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Econometric Theory

1985 - 2020

From Cambridge University Press
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Volume 32, issue 6, 2016

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? pp. 1317-1348 Downloads
Matei Demetrescu and Uwe Hassler
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS pp. 1349-1375 Downloads
Hanying Liang, Peter Phillips, Hanchao Wang and Qiying Wang
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES pp. 1376-1433 Downloads
Junhui Qian and Liangjun Su
A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE pp. 1434-1482 Downloads
Meng Huang, Yixiao Sun and Halbert White
NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY pp. 1483-1522 Downloads
Jiaying Gu
BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS pp. 1523-1568 Downloads
Min Seong Kim and Yixiao Sun

Volume 32, issue 5, 2016

THE ET INTERVIEW: ADRIAN PAGAN pp. 1055-1094 Downloads
Christopher Skeels
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS pp. 1095-1139 Downloads
Soren Johansen and Morten Nielsen
SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES pp. 1140-1177 Downloads
Enno Mammen, Christoph Rothe and Melanie Schienle
LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS pp. 1178-1215 Downloads
Geert Dhaene and Koen Jochmans
A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY pp. 1216-1252 Downloads
Anil K. Bera, Antonio F. Galvao, Liang Wang and Zhijie Xiao
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION pp. 1253-1288 Downloads
Jia Li, Viktor Todorov and George Tauchen
COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE pp. 1289-1315 Downloads
Martin Wagner and Seung Hyun Hong

Volume 32, issue 4, 2016

STRUCTURAL THRESHOLD REGRESSION pp. 827-860 Downloads
Andros Kourtellos, Thanasis Stengos and Chih Ming Tan
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING pp. 861-916 Downloads
Shin Kanaya and Dennis Kristensen
SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES pp. 917-946 Downloads
Marian Hristache and Valentin Patilea
EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS pp. 947-987 Downloads
Ivana Komunjer and Giuseppe Ragusa

Volume 32, issue 3, 2016

ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS pp. 533-611 Downloads
Yuta Koike
ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 612-654 Downloads
Christoph Breunig and Jan Johannes
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION pp. 655-685 Downloads
Degui Li, Peter Phillips and Jiti Gao
ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE pp. 686-713 Downloads
Walter Oberhofer and Harry Haupt
SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS pp. 714-739 Downloads
Nazgul Jenish
DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS pp. 740-791 Downloads
Bin Chen and Yongmiao Hong

Volume 32, issue 2, 2016

ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS pp. 261-358 Downloads
David Preinerstorfer and Pötscher, Benedikt M.
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY pp. 359-401 Downloads
Qiying Wang and Peter Phillips
ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS pp. 402-430 Downloads
Shiqing Ling
INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN pp. 431-457 Downloads
Jiti Gao and Peter M. Robinson
SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR TRANSFORMATION MODELS UNDER CONDITIONAL QUANTILE RESTRICTION pp. 458-497 Downloads
Zhengyu Zhang
TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS pp. 498-531 Downloads
Rasmus Pedersen

Volume 32, issue 1, 2016

NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA pp. 1-29 Downloads
Oliver Linton and Qiying Wang
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS pp. 30-70 Downloads
Xiaohong Chen, Jacho-Chávez, David T. and Oliver Linton
REGULARIZING PRIORS FOR LINEAR INVERSE PROBLEMS pp. 71-121 Downloads
Jean-Pierre Florens and Anna Simoni
MODEL-FREE INFERENCE FOR TAIL RISK MEASURES pp. 122-153 Downloads
Ke-Li Xu
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS pp. 154-186 Downloads
C. Alan Bester, Timothy Conley, Christian B. Hansen and Timothy Vogelsang
COMPARISON OF INFERENTIAL METHODS IN PARTIALLY IDENTIFIED MODELS IN TERMS OF ERROR IN COVERAGE PROBABILITY pp. 187-242 Downloads
Federico Bugni
CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS pp. 243-259 Downloads
Anders Kock

Volume 31, issue 6, 2015

ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY pp. 1153-1191 Downloads
Sainan Jin, Liangjun Su and Zhijie Xiao
SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION pp. 1192-1228 Downloads
Firmin Doko Tchatoka
REGULAR VARIATION AND THE IDENTIFICATION OF GENERALIZED ACCELERATED FAILURE-TIME MODELS pp. 1229-1248 Downloads
Jaap H. Abbring and Geert Ridder
REFINED TESTS FOR SPATIAL CORRELATION pp. 1249-1280 Downloads
Peter M. Robinson and Francesca Rossi
SPECIFICATION TESTING WHEN THE NULL IS NONPARAMETRIC OR SEMIPARAMETRIC pp. 1281-1309 Downloads
Rodríguez-Póo, Juan M., Stefan Sperlich and Philippe Vieu
NONPARAMETRIC IDENTIFICATION OF POSITIVE EIGENFUNCTIONS pp. 1310-1330 Downloads
Timothy M. Christensen
DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS pp. 1331-1358 Downloads
Lorenzo Camponovo
A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA pp. 1359-1381 Downloads
Alessio Sancetta
SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY pp. 1382-1402 Downloads
Josu Arteche

