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Econometric Theory

1985 - 2020

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

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Volume 30, issue 6, 2014

BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES pp. 1135-1164 Downloads
Matias Cattaneo, Richard Crump and Michael Jansson
ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS pp. 1165-1206 Downloads
Lionel Truquet
MEASUREMENT ERROR AND DECONVOLUTION IN SPACES OF GENERALIZED FUNCTIONS pp. 1207-1246 Downloads
Victoria Zinde-Walsh
GENERAL INEQUALITIES FOR GIBBS POSTERIOR WITH NONADDITIVE EMPIRICAL RISK pp. 1247-1271 Downloads
Cheng Li, Wenxin Jiang and Martin A. Tanner
EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION pp. 1272-1314 Downloads
Zhibiao Zhao and Zhijie Xiao
NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS pp. 1315-1347 Downloads
Yoonseok Lee

Volume 30, issue 5, 2014

TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS pp. 923-960 Downloads
Brendan Beare and Juwon Seo
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS pp. 961-1020 Downloads
Patrick Gagliardini and Christian Gourieroux
CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS pp. 1021-1076 Downloads
Herman Bierens
CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS—CORRIGENDUM TO SUPPLEMENTARY MATERIAL pp. 1077-1077 Downloads
Herman Bierens
DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION pp. 1078-1109 Downloads
Katsuto Tanaka
UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA pp. 1110-1133 Downloads
Nigel Chan and Qiying Wang

Volume 30, issue 4, 2014

GUEST EDITORS INTRODUCTION: THE SPECIAL 18TH MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP IN HONOR OF PETER C. B. PHILLIPS pp. 715-718 Downloads
Bruce Hansen and Joon Park
UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY pp. 719-736 Downloads
Peter Phillips
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS pp. 737-774 Downloads
Jun Yu
UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS pp. 775-814 Downloads
Zhijie Xiao
LINEAR NONSTATIONARY MODELS—A REVIEW OF THE WORK OF PROFESSOR P.C.B. PHILLIPS pp. 815-838 Downloads
Katsuto Tanaka
PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS pp. 839-881 Downloads
John Chao
PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS pp. 882-893 Downloads
Hyungsik Moon and Benoit Perron
NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE pp. 894-922 Downloads
Joon Y. Park

Volume 30, issue 3, 2014

MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION pp. 509-535 Downloads
Qiying Wang
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS pp. 536-579 Downloads
Alexander Aue, Horváth, Lajos, Clifford Hurvich and Philippe Soulier
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS pp. 580-605 Downloads
Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang and Xinghua Zheng
POSTERIOR CONSISTENCY IN CONDITIONAL DENSITY ESTIMATION BY COVARIATE DEPENDENT MIXTURES pp. 606-646 Downloads
Andriy Norets and Justinas Pelenis
AN INTEGRATED KERNEL-WEIGHTED SMOOTHED MAXIMUM SCORE ESTIMATOR FOR THE PARTIALLY LINEAR BINARY RESPONSE MODEL pp. 647-675 Downloads
Jerome M. Krief
THE BOOTSTRAP IN THRESHOLD REGRESSION pp. 676-714 Downloads
Ping Yu

Volume 30, issue 2, 2014

GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE pp. 287-333 Downloads
Donald Andrews and Xu Cheng
POINT DECISIONS FOR INTERVAL–IDENTIFIED PARAMETERS pp. 334-356 Downloads
Kyungchul Song
EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES pp. 357-371 Downloads
D. Li, N. H. Chan and L. Peng
ON THE ASYMPTOTIC EFFICIENCY OF GMM pp. 372-406 Downloads
Marine Carrasco and Jean-Pierre Florens
ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS pp. 407-435 Downloads
Jinhong You and Xian Zhou
GENERATING FUNCTIONS AND SHORT RECURSIONS, WITH APPLICATIONS TO THE MOMENTS OF QUADRATIC FORMS IN NONCENTRAL NORMAL VECTORS pp. 436-473 Downloads
Grant Hillier, Raymond Kan and Xiaolu Wang
THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA pp. 474-490 Downloads
In Choi and Eiji Kurozumi
A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS pp. 491-507 Downloads
Pierre Perron and Yohei Yamamoto

