Econometric Theory

1985 - 2026

From Cambridge University Press
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Volume 31, issue 6, 2015

ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY pp. 1153-1191

Sainan Jin, Liangjun Su and Zhijie Xiao

SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION pp. 1192-1228

Firmin Doko Tchatoka

REGULAR VARIATION AND THE IDENTIFICATION OF GENERALIZED ACCELERATED FAILURE-TIME MODELS pp. 1229-1248

Jaap H. Abbring and Geert Ridder

REFINED TESTS FOR SPATIAL CORRELATION pp. 1249-1280

Peter M. Robinson and Francesca Rossi

SPECIFICATION TESTING WHEN THE NULL IS NONPARAMETRIC OR SEMIPARAMETRIC pp. 1281-1309

Juan M. Rodríguez-Póo, Stefan Sperlich and Philippe Vieu

NONPARAMETRIC IDENTIFICATION OF POSITIVE EIGENFUNCTIONS pp. 1310-1330

Timothy M. Christensen

DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS pp. 1331-1358

Lorenzo Camponovo

A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA pp. 1359-1381

Alessio Sancetta

SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY pp. 1382-1402

Josu Arteche

Volume 31, issue 5, 2015

UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES pp. 911-952

Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim

TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS pp. 953-980

Zongwu Cai, Yunfei Wang and Yonggang Wang

HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE pp. 981-1015

Wolfgang Härdle, Ostap Okhrin and Weining Wang

TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT pp. 1016-1053

Xun Lu and Habert White

OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION pp. 1054-1077

Daniel Wilhelm

PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS pp. 1078-1101

Kun Ho Kim, Ting Zhang and Wei Biao Wu

WHAT DO QUANTILE REGRESSIONS IDENTIFY FOR GENERAL STRUCTURAL FUNCTIONS? pp. 1102-1116

Yuya Sasaki

TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS pp. 1117-1152

Xu Han and Atsushi Inoue

Volume 31, issue 4, 2015

LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS pp. 671-702

Bonsoo Koo and Oliver Linton

MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES pp. 703-728

Ying Chen and Vladimir Spokoiny

A HIDDEN MARKOV MODEL FOR THE DETECTION OF PURE AND MIXED STRATEGY PLAY IN GAMES pp. 729-752

Jason Shachat, J. Todd Swarthout and Lijia Wei

ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES pp. 753-777

Haiqiang Chen, Ying Fang and Yingxing Li

ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS pp. 778-810

Haiqiang Chen

TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS pp. 811-859

Michael Vogt

SHRINKAGE EFFICIENCY BOUNDS pp. 860-879

Bruce Hansen

ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES pp. 880-890

Rongmao Zhang and Shiqing Ling

A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS pp. 891-910

Manuel A. Domínguez and Ignacio Lobato

Volume 31, issue 3, 2015

SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS pp. 426-448

Anna Mikusheva

A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS pp. 449-470

Adriana Cornea-Madeira and Russell Davidson

NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING pp. 471-492

Brendan Beare and Jong-Myun Moon

SIMPLE TWO-STAGE INFERENCE FOR A CLASS OF PARTIALLY IDENTIFIED MODELS pp. 493-520

Xiaoxia Shi and Matthew Shum

IDENTIFICATION IN DISCRETE MARKOV DECISION MODELS pp. 521-538

Sorawoot Srisuma

ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES pp. 539-559

I. Gaia Becheri, Feike C. Drost and Ramon van den Akker

PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH pp. 560-580

Zongwu Cai, Yu Ren and Linman Sun

AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS pp. 581-646

Zhipeng Liao and Peter Phillips

THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE pp. 647-667

Kazuhiko Hayakawa

Volume 31, issue 2, 2015

VAR INTERPRETATIONS OF HAAVELMO’S MARKET MODEL OF CAPITAL AND INVESTMENT pp. 195-212

Erik Biorn

HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR pp. 213-232

Katarina Juselius

HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION pp. 233-248

John Chipman

TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION pp. 249-274

Kevin Hoover and Katarina Juselius

CONSOLIDATION OF THE HAAVELMO-COWLES COMMISSION RESEARCH PROGRAM pp. 275-293

Duo Qin

SPECIFICATION TESTS FOR LATTICE PROCESSES pp. 294-336

Javier Hidalgo and Myung Hwan Seo

THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY pp. 337-361

Bruce Hansen

ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS pp. 362-393

Fangfang Wang and Eric Ghysels

WHEN BIAS KILLS THE VARIANCE: CENTRAL LIMIT THEOREMS FOR DEA AND FDH EFFICIENCY SCORES pp. 394-422

Alois Kneip, Leopold Simar and Paul Wilson

Volume 31, issue 1, 2015

TRYGVE HAAVELMO AT THE COWLES COMMISSION pp. 1-84

Olav Bjerkholt

STRUCTURAL MODELS AND ECONOMETRICS pp. 85-92

Trygve Haavelmo

MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY pp. 93-114

David Hendry and Soren Johansen

CAUSAL ANALYSIS AFTER HAAVELMO pp. 115-151

James Heckman and Rodrigo Pinto

TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS pp. 152-179

Judea Pearl

MY REMINISCENCES OF TRYGVE HAAVELMO AT THE COWLES COMMISSION pp. 180-192

T.W. Anderson