Econometric Theory

1985 - 2026

From Cambridge University Press
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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

Manfred Deistler, Hannes Leeb and Ingmar Prucha

UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING pp. 1097-1122

Nicolai Amann and Ulrike Schneider

ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES pp. 1123-1153

Rainer Dahlhaus and Stefan Richter

SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS pp. 1154-1201

David Drukker, Peter Egger and Ingmar Prucha

UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK pp. 1202-1248

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

Hannes Leeb and Lukas Steinberger

VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS pp. 1273-1291

Marco Lippi

HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION pp. 1292-1324

David Preinerstorfer

OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION pp. 1325-1337

Qiying Wang and Peter Phillips

Volume 39, issue 5, 2023

LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION pp. 900-949

Peter Phillips and Ying Wang

NONPARAMETRIC PREDICTION WITH SPATIAL DATA pp. 950-988

Abhimanyu Gupta and Javier Hidalgo

ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS pp. 989-1008

Luca Mucciante and Alessio Sancetta

SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL pp. 1009-1043

Shuo Li, Liuhua Peng and Xiaojun Song

IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR pp. 1044-1066

Jinyong Hahn, Zhipeng Liao and Geert Ridder

LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS pp. 1067-1092

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

Sven Otto and Jörg Breitung

SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES pp. 693-736

Martin Schumann

COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES pp. 737-788

Won-Ki Seo

HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS? pp. 789-847

Benedikt Pötscher and David Preinerstorfer

HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? pp. 848-880

Christian Y. Robert

Volume 39, issue 3, 2023

INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES pp. 443-480

Morten Nielsen, Won-Ki Seo and Dakyung Seong

NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS pp. 481-533

Siddhartha Chib, Edward Greenberg and Anna Simoni

ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH pp. 534-581

Zhonghao Fu, Yongmiao Hong and Xia Wang

TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA pp. 582-622

Yu-Chin Hsu, Ta-Cheng Huang and Haiqing Xu

POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA pp. 623-658

Harold D. Chiang, Joel Rodrigue and Yuya Sasaki

Volume 39, issue 2, 2023

ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS pp. 221-263

Peter Phillips

A WILD BOOTSTRAP FOR DEPENDENT DATA pp. 264-289

Ulrich Hounyo

A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS pp. 290-320

Zheng Fang, Qi Li and Karen Yan

ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS pp. 321-356

Joris Pinkse and Karl Schurter

NONPARAMETRIC ESTIMATION OF GENERALIZED TRANSFORMATION MODELS WITH FIXED EFFECTS pp. 357-388

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

Yohei Yamamoto and Tetsushi Horie

AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS pp. 412-441

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

Yanqin Fan and Xuetao Shi

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS pp. 70-106

Eric Ghysels, Per Mykland and Eric Renault

CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS pp. 107-145

Maria Kyriacou, Peter Phillips and Francesca Rossi

COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS pp. 146-188

Ji Hyung Lee and Youngki Shin

STRETCHING THE NET: MULTIDIMENSIONAL REGULARIZATION pp. 189-218

Jaume Vives-i-Bastida

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS — CORRIGENDUM pp. 219-219

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

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