Econometric Theory

1985 - 2012

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Volume 28, issue 02, 2012

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS pp. 249-273

Cecilia Mancini and Fabio Gobbi

EFFICIENT ESTIMATION OF FACTOR MODELS pp. 274-308

In Choi

CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS pp. 309-327

Neşe Yildiz

INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS pp. 328-362

Herman J. Bierens and Li Wang

SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA pp. 363-386

Frederic Ferraty, Alejandro Quintela-del-Río and Philippe Vieu

ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION pp. 387-421

Patrik Guggenberger

BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY pp. 422-456

Stephan Smeekes and Robert Taylor

ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES pp. 457-470

Offer Lieberman, Roy Rosemarin and Judith Rousseau

FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY pp. 471-481

Tucker McElroy and Dimitris N. Politis

CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum pp. 483-484

Wolfgang K. Härdle and Song Song

Volume 28, issue 01, 2012

NULL RECURRENT UNIT ROOT PROCESSES pp. 1-41

Terje Myklebust, Hans Arnfinn Karlsen and Dag Tjøstheim

ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS pp. 42-86

John C. Chao, Norman R. Swanson, Jerry A. Hausman, Whitney K. Newey and Tiemen Woutersen

UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION pp. 87-129

Emmanuel Guerre and Camille Sabbah

TESTING FOR THE MARKOV PROPERTY IN TIME SERIES pp. 130-178

Bin Chen and Yongmiao Hong

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS pp. 179-206

Christian Francq and Jean-Michel Zakoian

THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS pp. 207-217

Peter C. B. Phillips and Jun Yu

DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES pp. 219-238

Marcus J. Chambers and Michael A. Thornton

ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST pp. 239-246

Stanislav Anatolyev and Grigory Kosenok

Volume 27, issue 06, 2011

UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION pp. 1117-1151

Chirok Han, Peter C. B. Phillips and Donggyu Sul

BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS pp. 1152-1191

Jinyong Hahn and Guido M. Kuersteiner

GEL CRITERIA FOR MOMENT CONDITION MODELS pp. 1192-1235

Richard J. Smith

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS pp. 1236-1278

Mika Meitz and Pentti Saikkonen

LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION pp. 1279-1319

Giovanni Motta, Christian Matthias Hafner and Rainer von Sachs

POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS pp. 1320-1368

Yixiao Sun, Peter C. B. Phillips and Sainan Jin

NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE pp. 1369-1375

Federico Martellosio

Volume 27, issue 05, 2011

SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION pp. 929-932

Robert Taylor and Timothy J. Vogelsang

BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS pp. 933-956

Thomas Flury and Neil Shephard

TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY pp. 957-991

Giuseppe Cavaliere, David . Harvey, Stephen J. Leybourne and Robert Taylor

TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS pp. 992-1025

Özgen Sayginsoy and Timothy J. Vogelsang

SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS pp. 1026-1047

Patrick Marsh

THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS pp. 1048-1082

Sílvia Gonçalves

BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL pp. 1083-1116

Miguel A. Delgado, Javier Hidalgo and Carlos Velasco

Volume 27, issue 04, 2011

DYNAMIC TIME SERIES BINARY CHOICE pp. 673-702

Robert de jong and Tiemen Woutersen

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES pp. 703-744

Dimitris N. Politis

BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP pp. 745-791

Silvia Goncalves and Timothy Vogelsang

SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION pp. 792-843

Song Xi Chen and Jiti GAO

TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS pp. 844-884

Jonathan B. Hill

THE ET INTERVIEW: PETER M. ROBINSON pp. 885-905

Miguel A. Delgado and F. Javier Hidalgo

COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” pp. 907-911

Vygantas Paulauskas, Svetlozar T. Rachev and Frank J. Fabozzi

ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS pp. 913-927

Bent Nielsen and Jouni S. Sohkanen

Volume 27, issue 03, 2011

INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS pp. 457-459

Jean-Pierre Florens and Oliver Bruce Linton

ON THE COMPLETENESS CONDITION IN NONPARAMETRIC INSTRUMENTAL PROBLEMS pp. 460-471

D’Haultfoeuille, Xavier

IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 472-496

Jean-Pierre Florens, Jan Johannes and Sebastien Van Bellegem

ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS pp. 497-521

Xiaohong Chen and Markus Reiss

CONVERGENCE RATES FOR ILL-POSED INVERSE PROBLEMS WITH AN UNKNOWN OPERATOR pp. 522-545

Jan Johannes, Sebastien Van Bellegem and Anne Vanhems

A SPECTRAL METHOD FOR DECONVOLVING A DENSITY pp. 546-581

Marine Carrasco and Jean-Pierre Florens

ORACLE-EFFICIENT NONPARAMETRIC ESTIMATION OF AN ADDITIVE MODEL WITH AN UNKNOWN LINK FUNCTION pp. 582-608

Joel L. Horowitz and Enno Mammen

DEMAND ANALYSIS AS AN ILL-POSED INVERSE PROBLEM WITH SEMIPARAMETRIC SPECIFICATION pp. 609-638

Stefan G.N. Hoderlein and Hajo Holzmann

ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL pp. 639-661

Woocheol Kim and Oliver Bruce Linton

IDENTIFICATION IN TRIANGULAR SYSTEMS USING CONTROL FUNCTIONS pp. 663-671

Maximilian Kasy

Volume 27, issue 02, 2011

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS pp. 201-234

Myung Hwan Seo

ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS pp. 235-259

Qiying Wang and Peter C. B. Phillips

SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE pp. 260-284

Jiti GAO, Qiying Wang and Jiying Yin

FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT pp. 285-311

Ioannis Kasparis

TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS pp. 312-343

Xiaofeng Shao

MULTIVARIATE ECOGARCH PROCESSES pp. 344-371

Stephan Haug and Robert Stelzer

THE ET INTERVIEW: B.L.S. PRAKASA RAO pp. 373-411

Arup Bose

PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION pp. 413-426

Mehmet Caner

SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS pp. 427-441

Stanislav Anatolyev and Nikolay Gospodinov

NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS pp. 443-456

Alastair Hall and Denis Pelletier

Volume 27, issue 01, 2011

Arnold Zellner, 1927–2010 pp. 1-3

Peter E. Rossi

EDITORS’ INTRODUCTION: SPECIAL ISSUE ON EMPIRICAL LIKELIHOOD AND RELATED METHODS pp. 5-7

Yuichi Kitamura and Richard J. Smith

EMPIRICAL LIKELIHOOD ESTIMATION OF CONDITIONAL MOMENT RESTRICTION MODELS WITH UNKNOWN FUNCTIONS pp. 8-46

Taisuke Otsu

MOMENT-BASED INFERENCE WITH STRATIFIED DATA pp. 47-73

Gautam Tripathi

GEL METHODS FOR NONSMOOTH MOMENT INDICATORS pp. 74-113

Paulo M.D.C. Parente and Richard J. Smith

TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD pp. 114-153

Taisuke Otsu and Yoon-Jae Whang

EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS pp. 154-177

Ngai Hang Chan, Liang Peng and Dabao Zhang

EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA pp. 178-198

Anouar El Ghouch, Ingrid Van Keilegom and Ian W. McKeague