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Econometric Theory

1985 - 2023

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

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Volume 39, issue 6, 2023

GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER pp. 1093-1096 Downloads
Manfred Deistler, Hannes Leeb and Ingmar Prucha
UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING pp. 1097-1122 Downloads
Nicolai Amann and Ulrike Schneider
ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES pp. 1123-1153 Downloads
Rainer Dahlhaus and Stefan Richter
SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS pp. 1154-1201 Downloads
David M. Drukker, Peter Egger and Ingmar R. Prucha
UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK pp. 1202-1248 Downloads
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 Downloads
Hannes Leeb and Lukas Steinberger
VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS pp. 1273-1291 Downloads
Marco Lippi
HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION pp. 1292-1324 Downloads
David Preinerstorfer
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION pp. 1325-1337 Downloads
Qiying Wang and Peter Phillips

Volume 39, issue 5, 2023

LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION pp. 900-949 Downloads
Peter Phillips and Ying Wang
NONPARAMETRIC PREDICTION WITH SPATIAL DATA pp. 950-988 Downloads
Abhimanyu Gupta and Javier Hidalgo
ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS pp. 989-1008 Downloads
Luca Mucciante and Alessio Sancetta
SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL pp. 1009-1043 Downloads
Shuo Li, Liuhua Peng and Xiaojun Song
IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR pp. 1044-1066 Downloads
Jinyong Hahn, Zhipeng Liao and Geert Ridder
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS pp. 1067-1092 Downloads
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 Downloads
Sven Otto and Jörg Breitung
SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES pp. 693-736 Downloads
Martin Schumann
COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES pp. 737-788 Downloads
Won-Ki Seo
HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS? pp. 789-847 Downloads
Benedikt Pötscher and David Preinerstorfer
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? pp. 848-880 Downloads
Christian Y. Robert

Volume 39, issue 3, 2023

INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES pp. 443-480 Downloads
Morten Nielsen, Won-Ki Seo and Dakyung Seong
NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS pp. 481-533 Downloads
Siddhartha Chib, Edward Greenberg and Anna Simoni
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH pp. 534-581 Downloads
Zhonghao Fu, Yongmiao Hong and Xia Wang
TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA pp. 582-622 Downloads
Yu-Chin Hsu, Ta-Cheng Huang and Haiqing Xu
POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA pp. 623-658 Downloads
Harold D. Chiang, Joel Rodrigue and Yuya Sasaki

Volume 39, issue 2, 2023

ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS pp. 221-263 Downloads
Peter Phillips
A WILD BOOTSTRAP FOR DEPENDENT DATA pp. 264-289 Downloads
Ulrich Hounyo
A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS pp. 290-320 Downloads
Zheng Fang, Qi Li and Karen Yan
ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS pp. 321-356 Downloads
Joris Pinkse and Karl Schurter
NONPARAMETRIC ESTIMATION OF GENERALIZED TRANSFORMATION MODELS WITH FIXED EFFECTS pp. 357-388 Downloads
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 Downloads
Yohei Yamamoto and Tetsushi Horie
AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS pp. 412-441 Downloads
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 Downloads
Yanqin Fan and Xuetao Shi
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS pp. 70-106 Downloads
Eric Ghysels, Per Mykland and Eric Renault
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS pp. 107-145 Downloads
Maria Kyriacou, Peter Phillips and Francesca Rossi
COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS pp. 146-188 Downloads
Ji Hyung Lee and Youngki Shin
STRETCHING THE NET: MULTIDIMENSIONAL REGULARIZATION pp. 189-218 Downloads
Jaume Vives-i-Bastida
THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS — CORRIGENDUM pp. 219-219 Downloads
Jiaying Gu, Jinyong Hahn and Kyoo Il Kim

Volume 38, issue 6, 2022

GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS pp. 1069-1072 Downloads
D.W.K. Andrews, Y. Kitamura and Guido Kuersteiner
A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS pp. 1073-1091 Downloads
Grigory Franguridi and Hyungsik Roger Moon
PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX pp. 1092-1116 Downloads
Grant Hillier and Raymond Kan
IDENTIFICATION OF REGRESSION MODELS WITH A MISCLASSIFIED AND ENDOGENOUS BINARY REGRESSOR pp. 1117-1139 Downloads
Hiroyuki Kasahara and Katsumi Shimotsu
AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY pp. 1140-1174 Downloads
Matias Cattaneo and Michael Jansson
SPECTRAL FINANCIAL ECONOMETRICS pp. 1175-1220 Downloads
Federico M. Bandi and Andrea Tamoni
A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK pp. 1221-1252 Downloads
Kyungchul Song
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS pp. 1253-1307 Downloads
Torben Andersen and Rasmus T. Varneskov

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 Guido 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 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 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
Page updated 2024-03-02