Volume 30, issue 1, 2014

SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION pp. 1-2 Downloads
Peter Phillips and Jun Yu
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY pp. 3-59 Downloads
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR pp. 60-93 Downloads
Peter Hansen and Asger Lunde
RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS pp. 94-126 Downloads
Zhijie Xiao
NONPARAMETRIC NONSTATIONARITY TESTS pp. 127-149 Downloads
Federico M. Bandi and Valentina Corradi
MEASUREMENT ERRORS IN DYNAMIC MODELS pp. 150-175 Downloads
Ivana Komunjer and Serena Ng
SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES pp. 176-200 Downloads
Matias Cattaneo, Richard Crump and Michael Jansson
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION pp. 201-251 Downloads
Chirok Han, Peter Phillips and Donggyu Sul
ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES pp. 252-284 Downloads
Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira L. Koul

Volume 29, issue 6, 2013

TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS pp. 1079-1135 Downloads
Liangjun Su and Qihui Chen
GENERALIZED ADDITIVE PARTIAL LINEAR MODELS WITH HIGH-DIMENSIONAL COVARIATES pp. 1136-1161 Downloads
Heng Lian and Hua Liang
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS pp. 1162-1195 Downloads
Giuseppe Cavaliere and Iliyan Georgiev
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS pp. 1196-1237 Downloads
Adam McCloskey and Pierre Perron
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS pp. 1238-1288 Downloads
Dennis Kristensen and Anders Rahbek

Volume 29, issue 5, 2013

ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION pp. 857-904 Downloads
Zhipeng Liao
NONPARAMETRIC IDENTIFICATION OF ACCELERATED FAILURE TIME COMPETING RISKS MODELS pp. 905-919 Downloads
Sokbae (Simon) Lee and Arthur Lewbel
TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS pp. 920-940 Downloads
Ngai Hang Chan, Deyuan Li, Liang Peng and Rongmao Zhang
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS pp. 941-968 Downloads
Efang Kong, Oliver Linton and Yingcun Xia
A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERS pp. 969-1008 Downloads
Thomas Parker
DETECTION OF NONCONSTANT LONG MEMORY PARAMETER pp. 1009-1056 Downloads
Lavancier, Frédéric, Remigijus Leipus, Anne Philippe and Donatas Surgailis

Volume 29, issue 4, 2013

NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES pp. 673-698 Downloads
Ke-Li Xu
MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES pp. 699-734 Downloads
Ryan Greenaway-McGrevy
ESTIMATION-ADJUSTED VAR pp. 735-770 Downloads
Christian Gourieroux and Zakoïan, Jean-Michel
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE pp. 771-807 Downloads
Oliver Linton and Zhijie Xiao
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS pp. 808-837 Downloads
Peter Phillips and Tassos Magdalinos
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA pp. 838-856 Downloads
Minjing Tao, Yazhen Wang and Xiaohong Chen

Volume 29, issue 3, 2013

NONCAUSAL VECTOR AUTOREGRESSION pp. 447-481 Downloads
Markku Lanne and Pentti Saikkonen
ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS pp. 482-516 Downloads
Dong Li, Shiqing Ling and Wai Keung Li
ON THE RECOVERABILITY OF FORECASTERS’ PREFERENCES pp. 517-544 Downloads
Robert Lieli and Maxwell Stinchcombe
ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS pp. 545-566 Downloads
Marco Avarucci, Eric Beutner and Paolo Zaffaroni
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS pp. 567-589 Downloads
Raffaella Giacomini, Dimitris N. Politis and Halbert White

Volume 29, issue 2, 2013

SEMIPARAMETRIC STRUCTURAL MODELS OF BINARY RESPONSE: SHAPE RESTRICTIONS AND PARTIAL IDENTIFICATION pp. 231-266 Downloads
Andrew Chesher
A FUNCTIONAL VERSION OF THE ARCH MODEL pp. 267-288 Downloads
Hörmann, Siegfried, Horváth, Lajos and Ron Reeder
WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE pp. 289-323 Downloads
Mohitosh Kejriwal, Pierre Perron and Jing Zhou
SECOND-ORDER REFINEMENT OF EMPIRICAL LIKELIHOOD FOR TESTING OVERIDENTIFYING RESTRICTIONS pp. 324-353 Downloads
Yukitoshi Matsushita and Taisuke Otsu
ESTIMATION OF BINARY CHOICE MODELS WITH LINEAR INDEX AND DUMMY ENDOGENOUS VARIABLES pp. 354-392 Downloads
NeÅŸe Yildiz

Volume 29, issue 1, 2013

NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS pp. 1-27 Downloads
Qiying Wang and Ying Xiang Rachel Wang
TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS pp. 28-67 Downloads
Vicky Fasen
FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS pp. 68-88 Downloads
Yong Bao
FINITE SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS – ERRATUM pp. 89-89 Downloads
Yong Bao
NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY pp. 90-114 Downloads
Ted Juhl and Zhijie Xiao
ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS pp. 115-152 Downloads
Anders Kock
Page updated 2020-09-22