Econometrics Journal - Editor's Annual Report 2016

The managing editor, Richard J Smith, made the annual report covering the period July 1 2015 to June 30 2016, to the Council of the Royal Economic Society in November. This is an edited version of that report.

The Econometrics Journal was established in 1998 by the Royal Economic Society with the original intention of creating a high-quality refereed journal with a standard of intellectual rigour and academic standing similar to those of the pre-existing top international field journals for econometric research such as Econometric Theory, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics and Review of Economics and Statistics.

The Econometrics Journal is a general journal for econometric research and included all areas of econometrics, whether applied, computational, methodological or theoretical contributions. As a journal of the Royal Economic Society, The ‘EctsJ’ seeks to promote the general advancement and application of econometric methods and techniques to problems of relevance to modern economics.

Editorial board
The Editorial Office of the journal is based in the Faculty of Economics at the University of Cambridge with Richard J Smith as Managing Editor.

At the end of 2015, the editorial board undertook its annual editorial review with the particular intention of refreshing and renewing the Associate Editors of the journal. The recruitment of an editorial board of international distinction is and has been critical to raising the international profile and academic standing of the Econometrics Journal. These editorial appointments underline and reinforce the original intention of the Royal Economic Society of creating a high-quality refereed journal with a standard of intellectual rigour and academic standing similar to those of the pre-existing top international field journals for econometric research. The journal is pleased to welcome as new Associate Editors Xu Cheng (University of Pennsylvania), Xavier D'Haultfoeuillem (Centre de Recherche en Économie et Statistique), Konrad Menzel (New York University) and Xun Tang (Rice University).

The EctsJ is also delighted that the following have agreed to continue for a further three year term as Associate Editors: Xiaohong Chen (Yale University), Valentina Corradi, (University of Surrey), Patrick Gagliardini (Università della Svizzera Italiana), Patrik Guggenberger (The Pennsylvania State University), Jonathan Hill (University of North Carolina), Yuichi Kitamura (Yale University), Offer Lieberman (Bar-Ilan University), Thierry Magnac (Toulouse School of Economics), Anna Mikusheva (Massachusetts Institute of Technology), Elie Tamer, (Northwestern University), Tim Vogelsang (Michigan State University),

Impact factors
The seventh set of data from the ISI Citation Index on the Econometrics Journal became available for 2015. The journal impact factor is 1.116 (0.818, 1.128, 1.000, 0.870, 0.691, 0.733, 0.750, 0.479) with the immediacy index at 0.167 (0.095, 0.364, 0.227, 0.240, 0.176, 0.125, 0.065, 0.034); 2007-14 data are given in parentheses. The eigen-factor score and five year impact factor are 0.00348 (0.00415, 0.00377, 0.00417, 0.00280, 0.00352, 0.00367, 0.00324, 0.00379) and 1.579 (1.488, 1.235, 1.252, 0.964, 1.166) respectively; 2008-14 and 2010-14 figures respectively in parentheses. The journal impact factor ranks the Econometrics Journal at 128 (175) out of 345 (333) economics journals.

Both journal impact factor and immediacy index have pleasingly increased over the disappointing 2014 numbers with the former now similar to 2013 but the latter is still substantially less than those of recent years. The eigen-factor score has fallen somewhat but the five year impact factor again is the highest ever recorded placing the journal at 122 (117) out of 345 (333) economics journals. The impact factor and rank for the competitor journals are again not too dissimilar from 2014: Econometric Theory 1.162 (122), Journal of Econometrics 1.611 (78), Review of Economics and Statistics 2.979 (21), Journal of Applied Econometrics 1.872 (57) and Journal of Business and Economic Statistics 1.648 (73). Although the disappointing year 2012 is now omitted, the short-term figures still give cause for concern since 2014 seems to be below trend.

Table 1 displays the geographical distribution of new submissions for 2015-16. This table indicates that proportionately the number of submissions attracted from North America by the journal increased from that in 2014-15 reverting to the historical level of earlier years.

