January 2015 newsletter – Econometrics Journal – Editor’s annual report

The managing editor, Richard J Smith, made the annual report covering the period July 1 2013 to June 30 2014, 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 Econometrics Journal 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 Faculty of Economics at the University of Cambridge with Richard J. Smith as Managing Editor.

Recent editorial changes include the appointment of Victor Chernozhukov, (Massachusetts Institute of Technology) as Co-Editor to replace Oliver Linton (University of Cambridge). Victor previously served as an Associate Editor between 2008 and 2011. Oliver has provided support for the Journalsince he joined the Editorial Board as a Co-Editor in 2007 and leaves this position to serve as an editor of the Journal of Econometrics. The Journal is very grateful to Oliver for his excellent service.

At the end of 2013, the Editorial Board of the Ects J undertook its annual editorial review with the particular intention of refreshing and renewing the Associate Editors. 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 Econometrics Journal is grateful to Anders Rahbek (University of Copenhagen) and Edward Vytlacil (New York University) who completed their terms as Associate Editor for the help and advice they provided to the Journal.

The Econometrics Journal is pleased to welcome as new Associate Editors Matias D. Cattaneo (University of Michigan) and Philip Haile (Yale University).

The Econometrics Journal is also delighted that the following have agreed to continue for a further three year term as Associate Editors: Federico Bandi (Johns Hopkins University), Emmanuel Guerre (Queen Mary University of London), Christian Hansen (University of Chicago), Dennis Kristensen (University College London), Guido Kuersteiner (Georgetown University), Sokbae Lee (Seoul National University), Joris Pinkse (The Pennsylvania State University), Marcelo Moreira (Getulio Vargas Foundation) and Allan Timmermann (University of California, San Diego).

Editorial membership of the Journal is given in Appendix A.

Impact Factors
The fifth set of data from the ISI Citation Index on the Econometrics Journal became available for 2013. The journal impact factor is 1.128 (1.000, 0.870, 0.691, 0.733, 0.750, 0.479) with the immediacy index at 0.364 (0.227, 0.240, 0.176, 0.125, 0.065, 0.034); 2007-12 data are given in parentheses. The eigen-factor score and five year impact factor are 0.00377 (0.00417, 0.00280, 0.00352, 0.00367, 0.00324, 0.00379) and 1.235 (1.252, 0.964, 1.166) respectively; 2008-12 and 2010-12 figures respectively in parentheses. The journal impact factor ranks the Econometrics Journal at 112 (131) out of 332 (333) economics journals.

The journal impact factor has pleasingly risen again as compared with previous years as has the immediacy index in contrast to 2013 although the eigen-factor score and five year impact factor have fallen somewhat. The impact factor and rank for the competitor journals Review of Economics and Statistics and Journal of Business and Economic Statistics have also improved with those for the others falling: Econometric Theory 1.154 (109), Journal of Econometrics 1.533 (73), Review of Economics and Statistics 2.718 (26), Journal of Applied Econometrics 1.562 (70) and Journal of Business and Economic Statistics 2.319 (40).

These figures continue the improvement in recent years although it should be noted that short-term figures, the impact factor in particular, are volatile measures. The impact of the journal therefore may still be a matter of some concern.

Table 1 displays the geographical distribution of new  submissions for 2012-13. This table indicates that proportionately the number of submissions attracted from North America by the Journal was similar to 2011-12 and continued the return to the historical level of earlier years. Consequently, 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 similar to that of previous years whereas that from the UK fell substantially. Table 2 again emphasises the continuing predominance of acceptances originating from North America and Europe but with the notable exception of the UK.

Wiley-Blackwell prepared marketing information for the RES 2014 Conference (leaflets, posters, highlighted key papers) and photographs of the Wiley-Blackwell stand and the Denis Sargan Prize award. The Econometrics Journal was also promoted at the JSM and EEA-ESEM meetings. Information on the top downloaded articles has been received and incorporated into the Econometrics Journal Newsletters. The Editorial Office continues to work with Wiley-Blackwell to provide information on and recently has distributed information directly to key contacts. EctJ leaflets have been sent to CEMMAP at UCL/IFS who have agreed to circulate them to delegates at their various meetings. E-mails promoting the Denis Sargan prize and the RES 2014 Econometrics Special Session have been distributed. Free trial leaflets have been made available at the
LACEA LAMES Conferences in Mexico and the Econometric Society Summer School in Taiwan. (More information is available in the Wiley Blackwell Publishers Report 2013.)

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 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 a Newsletter on a biannual basis (Winter and Summer). Issues Nos. 1 and 2 have been distributed to members of the RES, the EctJ e-mail database and various Wiley-Blackwell e-mail databases.

The Denis Sargan Econometrics Prize
The Econometrics Journal Denis Sargan Econometrics Prize is awarded for the best (unsolicited) article published in the EctJ 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 Econometrics Journal Editorial Board (Managing Editor and Co-Editors) evaluated those qualifying articles published in the EctJ in 2012 and the prize was awarded to Dr. Fabrizio Ferriani for his contribution to the paper ‘Estimating and Testing Non-Affine Option Pricing Models with a Large Unbalanced Panel of Options’ published in Vol. 15, Issue No. 2, 171-203.

