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Econometric Theory

1985 - 2022

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

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Volume 38, issue 5, 2022

GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS pp. 841-844 Downloads
D.W.K. Andrews, Y. Kitamura and G. Kuersteiner
INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY pp. 845-874 Downloads
Xu Cheng, Xu Han and Atsushi Inoue
LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS pp. 875-912 Downloads
Tassos Magdalinos
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION pp. 913-941 Downloads
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS pp. 942-958 Downloads
Jinyong Hahn, Guido Kuersteiner and Maurizio Mazzocco
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS pp. 959-985 Downloads
Mika Meitz and Pentti Saikkonen
TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION pp. 986-1013 Downloads
Brendan K. Beare, Won-Ki Seo and Alexis Akira Toda
ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM pp. 1014-1067 Downloads
Oliver B. Linton and Haihan Tang

Volume 38, issue 4, 2022

IDENTIFICATION AND ESTIMATION IN A CORRELATED RANDOM COEFFICIENTS TRANSFORMATION MODEL pp. 621-688 Downloads
Zhengyu Zhang, Zequn Jin and Beili Mu
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS pp. 689-751 Downloads
Maurice J.G. Bun and Frank Kleibergen
BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES pp. 752-792 Downloads
Wai Leong Ng, Shenyi Pan and Chun Yip Yau
QUANTILE DOUBLE AUTOREGRESSION pp. 793-839 Downloads
Qianqian Zhu and Guodong Li

Volume 38, issue 3, 2022

TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS pp. 419-453 Downloads
Hiroshi Yamada
NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS pp. 454-496 Downloads
Hao Dong and Luke Taylor
NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE pp. 497-535 Downloads
Ying-Ying Lee
TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL pp. 536-561 Downloads
Yaolan Ma, Mo Zhou, Liang Peng and Rongmao Zhang
ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION pp. 562-595 Downloads
Andros Kourtellos, Thanasis Stengos and Yiguo Sun
CONSTRAINT QUALIFICATIONS IN PARTIAL IDENTIFICATION pp. 596-619 Downloads
Hiroaki Kaido, Francesca Molinari and Jörg Stoye

Volume 38, issue 2, 2022

SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET pp. 209-272 Downloads
Lajos Horvath, Zhenya Liu and Shanglin Lu
TAIL DEPENDENCE OF OLS pp. 273-300 Downloads
Jochem Oorschot and Chen Zhou
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION pp. 301-338 Downloads
Juan Carlos Escanciano
NEGATIVE POWERS OF INTEGRATED PROCESSES pp. 339-369 Downloads
Neslihan Sakarya and Robert M. de Jong
ON THE REPRESENTATION OF THE NESTED LOGIT MODEL pp. 370-380 Downloads
Alfred Galichon
ON THE CONVERGENCE RATE OF POTENTIALS OF BRENIER MAPS pp. 381-417 Downloads
Florian F. Gunsilius

Volume 38, issue 1, 2022

CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH pp. 1-34 Downloads
Muneya Matsui and Rasmus Søndergaard Pedersen
GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS pp. 35-65 Downloads
Alessandro Casini and Pierre Perron
ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS pp. 66-112 Downloads
Yuya Sasaki and Takuya Ura
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA pp. 113-171 Downloads
Sébastien Laurent and Shuping Shi
ON THE UNIFORM CONVERGENCE OF DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS pp. 172-193 Downloads
Daisuke Kurisu and Taisuke Otsu
ON SMOOTH TESTS FOR THE EQUALITY OF DISTRIBUTIONS pp. 194-208 Downloads
Xiaojun Song and Zhijie Xiao

Volume 37, issue 6, 2021

NONLINEAR PANEL DATA MODELS WITH DISTRIBUTION-FREE CORRELATED RANDOM EFFECTS pp. 1075-1099 Downloads
Yu-Chin Hsu and Ji-Liang Shiu
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS pp. 1100-1134 Downloads
Yiannis Dendramis, Liudas Giraitis and George Kapetanios
ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS pp. 1135-1172 Downloads
Zinsou Max Debaly and Lionel Truquet
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY pp. 1173-1213 Downloads
Zhishui Hu, Peter Phillips and Qiying Wang
RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD pp. 1214-1237 Downloads
Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
A MULTIPLEX INTERDEPENDENT DURATIONS MODEL pp. 1238-1266 Downloads
Zhongjian Lin and Ruixuan Liu
LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY pp. 1267-1289 Downloads
Qiying Wang

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 3, 2021

WEAK-IDENTIFICATION ROBUST WILD BOOTSTRAP APPLIED TO A CONSISTENT MODEL SPECIFICATION TEST pp. 409-463 Downloads
Jonathan B. Hill
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT pp. 464-494 Downloads
Carolina Caetano and Juan Carlos Escanciano
AN ADAPTIVE TEST OF STOCHASTIC MONOTONICITY pp. 495-536 Downloads
Denis Chetverikov, Daniel Wilhelm and Dongwoo Kim
INFERENCE IN DYNAMIC, NONPARAMETRIC MODELS OF PRODUCTION: CENTRAL LIMIT THEOREMS FOR MALMQUIST INDICES pp. 537-572 Downloads
Alois Kneip, Leopold Simar and Paul Wilson
EFFICIENT TWO-STEP GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION AND TESTS WITH MARTINGALE DIFFERENCES pp. 573-612 Downloads
Fei Jin and Lung-fei Lee
LOCAL COMPOSITE QUANTILE REGRESSION SMOOTHING: A FLEXIBLE DATA STRUCTURE AND CROSS-VALIDATION pp. 613-631 Downloads
Xiao Huang and Zhongjian Lin

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
Page updated 2022-12-04