Econometric Theory

1985 - 2026

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 42, issue 1, 2026

A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES pp. 5-62

Qiying Wang and Peter C. B. Phillips

NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA pp. 63-100

Ruijun Bu, Degui Li, Oliver Linton and Hanchao Wang

OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION pp. 101-134

Shoukun Jiao, Wenchao Xu, Wuyi Ye and Xinyu Zhang

THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS pp. 135-191

Majid M. Al-Sadoon

A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL pp. 192-245

Menelaos Karanasos, Alexandros G. Paraskevopoulos, Tassos Magdalinos and Alessandra Canepa

Volume 41, issue 4, 2025

SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS pp. 779-816

Alexei Onatski and Chen Wang

TIME-VARYING PARAMETER REGRESSIONS WITH STATIONARY PERSISTENT DATA pp. 817-843

Zhishui Hu, Ioannis Kasparis and Qiying Wang

AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS pp. 844-906

Minsoo Jeong and Joon Y. Park

SEMIPARAMETRIC ESTIMATION OF DYNAMIC BINARY CHOICE PANEL DATA MODELS pp. 907-946

Fu Ouyang and Thomas Tao Yang

BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION pp. 947-976

Philipp Hermann and Hajo Holzmann

IDENTIFICATION AND STATISTICAL DECISION THEORY pp. 977-993

Charles F. Manski

Volume 41, issue 3, 2025

INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS pp. 489-550

Shengjie Hong, Liangjun Su and Yaqi Wang

ARE UNOBSERVABLES SEPARABLE? pp. 551-583

Andrii Babii and Jean-Pierre Florens

ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES pp. 584-616

Yayi Yan, Jiti Gao and Bin Peng

SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION pp. 617-659

Chaohua Dong and Yundong Tu

A NONPARAMETRIC TEST OF HETEROGENEITY IN CONDITIONAL QUANTILE TREATMENT EFFECTS pp. 660-687

Zongwu Cai, Ying Fang, Ming Lin and Shengfang Tang

COINTEGRATING POLYNOMIAL REGRESSIONS: ROBUSTNESS OF FULLY MODIFIED OLS pp. 688-708

Oliver Stypka, Martin Wagner, Peter Grabarczyk and Rafael Kawka

ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS pp. 709-738

Elia Lapenta and Pascal Lavergne

Volume 41, issue 2, 2025

VALID HETEROSKEDASTICITY ROBUST TESTING pp. 249-301

Benedikt Pötscher and David Preinerstorfer

NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY pp. 302-325

Fei Liu

SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES pp. 326-340

Daisuke Kurisu and Taisuke Otsu

THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS pp. 341-390

Yannick Hoga

PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA pp. 391-420

Christian Brownlees and Guđmundur Stefán Guđmundsson

RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM pp. 421-471

Han Hong and Jessie Li

INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS pp. 472-488

Bin Peng, Liangjun Su, Joakim Westerlund and Yanrong Yang

Volume 41, issue 1, 2025

A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS pp. 35-78

Jean-Yves Pitarakis

ALGORITHMIC SUBSAMPLING UNDER MULTIWAY CLUSTERING pp. 79-122

Harold D. Chiang, Jiatong Li and Yuya Sasaki

SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS pp. 123-170

Alev Atak, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM pp. 171-171

Alev Atak, Thomas Tao Yang, Yonghui Zhang and Qiankun Zhou

IDENTIFICATION AND INFERENCE IN A QUANTILE REGRESSION DISCONTINUITY DESIGN UNDER RANK SIMILARITY WITH COVARIATES pp. 172-217

Zequn Jin, Yu Zhang, Zhengyu Zhang and Yahong Zhou

SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY pp. 218-248

Mika Meitz and Pentti Saikkonen

Volume 40, issue 6, 2024

FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES pp. 1211-1252

Anders Kock, David Preinerstorfer and Bezirgen Veliyev

SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY pp. 1253-1310

Mathieu Marcoux

INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS pp. 1311-1363

Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht

NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS pp. 1364-1390

Rustam Ibragimov, Jihyun Kim and Anton Skrobotov

NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS pp. 1391-1421

Junlong Feng

INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT pp. 1422-1455

Christian Francq, Baye Matar Kandji and Jean-Michel Zakoian

Volume 40, issue 3, 2024

TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM pp. 511-557

Zhonghao Fu, Shang Gao, Liangjun Su and Xia Wang

KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING pp. 558-607

José E. Figueroa-López and Bei Wu

TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS pp. 608-651

Yoonseok Lee and Yulong Wang

AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS pp. 652-687

Ruoyao Shi

SUPERCONSISTENCY OF TESTS IN HIGH DIMENSIONS pp. 688-704

Anders Bredahl Kock and David Preinerstorfer

Volume 40, issue 2, 2024

ANALYSIS OF GLOBAL AND LOCAL OPTIMA OF REGULARIZED QUANTILE REGRESSION IN HIGH DIMENSIONS: A SUBGRADIENT APPROACH pp. 233-277

Lan Wang and Xuming He

CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE pp. 278-319

Abhimanyu Gupta and Xi Qu

A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES pp. 320-359

Thorsten Hohage, Pierre Maréchal, Leopold Simar and Anne Vanhems

REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS pp. 360-418

Marine Carrasco and Ada Nayihouba

TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS pp. 419-446

Liang Chen

A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS pp. 447-470

Yukitoshi Matsushita and Taisuke Otsu

Volume 40, issue 1, 2024

SIMPLE SEMIPARAMETRIC ESTIMATION OF ORDERED RESPONSE MODELS pp. 1-36

Ruixuan Liu and Zhengfei Yu

RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS pp. 37-59

Chan Shen and Roger Klein

INFERENCE ON A DISTRIBUTION FROM NOISY DRAWS pp. 60-97

Koen Jochmans and Martin Weidner

SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION pp. 98-161

Jaedo Choi, Hyungsik Roger Moon and Jin Seo Cho

CENTRAL LIMIT THEORY FOR COMBINED CROSS SECTION AND TIME SERIES WITH AN APPLICATION TO AGGREGATE PRODUCTIVITY SHOCKS pp. 162-212

Jinyong Hahn, Guido Kuersteiner and Maurizio Mazzocco

ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY pp. 213-232

Deborah Kim