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Econometric Theory

1985 - 2020

From Cambridge University Press
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Volume 26, issue 6, 2010

INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT pp. 1577-1606 Downloads
Jushan Bai and Serena Ng
SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA pp. 1607-1637 Downloads
Qi Li and Jeffrey Racine
LOCAL IDENTIFICATION IN EMPIRICAL GAMES OF INCOMPLETE INFORMATION pp. 1638-1662 Downloads
Jean-Pierre Florens and Sbaï, Erwann
M-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS pp. 1663-1682 Downloads
S.M. Roknossadati and M. Zarepour
BIAS CORRECTIONS IN TESTING AND ESTIMATING SEMIPARAMETRIC, SINGLE INDEX MODELS pp. 1683-1718 Downloads
Roger Klein and Chan Shen
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY pp. 1719-1760 Downloads
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS pp. 1761-1806 Downloads
Liangjun Su and Halbert White
IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY pp. 1855-1861 Downloads
Uwe Hassler and Piotr Kokoszka

Volume 26, issue 5, 2010

ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA pp. 1263-1304 Downloads
Ryo Okui
UNIT ROOT TESTS WITH WAVELETS pp. 1305-1331 Downloads
Yanqin Fan and Gençay, Ramazan
ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS pp. 1332-1362 Downloads
Jihai Yu and Lung-Fei Lee
TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS pp. 1363-1397 Downloads
George Kapetanios and Andrew Blake
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA pp. 1398-1436 Downloads
Jonathan B. Hill
RISK MINIMIZATION FOR TIME SERIES BINARY CHOICE WITH VARIABLE SELECTION pp. 1437-1452 Downloads
Wenxin Jiang and Martin A. Tanner
TIME-VARYING COINTEGRATION pp. 1453-1490 Downloads
Herman Bierens and Luis Martins
FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES pp. 1491-1528 Downloads
Stéphane Gregoir
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL pp. 1529-1564 Downloads
Efang Kong, Oliver Linton and Yingcun Xia
MIXED NORMAL INFERENCE ON MULTICOINTEGRATION pp. 1565-1576 Downloads
H. Peter Boswijk

Volume 26, issue 4, 2010

SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL pp. 965-993 Downloads
Christian Francq, Lajos Horvath and Zakoïan, Jean-Michel
IMPROVED AND EXTENDED END-OF-SAMPLE INSTABILITY TESTS USING A FEASIBLE QUASI-GENERALIZED LEAST SQUARES PROCEDURE pp. 994-1031 Downloads
Dukpa Kim
ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS pp. 1032-1059 Downloads
Offer Lieberman
NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION pp. 1060-1087 Downloads
Xiaofeng Shao
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION pp. 1088-1114 Downloads
Jushan Bai and Serena Ng
CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION pp. 1115-1179 Downloads
Bin Chen and Yongmiao Hong
CONFIDENCE BANDS IN QUANTILE REGRESSION pp. 1180-1200 Downloads
Härdle, Wolfgang K. and Song Song
A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS pp. 1201-1217 Downloads
Massimo Franchi
ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES pp. 1218-1245 Downloads
Weidong Liu and Wei Biao Wu
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS pp. 1247-1261 Downloads
Alessandra Luati and Tommaso Proietti

Volume 26, issue 3, 2010

A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL pp. 647-681 Downloads
Franz Palm, Stephan Smeekes and Jean-Pierre Urbain
TESTS FOR NONLINEAR COINTEGRATION pp. 682-709 Downloads
In Choi and Pentti Saikkonen
A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION pp. 710-743 Downloads
Masayuki Hirukawa
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS pp. 744-773 Downloads
Juan Carlos Escanciano
PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER pp. 774-803 Downloads
Ching-Kang Ing, Chor-yiu (CY) Sin and Shu-Hui Yu
ANALYZING THE RANDOM COEFFICIENT MODEL NONPARAMETRICALLY pp. 804-837 Downloads
Stefan Hoderlein, Klemelä, Jussi and Enno Mammen
NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL pp. 838-862 Downloads
Christian Conrad and Menelaos Karanasos
PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA pp. 863-881 Downloads
Jinyong Hahn and Hyungsik Moon
ANALYSIS OF COEXPLOSIVE PROCESSES pp. 882-915 Downloads
Bent Nielsen
LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES pp. 953-962 Downloads
Jin Seo Cho, Chirok Han and Peter Phillips

Volume 26, issue 2, 2010

INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES pp. 331-368 Downloads
Almut Veraart
THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST pp. 369-382 Downloads
Patrik Guggenberger
SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES pp. 383-405 Downloads
Ivana Komunjer and Quang Vuong
AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS pp. 406-425 Downloads
Liudas Giraitis, Remigijus Leipus and Donatas Surgailis
ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP pp. 426-468 Downloads
Donald Andrews and Patrik Guggenberger
MAXIMAL UNIFORM CONVERGENCE RATES IN PARAMETRIC ESTIMATION PROBLEMS pp. 469-500 Downloads
Walter Beckert and Daniel McFadden
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND pp. 501-540 Downloads
Katsumi Shimotsu
REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS pp. 541-563 Downloads
Ke-Li Xu
A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS pp. 564-597 Downloads
Lung-Fei Lee and Jihai Yu
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA pp. 598-631 Downloads
Alessio Sancetta

Volume 26, issue 1, 2010

ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS pp. 1-28 Downloads
Oliver Linton, Jiazhu Pan and Hui Wang
SPLINE-BACKFITTED KERNEL SMOOTHING OF ADDITIVE COEFFICIENT MODEL pp. 29-59 Downloads
Rong Liu and Lijian Yang
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH pp. 60-93 Downloads
Dennis Kristensen
OPTIMAL BANDWIDTH CHOICE FOR ESTIMATION OF INVERSE CONDITIONAL–DENSITY–WEIGHTED EXPECTATIONS pp. 94-118 Downloads
Jacho-Chávez, David Tomás
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY pp. 119-151 Downloads
Chirok Han and Peter Phillips
POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION pp. 152-186 Downloads
Federico Martellosio
EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES pp. 187-230 Downloads
Lung-Fei Lee and Xiaodong Liu
TESTING FOR EXOGENEITY IN THRESHOLD MODELS pp. 231-259 Downloads
George Kapetanios
POOLING ESTIMATES WITH DIFFERENT RATES OF CONVERGENCE: A MINIMUM χ2 APPROACH WITH EMPHASIS ON A SOCIAL INTERACTIONS MODEL pp. 260-299 Downloads
Lung-Fei Lee
SPECIFICATION OF VARIANCE MATRICES FOR PANEL DATA MODELS pp. 301-310 Downloads
Jan Magnus and Chris Muris
LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS pp. 311-324 Downloads
David Harris, David Harvey, Stephen Leybourne and Nikolaos D. Sakkas
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