Econometric Theory

1985 - 2024

From Cambridge University Press
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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

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

Grigory Franguridi and Hyungsik Roger Moon

PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX pp. 1092-1116

Grant Hillier and Raymond Kan

IDENTIFICATION OF REGRESSION MODELS WITH A MISCLASSIFIED AND ENDOGENOUS BINARY REGRESSOR pp. 1117-1139

Hiroyuki Kasahara and Katsumi Shimotsu

AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY pp. 1140-1174

Matias Cattaneo and Michael Jansson

SPECTRAL FINANCIAL ECONOMETRICS pp. 1175-1220

Federico M. Bandi and Andrea Tamoni

A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK pp. 1221-1252

Kyungchul Song

CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS pp. 1253-1307

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

D.W.K. Andrews, Y. Kitamura and Guido Kuersteiner

INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY pp. 845-874

Xu Cheng, Xu Han and Atsushi Inoue

LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS pp. 875-912

Tassos Magdalinos

ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION pp. 913-941

Violetta Dalla, Liudas Giraitis and Peter Phillips

JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS pp. 942-958

Jinyong Hahn, Guido Kuersteiner and Maurizio Mazzocco

SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS pp. 959-985

Mika Meitz and Pentti Saikkonen

TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION pp. 986-1013

Brendan Beare, Won-Ki Seo and Alexis Akira Toda

ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM pp. 1014-1067

Oliver Linton and Haihan Tang

Volume 38, issue 4, 2022

IDENTIFICATION AND ESTIMATION IN A CORRELATED RANDOM COEFFICIENTS TRANSFORMATION MODEL pp. 621-688

Zhengyu Zhang, Zequn Jin and Beili Mu

IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS pp. 689-751

Maurice J.G. Bun and Frank Kleibergen

BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES pp. 752-792

Wai Leong Ng, Shenyi Pan and Chun Yip Yau

QUANTILE DOUBLE AUTOREGRESSION pp. 793-839

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

Hiroshi Yamada

NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS pp. 454-496

Hao Dong and Luke Taylor

NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE pp. 497-535

Ying-Ying Lee

TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL pp. 536-561

Yaolan Ma, Mo Zhou, Liang Peng and Rongmao Zhang

ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION pp. 562-595

Andros Kourtellos, Thanasis Stengos and Yiguo Sun

CONSTRAINT QUALIFICATIONS IN PARTIAL IDENTIFICATION pp. 596-619

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

Lajos Horvath, Zhenya Liu and Shanglin Lu

TAIL DEPENDENCE OF OLS pp. 273-300

Jochem Oorschot and Chen Zhou

SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION pp. 301-338

Juan Carlos Escanciano

NEGATIVE POWERS OF INTEGRATED PROCESSES pp. 339-369

Neslihan Sakarya and Robert M. de Jong

ON THE REPRESENTATION OF THE NESTED LOGIT MODEL pp. 370-380

Alfred Galichon

ON THE CONVERGENCE RATE OF POTENTIALS OF BRENIER MAPS pp. 381-417

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

Muneya Matsui and Rasmus Søndergaard Pedersen

GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS pp. 35-65

Alessandro Casini and Pierre Perron

ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS pp. 66-112

Yuya Sasaki and Takuya Ura

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA pp. 113-171

Sébastien Laurent and Shuping Shi

ON THE UNIFORM CONVERGENCE OF DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS pp. 172-193

Daisuke Kurisu and Taisuke Otsu

ON SMOOTH TESTS FOR THE EQUALITY OF DISTRIBUTIONS pp. 194-208

Xiaojun Song and Zhijie Xiao

Volume 37, issue 6, 2021

NONLINEAR PANEL DATA MODELS WITH DISTRIBUTION-FREE CORRELATED RANDOM EFFECTS pp. 1075-1099

Yu-Chin Hsu and Ji-Liang Shiu

ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS pp. 1100-1134

Yiannis Dendramis, Liudas Giraitis and George Kapetanios

ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS pp. 1135-1172

Zinsou Max Debaly and Lionel Truquet

NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY pp. 1173-1213

Zhishui Hu, Peter Phillips and Qiying Wang

RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD pp. 1214-1237

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

A MULTIPLEX INTERDEPENDENT DURATIONS MODEL pp. 1238-1266

Zhongjian Lin and Ruixuan Liu

LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY pp. 1267-1289

Qiying Wang

Volume 37, issue 5, 2021

NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION pp. 851-891

Juan Carlos Escanciano, Stefan Hoderlein, Arthur Lewbel, Oliver Linton and Sorawoot Srisuma

NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS pp. 892-925

Rongmao Zhang and Ngai Hang Chan

ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS pp. 926-958

Jihyun Kim, Joon Y. Park and Bin Wang

A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS pp. 959-1003

Feng Yao and Taining Wang

AVERAGE DERIVATIVE ESTIMATION UNDER MEASUREMENT ERROR pp. 1004-1033

Hao Dong, Taisuke Otsu and Luke Taylor

LIMIT THEOREMS FOR FACTOR MODELS pp. 1034-1074

Stanislav Anatolyev and Anna Mikusheva

Volume 37, issue 4, 2021

IDENTIFICATION OF LINEAR REGRESSIONS WITH ERRORS IN ALL VARIABLES pp. 633-663

Dan Ben-Moshe

EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS pp. 664-707

Jia Li and Yunxiao Liu

LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS pp. 708-746

Xiaoyi Han, Lung-Fei Lee and Xingbai Xu

SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS pp. 747-768

Taisuke Otsu and Luke Taylor

FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS pp. 769-793

Mehdi Hosseinkouchack and Matei Demetrescu

FACTORISABLE MULTITASK QUANTILE REGRESSION pp. 794-816

Shih-Kang Chao, Wolfgang Härdle and Ming Yuan

PARTIAL IDENTIFICATION OF NONSEPARABLE MODELS USING BINARY INSTRUMENTS pp. 817-848

Takuya Ishihara

Volume 37, issue 3, 2021

WEAK-IDENTIFICATION ROBUST WILD BOOTSTRAP APPLIED TO A CONSISTENT MODEL SPECIFICATION TEST pp. 409-463

Jonathan B. Hill

IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT pp. 464-494

Carolina Caetano and Juan Carlos Escanciano

AN ADAPTIVE TEST OF STOCHASTIC MONOTONICITY pp. 495-536

Denis Chetverikov, Daniel Wilhelm and Dongwoo Kim

INFERENCE IN DYNAMIC, NONPARAMETRIC MODELS OF PRODUCTION: CENTRAL LIMIT THEOREMS FOR MALMQUIST INDICES pp. 537-572

Alois Kneip, Leopold Simar and Paul Wilson

EFFICIENT TWO-STEP GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION AND TESTS WITH MARTINGALE DIFFERENCES pp. 573-612

Fei Jin and Lung-fei Lee

LOCAL COMPOSITE QUANTILE REGRESSION SMOOTHING: A FLEXIBLE DATA STRUCTURE AND CROSS-VALIDATION pp. 613-631

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

Abdelhakim Aknouche and Christian Francq

INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS pp. 281-310

Federico Crudu, Giovanni Mellace and Zsolt Sándor

INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS pp. 311-345

Byunghoon Kang

ROBUSTIFIED EXPECTED MAXIMUM PRODUCTION FRONTIERS pp. 346-387

Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar

A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING pp. 388-407

Xinyu Zhang

Volume 37, issue 1, 2021

OPTIMAL AUXILIARY PRIORS AND REVERSIBLE JUMP PROPOSALS FOR A CLASS OF VARIABLE DIMENSION MODELS pp. 49-81

Andriy Norets

NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS pp. 82-137

Natalia Sizova

LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION pp. 138-168

Qiying Wang, Peter Phillips and Ioannis Kasparis

INSTRUMENTAL VARIABLE QUANTILE REGRESSION WITH MISCLASSIFICATION pp. 169-204

Takuya Ura