Econometric Theory

1985 - 2026

From Cambridge University Press
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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

Volume 32, issue 6, 2016

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? pp. 1317-1348

Matei Demetrescu and Uwe Hassler

WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS pp. 1349-1375

Hanying Liang, Peter Phillips, Hanchao Wang and Qiying Wang

SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES pp. 1376-1433

Junhui Qian and Liangjun Su

A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE pp. 1434-1482

Meng Huang, Yixiao Sun and Halbert White

NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY pp. 1483-1522

Jiaying Gu

BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS pp. 1523-1568

Min Seong Kim and Yixiao Sun

Volume 32, issue 5, 2016

THE ET INTERVIEW: ADRIAN PAGAN pp. 1055-1094

Christopher Skeels

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS pp. 1095-1139

Soren Johansen and Morten Nielsen

SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES pp. 1140-1177

Enno Mammen, Christoph Rothe and Melanie Schienle

LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS pp. 1178-1215

Geert Dhaene and Koen Jochmans

A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY pp. 1216-1252

Anil K. Bera, Antonio Galvao, Liang Wang and Zhijie Xiao

ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION pp. 1253-1288

Jia Li, Viktor Todorov and George Tauchen

COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE pp. 1289-1315

Martin Wagner and Seung Hyun Hong

Volume 32, issue 4, 2016

MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION pp. 793-826

Brian D.O. Anderson, Manfred Deistler, Elisabeth Felsenstein, Bernd Funovits, Lukas Koelbl and Mohsen Zamani

STRUCTURAL THRESHOLD REGRESSION pp. 827-860

Andros Kourtellos, Thanasis Stengos and Chih Ming Tan

ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING pp. 861-916

Shin Kanaya and Dennis Kristensen

SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES pp. 917-946

Marian Hristache and Valentin Patilea

EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS pp. 947-987

Ivana Komunjer and Giuseppe Ragusa

A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES pp. 988-1022

Yiguo Sun, Zongwu Cai and Qi Li

SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL pp. 1023-1054

Rong Liu and Lijian Yang

Volume 32, issue 3, 2016

ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS pp. 533-611

Yuta Koike

ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 612-654

Christoph Breunig and Jan Johannes

UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION pp. 655-685

Degui Li, Peter Phillips and Jiti Gao

ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE pp. 686-713

Walter Oberhofer and Harry Haupt

SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS pp. 714-739

Nazgul Jenish

DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS pp. 740-791

Bin Chen and Yongmiao Hong

Volume 32, issue 2, 2016

ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS pp. 261-358

David Preinerstorfer and Benedikt Pötscher

NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY pp. 359-401

Qiying Wang and Peter Phillips

ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS pp. 402-430

Shiqing Ling

INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN pp. 431-457

Jiti Gao and Peter M. Robinson

SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR TRANSFORMATION MODELS UNDER CONDITIONAL QUANTILE RESTRICTION pp. 458-497

Zhengyu Zhang

TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS pp. 498-531

Rasmus Pedersen

Volume 32, issue 1, 2016

NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA pp. 1-29

Oliver Linton and Qiying Wang

AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS pp. 30-70

Xiaohong Chen, David Jacho-Chávez and Oliver Linton

REGULARIZING PRIORS FOR LINEAR INVERSE PROBLEMS pp. 71-121

Jean-Pierre Florens and Anna Simoni

MODEL-FREE INFERENCE FOR TAIL RISK MEASURES pp. 122-153

Ke-Li Xu

FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS pp. 154-186

C. Alan Bester, Timothy Conley, Christian Hansen and Timothy Vogelsang

COMPARISON OF INFERENTIAL METHODS IN PARTIALLY IDENTIFIED MODELS IN TERMS OF ERROR IN COVERAGE PROBABILITY pp. 187-242

Federico Bugni

CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS pp. 243-259

Anders Kock