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Econometric Theory

1985 - 2020

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

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Volume 36, issue 5, 2020

REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES pp. 773-802 Downloads
Brendan K. 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 M. 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
Montiel Olea, José Luis

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

Volume 35, issue 6, 2019

COMBINING ESTIMATES OF CONDITIONAL TREATMENT EFFECTS pp. 1089-1110 Downloads
Craig A. Rolling, Yuhong Yang and Dagmar Velez
SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT pp. 1111-1145 Downloads
David Harris and Brendan McCabe
TESTING GENERALIZED REGRESSION MONOTONICITY pp. 1146-1200 Downloads
Yu-Chin Hsu, Chu-An Liu and Xiaoxia Shi
TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT pp. 1201-1233 Downloads
Fabrizio Iacone, Stephen Leybourne and Robert Taylor
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES pp. 1234-1270 Downloads
Sebastien Fries and Jean-Michel Zakoian

Volume 35, issue 5, 2019

INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS pp. 901-942 Downloads
Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov
STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL pp. 943-977 Downloads
Yu-Ning Li, Yi Zhang and Caiya Zhang
COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS pp. 978-1011 Downloads
Katsuto Tanaka
TESTING GARCH-X TYPE MODELS pp. 1012-1047 Downloads
Pedersen, Rasmus Søndergaard and Anders Rahbek
PROPERTIES OF DOUBLY ROBUST ESTIMATORS WHEN NUISANCE FUNCTIONS ARE ESTIMATED NONPARAMETRICALLY pp. 1048-1087 Downloads
Christoph Rothe and Sergio Firpo

Volume 35, issue 4, 2019

TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS pp. 729-776 Downloads
Denis Chetverikov
DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS pp. 777-815 Downloads
Guannan Liu, Wei Long, Xinyu Zhang and Qi Li
INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS pp. 816-841 Downloads
Xinyu Zhang and Chu-An Liu
ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING pp. 842-899 Downloads
Ryan Greenaway-McGrevy

Volume 35, issue 3, 2019

THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS pp. 465-509 Downloads
Christian Hansen and Yuan Liao
CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS pp. 510-546 Downloads
Norbert Henze, Jiménez–Gamero, M. Dolores and Simos G. Meintanis
A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN pp. 547-600 Downloads
Javier Hidalgo and Pedro C. L. Souza
HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA pp. 601-629 Downloads
Seunghwa Rho and Timothy J. Vogelsang
LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS pp. 630-652 Downloads
Karim M. Abadir and Adriana Cornea-Madeira
BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES pp. 653-683 Downloads
Soren Johansen and Bent Nielsen

Volume 35, issue 2, 2019

UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS pp. 295-359 Downloads
Anders Bredahl Kock and Haihan Tang
A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA pp. 360-416 Downloads
Ulrich Hounyo
ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES pp. 417-463 Downloads
Abhimanyu Gupta

Volume 35, issue 1, 2019

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES pp. 37-72 Downloads
Christian Francq and Le Quyen Thieu
ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY pp. 73-110 Downloads
Anne Vanhems and Ingrid Van Keilegom
A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS pp. 111-141 Downloads
David T. Frazier
BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS pp. 142-166 Downloads
Yeonwoo Rho and Xiaofeng Shao
DYNAMIC ASSET CORRELATIONS BASED ON VINES pp. 167-197 Downloads
Benjamin Poignard and Jean-David Fermanian
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL pp. 198-231 Downloads
Weilin Xiao and Jun Yu
Page updated 2020-10-31