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Econometric Theory

1985 - 2017

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 33, issue 04, 2017

BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE pp. 791-838 Downloads
Ulrich Hounyo, Silvia Goncalves and Nour Meddahi
NONPARAMETRIC ESTIMATION OF SEMIPARAMETRIC TRANSFORMATION MODELS pp. 839-873 Downloads
Jean-Pierre Florens and Senay Sokullu
UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH pp. 874-914 Downloads
Shin Kanaya
CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES pp. 915-954 Downloads
Yannick Hoga
IDENTIFICATION OF PAIRED NONSEPARABLE MEASUREMENT ERROR MODELS pp. 955-979 Downloads
Yingyao Hu and Yuya Sasaki
ADAPTIVE BAYESIAN ESTIMATION OF CONDITIONAL DENSITIES pp. 980-1012 Downloads
Andriy Norets and Debdeep Pati
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL pp. 1013-1038 Downloads
Christian M. Hafner and Oliver Linton

Volume 33, issue 03, 2017

TRIBUTE TO T.W. ANDERSON pp. 529-533 Downloads
Peter Phillips
ADMISSIBLE SIGNIFICANCE TESTS IN SIMULTANEOUS EQUATION MODELS pp. 534-550 Downloads
Theodore W. Anderson
IDENTIFICATION OF DISCRETE CHOICE DYNAMIC PROGRAMMING MODELS WITH NONPARAMETRIC DISTRIBUTION OF UNOBSERVABLES pp. 551-577 Downloads
Le-Yu Chen
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP pp. 578-609 Downloads
Donald Poskitt, Gael M. Martin and Simone D. Grose
INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS pp. 610-635 Downloads
Koen Jochmans, Marc Henry and Bernard Salanié
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 636-663 Downloads
Jean-David Fermanian and Hassan Malongo
ON USING LINEAR QUANTILE REGRESSIONS FOR CAUSAL INFERENCE pp. 664-690 Downloads
Ryutah Kato and Yuya Sasaki
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 691-716 Downloads
Christian Hafner, Sébastien Laurent and Francesco Violante
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS pp. 717-738 Downloads
Stanislav Anatolyev and Pavel Yaskov
IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA pp. 739-754 Downloads
Jason Blevins
ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY pp. 755-778 Downloads
David Harris and Hsein Kew
RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT pp. 779-790 Downloads
Minsoo Jeong

Volume 33, issue 02, 2017

GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA pp. 263-291 Downloads
Xun Lu, Liangjun Su and Halbert White
GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS pp. 292-330 Downloads
Betina Berghaus and Axel Bücher
ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS pp. 331-365 Downloads
Bing-Yi Jing, Zhi Liu and Xin-Bing Kong
ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS pp. 366-412 Downloads
Lajos Horvath, Marie Hušková, Gregory Rice and Jia Wang
SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS pp. 413-438 Downloads
Indeewara Perera and Mervyn J. Silvapulle
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES pp. 439-478 Downloads
Eric Renault, Cisil Sarisoy and Bas J.M. Werker
EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION pp. 479-526 Downloads
Marine Carrasco and Rachidi Kotchoni

Volume 33, issue 01, 2017

ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX pp. 1-68 Downloads
David Preinerstorfer and Benedikt Pötscher
INSTRUMENTAL VARIABLES METHODS WITH HETEROGENEITY AND MISMEASURED INSTRUMENTS pp. 69-104 Downloads
Karim Chalak
SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION pp. 105-157 Downloads
David Kaplan and Yixiao Sun
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS pp. 158-195 Downloads
Hyungsik Roger Moon and Martin Weidner
IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA pp. 196-241 Downloads
Esteban M. Aucejo, Federico A. Bugni and V. Joseph Hotz
UNIFORM BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED QUANTILE REGRESSION: A REDISTRIBUTION-OF-MASS APPROACH pp. 242-261 Downloads
Efang Kong and Yingcun Xia