The Econometrics Journal is still failing to attract the numbers and quality of submission from North America required to achieve its aim of becoming a top international general journal for econometrics research. The proportion of submissions from Europe is slightly down as compared with previous years whereas that from the UK declining sharply. Submissions from China/Hong Kong continue to increase. Table 2 underlines the continuing predominance of acceptances originating from North America but now with a substantial proportion from China/Hong Kong.

Wiley-Blackwell prepared marketing information for the RES 2016 Conference (leaflets, posters, highlighted key papers). An email blast was sent to the Wiley-Blackwell opt-in lists to join the Econometrics Journal stand at the RES 2016 conference granting immediate access to the journal and included an invitation to the Ects J Special Session on Econometrics ‘Model Selection and Inference’.

Wiley-Blackwell has yet to report on how they intend to promote the Econometrics Journal at Econometric Society meetings and other meetings of econometricians. The editorial board of the lournal has requested Wiley-Blackwell to provide an annual list of such promotional activities in advance for each year. The Econometrics Journal prefers an active rather than reactive rôle in contributing to the preparation of resources for conferences and marketing campaigns.

The Econometrics Journal now prepares and publishes Winter and Summer Newsletters. Issues Nos. 5 and 6 have been distributed by the Editorial Office to RES members and to the journal’s e-mail database. Newsletters are posted on the Econometrics Journal website and accessed from the left hand menu of the journal's home page: Thirteen news items have been posted announcing special events. See

The Dennis Sargan econometrics prize
The Econometrics Journal Denis Sargan Econometrics Prize is awarded for the best (unsolicited) article published in the journal in a given year by anyone who is within five years of being awarded their doctorate. An honorarium of £1000 will be awarded to the winning author.

The journal’s Editorial Board (Managing Editor and Co-Editors) evaluated those qualifying articles published in the Econometrics Journal in 2014. The prize was awarded to Dr Haiqing Xu (University of Texas at Austin) in respect of his paper ‘Estimation of Discrete Games with Correlated Types’ published in the Econometrics Journal, Volume 17, Issue No. 3, pp. 241-270.

A video of the presentation (by Professor Sir Richard Blundell) at the RES 2016 Conference held at the University of Sussex at Brighton is now available on the Econometrics Journal website at

Royal Economic Society Annual Conference
A Special Issue of the journal on Large Dimensional Models has now been published. Papers in this Issue were submitted to the RES Conference 2014 at the University of Manchester. The papers are ‘An overview of the estimation of large covariance and precision matrices’ by Jianqing Fan, Yuan Liao and Han Liu and ‘Generalized dynamic factor models and volatilities: recovering the market volatility shocks’ by Matteo Barigozzi and Marc Hallin. The papers, together with an editorial prepared by Andrew J Patton and Richard J  Smith can be viewed at

In addition, submissions to the Econometrics Journal Special Issue on Heterogeneity have been received from Yuichi Kitamura (Yale) and Stephane Bonhomme (University of Chicago) presenters at the Econometrics Journal Special Session on Heterogeneity at the RES Annual Conference 2013 held at Royal Holloway University of London. Revisions of these submissions have now been accepted and will be published in Vol. 19, Issue 3 (2016) of the journal.

The Econometrics Journal organized a Special Session on Model Selection and Inference at the 2016 Royal Economic Society Annual Conference, Monday 21 March to Wednesday 23 March, 2016 at the University of Sussex at Brighton.

The Econometrics Journal organized a Special Session on Model Selection and Inference at the 2016 Royal Economic Society Annual Conference, Monday 21 March to Wednesday 23 March, 2016 at the University of Sussex at Brighton.

The papers presented were:

Chris Hansen (University of Chicago): ‘Model Selection and Post-Model Selection Inference in Economic Applications’.

Bruce Hansen (University of Wisconsin-Madison): ‘Shrinkage Estimation in Vector Autoregressions’.

