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Econometric Theory

1985 - 2018

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

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Volume 34, issue 06, 2018

STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE pp. 1159-1179 Downloads
Liudas Giraitis, Donatas Surgailis and Andrius Škarnulis
ROOT-N CONSISTENCY OF INTERCEPT ESTIMATORS IN A BINARY RESPONSE MODEL UNDER TAIL RESTRICTIONS pp. 1180-1206 Downloads
Lili Tan and Yichong Zhang
NONPARAMETRIC STOCHASTIC VOLATILITY pp. 1207-1255 Downloads
Federico M. Bandi and Roberto Renò
NONPARAMETRIC INSTRUMENTAL REGRESSION WITH ERRORS IN VARIABLES pp. 1256-1280 Downloads
Karun Adusumilli and Taisuke Otsu
NONPARAMETRIC TWO-STEP SIEVE M ESTIMATION AND INFERENCE pp. 1281-1324 Downloads
Jinyong Hahn, Zhipeng Liao and Geert Ridder
JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS pp. 1325-1369 Downloads
Cheng Hsiao and Qiankun Zhou
RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS pp. 1370-1382 Downloads
Dong Li and Wuqing Wu
BLOCK BOOTSTRAP CONSISTENCY UNDER WEAK ASSUMPTIONS pp. 1383-1406 Downloads
Gray Calhoun

Volume 34, issue 05, 2018

SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS pp. 949-984 Downloads
Jungbin Hwang and Yixiao Sun
STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS pp. 985-1017 Downloads
Tianxiao Pang, Terence Tai Leung Chong, Danna Zhang and Yanling Liang
TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES pp. 1018-1064 Downloads
Sokbae (Simon) Lee, Kyungchul Song and Yoon-Jae Whang
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS pp. 1065-1100 Downloads
Offer Lieberman and Peter C.B. Phillips
DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS pp. 1101-1131 Downloads
Jin Seo Cho and Halbert White
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS pp. 1132-1157 Downloads
Jiangyan Peng and Qiying Wang

Volume 34, issue 04, 2018

FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION pp. 705-753 Downloads
Peter Phillips and Shu-Ping Shi
SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY pp. 754-789 Downloads
Chaohua Dong and Jiti Gao
ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS pp. 790-814 Downloads
Ji Hyung Lee and Zhipeng Liao
CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH pp. 815-849 Downloads
Xia Wang and Yongmiao Hong
TESTING FOR HOMOGENEITY IN MIXTURE MODELS pp. 850-895 Downloads
Jiaying Gu, Roger Koenker and Stanislav Volgushev
ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES pp. 896-946 Downloads
Federico M. Bandi and Guillermo Moloche
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2015–2017 pp. 947-948 Downloads
Peter Phillips

Volume 34, issue 03, 2018

THE ET INTERVIEW: PROFESSOR W. ERWIN DIEWERT pp. 509-542 Downloads
Kevin Fox
NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF TRUNCATED REGRESSION MODELS WITH HETEROSKEDASTICITY pp. 543-573 Downloads
Songnian Chen, Xun Lu, Xianbo Zhou and Yahong Zhou
NONPARAMETRIC INSTRUMENTAL VARIABLES AND REGULAR ESTIMATION pp. 574-597 Downloads
Jinyong Hahn and Zhipeng Liao
ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES pp. 598-627 Downloads
Alessio Sancetta
THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS pp. 628-658 Downloads
Majid Al-Sadoon
NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS pp. 659-693 Downloads
Yingyao Hu and Ji-Liang Shiu
ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN pp. 694-703 Downloads
Vishal Kamat
RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM pp. 704-704 Downloads
Minsoo Jeong

