econometrics

This article studies estimation and inference in the autoregressive (AR) models with unspecified and heavy-tailed heteroskedastic noises. A piece-wise locally stationary structure of the noise is constructed to capture various forms of heterogeneity, without imposing any restrictions on the tail index. The new nonstationary AR model allows for not only time-varying conditional features but also u…

This article considers a general class of varying coefficient models defined by a set of moment equalities and/or inequalities, where unknown functional parameters are not necessarily point-identified. We propose an inferential procedure for a subvector of the varying parameters and establish the asymptotic validity of the resulting confidence sets uniformly over a broad family of data-generating…

We study minimax regret treatment rules under matched treatment assignment in a setup where a policymaker, informed by a sample of size N , needs to decide between T different treatments for a . Randomized rules are allowed for. We show that the generalization of the minimax regret rule derived in Schlag (2006, ELEVEN—Tests needed for a recommendation , EUI working paper) and Stoye (2009, Journal…

This article extends the validity of the conditional likelihood ratio (CLR) test developed by Moreira (2003, Econometrica 71(4), 1027-–1048) to instrumental variable regression models with unknown homoskedastic error variance and many weak instruments. We argue that the conventional CLR test with estimated error variance loses exact similarity and is asymptotically invalid in this setting. We pro…

A pre-submission readiness check for Econometrica: how to judge whether your methodological or theoretical contribution clears the top-5 bar, whether the proofs are complete, and whether the replication package and page cap are ready before you pay the submission fee.

How to write a point-by-point response to reviewers for Econometrica, where the co-editor's essential points set the bar, proofs must be complete in the response, and the replication package is reproducibility-checked before acceptance.

Econometrica discourages a long cover letter and asks for a short cover note instead. Here is what that note must contain, the two-co-editor suggestion, the related-work disclosure, and a copyable template you can adapt.

Rejected from Econometrica? 7 alternative economics journals ranked by fit, selectivity, review speed, and fee, plus the sibling step-down.

The United Nations University World Institute for Development Economics Research (UNU-WIDER), in collaboration with the National Treasury of South Africa and the South African Revenue Service (SARS) under the SA-TIED (Southern Africa – Towards Inclusive Economic Development) initiative, is inviting applications for the position of Research Assistant (Administrative Tax Data | Big Data). This oppo…

A practical Journal of Econometrics submission guide for econometricians evaluating their work against the journal's econometric-theory bar.

A practical Econometrica submission guide for economists evaluating whether their work meets the journal's top-five methodological bar.

The Missing Intercept: A Demand Equivalence Approach Wolf, Christian K I give conditions under which changes in private spending are accommodated in general equilibrium exactly like changes in aggregate fiscal expenditure. Under such demand equivalence, researchers can use time series evidence on fiscal multipliers to recover the general equilibrium “missing intercept” of shocks to private spendi…

This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to be a finite-dimensional affine space in the frequency domain. It is demonstrated that solutions can be discontinuous with respect to the parameters of the mod…

Today econometrics.blog got a long-overdue update from blogdown to Quarto . Thanks to Claude Code , the transition was seamless: all existing links are preserved, along with the Utterances comment sections. During the upgrade I also corrected an embarrassingly large number of typos across the site and added privacy-respecting site analytics using GoatCounter . To find out whether econometrics has…

Mildly explosive autoregressions have been extensively employed in recent theoretical and applied econometric work to model the phenomenon of asset market bubbles. An important issue in this context concerns the construction of confidence intervals for the autoregressive parameter that represents the degree of explosiveness. Existing studies rely on intervals that are justified only under conditi…

Francesco Bianchi, Marco Del Negro, Giorgio Primiceri and Frank Schorfheide pay tribute to Prof Christopher Sims: Chris Sims, who passed away in March 2026, reshaped modern macroeconomics by insisting that theory and data speak together. A pioneer of vector autoregressions, Bayesian methods, and policy relevant modelling, he transformed how scholars and practitioners analyse economic dynamics and…

Suppose data are fitted to some parametric model but that the true model happens to be one with an additional parameter. When a parameter is to be estimated one can use likelihood estimation in the wider model or in the narrow model. Including the extra parameter in the model means less bias but larger sampling variability. Two basic questions are addressed in this article. (i) Just how much miss…

I was saddened to hear of Chris Sims’s passing yesterday. Although I’m not a macroeconometrician, his work has strongly influenced the way I think about econometrics. I covered his famous helicopter tour paper on this blog a while back. Some of my other favorites are unpublished notes or slides from his website , many of them with a philosophical bent. Thinking about instrumental variables is a p…

A recent study co-led by Julian Martinez-Iriarte tests a new statistical method for estimating unconditional quantile partial effects. Published in the Journal of Econometrics, the paper develops a semi-parametric estimation procedure that connects unconditional quantile effects to conditional quantile regression results. The authors show that, for continuous variables, unconditional effects can …

Discrete and continuum models, used to study fracture of concrete and rock, rely on an accurate identification of the model parameters. The determination of the parameters, that cannot be measured directly in laboratory experiments, requires the development of a procedure in the framework of Inverse Problems. The Kalman filter methodology is adopted as inverse technique to identify the parameters…