The Special Session presentations and interviews with the speakers are available at

Special Sessions associated with the Econometrics Journal will be arranged at next year’s RES Annual Conference at Bristol and at subsequent RES Conferences.

Special issue on econometrics of networks
A Special Issue on the ‘Econometrics of Networks’ has been commissioned. The Special Issue arises out of the Cambridge INET/Econometrics Journal Workshop on Econometrics of Networks held at the University of Cambridge in June 2015. The workshop was generously supported by a grant from the Royal Economic Society. The workshop brought together many leading experts in the field and was attended by about forty active researchers and students.

Book and Software Reviews
In 2015-16 books were received from the publishers Hoover Institution Press and Princeton. No book reviews were published in 2015-16. The Book Reviews Editor of the journal has commissioned one review - by B Rossi on Economic Forecasting (Princeton University Press) authored G Elliott and A
Timmerman. To be published in Vol. 19, Issue 3 (2016). Two book reviews remain outstanding.
Harvey: “Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series.”
Aït-Sahalia and J Jacod: “High-Frequency Financial Econometrics.”

Access to information on Book Reviews is provided via a link in the left hand menu of the Econometrics Journal home page see

The continuing ambition is to attract higher quality submissions and build the profile of the Econometrics Journal particularly in North America.

All issues of the journal have been published within the scheduled month and within budget. Publication procedures for the Econometrics Journal were reviewed in 2014 with the appointment on a freelance basis of an independent copy editor/proof reader on a freelance basis to assist the Managing Editor. This system continues to operate.

The journal has implemented a replication policy for articles that include empirical applications and/or simulation experiments. Details are included on the website. A Supplementary Data policy is already in place which permits authors of accepted papers to deposit additional material on the Ects Jnl website.

Procedures for publication of accepted papers, notes and book reviews on the journal’s website operate smoothly and efficiently with manuscripts being posted on the web site within one week of acceptance of the final version.

Editorial process
All queries made by the Editorial Office to Editorial Express® have been responded to promptly.

Monthly statistics and editorial reports are provided to all members of the Editorial Board and Associate Editors to apprise them of the progress of the journal. Bi-annual Skype meetings are held between the Managing Editor, Co-Editors and the Assistant Editor which have proved effective in dealing with EctsJ business.

211 new submissions were received under Editorial Express®. This total represents an increase of 54 (34.39 per cent) over that reported for 2014-2015. Additionally there were 22 resubmissions received during this period.

A total of 214 decisions were made by the Editorial Board. Of these 196 concerned new submissions. Of the new submissions 157 (80 per cent) were screen-rejections which represents a slight fall from the figure of 81 per cent for 2014-2015. Of the 39 papers not screen rejected, 17 (43.59 per cent) were either return for resubmission or acceptance decisions (2015: 43.33 per cent), with 22 papers (56.41 per cent) being rejections. Overall, 179 papers or 91.33 per cent (2015: 91.72 per cent) of decisions were either screen-rejections or rejections. A total of 13 papers (2015: 16) papers were accepted by the Editorial Board representing an acceptance rate of 6.10 per cent (2015: 8.04 per cent).

The continued high number of screen-rejections reflects the determination of the Editorial Board to drive up the standard of submissions and accepted papers in order to establish the Econometrics Journal as top international general field journal for econometric research.

Decision durations
The mean estimate for time to decision in days was 37 (19, 10, 29) [2015: 42 (21, 10, 50)] for decisions on all submissions and resubmissions. The figures in parentheses are the median, first quartile and third quartile estimates. Kaplan-Meier estimates of the stratified survivor functions for time to decision are also presented. Excluding screen-rejections the respective figures are 98 (100, 50, 129).

