Econometric Theory

1985 - 2024

From Cambridge University Press
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Volume 30, issue 6, 2014

BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES pp. 1135-1164

Matias Cattaneo, Richard Crump and Michael Jansson

ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS pp. 1165-1206

Lionel Truquet

MEASUREMENT ERROR AND DECONVOLUTION IN SPACES OF GENERALIZED FUNCTIONS pp. 1207-1246

Victoria Zinde-Walsh

GENERAL INEQUALITIES FOR GIBBS POSTERIOR WITH NONADDITIVE EMPIRICAL RISK pp. 1247-1271

Cheng Li, Wenxin Jiang and Martin A. Tanner

EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION pp. 1272-1314

Zhibiao Zhao and Zhijie Xiao

NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS pp. 1315-1347

Yoonseok Lee

Volume 30, issue 5, 2014

TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS pp. 923-960

Brendan Beare and Juwon Seo

EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS pp. 961-1020

Patrick Gagliardini and Christian Gourieroux

CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS pp. 1021-1076

Herman Bierens

CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS—CORRIGENDUM TO SUPPLEMENTARY MATERIAL pp. 1077-1077

Herman Bierens

DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION pp. 1078-1109

Katsuto Tanaka

UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA pp. 1110-1133

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

Bruce Hansen and Joon Park

UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY pp. 719-736

Peter Phillips

ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS pp. 737-774

Jun Yu

UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS pp. 775-814

Zhijie Xiao

LINEAR NONSTATIONARY MODELS—A REVIEW OF THE WORK OF PROFESSOR P.C.B. PHILLIPS pp. 815-838

Katsuto Tanaka

PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS pp. 839-881

John Chao

PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS pp. 882-893

Hyungsik Moon and Benoit Perron

NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE pp. 894-922

Joon Y. Park

Volume 30, issue 3, 2014

MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION pp. 509-535

Qiying Wang

LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS pp. 536-579

Alexander Aue, Lajos Horvath, Clifford Hurvich and Philippe Soulier

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS pp. 580-605

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

Andriy Norets and Justinas Pelenis

AN INTEGRATED KERNEL-WEIGHTED SMOOTHED MAXIMUM SCORE ESTIMATOR FOR THE PARTIALLY LINEAR BINARY RESPONSE MODEL pp. 647-675

