Econometric Theory

1985 - 2024

From Cambridge University Press
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Volume 28, issue 6, 2012

ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE pp. 1165-1185

Brendan Beare

STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA pp. 1186-1228

Alain Guay and Jean-Francois Lamarche

TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS pp. 1229-1282

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

Hira L. Koul, Indeewara Perera and Mervyn J. Silvapulle

A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES pp. 1313-1349

Dietmar Bauer and Martin Wagner

THE CORRELATION STRUCTURE OF SPATIAL AUTOREGRESSIONS pp. 1373-1391

Federico Martellosio

Volume 28, issue 5, 2012

LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES pp. 935-958

Degui Li, Zudi Lu and Oliver Linton

SPECIFICATION TEST FOR MISSING FUNCTIONAL DATA pp. 959-1002

Federico Bugni

ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES pp. 1003-1036

Yuriy Gorodnichenko, Anna Mikusheva and Serena Ng

RANK-BASED ESTIMATION FOR GARCH PROCESSES pp. 1037-1064

Beth Andrews

THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS pp. 1065-1086

Ke Zhu and Shiqing Ling

REGRESSOR DIMENSION REDUCTION WITH ECONOMIC CONSTRAINTS: THE EXAMPLE OF DEMAND SYSTEMS WITH MANY GOODS pp. 1087-1120

Stefan Hoderlein and Arthur Lewbel

ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS pp. 1121-1143

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

Jia Chen, Jiti Gao and Degui Li

Volume 28, issue 4, 2012

GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS pp. 719-729

Ivana Komunjer

A SINGLE-INDEX QUANTILE REGRESSION MODEL AND ITS ESTIMATION pp. 730-768

Efang Kong and Yingcun Xia

k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA pp. 769-803

Ba Chu and David Jacho-Chávez

SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS pp. 804-837

Alexander Aue, Siegfried Hörmann, Lajos Horvath, Marie Hušková and Josef G. Steinebach

ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES pp. 838-860

Alessandro De Gregorio and Stefano Iacus

A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE pp. 861-887

Kiho Jeong, Wolfgang K. Härdle and Song Song

SUMS OF EXPONENTIALS OF RANDOM WALKS WITH DRIFT pp. 915-924

Xi Qu and Robert de Jong

SOME EXTENSIONS OF A LEMMA OF KOTLARSKI pp. 925-932

Kirill Evdokimov and Halbert White

Volume 28, issue 3, 2012

UNIT ROOTS IN WHITE NOISE pp. 485-508

Alexei Onatski and Harald Uhlig

NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION pp. 509-547

Xiaoxia Shi and Peter Phillips

ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY pp. 548-569

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

Dominik Wied, Walter Krämer and Herold Dehling

A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS pp. 590-628

Alois Kneip, Robin Sickles and Wonho Song

LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION pp. 629-669

Michael Levine and Jinguang Li

A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM pp. 671-679

Soren Johansen and Morten Nielsen

DISTRIBUTION-FREE ESTIMATION OF THE BOX–COX REGRESSION MODEL WITH CENSORING pp. 680-695

Songnian Chen

MEASUREMENT ERRORS AND CENSORED STRUCTURAL LATENT VARIABLES MODELS pp. 696-703

Songnian Chen, Cheng Hsiao and Liqun Wang

TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS pp. 705-717

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

Cecilia Mancini and Fabio Gobbi

EFFICIENT ESTIMATION OF FACTOR MODELS pp. 274-308

In Choi

CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS pp. 309-327

Neşe Yildiz

INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS pp. 328-362

Herman Bierens and Li Wang

SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA pp. 363-386

Frederic Ferraty, Alejandro Quintela-del-Río and Philippe Vieu

ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION pp. 387-421

Patrik Guggenberger

BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY pp. 422-456

Stephan Smeekes and Robert Taylor

ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES pp. 457-470

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

Tucker McElroy and Dimitris N. Politis

CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum pp. 483-484

Wolfgang K. Härdle and Song Song

Volume 28, issue 1, 2012

NULL RECURRENT UNIT ROOT PROCESSES pp. 1-41

Terje Myklebust, Hans Arnfinn Karlsen and Dag Tjøstheim

ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS pp. 42-86

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

Emmanuel Guerre and Camille Sabbah

TESTING FOR THE MARKOV PROPERTY IN TIME SERIES pp. 130-178

Bin Chen and Yongmiao Hong

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS pp. 179-206

Christian Francq and Jean-Michel Zakoian

DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES pp. 219-238

Marcus Chambers and Michael Thornton

ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST pp. 239-246

Stanislav Anatolyev and Grigory Kosenok

Volume 27, issue 6, 2011

UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION pp. 1117-1151

Chirok Han, Peter Phillips and Donggyu Sul

BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS pp. 1152-1191

Jinyong Hahn and Guido Kuersteiner

GEL CRITERIA FOR MOMENT CONDITION MODELS pp. 1192-1235

Richard Smith

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS pp. 1236-1278

Mika Meitz and Pentti Saikkonen

LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION pp. 1279-1319

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

Yixiao Sun, Peter Phillips and Sainan Jin

NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE pp. 1369-1375

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

Robert Taylor and Timothy Vogelsang

BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS pp. 933-956

Thomas Flury and Neil Shephard

TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY pp. 957-991

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

Özgen Sayginsoy and Timothy Vogelsang

SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS pp. 1026-1047

Patrick Marsh

THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS pp. 1048-1082

Silvia Goncalves

BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL pp. 1083-1116

Miguel Delgado, Javier Hidalgo and Carlos Velasco

Volume 27, issue 4, 2011

DYNAMIC TIME SERIES BINARY CHOICE pp. 673-702

Robert de Jong and Tiemen Woutersen

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES pp. 703-744

Dimitris N. Politis

BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP pp. 745-791

Silvia Goncalves and Timothy Vogelsang

SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION pp. 792-843

Song Xi Chen and Jiti Gao

TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS pp. 844-884

Jonathan B. Hill

COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” pp. 907-911

Vygantas Paulauskas, Svetlozar T. Rachev and Frank J. Fabozzi

ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS pp. 913-927

Bent Nielsen and Jouni S. Sohkanen

Volume 27, issue 3, 2011

INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS pp. 457-459

Jean-Pierre Florens and Oliver Linton

ON THE COMPLETENESS CONDITION IN NONPARAMETRIC INSTRUMENTAL PROBLEMS pp. 460-471

D’Haultfoeuille, Xavier

IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION pp. 472-496

Jean-Pierre Florens, Jan Johannes and Sebastien Van Bellegem

ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS pp. 497-521

Xiaohong Chen and Markus Reiss

CONVERGENCE RATES FOR ILL-POSED INVERSE PROBLEMS WITH AN UNKNOWN OPERATOR pp. 522-545

Jan Johannes, Sebastien Van Bellegem and Anne Vanhems

A SPECTRAL METHOD FOR DECONVOLVING A DENSITY pp. 546-581

Marine Carrasco and Jean-Pierre Florens

ORACLE-EFFICIENT NONPARAMETRIC ESTIMATION OF AN ADDITIVE MODEL WITH AN UNKNOWN LINK FUNCTION pp. 582-608

Joel L. Horowitz and Enno Mammen

DEMAND ANALYSIS AS AN ILL-POSED INVERSE PROBLEM WITH SEMIPARAMETRIC SPECIFICATION pp. 609-638

Stefan Hoderlein and Hajo Holzmann

ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL pp. 639-661

Woocheol Kim and Oliver Linton

IDENTIFICATION IN TRIANGULAR SYSTEMS USING CONTROL FUNCTIONS pp. 663-671

Maximilian Kasy

Volume 27, issue 2, 2011

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS pp. 201-234

Myung Hwan Seo

ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS pp. 235-259

Qiying Wang and Peter Phillips

SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE pp. 260-284

Jiti Gao, Qiying Wang and Jiying Yin

FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT pp. 285-311

Ioannis Kasparis

TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS pp. 312-343

Xiaofeng Shao

MULTIVARIATE ECOGARCH PROCESSES pp. 344-371

Stephan Haug and Robert Stelzer

PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION pp. 413-426

Mehmet Caner

SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS pp. 427-441

Stanislav Anatolyev and Nikolay Gospodinov

NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS pp. 443-456

Alastair Hall and Denis Pelletier

Volume 27, issue 1, 2011

EDITORS’ INTRODUCTION: SPECIAL ISSUE ON EMPIRICAL LIKELIHOOD AND RELATED METHODS pp. 5-7

Yuichi Kitamura and Richard Smith

EMPIRICAL LIKELIHOOD ESTIMATION OF CONDITIONAL MOMENT RESTRICTION MODELS WITH UNKNOWN FUNCTIONS pp. 8-46

Taisuke Otsu

MOMENT-BASED INFERENCE WITH STRATIFIED DATA pp. 47-73

Gautam Tripathi

GEL METHODS FOR NONSMOOTH MOMENT INDICATORS pp. 74-113

Paulo Parente and Richard Smith

TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD pp. 114-153

Taisuke Otsu and Yoon-Jae Whang

EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS pp. 154-177

Ngai Hang Chan, Liang Peng and Dabao Zhang

EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA pp. 178-198

Anouar El Ghouch, Ingrid Van Keilegom and Ian W. McKeague