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Econometric Theory

1985 - 2020

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Volume 28, issue 6, 2012

ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE pp. 1165-1185 Downloads
Brendan Beare
STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA pp. 1186-1228 Downloads
Alain Guay and Jean-Francois Lamarche
TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS pp. 1229-1282 Downloads
Sung Jae Jun and Joris Pinkse
LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS pp. 1283-1312 Downloads
Hira L. Koul, Indeewara Perera and Mervyn J. Silvapulle
A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES pp. 1313-1349 Downloads
Dietmar Bauer and Martin Wagner

Volume 28, issue 5, 2012

LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES pp. 935-958 Downloads
Degui Li, Zudi Lu and Oliver Linton
SPECIFICATION TEST FOR MISSING FUNCTIONAL DATA pp. 959-1002 Downloads
Federico Bugni
ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES pp. 1003-1036 Downloads
Yuriy Gorodnichenko, Anna Mikusheva and Serena Ng
RANK-BASED ESTIMATION FOR GARCH PROCESSES pp. 1037-1064 Downloads
Beth Andrews
THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS pp. 1065-1086 Downloads
Ke Zhu and Shiqing Ling
REGRESSOR DIMENSION REDUCTION WITH ECONOMIC CONSTRAINTS: THE EXAMPLE OF DEMAND SYSTEMS WITH MANY GOODS pp. 1087-1120 Downloads
Stefan Hoderlein and Arthur Lewbel
ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS pp. 1121-1143 Downloads
Tomás del Barrio Castro, Denise Osborn and Robert Taylor
A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS pp. 1144-1163 Downloads
Jia Chen, Jiti Gao and Degui Li

Volume 28, issue 4, 2012

GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS pp. 719-729 Downloads
Ivana Komunjer
A SINGLE-INDEX QUANTILE REGRESSION MODEL AND ITS ESTIMATION pp. 730-768 Downloads
Efang Kong and Yingcun Xia
k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA pp. 769-803 Downloads
Ba Chu and Jacho-Chávez, David T.
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS pp. 804-837 Downloads
Alexander Aue, Hörmann, Siegfried, Horváth, Lajos, Hušková, Marie and Josef G. Steinebach
ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES pp. 838-860 Downloads
Alessandro De Gregorio and Stefano Iacus
A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE pp. 861-887 Downloads
Kiho Jeong, Härdle, Wolfgang K. and Song Song
SOME EXTENSIONS OF A LEMMA OF KOTLARSKI pp. 925-932 Downloads
Kirill Evdokimov and Halbert White

Volume 28, issue 3, 2012

UNIT ROOTS IN WHITE NOISE pp. 485-508 Downloads
Alexei Onatski and Harald Uhlig
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION pp. 509-547 Downloads
Xiaoxia Shi and Peter Phillips
ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY pp. 548-569 Downloads
Magda Peligrad and Hailin Sang
TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD pp. 570-589 Downloads
Dominik Wied, Krämer, Walter and Herold Dehling
A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS pp. 590-628 Downloads
Alois Kneip, Robin Sickles and Wonho Song
LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION pp. 629-669 Downloads
Michael Levine and Jinguang Li
TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS pp. 705-717 Downloads
Ngai Hang Chan, Deyuan Li and Liang Peng

Volume 28, issue 2, 2012

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS pp. 249-273 Downloads
Cecilia Mancini and Fabio Gobbi
EFFICIENT ESTIMATION OF FACTOR MODELS pp. 274-308 Downloads
In Choi
CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS pp. 309-327 Downloads
NeÅŸe Yildiz
INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS pp. 328-362 Downloads
Herman Bierens and Li Wang
SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA pp. 363-386 Downloads
Frederic Ferraty, Quintela-del-Río, Alejandro and Philippe Vieu
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION pp. 387-421 Downloads
Patrik Guggenberger
BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY pp. 422-456 Downloads
Stephan Smeekes and Robert Taylor
ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES pp. 457-470 Downloads
Offer Lieberman, Roy Rosemarin and Judith Rousseau
FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY pp. 471-481 Downloads
Tucker McElroy and Dimitris N. Politis
CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum pp. 483-484 Downloads
Härdle, Wolfgang K. and Song Song

Volume 28, issue 1, 2012

NULL RECURRENT UNIT ROOT PROCESSES pp. 1-41 Downloads
Terje Myklebust, Hans Arnfinn Karlsen and Tjøstheim, Dag
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS pp. 42-86 Downloads
John Chao, Norman Swanson, Jerry Hausman, Whitney Newey and Tiemen Woutersen
UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION pp. 87-129 Downloads
Emmanuel Guerre and Camille Sabbah
TESTING FOR THE MARKOV PROPERTY IN TIME SERIES pp. 130-178 Downloads
Bin Chen and Yongmiao Hong
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS pp. 179-206 Downloads
Christian Francq and Zakoïan, Jean-Michel
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST pp. 239-246 Downloads
Stanislav Anatolyev and Grigory Kosenok