Volume 31, issue 5, 2015

UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES pp. 911-952 Downloads
Jiti Gao, Shin Kanaya, Degui Li and Tjøstheim, Dag
TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS pp. 953-980 Downloads
Zongwu Cai, Yunfei Wang and Yonggang Wang
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE pp. 981-1015 Downloads
Härdle, Wolfgang Karl, Ostap Okhrin and Weining Wang
TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT pp. 1016-1053 Downloads
Xun Lu and Habert White
OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION pp. 1054-1077 Downloads
Daniel Wilhelm
PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS pp. 1078-1101 Downloads
Kun Ho Kim, Ting Zhang and Wei Biao Wu
WHAT DO QUANTILE REGRESSIONS IDENTIFY FOR GENERAL STRUCTURAL FUNCTIONS? pp. 1102-1116 Downloads
Yuya Sasaki
TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS pp. 1117-1152 Downloads
Xu Han and Atsushi Inoue

Volume 31, issue 4, 2015

LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS pp. 671-702 Downloads
Bonsoo Koo and Oliver Linton
MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES pp. 703-728 Downloads
Ying Chen and Vladimir Spokoiny
A HIDDEN MARKOV MODEL FOR THE DETECTION OF PURE AND MIXED STRATEGY PLAY IN GAMES pp. 729-752 Downloads
Jason Shachat, J. Todd Swarthout and Lijia Wei
ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES pp. 753-777 Downloads
Haiqiang Chen, Ying Fang and Yingxing Li
ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS pp. 778-810 Downloads
Haiqiang Chen
TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS pp. 811-859 Downloads
Michael Vogt
SHRINKAGE EFFICIENCY BOUNDS pp. 860-879 Downloads
Bruce Hansen

Volume 31, issue 3, 2015

SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS pp. 426-448 Downloads
Anna Mikusheva
A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS pp. 449-470 Downloads
Adriana Cornea-Madeira and Russell Davidson
NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING pp. 471-492 Downloads
Brendan Beare and Jong-Myun Moon
SIMPLE TWO-STAGE INFERENCE FOR A CLASS OF PARTIALLY IDENTIFIED MODELS pp. 493-520 Downloads
Xiaoxia Shi and Matthew Shum
IDENTIFICATION IN DISCRETE MARKOV DECISION MODELS pp. 521-538 Downloads
Sorawoot Srisuma
ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES pp. 539-559 Downloads
I. Gaia Becheri, Feike C. Drost and Ramon van den Akker
PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH pp. 560-580 Downloads
Zongwu Cai, Yu Ren and Linman Sun
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS pp. 581-646 Downloads
Zhipeng Liao and Peter Phillips

Volume 31, issue 2, 2015

VAR INTERPRETATIONS OF HAAVELMO’S MARKET MODEL OF CAPITAL AND INVESTMENT pp. 195-212 Downloads
Biørn, Erik
HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR pp. 213-232 Downloads
Katarina Juselius
HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION pp. 233-248 Downloads
John Chipman
TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION pp. 249-274 Downloads
Kevin Hoover and Katarina Juselius
CONSOLIDATION OF THE HAAVELMO-COWLES COMMISSION RESEARCH PROGRAM pp. 275-293 Downloads
Duo Qin
SPECIFICATION TESTS FOR LATTICE PROCESSES pp. 294-336 Downloads
Javier Hidalgo and Myung Hwan Seo
THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY pp. 337-361 Downloads
Bruce Hansen
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS pp. 362-393 Downloads
Fangfang Wang and Eric Ghysels
WHEN BIAS KILLS THE VARIANCE: CENTRAL LIMIT THEOREMS FOR DEA AND FDH EFFICIENCY SCORES pp. 394-422 Downloads
Alois Kneip, Leopold Simar and Paul Wilson

Volume 31, issue 1, 2015

TRYGVE HAAVELMO AT THE COWLES COMMISSION pp. 1-84 Downloads
Olav Bjerkholt
STRUCTURAL MODELS AND ECONOMETRICS pp. 85-92 Downloads
Trygve Haavelmo
MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY pp. 93-114 Downloads
David Hendry and Soren Johansen
CAUSAL ANALYSIS AFTER HAAVELMO pp. 115-151 Downloads
James Heckman and Rodrigo Pinto
TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS pp. 152-179 Downloads
Judea Pearl
MY REMINISCENCES OF TRYGVE HAAVELMO AT THE COWLES COMMISSION pp. 180-192 Downloads
T.W. Anderson
Page updated 2020-09-24