Econometric Theory

1985 - 2024

From Cambridge University Press
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Volume 26, issue 6, 2010

INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT pp. 1577-1606

Jushan Bai and Serena Ng

SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA pp. 1607-1637

Qi Li and Jeffrey Racine

LOCAL IDENTIFICATION IN EMPIRICAL GAMES OF INCOMPLETE INFORMATION pp. 1638-1662

Jean-Pierre Florens and Erwann Sbai

M-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS pp. 1663-1682

S.M. Roknossadati and M. Zarepour

BIAS CORRECTIONS IN TESTING AND ESTIMATING SEMIPARAMETRIC, SINGLE INDEX MODELS pp. 1683-1718

Roger Klein and Chan Shen

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY pp. 1719-1760

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS pp. 1761-1806

Liangjun Su and Halbert White

LOCAL RANK ESTIMATION OF TRANSFORMATION MODELS WITH FUNCTIONAL COEFFICIENTS pp. 1807-1819

Youngki Shin

A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION pp. 1820-1837

Saraswata Chaudhuri, Thomas Richardson, James Robins and Eric Zivot

GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS pp. 1838-1845

Anil K. Bera, Gabriel Montes-Rojas and Walter Sosa-Escudero

DECONVOLUTING PREFERENCES AND ERRORS: A MODEL FOR BINOMIAL PANEL DATA pp. 1846-1854

Mogens Fosgerau and Søren Feodor Nielsen

IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY pp. 1855-1861

Uwe Hassler and Piotr Kokoszka

Volume 26, issue 5, 2010

ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA pp. 1263-1304

Ryo Okui

UNIT ROOT TESTS WITH WAVELETS pp. 1305-1331

Yanqin Fan and Ramazan Gencay

ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS pp. 1332-1362

Jihai Yu and Lung-Fei Lee

TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS pp. 1363-1397

George Kapetanios and Andrew Blake

ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA pp. 1398-1436

Jonathan B. Hill

RISK MINIMIZATION FOR TIME SERIES BINARY CHOICE WITH VARIABLE SELECTION pp. 1437-1452

Wenxin Jiang and Martin A. Tanner

TIME-VARYING COINTEGRATION pp. 1453-1490

Herman Bierens and Luis Martins

FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES pp. 1491-1528

Stéphane Gregoir

UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL pp. 1529-1564

Efang Kong, Oliver Linton and Yingcun Xia

MIXED NORMAL INFERENCE ON MULTICOINTEGRATION pp. 1565-1576

H. Peter Boswijk

Volume 26, issue 4, 2010

SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL pp. 965-993

Christian Francq, Lajos Horvath and Jean-Michel Zakoian

IMPROVED AND EXTENDED END-OF-SAMPLE INSTABILITY TESTS USING A FEASIBLE QUASI-GENERALIZED LEAST SQUARES PROCEDURE pp. 994-1031

Dukpa Kim

ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS pp. 1032-1059

Offer Lieberman

NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION pp. 1060-1087

Xiaofeng Shao

PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION pp. 1088-1114

Jushan Bai and Serena Ng

CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION pp. 1115-1179

Bin Chen and Yongmiao Hong

CONFIDENCE BANDS IN QUANTILE REGRESSION pp. 1180-1200

Wolfgang Härdle and Song Song

A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS pp. 1201-1217

Massimo Franchi

ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES pp. 1218-1245

Weidong Liu and Wei Biao Wu

ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS pp. 1247-1261

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

Franz Palm, Stephan Smeekes and Jean-Pierre Urbain

TESTS FOR NONLINEAR COINTEGRATION pp. 682-709

In Choi and Pentti Saikkonen

A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION pp. 710-743

Masayuki Hirukawa

ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS pp. 744-773

Juan Carlos Escanciano

PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER pp. 774-803

Ching-Kang Ing, Chor-yiu (CY) Sin and Shu-Hui Yu

ANALYZING THE RANDOM COEFFICIENT MODEL NONPARAMETRICALLY pp. 804-837

Stefan Hoderlein, Jussi Klemelä and Enno Mammen

NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL pp. 838-862

Christian Conrad and Menelaos Karanasos

PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA pp. 863-881

Jinyong Hahn and Hyungsik Moon

ANALYSIS OF COEXPLOSIVE PROCESSES pp. 882-915

Bent Nielsen

THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION pp. 917-930

Giovanni Forchini

SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE pp. 931-951

Yanqin Fan and Sang Soo Park

LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES pp. 953-962

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

Almut Veraart

THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST pp. 369-382

Patrik Guggenberger

SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES pp. 383-405

Ivana Komunjer and Quang Vuong

AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS pp. 406-425

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

Donald Andrews and Patrik Guggenberger

MAXIMAL UNIFORM CONVERGENCE RATES IN PARAMETRIC ESTIMATION PROBLEMS pp. 469-500

Walter Beckert and Daniel McFadden

EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND pp. 501-540

Katsumi Shimotsu

REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS pp. 541-563

Ke-Li Xu

A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS pp. 564-597

Lung-Fei Lee and Jihai Yu

RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA pp. 598-631

Alessio Sancetta

MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS pp. 633-645

Martijn van Hasselt

Volume 26, issue 1, 2010

ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS pp. 1-28

Oliver Linton, Jiazhu Pan and Hui Wang

SPLINE-BACKFITTED KERNEL SMOOTHING OF ADDITIVE COEFFICIENT MODEL pp. 29-59

Rong Liu and Lijian Yang

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH pp. 60-93

Dennis Kristensen

OPTIMAL BANDWIDTH CHOICE FOR ESTIMATION OF INVERSE CONDITIONAL–DENSITY–WEIGHTED EXPECTATIONS pp. 94-118

David Jacho-Chávez

GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY pp. 119-151

Chirok Han and Peter Phillips

POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION pp. 152-186

Federico Martellosio

EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES pp. 187-230

Lung-Fei Lee and Xiaodong Liu

TESTING FOR EXOGENEITY IN THRESHOLD MODELS pp. 231-259

George Kapetanios

POOLING ESTIMATES WITH DIFFERENT RATES OF CONVERGENCE: A MINIMUM χ2 APPROACH WITH EMPHASIS ON A SOCIAL INTERACTIONS MODEL pp. 260-299

Lung-Fei Lee

SPECIFICATION OF VARIANCE MATRICES FOR PANEL DATA MODELS pp. 301-310

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

David Harris, David Harvey, Stephen Leybourne and Nikolaos D. Sakkas