Volume 32, issue 06, 2016

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? pp. 1317-1348 Downloads
Matei Demetrescu and Uwe Hassler
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS pp. 1349-1375 Downloads
Hanying Liang, Peter Phillips, Hanchao Wang and Qiying Wang
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES pp. 1376-1433 Downloads
Junhui Qian and Liangjun Su
A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE pp. 1434-1482 Downloads
Meng Huang, Yixiao Sun and Halbert White
NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY pp. 1483-1522 Downloads
Jiaying Gu
BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS pp. 1523-1568 Downloads
Min Seong Kim and Yixiao Sun

Volume 32, issue 05, 2016

THE ET INTERVIEW: ADRIAN PAGAN pp. 1055-1094 Downloads
Christopher Skeels
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS pp. 1095-1139 Downloads
Soren Johansen and Morten Nielsen
SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES pp. 1140-1177 Downloads
Enno Mammen, Christoph Rothe and Melanie Schienle
LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS pp. 1178-1215 Downloads
Geert Dhaene and Koen Jochmans
A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY pp. 1216-1252 Downloads
Anil K. Bera, Antonio F. Galvao, Liang Wang and Zhijie Xiao
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION pp. 1253-1288 Downloads
Jia Li, Viktor Todorov and George Tauchen
COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE pp. 1289-1315 Downloads
Martin Wagner and Seung Hyun Hong

Volume 32, issue 04, 2016

MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION pp. 793-826 Downloads
Brian D.O. Anderson, Manfred Deistler, Elisabeth Felsenstein, Bernd Funovits, Lukas Koelbl and Mohsen Zamani
STRUCTURAL THRESHOLD REGRESSION pp. 827-860 Downloads
Andros Kourtellos, Thanasis Stengos and Chih Ming Tan
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING pp. 861-916 Downloads
Shin Kanaya and Dennis Kristensen
SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES pp. 917-946 Downloads
Marian Hristache and Valentin Patilea
EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS pp. 947-987 Downloads
Ivana Komunjer and Giuseppe Ragusa
A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES pp. 988-1022 Downloads
Yiguo Sun, Zongwu Cai and Qi Li
SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL pp. 1023-1054 Downloads
Rong Liu and Lijian Yang

Volume 32, issue 03, 2016

ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS pp. 533-611 Downloads
Yuta Koike
ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 612-654 Downloads
Christoph Breunig and Jan Johannes
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION pp. 655-685 Downloads
Degui Li, Peter Phillips and Jiti Gao
ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE pp. 686-713 Downloads
Walter Oberhofer and Harry Haupt
SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS pp. 714-739 Downloads
Nazgul Jenish
DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS pp. 740-791 Downloads
Bin Chen and Yongmiao Hong

Volume 32, issue 02, 2016

ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS pp. 261-358 Downloads
David Preinerstorfer and Benedikt Pötscher
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY pp. 359-401 Downloads
Qiying Wang and Peter Phillips
ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS pp. 402-430 Downloads
Shiqing Ling
INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN pp. 431-457 Downloads
Jiti Gao and Peter M. Robinson
SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR TRANSFORMATION MODELS UNDER CONDITIONAL QUANTILE RESTRICTION pp. 458-497 Downloads
Zhengyu Zhang
TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS pp. 498-531 Downloads
Rasmus Pedersen

Volume 32, issue 01, 2016

NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA pp. 1-29 Downloads
Oliver Linton and Qiying Wang
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS pp. 30-70 Downloads
Xiaohong Chen, David Jacho-Chávez and Oliver Linton
REGULARIZING PRIORS FOR LINEAR INVERSE PROBLEMS pp. 71-121 Downloads
Jean-Pierre Florens and Anna Simoni
MODEL-FREE INFERENCE FOR TAIL RISK MEASURES pp. 122-153 Downloads
Ke-Li Xu
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS pp. 154-186 Downloads
C. Alan Bester, Timothy G. Conley, Christian B. Hansen and Timothy Vogelsang
COMPARISON OF INFERENTIAL METHODS IN PARTIALLY IDENTIFIED MODELS IN TERMS OF ERROR IN COVERAGE PROBABILITY pp. 187-242 Downloads
Federico A. Bugni
CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS pp. 243-259 Downloads
Anders Kock
Page updated 2017-08-17