Volume 34, issue 02, 2018

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION pp. 247-252 Downloads
Michael Jansson and Robert Taylor
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY pp. 253-276 Downloads
Peter Phillips
ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS pp. 277-301 Downloads
Matias Cattaneo, Michael Jansson and Whitney K. Newey
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS pp. 302-348 Downloads
Giuseppe Cavaliere, Iliyan Georgiev and Robert Taylor
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER pp. 349-382 Downloads
Giuseppe Cavaliere, Luca De Angelis, Anders Rahbek and Robert Taylor
EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS pp. 383-415 Downloads
Grant Hillier and Federico Martellosio
MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS pp. 416-446 Downloads
Kees Jan van Garderen and Fallaw Sowell
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS pp. 447-476 Downloads
Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor
A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS pp. 477-507 Downloads
Paulo Parente

Volume 34, issue 01, 2018

ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES pp. 1-22 Downloads
Wei Biao Wu and Paolo Zaffaroni
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY pp. 23-67 Downloads
Carlos Martins-Filho, Feng Yao and Maximo Torero
ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING pp. 68-111 Downloads
Norbert Christopeit and Michael Massmann
A GENERAL DOUBLE ROBUSTNESS RESULT FOR ESTIMATING AVERAGE TREATMENT EFFECTS pp. 112-133 Downloads
Tymon Słoczyński and Jeffrey M. Wooldridge
IDENTIFICATION OF JOINT DISTRIBUTIONS IN DEPENDENT FACTOR MODELS pp. 134-165 Downloads
Dan Ben-Moshe
CLOSED-FORM IDENTIFICATION OF DYNAMIC DISCRETE CHOICE MODELS WITH PROXIES FOR UNOBSERVED STATE VARIABLES pp. 166-185 Downloads
Yingyao Hu and Yuya Sasaki
ADAPTIVE TESTS OF CONDITIONAL MOMENT INEQUALITIES pp. 186-227 Downloads
Denis Chetverikov
SEMIPARAMETRIC EFFICIENCY FOR CENSORED LINEAR REGRESSION MODELS WITH HETEROSKEDASTIC ERRORS pp. 228-245 Downloads
Tao Chen

Volume 33, issue 06, 2017

SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS pp. 1265-1305 Downloads
Stefan Hoderlein, Lars Nesheim and Anna Simoni
ROBUST FORECAST COMPARISON pp. 1306-1351 Downloads
Sainan Jin, Valentina Corradi and Norman R. Swanson
TESTING FOR CHANGES IN KENDALL’S TAU pp. 1352-1386 Downloads
Herold Dehling, Daniel Vogel, Martin Wendler and Dominik Wied
UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION pp. 1387-1417 Downloads
James A. Duffy
INTEGRATED SCORE ESTIMATION pp. 1418-1456 Downloads
Sung Jae Jun, Joris Pinkse and Yuanyuan Wan
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS pp. 1457-1501 Downloads
Rasmus Tangsgaard Varneskov
HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS pp. 1502-1515 Downloads
Maddalena Cavicchioli

Volume 33, issue 05, 2017

Phoebus J. Dhrymes (1932–2016) pp. 1039-1045 Downloads
Aris Spanos and Peter Phillips
ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS pp. 1046-1080 Downloads
Donald W.K. Andrews and Patrik Guggenberger
LOCAL PARTITIONED QUANTILE REGRESSION pp. 1081-1120 Downloads
Zhengyu Zhang
CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES pp. 1121-1153 Downloads
Shin Kanaya
COMPLEMENTARITY AND IDENTIFICATION pp. 1154-1185 Downloads
Tate Twinam
IDENTIFIABILITY OF THE SIGN OF COVARIATE EFFECTS IN THE COMPETING RISKS MODEL pp. 1186-1217 Downloads
Simon M.S. Lo and Ralf Wilke
ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE pp. 1218-1241 Downloads
Hiroaki Kaido
A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS pp. 1242-1258 Downloads
Naoya Sueishi
KERNEL ESTIMATION WHEN DENSITY MAY NOT EXIST: A CORRIGENDUM pp. 1259-1263 Downloads
Zinde-Walsh, Victoria

