Econometric Theory

1985 - 2026

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 42, issue 2, 2026

THE ET INTERVIEW: PROFESSOR JOEL L. HOROWITZ pp. 246-293

Sokbae Lee

THEORY OF LOW FREQUENCY CONTAMINATION FROM NONSTATIONARITY AND MISSPECIFICATION: CONSEQUENCES FOR HAR INFERENCE pp. 294-335

Alessandro Casini, Taosong Deng and Pierre Perron

LEAST TRIMMED SQUARES: NUISANCE PARAMETER FREE ASYMPTOTICS pp. 336-374

Vanessa Berenguer-Rico and Bent Nielsen

CHRONOLOGICALLY TRIMMED LS FOR NONLINEAR PREDICTIVE REGRESSIONS WITH PERSISTENCE OF UNKNOWN FORM pp. 375-413

Zhishui Hu, Ioannis Kasparis and Qiying Wang

A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES pp. 414-442

Jilin Wu, Ruike Wu and Zhijie Xiao

TESTING FOR COEFFICIENT RANDOMNESS IN LOCAL-TO-UNITY AUTOREGRESSIONS pp. 443-469

Mikihito Nishi

PARAMETERS ON THE BOUNDARY IN PREDICTIVE REGRESSION pp. 470-500

Giuseppe Cavaliere, Iliyan Georgiev and Edoardo Zanelli

Volume 42, issue 1, 2026

A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES pp. 5-62

Qiying Wang and Peter C. B. Phillips

NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA pp. 63-100

Ruijun Bu, Degui Li, Oliver Linton and Hanchao Wang

OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION pp. 101-134

Shoukun Jiao, Wenchao Xu, Wuyi Ye and Xinyu Zhang

THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS pp. 135-191

Majid M. Al-Sadoon

A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL pp. 192-245

Menelaos Karanasos, Alexandros G. Paraskevopoulos, Tassos Magdalinos and Alessandra Canepa

Volume 41, issue 6, 2025

FUNCTIONAL INSTRUMENTAL VARIABLE REGRESSION WITH AN APPLICATION TO ESTIMATING THE IMPACT OF IMMIGRATION ON NATIVE WAGES pp. 1248-1283

Dakyung Seong and Won-Ki Seo

IS COMPLETENESS NECESSARY? ESTIMATION IN NONIDENTIFIED LINEAR MODELS pp. 1284-1321

Andrii Babii and Jean-Pierre Florens

INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY pp. 1322-1357

Xuewen Yu and Mohitosh Kejriwal

EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION pp. 1358-1391

Jean-Louis Barnwell and Saraswata Chaudhuri

WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS pp. 1392-1415

Yuya Sasaki and Takuya Ura

REGRESSION DISCONTINUITY DESIGN WITH POTENTIALLY MANY COVARIATES pp. 1416-1451

Yoichi Arai, Taisuke Otsu and Myung Hwan Seo

LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION pp. 1452-1467

Sung Hoon Choi and Donggyu Kim

MODEL AVERAGING FOR TREATMENT EFFECT ESTIMATION WITH HETEROGENEITY AND HETEROSKEDASTICITY pp. 1468-1505

Yuting Wei, Guangren Yang, Zhanshou Chen and Xinyu Zhang

Volume 41, issue 5, 2025

HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION pp. 995-1043

Jungyoon Lee, Peter C. B. Phillips and Francesca Rossi

APPLICATIONS OF FUNCTIONAL DEPENDENCE TO SPATIAL ECONOMETRICS pp. 1044-1079

Zeqi Wu, Wen Jiang and Xingbai Xu

REAL ANALYTIC DISCRETE CHOICE MODELS OF DEMAND: THEORY AND IMPLICATIONS pp. 1080-1128

Alessandro Iaria and Ao Wang

TESTING LIMITED OVERLAP pp. 1129-1162

Xinwei Ma, Yuya Sasaki and Yulong Wang

FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS pp. 1163-1195

Wenchao Xu and Xinyu Zhang

FASTER UNIFORM CONVERGENCE RATES FOR DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS pp. 1196-1228

Liang Chen and Minyuan Zhang

ON THE ROBUSTNESS OF MIXTURE MODELS IN THE PRESENCE OF HIDDEN MARKOV REGIMES WITH COVARIATE-DEPENDENT TRANSITION PROBABILITIES pp. 1229-1243

Demian Pouzo, Zacharias Psaradakis and Martin Sola

TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION—CORRIGENDUM pp. 1244-1247

Brendan K. Beare, Won-Ki Seo and Alexis Akira Toda

Volume 41, issue 4, 2025

SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS pp. 779-816

Alexei Onatski and Chen Wang

TIME-VARYING PARAMETER REGRESSIONS WITH STATIONARY PERSISTENT DATA pp. 817-843

Zhishui Hu, Ioannis Kasparis and Qiying Wang

AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS pp. 844-906

Minsoo Jeong and Joon Y. Park

SEMIPARAMETRIC ESTIMATION OF DYNAMIC BINARY CHOICE PANEL DATA MODELS pp. 907-946

Fu Ouyang and Thomas Tao Yang

BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION pp. 947-976

Philipp Hermann and Hajo Holzmann

IDENTIFICATION AND STATISTICAL DECISION THEORY pp. 977-993

Charles F. Manski

Volume 41, issue 3, 2025

INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS pp. 489-550

Shengjie Hong, Liangjun Su and Yaqi Wang

ARE UNOBSERVABLES SEPARABLE? pp. 551-583

Andrii Babii and Jean-Pierre Florens

ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES pp. 584-616

Yayi Yan, Jiti Gao and Bin Peng

SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION pp. 617-659

Chaohua Dong and Yundong Tu

A NONPARAMETRIC TEST OF HETEROGENEITY IN CONDITIONAL QUANTILE TREATMENT EFFECTS pp. 660-687

Zongwu Cai, Ying Fang, Ming Lin and Shengfang Tang

COINTEGRATING POLYNOMIAL REGRESSIONS: ROBUSTNESS OF FULLY MODIFIED OLS pp. 688-708

Oliver Stypka, Martin Wagner, Peter Grabarczyk and Rafael Kawka

ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS pp. 709-738

Elia Lapenta and Pascal Lavergne

Volume 41, issue 2, 2025

VALID HETEROSKEDASTICITY ROBUST TESTING pp. 249-301

Benedikt Pötscher and David Preinerstorfer

NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY pp. 302-325

Fei Liu

SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES pp. 326-340

Daisuke Kurisu and Taisuke Otsu

THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS pp. 341-390

Yannick Hoga

PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA pp. 391-420

Christian Brownlees and Guđmundur Stefán Guđmundsson

RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM pp. 421-471

Han Hong and Jessie Li

INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS pp. 472-488

Bin Peng, Liangjun Su, Joakim Westerlund and Yanrong Yang

Volume 41, issue 1, 2025

A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS pp. 35-78

Jean-Yves Pitarakis

ALGORITHMIC SUBSAMPLING UNDER MULTIWAY CLUSTERING pp. 79-122

Harold D. Chiang, Jiatong Li and Yuya Sasaki

SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS pp. 123-170

Alev Atak, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM pp. 171-171

Alev Atak, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

IDENTIFICATION AND INFERENCE IN A QUANTILE REGRESSION DISCONTINUITY DESIGN UNDER RANK SIMILARITY WITH COVARIATES pp. 172-217

Zequn Jin, Yu Zhang, Zhengyu Zhang and Yahong Zhou

SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY pp. 218-248

Mika Meitz and Pentti Saikkonen