Econometric Theory

1985 - 2025

From Cambridge University Press
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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 M. 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

Volume 40, issue 6, 2024

FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES pp. 1211-1252

Anders Bredahl Kock, David Preinerstorfer and Bezirgen Veliyev

SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY pp. 1253-1310

Mathieu Marcoux

INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS pp. 1311-1363

Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht

NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS pp. 1364-1390

Rustam Ibragimov, Jihyun Kim and Anton Skrobotov

NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS pp. 1391-1421

Junlong Feng

INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT pp. 1422-1455

Christian Francq, Baye Matar Kandji and Jean-Michel Zakoian

Volume 40, issue 3, 2024

TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM pp. 511-557

Zhonghao Fu, Shang Gao, Liangjun Su and Xia Wang

KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING pp. 558-607

José E. Figueroa-López and Bei Wu

TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS pp. 608-651

Yoonseok Lee and Yulong Wang

AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS pp. 652-687

Ruoyao Shi

SUPERCONSISTENCY OF TESTS IN HIGH DIMENSIONS pp. 688-704

Anders Bredahl Kock and David Preinerstorfer

Volume 40, issue 2, 2024

ANALYSIS OF GLOBAL AND LOCAL OPTIMA OF REGULARIZED QUANTILE REGRESSION IN HIGH DIMENSIONS: A SUBGRADIENT APPROACH pp. 233-277

Lan Wang and Xuming He

CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE pp. 278-319

Abhimanyu Gupta and Xi Qu

A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES pp. 320-359

Thorsten Hohage, Pierre Maréchal, Leopold Simar and Anne Vanhems

REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS pp. 360-418

Marine Carrasco and Ada Nayihouba

TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS pp. 419-446

Liang Chen

A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS pp. 447-470

Yukitoshi Matsushita and Taisuke Otsu

Volume 40, issue 1, 2024

SIMPLE SEMIPARAMETRIC ESTIMATION OF ORDERED RESPONSE MODELS pp. 1-36

Ruixuan Liu and Zhengfei Yu

RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS pp. 37-59

Chan Shen and Roger Klein

INFERENCE ON A DISTRIBUTION FROM NOISY DRAWS pp. 60-97

Koen Jochmans and Martin Weidner

SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION pp. 98-161

Jaedo Choi, Hyungsik Roger Moon and Jin Seo Cho

CENTRAL LIMIT THEORY FOR COMBINED CROSS SECTION AND TIME SERIES WITH AN APPLICATION TO AGGREGATE PRODUCTIVITY SHOCKS pp. 162-212

Jinyong Hahn, Guido Kuersteiner and Maurizio Mazzocco

ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY pp. 213-232

Deborah Kim

Volume 39, issue 6, 2023

GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER pp. 1093-1096

Manfred Deistler, Hannes Leeb and Ingmar Prucha

UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING pp. 1097-1122

Nicolai Amann and Ulrike Schneider

ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES pp. 1123-1153

Rainer Dahlhaus and Stefan Richter

SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS pp. 1154-1201

David Drukker, Peter Egger and Ingmar Prucha

UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK pp. 1202-1248

Arun K. Kuchibhotla, Lawrence D. Brown, Andreas Buja, Edward I. George and Linda Zhao

STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA pp. 1249-1272

Hannes Leeb and Lukas Steinberger

VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS pp. 1273-1291

Marco Lippi

HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION pp. 1292-1324

David Preinerstorfer

OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION pp. 1325-1337

Qiying Wang and Peter Phillips

Volume 39, issue 5, 2023

LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION pp. 900-949

Peter Phillips and Ying Wang

NONPARAMETRIC PREDICTION WITH SPATIAL DATA pp. 950-988

Abhimanyu Gupta and Javier Hidalgo

ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS pp. 989-1008

Luca Mucciante and Alessio Sancetta

SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL pp. 1009-1043

Shuo Li, Liuhua Peng and Xiaojun Song

IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR pp. 1044-1066

Jinyong Hahn, Zhipeng Liao and Geert Ridder

LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS pp. 1067-1092

Christian Francq and Jean-Michel Zakoian

Volume 39, issue 4, 2023

BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA pp. 659-692

Sven Otto and Jörg Breitung

SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES pp. 693-736

Martin Schumann

COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES pp. 737-788

Won-Ki Seo

HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS? pp. 789-847

Benedikt Pötscher and David Preinerstorfer

HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? pp. 848-880

Christian Y. Robert

Volume 39, issue 3, 2023

INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES pp. 443-480

Morten Nielsen, Won-Ki Seo and Dakyung Seong

NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS pp. 481-533

Siddhartha Chib, Edward Greenberg and Anna Simoni

ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH pp. 534-581

Zhonghao Fu, Yongmiao Hong and Xia Wang

TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA pp. 582-622

Yu-Chin Hsu, Ta-Cheng Huang and Haiqing Xu

POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA pp. 623-658

Harold D. Chiang, Joel Rodrigue and Yuya Sasaki

Volume 39, issue 2, 2023

ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS pp. 221-263

Peter Phillips

A WILD BOOTSTRAP FOR DEPENDENT DATA pp. 264-289

Ulrich Hounyo

A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS pp. 290-320

Zheng Fang, Qi Li and Karen Yan

ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS pp. 321-356

Joris Pinkse and Karl Schurter

NONPARAMETRIC ESTIMATION OF GENERALIZED TRANSFORMATION MODELS WITH FIXED EFFECTS pp. 357-388

Songnian Chen, Xun Lu and Xi Wang

A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK pp. 389-411

Yohei Yamamoto and Tetsushi Horie

AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS pp. 412-441

Fang Fang, Chaoxia Yuan and Wenling Tian

Volume 39, issue 1, 2023

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL pp. 27-69

Yanqin Fan and Xuetao Shi

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS pp. 70-106

Eric Ghysels, Per Mykland and Eric Renault

CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS pp. 107-145

Maria Kyriacou, Peter Phillips and Francesca Rossi

COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS pp. 146-188

Ji Hyung Lee and Youngki Shin

STRETCHING THE NET: MULTIDIMENSIONAL REGULARIZATION pp. 189-218

Jaume Vives-i-Bastida

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS — CORRIGENDUM pp. 219-219

Jiaying Gu, Jinyong Hahn and Kyoo Il Kim