Econometric Theory

1985 - 2024

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

Volume 35, issue 6, 2019

COMBINING ESTIMATES OF CONDITIONAL TREATMENT EFFECTS pp. 1089-1110

Craig A. Rolling, Yuhong Yang and Dagmar Velez

SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT pp. 1111-1145

David Harris and Brendan McCabe

TESTING GENERALIZED REGRESSION MONOTONICITY pp. 1146-1200

Yu-Chin Hsu, Chu-An Liu and Xiaoxia Shi

TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT pp. 1201-1233

Fabrizio Iacone, Stephen Leybourne and Robert Taylor

MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES pp. 1234-1270

Sebastien Fries and Jean-Michel Zakoian

Volume 35, issue 5, 2019

INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS pp. 901-942

Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL pp. 943-977

Yu-Ning Li, Yi Zhang and Caiya Zhang

COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS pp. 978-1011

Katsuto Tanaka

TESTING GARCH-X TYPE MODELS pp. 1012-1047

Rasmus Søndergaard Pedersen and Anders Rahbek

PROPERTIES OF DOUBLY ROBUST ESTIMATORS WHEN NUISANCE FUNCTIONS ARE ESTIMATED NONPARAMETRICALLY pp. 1048-1087

Christoph Rothe and Sergio Firpo

Volume 35, issue 4, 2019

TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS pp. 729-776

Denis Chetverikov

DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS pp. 777-815

Guannan Liu, Wei Long, Xinyu Zhang and Qi Li

INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS pp. 816-841

Xinyu Zhang and Chu-An Liu

ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING pp. 842-899

Ryan Greenaway-McGrevy

Volume 35, issue 3, 2019

THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS pp. 465-509

Christian Hansen and Yuan Liao

CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS pp. 510-546

Norbert Henze, Jiménez–Gamero, M. Dolores and Simos G. Meintanis

A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN pp. 547-600

Javier Hidalgo and Pedro C. L. Souza

HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA pp. 601-629

Seunghwa Rho and Timothy Vogelsang

LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS pp. 630-652

Karim M. Abadir and Adriana Cornea-Madeira

BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES pp. 653-683

Soren Johansen and Bent Nielsen

Volume 35, issue 2, 2019

UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS pp. 295-359

Anders Kock and Haihan Tang

A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA pp. 360-416

Ulrich Hounyo

ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES pp. 417-463

Abhimanyu Gupta

Volume 35, issue 1, 2019

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES pp. 37-72

Christian Francq and Le Quyen Thieu

ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY pp. 73-110

Anne Vanhems and Ingrid Van Keilegom

A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS pp. 111-141

David T. Frazier

BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS pp. 142-166

Yeonwoo Rho and Xiaofeng Shao

DYNAMIC ASSET CORRELATIONS BASED ON VINES pp. 167-197

Benjamin Poignard and Jean-David Fermanian

ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL pp. 198-231

Weilin Xiao and Jun Yu