Volume 33, issue 04, 2017

BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE pp. 791-838 Downloads
Ulrich Hounyo, Silvia Goncalves and Nour Meddahi
NONPARAMETRIC ESTIMATION OF SEMIPARAMETRIC TRANSFORMATION MODELS pp. 839-873 Downloads
Jean-Pierre Florens and Senay Sokullu
UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH pp. 874-914 Downloads
Shin Kanaya
CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES pp. 915-954 Downloads
Yannick Hoga
IDENTIFICATION OF PAIRED NONSEPARABLE MEASUREMENT ERROR MODELS pp. 955-979 Downloads
Yingyao Hu and Yuya Sasaki
ADAPTIVE BAYESIAN ESTIMATION OF CONDITIONAL DENSITIES pp. 980-1012 Downloads
Andriy Norets and Debdeep Pati
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL pp. 1013-1038 Downloads
Christian Hafner and Oliver Linton

Volume 33, issue 03, 2017

TRIBUTE TO T.W. ANDERSON pp. 529-533 Downloads
Peter Phillips
ADMISSIBLE SIGNIFICANCE TESTS IN SIMULTANEOUS EQUATION MODELS pp. 534-550 Downloads
Theodore W. Anderson
IDENTIFICATION OF DISCRETE CHOICE DYNAMIC PROGRAMMING MODELS WITH NONPARAMETRIC DISTRIBUTION OF UNOBSERVABLES pp. 551-577 Downloads
Le-Yu Chen
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP pp. 578-609 Downloads
Donald Poskitt, Gael M. Martin and Simone D. Grose
INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS pp. 610-635 Downloads
Koen Jochmans, Marc Henry and Bernard Salanié
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 636-663 Downloads
Jean-David Fermanian and Hassan Malongo
ON USING LINEAR QUANTILE REGRESSIONS FOR CAUSAL INFERENCE pp. 664-690 Downloads
Ryutah Kato and Yuya Sasaki
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 691-716 Downloads
Christian Hafner, Sébastien Laurent and Francesco Violante
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS pp. 717-738 Downloads
Stanislav Anatolyev and Pavel Yaskov
IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA pp. 739-754 Downloads
Jason Blevins
ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY pp. 755-778 Downloads
David Harris and Hsein Kew
RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT pp. 779-790 Downloads
Minsoo Jeong

Volume 33, issue 02, 2017

GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA pp. 263-291 Downloads
Xun Lu, Liangjun Su and Halbert White
GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS pp. 292-330 Downloads
Betina Berghaus and Axel Bücher
ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS pp. 331-365 Downloads
Bing-Yi Jing, Zhi Liu and Xin-Bing Kong
ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS pp. 366-412 Downloads
Lajos Horvath, Marie Hušková, Gregory Rice and Jia Wang
SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS pp. 413-438 Downloads
Indeewara Perera and Mervyn J. Silvapulle
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES pp. 439-478 Downloads
Eric Renault, Cisil Sarisoy and Bas J.M. Werker
EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION pp. 479-526 Downloads
Marine Carrasco and Rachidi Kotchoni

Volume 33, issue 01, 2017

ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX pp. 1-68 Downloads
David Preinerstorfer and Benedikt Pötscher
INSTRUMENTAL VARIABLES METHODS WITH HETEROGENEITY AND MISMEASURED INSTRUMENTS pp. 69-104 Downloads
Karim Chalak
SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION pp. 105-157 Downloads
David Kaplan and Yixiao Sun
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS pp. 158-195 Downloads
Hyungsik Roger Moon and Martin Weidner
IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA pp. 196-241 Downloads
Esteban M. Aucejo, Federico Bugni and V. Joseph Hotz
UNIFORM BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED QUANTILE REGRESSION: A REDISTRIBUTION-OF-MASS APPROACH pp. 242-261 Downloads
Efang Kong and Yingcun Xia
Page updated 2018-12-13