The mean estimate for time to decision in days for all decisions on new submissions was 35 (18, 9, 28). The corresponding figures for non-screen rejections and for a resubmission or accept decision were 110 (107, 75, 155) [2015: 135 (132, 110, 158)] and 122 (118, 96, 139) [2015: 138 (140, 98, 175)]. For resubmissions the mean estimate for time to decision was 54 (35, 16, 86) as compared to 67 (65, 33, 98) for 2015.

These data indicate an improved overall decision performance. As in previous years this may be attributed at least in part to the policy of intensively screening new submissions. Additionally, as compared to previous years in which there was a concern with the decision times for a few non screen-rejected papers deviating substantially from the four month target maximum turn-around period those relatively long distributional tails have been largely eliminated as reflected in the decreases in third quartile time to decision estimates.

An advantage of Editorial Express® is that The Editorial Office of the journal is able straightforwardly to monitor the editorial process for all submissions and to bring any outlier papers to the attention of the Editor.

The Editorial Office of the Econometrics Journal is very grateful for the support of the Royal Economic Society and its officers. Particular recognition should be given to the editorial team and anonymous referees whose efforts ensure that the quality of the journal is maintained and improved. We are also grateful for the assistance offered by the publishers Wiley-Blackwell to the Econometrics Journal.

Econometrics Journal - editorial team

Managing Editor
Richard J. Smith, University of Cambridge (email:

Jaap Abbring, Tilburg University Victor Chernozhukov, Massachusetts Institute of Technology Michael Jansson, University of California, Berkeley Dennis Kristensen, University College London

Assistant Editor and Book Reviews Editor
Alexei Onatski, University of Cambridge

Editorial Office
Editorial Administrator, University of Cambridge (email:

Associate Editors
Daniel Ackerberg, University of Michigan Chunrong Ai, University of Florida Federico Bandi, Johns Hopkins University Joerg Breitung, University of Bonn Federico Bugni, Duke University Ivan Canay, Northwestern University Matias D. Cattaneo, University of Michigan Giuseppe Cavaliere, University of Bologna John Chao, University of Maryland Xiaohong Chen, Yale University Xu Cheng, University of Pennsylvania Valentina Corradi, University of Surrey Xavier D'Haultfoeuille, CREST Yingying Fan, University of Southern California Ivan Fernandez-Val, Boston University Patrick Gagliardini, Università della Svizzera Italiana Silvia Goncalves, University of Western, Ontario Emmanuel Guerre, Queen Mary University of London Patrik Guggenberger, The Pennsylvania State University Philip Haile, Yale University Christian Hansen, University of Chicago Marc Henry, The Pennsylvania State University Jonathan Hill, University of North Carolina Keisuke Hirano, University of Arizona Stefan Hoderlein, Boston College Yingyao Hu, John Hopkins University Shakeeb Khan, Duke University Yuichi Kitamura, Yale University Tatiana Komarova, London School of Economics Ivana Komunjer, University of California, San Diego Guido Kuersteiner, University of Maryland Sokbae Lee, Seoul National University Offer Lieberman, Bar-Ilan University Thierry Magnac, Toulouse School of Economics Konrad Menzel, New York University Anna Mikusheva, Massachusetts Institute of Technology Marcelo Moreira, Getulio Vargas Foundation Serena Ng, Columbia University Morten Nielsen, Queens University Andriy Norets , Brown University Alexei Onatski, University of Cambridge Taisuke Otsu, London School of Economics Aureo de Paula, University College London Zhongjun Qu, Boston University Adam Rosen, University College London Andres Santos, University of California, San Diego Olivier Scaillet , University of Geneva ; Swiss Finance Institute Susanne Schennach, Brown University Azeem Shaikh, University of Chicago Elie Tamer, Northwestern University Xun Tang, Rice Robert Taylor, University of Essex Allan Timmermann, University of California, San Diego Gautam Tripathi, University of Luxembourg Tim Vogelsang, Michigan State University Quang Vuong, New York University.

Additional tables

Subject area breakdown

Turnaround statistics

Response to authors

Editorial submission loads

Survivor functions

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