Econometric Theory

1985 - 2026

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

Volume 34, issue 6, 2018

STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE pp. 1159-1179

Liudas Giraitis, Donatas Surgailis and Andrius Škarnulis

ROOT-N CONSISTENCY OF INTERCEPT ESTIMATORS IN A BINARY RESPONSE MODEL UNDER TAIL RESTRICTIONS pp. 1180-1206

Lili Tan and Yichong Zhang

NONPARAMETRIC STOCHASTIC VOLATILITY pp. 1207-1255

Federico M. Bandi and Roberto Renò

NONPARAMETRIC INSTRUMENTAL REGRESSION WITH ERRORS IN VARIABLES pp. 1256-1280

Karun Adusumilli and Taisuke Otsu

NONPARAMETRIC TWO-STEP SIEVE M ESTIMATION AND INFERENCE pp. 1281-1324

Jinyong Hahn, Zhipeng Liao and Geert Ridder

JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS pp. 1325-1369

Cheng Hsiao and Qiankun Zhou

RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS pp. 1370-1382

Dong Li and Wuqing Wu

BLOCK BOOTSTRAP CONSISTENCY UNDER WEAK ASSUMPTIONS pp. 1383-1406

Gray Calhoun

Volume 34, issue 5, 2018

SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS pp. 949-984

Jungbin Hwang and Yixiao Sun

STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS pp. 985-1017

Tianxiao Pang, Terence Tai Leung Chong, Danna Zhang and Yanling Liang

TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES pp. 1018-1064

Sokbae (Simon) Lee, Kyungchul Song and Yoon-Jae Whang

IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS pp. 1065-1100

Offer Lieberman and Peter Phillips

DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS pp. 1101-1131

Jin Seo Cho and Halbert White

WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS pp. 1132-1157

Jiangyan Peng and Qiying Wang

Volume 34, issue 4, 2018

FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION pp. 705-753

Peter Phillips and Shuping Shi

SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY pp. 754-789

Chaohua Dong and Jiti Gao

ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS pp. 790-814

Ji Hyung Lee and Zhipeng Liao

CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH pp. 815-849

Xia Wang and Yongmiao Hong

TESTING FOR HOMOGENEITY IN MIXTURE MODELS pp. 850-895

Jiaying Gu, Roger Koenker and Stanislav Volgushev

ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES pp. 896-946

Federico M. Bandi and Guillermo Moloche

Volume 34, issue 3, 2018

NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF TRUNCATED REGRESSION MODELS WITH HETEROSKEDASTICITY pp. 543-573

Songnian Chen, Xun Lu, Xianbo Zhou and Yahong Zhou

NONPARAMETRIC INSTRUMENTAL VARIABLES AND REGULAR ESTIMATION pp. 574-597

Jinyong Hahn and Zhipeng Liao

ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES pp. 598-627

Alessio Sancetta

THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS pp. 628-658

Majid Al-Sadoon

NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS pp. 659-693

Yingyao Hu and Ji-Liang Shiu

ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN pp. 694-703

Vishal Kamat

RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM pp. 704-704

Minsoo Jeong

Volume 34, issue 2, 2018

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION pp. 247-252

Michael Jansson and Robert Taylor

DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY pp. 253-276

Peter Phillips

ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS pp. 277-301

Matias Cattaneo, Michael Jansson and Whitney Newey

UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS pp. 302-348

Giuseppe Cavaliere, Iliyan Georgiev and Robert Taylor

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER pp. 349-382

Giuseppe Cavaliere, Luca De Angelis, Anders Rahbek and Robert Taylor

EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS pp. 383-415

Grant Hillier and Federico Martellosio

MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS pp. 416-446

Kees Jan van Garderen and Fallaw Sowell

SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS pp. 447-476

Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor

A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS pp. 477-507

Paulo Parente

Volume 34, issue 1, 2018

ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES pp. 1-22

Wei Biao Wu and Paolo Zaffaroni

NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY pp. 23-67

Carlos Martins-Filho, Feng Yao and Maximo Torero

ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING pp. 68-111

Norbert Christopeit and Michael Massmann

A GENERAL DOUBLE ROBUSTNESS RESULT FOR ESTIMATING AVERAGE TREATMENT EFFECTS pp. 112-133

Tymon Słoczyński and Jeffrey Wooldridge

IDENTIFICATION OF JOINT DISTRIBUTIONS IN DEPENDENT FACTOR MODELS pp. 134-165

Dan Ben-Moshe

CLOSED-FORM IDENTIFICATION OF DYNAMIC DISCRETE CHOICE MODELS WITH PROXIES FOR UNOBSERVED STATE VARIABLES pp. 166-185

Yingyao Hu and Yuya Sasaki

ADAPTIVE TESTS OF CONDITIONAL MOMENT INEQUALITIES pp. 186-227

Denis Chetverikov

SEMIPARAMETRIC EFFICIENCY FOR CENSORED LINEAR REGRESSION MODELS WITH HETEROSKEDASTIC ERRORS pp. 228-245

Tao Chen