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Econometric Theory

1985 - 2021

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

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Volume 37, issue 5, 2021

NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION pp. 851-891 Downloads
Juan Carlos Escanciano, Stefan Hoderlein, Arthur Lewbel, Oliver Linton and Sorawoot Srisuma
NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS pp. 892-925 Downloads
Rongmao Zhang and Ngai Hang Chan
ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS pp. 926-958 Downloads
Jihyun Kim, Joon Y. Park and Bin Wang
A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS pp. 959-1003 Downloads
Feng Yao and Taining Wang
AVERAGE DERIVATIVE ESTIMATION UNDER MEASUREMENT ERROR pp. 1004-1033 Downloads
Hao Dong, Taisuke Otsu and Luke Taylor
LIMIT THEOREMS FOR FACTOR MODELS pp. 1034-1074 Downloads
Stanislav Anatolyev and Anna Mikusheva

Volume 37, issue 4, 2021

IDENTIFICATION OF LINEAR REGRESSIONS WITH ERRORS IN ALL VARIABLES pp. 633-663 Downloads
Dan Ben-Moshe
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS pp. 664-707 Downloads
Jia Li and Yunxiao Liu
LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS pp. 708-746 Downloads
Xiaoyi Han, Lung-Fei Lee and Xingbai Xu
SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS pp. 747-768 Downloads
Taisuke Otsu and Luke Taylor
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS pp. 769-793 Downloads
Mehdi Hosseinkouchack and Matei Demetrescu
FACTORISABLE MULTITASK QUANTILE REGRESSION pp. 794-816 Downloads
Shih-Kang Chao, Wolfgang Härdle and Ming Yuan
PARTIAL IDENTIFICATION OF NONSEPARABLE MODELS USING BINARY INSTRUMENTS pp. 817-848 Downloads
Takuya Ishihara

Volume 37, issue 2, 2021

COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS pp. 248-280 Downloads
Abdelhakim Aknouche and Christian Francq
INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS pp. 281-310 Downloads
Federico Crudu, Giovanni Mellace and Zsolt Sándor
INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS pp. 311-345 Downloads
Byunghoon Kang
ROBUSTIFIED EXPECTED MAXIMUM PRODUCTION FRONTIERS pp. 346-387 Downloads
Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar
A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING pp. 388-407 Downloads
Xinyu Zhang

Volume 37, issue 1, 2021

OPTIMAL AUXILIARY PRIORS AND REVERSIBLE JUMP PROPOSALS FOR A CLASS OF VARIABLE DIMENSION MODELS pp. 49-81 Downloads
Andriy Norets
NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS pp. 82-137 Downloads
Natalia Sizova
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION pp. 138-168 Downloads
Qiying Wang, Peter Phillips and Ioannis Kasparis
INSTRUMENTAL VARIABLE QUANTILE REGRESSION WITH MISCLASSIFICATION pp. 169-204 Downloads
Takuya Ura

Volume 36, issue 6, 2020

RANDOMIZATION TESTS OF COPULA SYMMETRY pp. 1025-1063 Downloads
Brendan Beare and Juwon Seo
EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES pp. 1064-1098 Downloads
Josu Arteche
OPTIMAL MULTISTEP VAR FORECAST AVERAGING pp. 1099-1126 Downloads
Jen-Che Liao and Wen-Jen Tsay
TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION pp. 1127-1158 Downloads
Liangjun Su and Xia Wang
A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS pp. 1159-1166 Downloads
Koen Jochmans
QUANTILE TREATMENT EFFECTS IN REGRESSION KINK DESIGNS pp. 1167-1191 Downloads
Heng Chen, Harold D. Chiang and Yuya Sasaki

Volume 36, issue 5, 2020

REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES pp. 773-802 Downloads
Brendan Beare and Won-Ki Seo
COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES pp. 803-839 Downloads
Massimo Franchi and Paolo Paruolo
A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION pp. 840-870 Downloads
Neslihan Sakarya and Robert de Jong
TESTING A PARAMETRIC TRANSFORMATION MODEL VERSUS A NONPARAMETRIC ALTERNATIVE pp. 871-906 Downloads
Arkadiusz Szydłowski
A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES pp. 907-960 Downloads
Jonathan B. Hill and Kaiji Motegi
A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER pp. 961-981 Downloads
Hiroshi Yamada

Volume 36, issue 4, 2020

ASYMPTOTIC THEORY FOR KERNEL ESTIMATORS UNDER MODERATE DEVIATIONS FROM A UNIT ROOT, WITH AN APPLICATION TO THE ASYMPTOTIC SIZE OF NONPARAMETRIC TESTS pp. 559-582 Downloads
James A. Duffy
SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION pp. 583-625 Downloads
Christoph Breunig
LIKELIHOOD INFERENCE ON SEMIPARAMETRIC MODELS WITH GENERATED REGRESSORS pp. 626-657 Downloads
Yukitoshi Matsushita and Taisuke Otsu
HONEST CONFIDENCE SETS IN NONPARAMETRIC IV REGRESSION AND OTHER ILL-POSED MODELS pp. 658-706 Downloads
Andrii Babii
A NEW MULTILEVEL MODELING APPROACH FOR CLUSTERED SURVIVAL DATA pp. 707-750 Downloads
Jinfeng Xu, Mu Yue and Wenyang Zhang
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS pp. 751-772 Downloads
Javier Hualde and Morten Nielsen

Volume 36, issue 3, 2020

IDENTIFICATION AND ESTIMATION IN A THIRD-PRICE AUCTION MODEL pp. 386-409 Downloads
Andreea Enache and Jean-Pierre Florens
IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS pp. 410-456 Downloads
Wenxin Huang, Sainan Jin and Liangjun Su
QUANTILOGRAMS UNDER STRONG DEPENDENCE pp. 457-487 Downloads
Ji Hyung Lee, Oliver Linton and Yoon-Jae Whang
ON EFFICIENCY GAINS FROM MULTIPLE INCOMPLETE SUBSAMPLES pp. 488-525 Downloads
Saraswata Chaudhuri
LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE pp. 526-558 Downloads
Qingliang (Michael) Fan, Xiao Han, Guangming Pan and Bibo Jiang

Volume 36, issue 2, 2020

ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS pp. 185-222 Downloads
Peter M. Robinson and Carlos Velasco
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS pp. 223-249 Downloads
Jiti Gao, Oliver Linton and Bin Peng
NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY pp. 250-291 Downloads
Zhenyu Cui, Justin Lars Kirkby and Duy Nguyen
SMOOTHED QUANTILE REGRESSION PROCESSES FOR BINARY RESPONSE MODELS pp. 292-330 Downloads
Stanislav Volgushev
NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS pp. 331-346 Downloads
Johannes Ruf and James Lewis Wolter
ADMISSIBLE, SIMILAR TESTS: A CHARACTERIZATION pp. 347-366 Downloads
José Luis Montiel Olea

Volume 36, issue 1, 2020

CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS pp. 1-47 Downloads
Vanessa Berenguer-Rico and Bent Nielsen
SEMIPARAMETRIC ESTIMATION OF CENSORED SPATIAL AUTOREGRESSIVE MODELS pp. 48-85 Downloads
Tadao Hoshino
ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS pp. 86-121 Downloads
Guillaume Chevillon, Sophocles Mavroeidis and Zhaoguo Zhan
SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY pp. 122-169 Downloads
David Harvey, Stephen J. Leybourne and Yang Zu
THE SUM OF THE RECIPROCAL OF THE RANDOM WALK pp. 170-183 Downloads
Jon Michel and Robert de Jong
Page updated 2021-11-27