Econometric Theory

1985 - 2024

From Cambridge University Press
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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

Volume 33, issue 6, 2017

SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS pp. 1265-1305

Stefan Hoderlein, Lars Nesheim and Anna Simoni

ROBUST FORECAST COMPARISON pp. 1306-1351

Sainan Jin, Valentina Corradi and Norman Swanson

TESTING FOR CHANGES IN KENDALL’S TAU pp. 1352-1386

Herold Dehling, Daniel Vogel, Martin Wendler and Dominik Wied

UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION pp. 1387-1417

James A. Duffy

INTEGRATED SCORE ESTIMATION pp. 1418-1456

Sung Jae Jun, Joris Pinkse and Yuanyuan Wan

ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS pp. 1457-1501

Rasmus Tangsgaard Varneskov

HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS pp. 1502-1515

Maddalena Cavicchioli

Volume 33, issue 5, 2017

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS pp. 1046-1080

Donald Andrews and Patrik Guggenberger

LOCAL PARTITIONED QUANTILE REGRESSION pp. 1081-1120

Zhengyu Zhang

CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES pp. 1121-1153

Shin Kanaya

COMPLEMENTARITY AND IDENTIFICATION pp. 1154-1185

Tate Twinam

IDENTIFIABILITY OF THE SIGN OF COVARIATE EFFECTS IN THE COMPETING RISKS MODEL pp. 1186-1217

Simon Lo and Ralf Wilke

ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE pp. 1218-1241

Hiroaki Kaido

A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS pp. 1242-1258

Naoya Sueishi

KERNEL ESTIMATION WHEN DENSITY MAY NOT EXIST: A CORRIGENDUM pp. 1259-1263

Victoria Zinde-Walsh

Volume 33, issue 4, 2017

BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE pp. 791-838

Ulrich Hounyo, Silvia Goncalves and Nour Meddahi

NONPARAMETRIC ESTIMATION OF SEMIPARAMETRIC TRANSFORMATION MODELS pp. 839-873

Jean-Pierre Florens and Senay Sokullu

UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH pp. 874-914

Shin Kanaya

CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES pp. 915-954

Yannick Hoga

IDENTIFICATION OF PAIRED NONSEPARABLE MEASUREMENT ERROR MODELS pp. 955-979

Yingyao Hu and Yuya Sasaki

ADAPTIVE BAYESIAN ESTIMATION OF CONDITIONAL DENSITIES pp. 980-1012

Andriy Norets and Debdeep Pati

AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL pp. 1013-1038

Christian Hafner and Oliver Linton

Volume 33, issue 3, 2017

ADMISSIBLE SIGNIFICANCE TESTS IN SIMULTANEOUS EQUATION MODELS pp. 534-550

Theodore W. Anderson

IDENTIFICATION OF DISCRETE CHOICE DYNAMIC PROGRAMMING MODELS WITH NONPARAMETRIC DISTRIBUTION OF UNOBSERVABLES pp. 551-577

Le-Yu Chen

BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP pp. 578-609

Donald Poskitt, Gael M. Martin and Simone D. Grose

INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS pp. 610-635

Koen Jochmans, Marc Henry and Bernard Salanié

ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 636-663

Jean-David Fermanian and Hassan Malongo

ON USING LINEAR QUANTILE REGRESSIONS FOR CAUSAL INFERENCE pp. 664-690

Ryutah Kato and Yuya Sasaki

WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS pp. 691-716

Christian Hafner, Sébastien Laurent and Francesco Violante

ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS pp. 717-738

Stanislav Anatolyev and Pavel Yaskov

IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA pp. 739-754

Jason Blevins

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY pp. 755-778

David Harris and Hsein Kew

RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT pp. 779-790

Minsoo Jeong

Volume 33, issue 2, 2017

GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS pp. 292-330

Betina Berghaus and Axel Bücher

ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS pp. 331-365

Bing-Yi Jing, Zhi Liu and Xin-Bing Kong

ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS pp. 366-412

Lajos Horvath, Marie Hušková, Gregory Rice and Jia Wang

SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS pp. 413-438

Indeewara Perera and Mervyn J. Silvapulle

EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES pp. 439-478

Eric Renault, Cisil Sarisoy and Bas J.M. Werker

EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION pp. 479-526

Marine Carrasco and Rachidi Kotchoni

Volume 33, issue 1, 2017

ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX pp. 1-68

David Preinerstorfer and Benedikt Pötscher

INSTRUMENTAL VARIABLES METHODS WITH HETEROGENEITY AND MISMEASURED INSTRUMENTS pp. 69-104

Karim Chalak

SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION pp. 105-157

David Kaplan and Yixiao Sun

DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS pp. 158-195

Hyungsik Moon and Martin Weidner

IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA pp. 196-241

Esteban Aucejo, Federico Bugni and V. Joseph Hotz

UNIFORM BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED QUANTILE REGRESSION: A REDISTRIBUTION-OF-MASS APPROACH pp. 242-261

Efang Kong and Yingcun Xia