Journal of Econometrics

Tail event driven networks of SIFIs

A closed-form estimator for quantile treatment effects with endogeneity

Bayesian Compressed Vector Autoregressions

Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data

Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification

Partial identification of the treatment effect distribution and its functionals

Testing treatment effect heterogeneity in regression discontinuity designs

Variable selection in panel models with breaks

Sequentially adaptive Bayesian learning algorithms for inference and optimization

Weak σ- Convergence: Theory and Applications

GEL estimation and tests of spatial autoregressive models

On the structure of IV estimands

Applied welfare analysis for discrete choice with interval-data on income

Testing for structural breaks in factor copula models

Identification and estimation of linear social interaction models

Nonparametric Estimation of Conditional Quantile Functions in the Presence of Irrelevant Covariates

A Time-Varying True Individual Effects Model with Endogenous Regressors

Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design

Efficient estimation of heterogeneous coefficients in panel data models with common shocks

A rank test for the number of factors with high-frequency data

Inference on Difference-in-Differences average treatment effects: A fixed-b approach

Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Estimation of longrun variance of continuous time stochastic process using discrete sample

A new delta expansion for multivariate diffusions via the Itô-Taylor expansion

Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables

Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods

Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions

Semiparametric Estimation of the Random Utility Model with Rank-Ordered Choice Data

A model-free consistent test for structural change in regression possibly with endogeneity

Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross-Section Dependence

Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

Statistical approximation of high-dimensional climate models

Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

Accelerating score-driven time series models

Edgeworth’s time series model: Not AR(1) but same covariance structure

Priors about observables in vector autoregressions

Combining statistical intervals and market prices: The worst case state price distribution

Testing the existence of moments for GARCH processes

Using penalized likelihood to select parameters in a random coefficients multinomial logit model

Model Selection in Utility-Maximizing Binary Prediction

A moment-based notion of time dependence for functional time series