanhao Feng
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Identification of non-additive fixed effects models: Is the return to teacher quality homogeneous?
deleteJournal of Econometrics
IF4
delete2026-09-08
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deleteJinyong Hahn; John D. Singleton; Neşe Yıldız
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Matrix-valued spatial autoregressions with dynamic heterogeneous spillovers
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IF4
delete2026-09-08
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deleteYicong Lin; Andre Lucas; Shiqi Ye
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Testing for structural changes in panel data models with interactive fixed effects via discrete Fourier transform
deleteJournal of Econometrics
IF4
delete2026-09-06
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deleteYifei Fang; Zhonghao Fu; Song Han; Xia Wang; Ziran Zhao
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High-dimensional censored MIDAS logistic regression for corporate survival forecasting
deleteJournal of Econometrics
IF4
delete2026-09-04
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deleteWei Miao; Jad Beyhum; Jonas Striaukas; Ingrid Van Keilegom
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Normal approximation for U-statistics with cross-sectional dependence
deleteJournal of Econometrics
IF4
delete2026-09-04
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deleteWeiguang Liu
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Principal component analysis for a mix of stationary and nonstationary variables
deleteJournal of Econometrics
IF4
delete2026-09-04
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deleteJames D. Hamilton; Xinwei Ma; Jin Xi
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Iterative distributed multinomial regression
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IF4
delete2026-09-04
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deleteYanqin Fan; Yigit Okar; Xuetao Shi
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Robust inference for time varying predictability: A Sieve-IVX approach
deleteJournal of Econometrics
IF4
delete2026-09-04
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deleteNan Liu; Yanbo Liu; Peter C.B. Phillips; Yajie Zhang
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