Econometric Theory

1985 - 2026

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

Volume 36, issue 6, 2020

RANDOMIZATION TESTS OF COPULA SYMMETRY pp. 1025-1063

Brendan Beare and Juwon Seo

EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES pp. 1064-1098

Josu Arteche

OPTIMAL MULTISTEP VAR FORECAST AVERAGING pp. 1099-1126

Jen-Che Liao and Wen-Jen Tsay

TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION pp. 1127-1158

Liangjun Su and Xia Wang

A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS pp. 1159-1166

Koen Jochmans

QUANTILE TREATMENT EFFECTS IN REGRESSION KINK DESIGNS pp. 1167-1191

Heng Chen, Harold D. Chiang and Yuya Sasaki

Volume 36, issue 5, 2020

REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES pp. 773-802

Brendan Beare and Won-Ki Seo

COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES pp. 803-839

Massimo Franchi and Paolo Paruolo

A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION pp. 840-870

Neslihan Sakarya and Robert de Jong

TESTING A PARAMETRIC TRANSFORMATION MODEL VERSUS A NONPARAMETRIC ALTERNATIVE pp. 871-906

Arkadiusz Szydłowski

A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES pp. 907-960

Jonathan B. Hill and Kaiji Motegi

A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER pp. 961-981

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

James A. Duffy

SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION pp. 583-625

Christoph Breunig

LIKELIHOOD INFERENCE ON SEMIPARAMETRIC MODELS WITH GENERATED REGRESSORS pp. 626-657

Yukitoshi Matsushita and Taisuke Otsu

HONEST CONFIDENCE SETS IN NONPARAMETRIC IV REGRESSION AND OTHER ILL-POSED MODELS pp. 658-706

Andrii Babii

A NEW MULTILEVEL MODELING APPROACH FOR CLUSTERED SURVIVAL DATA pp. 707-750

Jinfeng Xu, Mu Yue and Wenyang Zhang

TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS pp. 751-772

Javier Hualde and Morten Nielsen

Volume 36, issue 3, 2020

IDENTIFICATION AND ESTIMATION IN A THIRD-PRICE AUCTION MODEL pp. 386-409

Andreea Enache and Jean-Pierre Florens

IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS pp. 410-456

Wenxin Huang, Sainan Jin and Liangjun Su

QUANTILOGRAMS UNDER STRONG DEPENDENCE pp. 457-487

Ji Hyung Lee, Oliver Linton and Yoon-Jae Whang

ON EFFICIENCY GAINS FROM MULTIPLE INCOMPLETE SUBSAMPLES pp. 488-525

Saraswata Chaudhuri

LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE pp. 526-558

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

Peter M. Robinson and Carlos Velasco

INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS pp. 223-249

Jiti Gao, Oliver Linton and Bin Peng

NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY pp. 250-291

Zhenyu Cui, Justin Lars Kirkby and Duy Nguyen

SMOOTHED QUANTILE REGRESSION PROCESSES FOR BINARY RESPONSE MODELS pp. 292-330

Stanislav Volgushev

NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS pp. 331-346

Johannes Ruf and James Lewis Wolter

ADMISSIBLE, SIMILAR TESTS: A CHARACTERIZATION pp. 347-366

José Luis Montiel Olea

Volume 36, issue 1, 2020

CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS pp. 1-47

Vanessa Berenguer-Rico and Bent Nielsen

SEMIPARAMETRIC ESTIMATION OF CENSORED SPATIAL AUTOREGRESSIVE MODELS pp. 48-85

Tadao Hoshino

ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS pp. 86-121

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

David Harvey, Stephen J. Leybourne and Yang Zu

THE SUM OF THE RECIPROCAL OF THE RANDOM WALK pp. 170-183

Jon Michel and Robert de Jong