Royal Economic Society Annual Conference
Submissions have been received from the presenters Siem Jan Koopman (Free University Amsterdam) and Raffaella Giacomini (UCL) arising from the Econometrics Journal Special Session on Econometrics of Forecasting at the RES Annual Conference 2012 held at the University of Cambridge. The former paper is now accepted and a resubmission of the latter paper was recently received. It is anticipated that a Special Issue of the Econometrics Journal on Econometrics of Forecasting will be published in 2015.

The Journal organized a Special Session on Large Dimensional Models at the 2014 Royal Economic
Society Annual Conference, Monday 7 to Wednesday 9 April, 2014 at the University of Manchester.
The papers presented were:

Jianqing Fan (Princeton University): ‘Large Panel Test of Factor Pricing Models’ 
Marc Hallin (ECARES ULB and ORFE Princeton): ‘General Dynamic Factors and Volatilities’.

Submissions have been invited from the presenters Yuichi Kitamura (Yale) and Stephane Bonhomme (University of Chicago) arising from the Econometrics Journal Special Session on Heterogeneity at the RES Annual Conference 2013 held at Royal Holloway University of London.

Special Sessions associated with the Econometrics Journal will be arranged at subsequent RES Annual Conferences.

Special Issue on Advances in Robust and Flexible Inference in Econometrics
This Special Issue (2014, Vol. 17, Issue 2) of the Econometrics Journal celebrates the work and contributions of Joel L. Horowitz. Most of these papers were presented at a Conference in Honour of Joel’s 70th birthday held in June 2011 at University College London. Joel has made influential contributions to many areas in econometrics and statistics. These include bootstrap methods, semi-parametric and non-parametric estimation, specification testing, non-parametric instrumental variables, estimation of high-dimensional models, and functional data analysis, among others.

The Editors of the Special Issue were X. Chen (Yale), S Lee (Seoul National University), O B Linton
(Cambridge) and E Tamer (Northwestern). The Econometrics Journal is particular to the Editors for
their construction and editorial process of the Special issue. The six papers that appear in this Special Issue are related to the topics of Joel’s past and present research interests. The papers are:

  • Chesher, A (UCL) and A M Rosen (UCL): ‘An Instrumental Variable Random Coefficients Model for Binary Outcomes.’
  • Lee, Y K (Kangwon National University), Mammen, E (Mannheim) and B U Park (Seoul National University): Backfitting and Smooth Backfitting in Varying Coefficient Quantile Regression.’
  • Davidson, R. (McGill University) and J.G. MacKinnon (Queen’s University): ‘Confidence Sets Based on Inverting Anderson-Rubin Tests.’
  • Linton, O.B. (University of Cambridge), T. Post (Koç University) and Y.-J. Whang (Seoul National University): ‘Testing for the Stochastic Dominance  Efficiency of a Given Portfolio.’
  • Belloni, A (Duke University) and V Chernozhukov (MIT): ‘Posterior Inference in Curved Exponential Families Under Increasing Dimensions.’
  • Song S (University of Alabama), W K Härdle (Humboldt University) and Y Ritov (Hebrew University): ‘Generalized Dynamic Semi-Parametric Factor Models for High Dimensional Non-Stationary Time Series.

Book and Software Reviews
In 2013-14 books were received from the publishers Oxford University Press, Cambridge University Press and Princeton University Press. Book reviews published are:

– by P Marsh on Non-Parametric Econometrics (Oxford University Press) authored by I Ahamada and E Flachaire. Published in Vol. 16, Issue 2 (2013).

– by A M R Taylor on Unit Root Tests in Time Series, Vol.1 Key Concepts and Problems and Vol.2 Extensions and Developments (Macmillan) authored by K. Patterson. Published in Vol. 16, Issue 3 (2013).

The Book Reviews Editor of the Journal has commissioned one review:
A C Harvey, Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series.

Access to information on Book and Software reviews is now provided via a link in the Left Hand Menu of the Econometrics Journal Home Page.

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 have been reviewed and an independent copy editor/proof reader appointed on a freelance basis to assist the Managing Editor.

The Econometrics Journal has now implemented a replication policy for articles that include empirical applications and/or simulation experiments. Details are included on the Journal’s website. A Supplementary Data policy is already in place which permits authors of accepted papers to deposit additional material on the Wiley-Blackwell the Econometrics Journal website. Procedures for publication of accepted papers, notes and book reviews on the Econometrics Journal website operate smoothly and efficiently with manuscripts being posted 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.

A total of 205 175 new submissions were received under Editorial Express®. This total represents an increase of 30 (17.14 per cent) over that reported for 2013. Additionally there were 33 resubmissions received during this period. It should be noted that new submissions and resubmissions exclude papers associated with the various Special Issues of the Econometrics Journal.

A total of 256 decisions were made by the Editorial Board. Of these 216 concerned new submissions. Of the new submissions 178 (82.41 per cent) were screen-rejections which represents a rise from the figure of 80.77 per cent for 2013. Of the 38 papers not screen rejected, 19 (50.00 per cent) were either return for resubmission or acceptance decisions (2013: 50.00 per cent), with 19 papers (50.00 per cent) being rejections. Overall, 197 papers or 91.20 per cent (2013: 90.38 per cent) of decisions were either screen-rejections or rejections. A total of 14 papers (2013: 22) papers were accepted by the Editorial Board representing an acceptance rate of 5.47 per cent (2013: 11.00 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.