Volume 27, issue 6, 2011

UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION pp. 1117-1151 Downloads
Chirok Han, Peter Phillips and Donggyu Sul
BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS pp. 1152-1191 Downloads
Jinyong Hahn and Guido Kuersteiner
GEL CRITERIA FOR MOMENT CONDITION MODELS pp. 1192-1235 Downloads
Richard Smith
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS pp. 1236-1278 Downloads
Mika Meitz and Pentti Saikkonen
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION pp. 1279-1319 Downloads
Giovanni Motta, Christian Hafner and Rainer von Sachs
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS pp. 1320-1368 Downloads
Yixiao Sun, Peter Phillips and Sainan Jin
NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE pp. 1369-1375 Downloads
Federico Martellosio

Volume 27, issue 5, 2011

SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION pp. 929-932 Downloads
Robert Taylor and Timothy Vogelsang
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS pp. 933-956 Downloads
Thomas Flury and Neil Shephard
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY pp. 957-991 Downloads
Giuseppe Cavaliere, David Harvey, Stephen Leybourne and Robert Taylor
TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS pp. 992-1025 Downloads
Sayginsoy, Özgen and Timothy Vogelsang
SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS pp. 1026-1047 Downloads
Patrick Marsh
THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS pp. 1048-1082 Downloads
Gonçalves, Sílvia
BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL pp. 1083-1116 Downloads
Miguel Delgado, Javier Hidalgo and Carlos Velasco

Volume 27, issue 4, 2011

DYNAMIC TIME SERIES BINARY CHOICE pp. 673-702 Downloads
Robert de Jong and Tiemen Woutersen
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES pp. 703-744 Downloads
Dimitris N. Politis
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP pp. 745-791 Downloads
Gonçalves, Sílvia and Timothy Vogelsang
SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION pp. 792-843 Downloads
Song Xi Chen and Jiti Gao
TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS pp. 844-884 Downloads
Jonathan B. Hill
ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS pp. 913-927 Downloads
Bent Nielsen and Jouni S. Sohkanen

Volume 27, issue 3, 2011

INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS pp. 457-459 Downloads
Jean-Pierre Florens and Oliver Linton
ON THE COMPLETENESS CONDITION IN NONPARAMETRIC INSTRUMENTAL PROBLEMS pp. 460-471 Downloads
D’Haultfoeuille, Xavier
IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 472-496 Downloads
Jean-Pierre Florens, Jan Johannes and Sebastien Van Bellegem
ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS pp. 497-521 Downloads
Xiaohong Chen and Markus Reiss
CONVERGENCE RATES FOR ILL-POSED INVERSE PROBLEMS WITH AN UNKNOWN OPERATOR pp. 522-545 Downloads
Jan Johannes, Sebastien Van Bellegem and Anne Vanhems
A SPECTRAL METHOD FOR DECONVOLVING A DENSITY pp. 546-581 Downloads
Marine Carrasco and Jean-Pierre Florens
ORACLE-EFFICIENT NONPARAMETRIC ESTIMATION OF AN ADDITIVE MODEL WITH AN UNKNOWN LINK FUNCTION pp. 582-608 Downloads
Joel L. Horowitz and Enno Mammen
DEMAND ANALYSIS AS AN ILL-POSED INVERSE PROBLEM WITH SEMIPARAMETRIC SPECIFICATION pp. 609-638 Downloads
Stefan Hoderlein and Hajo Holzmann
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL pp. 639-661 Downloads
Woocheol Kim and Oliver Linton
IDENTIFICATION IN TRIANGULAR SYSTEMS USING CONTROL FUNCTIONS pp. 663-671 Downloads
Maximilian Kasy

Volume 27, issue 2, 2011

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS pp. 201-234 Downloads
Myung Hwan Seo
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS pp. 235-259 Downloads
Qiying Wang and Peter Phillips
SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE pp. 260-284 Downloads
Jiti Gao, Qiying Wang and Jiying Yin
FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT pp. 285-311 Downloads
Ioannis Kasparis
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS pp. 312-343 Downloads
Xiaofeng Shao
MULTIVARIATE ECOGARCH PROCESSES pp. 344-371 Downloads
Stephan Haug and Robert Stelzer
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS pp. 443-456 Downloads
Alastair Hall and Denis Pelletier

Volume 27, issue 1, 2011

EDITORS’ INTRODUCTION: SPECIAL ISSUE ON EMPIRICAL LIKELIHOOD AND RELATED METHODS pp. 5-7 Downloads
Yuichi Kitamura and Richard Smith
EMPIRICAL LIKELIHOOD ESTIMATION OF CONDITIONAL MOMENT RESTRICTION MODELS WITH UNKNOWN FUNCTIONS pp. 8-46 Downloads
Taisuke Otsu
MOMENT-BASED INFERENCE WITH STRATIFIED DATA pp. 47-73 Downloads
Gautam Tripathi
GEL METHODS FOR NONSMOOTH MOMENT INDICATORS pp. 74-113 Downloads
Paulo Parente and Richard Smith
TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD pp. 114-153 Downloads
Taisuke Otsu and Yoon-Jae Whang
EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS pp. 154-177 Downloads
Ngai Hang Chan, Liang Peng and Dabao Zhang
EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA pp. 178-198 Downloads
Anouar El Ghouch, Ingrid Van Keilegom and Ian W. McKeague
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