Jerome M. Krief

THE BOOTSTRAP IN THRESHOLD REGRESSION pp. 676-714

Ping Yu

Volume 30, issue 2, 2014

GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE pp. 287-333

Donald Andrews and Xu Cheng

POINT DECISIONS FOR INTERVAL–IDENTIFIED PARAMETERS pp. 334-356

Kyungchul Song

EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES pp. 357-371

D. Li, N. H. Chan and L. Peng

ON THE ASYMPTOTIC EFFICIENCY OF GMM pp. 372-406

Marine Carrasco and Jean-Pierre Florens

ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS pp. 407-435

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

Grant Hillier, Raymond Kan and Xiaolu Wang

THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA pp. 474-490

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

Pierre Perron and Yohei Yamamoto

Volume 30, issue 1, 2014

SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION pp. 1-2

Peter Phillips and Jun Yu

A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY pp. 3-59

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

Peter Hansen and Asger Lunde

RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS pp. 94-126

Zhijie Xiao

NONPARAMETRIC NONSTATIONARITY TESTS pp. 127-149

Federico M. Bandi and Valentina Corradi

MEASUREMENT ERRORS IN DYNAMIC MODELS pp. 150-175

Ivana Komunjer and Serena Ng

SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES pp. 176-200

Matias Cattaneo, Richard Crump and Michael Jansson

X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION pp. 201-251

Chirok Han, Peter Phillips and Donggyu Sul

ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES pp. 252-284

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

Liangjun Su and Qihui Chen

GENERALIZED ADDITIVE PARTIAL LINEAR MODELS WITH HIGH-DIMENSIONAL COVARIATES pp. 1136-1161

Heng Lian and Hua Liang

EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS pp. 1162-1195

Giuseppe Cavaliere and Iliyan Georgiev

MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS pp. 1196-1237

Adam McCloskey and Pierre Perron

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS pp. 1238-1288

Dennis Kristensen and Anders Rahbek

THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS pp. 1289-1313

Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor

Volume 29, issue 5, 2013

ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION pp. 857-904

Zhipeng Liao

NONPARAMETRIC IDENTIFICATION OF ACCELERATED FAILURE TIME COMPETING RISKS MODELS pp. 905-919

Sokbae (Simon) Lee and Arthur Lewbel

TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS pp. 920-940

Ngai Hang Chan, Deyuan Li, Liang Peng and Rongmao Zhang

GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS pp. 941-968

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

Thomas Parker

DETECTION OF NONCONSTANT LONG MEMORY PARAMETER pp. 1009-1056

Frédéric Lavancier, Remigijus Leipus, Anne Philippe and Donatas Surgailis

EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS pp. 1057-1078

Gubhinder Kundhi and Paul Rilstone

Volume 29, issue 4, 2013

NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES pp. 673-698

Ke-Li Xu

MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES pp. 699-734

Ryan Greenaway-McGrevy

ESTIMATION-ADJUSTED VAR pp. 735-770

Christian Gourieroux and Jean-Michel Zakoian

ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE pp. 771-807

Oliver Linton and Zhijie Xiao

INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS pp. 808-837

Peter Phillips and Tassos Magdalinos

FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA pp. 838-856

Minjing Tao, Yazhen Wang and Xiaohong Chen

Volume 29, issue 3, 2013

NONCAUSAL VECTOR AUTOREGRESSION pp. 447-481

Markku Lanne and Pentti Saikkonen

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS pp. 482-516

Dong Li, Shiqing Ling and Wai Keung Li

ON THE RECOVERABILITY OF FORECASTERS’ PREFERENCES pp. 517-544

Robert Lieli and Maxwell Stinchcombe

ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS pp. 545-566

Marco Avarucci, Eric Beutner and Paolo Zaffaroni

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS pp. 567-589

Raffaella Giacomini, Dimitris N. Politis and Halbert White

A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS pp. 609-628

Timothy Vogelsang and Martin Wagner

A SMOOTH NONPARAMETRIC CONDITIONAL DENSITY TEST FOR CATEGORICAL RESPONSES pp. 629-641

Li Cong and Jeffrey Racine

ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES pp. 642-658

Benedikt Pötscher

SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES pp. 659-672

Yiguo Sun, Zongwu Cai and Qi Li

Volume 29, issue 2, 2013

SEMIPARAMETRIC STRUCTURAL MODELS OF BINARY RESPONSE: SHAPE RESTRICTIONS AND PARTIAL IDENTIFICATION pp. 231-266

Andrew Chesher

A FUNCTIONAL VERSION OF THE ARCH MODEL pp. 267-288

Siegfried Hörmann, Lajos Horvath and Ron Reeder

WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE pp. 289-323

Mohitosh Kejriwal, Pierre Perron and Jing Zhou

SECOND-ORDER REFINEMENT OF EMPIRICAL LIKELIHOOD FOR TESTING OVERIDENTIFYING RESTRICTIONS pp. 324-353

Yukitoshi Matsushita and Taisuke Otsu

ESTIMATION OF BINARY CHOICE MODELS WITH LINEAR INDEX AND DUMMY ENDOGENOUS VARIABLES pp. 354-392

Neşe Yildiz

ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION pp. 393-418

Fabrizio Iacone, Stephen J. Leybourne and Robert Taylor

A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS pp. 419-446

Anil K. Bera, Aurobindo Ghosh and Zhijie Xiao

Volume 29, issue 1, 2013

NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS pp. 1-27

Qiying Wang and Ying Xiang Rachel Wang

TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS pp. 28-67

Vicky Fasen

FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS pp. 68-88

Yong Bao

FINITE SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS – ERRATUM pp. 89-89

Yong Bao

NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY pp. 90-114

Ted Juhl and Zhijie Xiao

ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS pp. 115-152

Anders Kock

A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY pp. 187-212

Liangjun Su and Aman Ullah

ANOTHER LOOK AT THE IDENTIFICATION AT INFINITY OF SAMPLE SELECTION MODELS pp. 213-224

D’Haultfoeuille, Xavier and Arnaud Maurel