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Econometric Theory

Short Title: Econom. Theory
Publisher: Cambridge University Press, Cambridge
ISSN: 0266-4666; 1469-4360/e
Online: https://www.cambridge.org/core/journals/econometric-theory/all-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,214 Publications (since 1995)
References Indexed: 993 Publications with 31,158 References.
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...and 52 more Volumes
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Authors

52 Phillips, Peter Charles Bonest
24 Linton, Oliver Bruce
24 Taylor, A. M. Robert
17 Xiao, Zhijie
16 Horváth, Lajos
16 Wang, Qiying
14 Leybourne, Stephen J.
13 Cavaliere, Giuseppe
13 Hahn, Jinyong
13 Saikkonen, Pentti
12 Li, Qi
12 Potscher, Benedikt M.
11 de Jong, Robert M.
11 Gao, Jiti
11 Moon, Hyungsik Roger
11 Otsu, Taisuke
11 Robinson, Peter Michael
11 Su, Liangjun
11 White, Halbert Lynn jun.
10 Andrews, Donald Wilfrid Kao
10 Florens, Jean-Pierre
10 Jansson, Michael
10 Ling, Shiqing
9 Francq, Christian
9 Hillier, Grant H.
9 Hong, Yongmiao
9 Lee, Lung-Fei
9 Leeb, Hannes
9 Lieberman, Offer
9 Perron, Pierre
9 Rahbek, Anders
9 Zakoïan, Jean-Michel
8 Chan, Ngai Hang
8 Chen, Songnian
8 Giraitis, Liudas
8 Hansen, Bruce E.
8 Johansen, Søren Glud
8 Sun, Yixiao
8 Vogelsang, Timothy J.
7 Anatolyev, Stanislav
7 Cai, Zongwu
7 Chambers, Marcus J.
7 Guggenberger, Patrik
7 Han, Chirok
7 Härdle, Wolfgang Karl
7 Harvey, David I.
7 Kokoszka, Piotr S.
7 Kuersteiner, Guido M.
7 Sasaki, Yuya
6 Abadir, Karim M.
6 Baltagi, Badi H.
6 Beare, Brendan K.
6 Bierens, Herman J.
6 Carrasco, Marine
6 del Barrio Castro, Tomas
6 Deo, Rohit S.
6 Escanciano, Juan Carlos
6 Fan, Yanqin
6 Forchini, Giovanni
6 Georgiev, Iliyan
6 Kristensen, Dennis
6 Liao, Zhipeng
6 Mammen, Enno
6 Nielsen, Morten Ørregaard
6 Rodrigues, Paulo M. M.
6 Shao, Xiaofeng
6 Simar, Léopold
6 Smith, Richard J.
6 Tjøstheim, Dag B.
6 Velasco, Carlos
6 Whang, Yoon-Jae
5 Aue, Alexander
5 Bao, Yong
5 Bera, Anil K.
5 Breitung, Jorg
5 Chen, Xiaohong
5 Ghysels, Eric
5 Hafner, Christian Matthias
5 Hassler, Uwe
5 Hidalgo, Javier
5 Hoderlein, Stefan G. N.
5 Hsiao, Cheng
5 Inoue, Atsushi
5 Kapetanios, George
5 Leipus, Remigijus
5 Lewbel, Arthur
5 Lütkepohl, Helmut
5 Magdalinos, Tassos
5 Marsh, Patrick
5 McAleer, Michael
5 McCabe, Brendan P. M.
5 Nabeya, Seiji
5 Nielsen, Bent
5 Park, Joon Y.
5 Peng, Liang
5 Pinkse, Joris
5 Politis, Dimitris Nicolas
5 Preinerstorfer, David
5 Sancetta, Alessio
5 Tanaka, Katsuto
...and 935 more Authors

Publications by Year

Citations contained in zbMATH Open

1,036 Publications have been cited 12,829 times in 7,547 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
197
2002
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
184
2005
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
165
2008
A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Zbl 1082.62040
Kiefer, Nicholas M.; Vogelsang, Timothy J.
122
2005
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
104
1995
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
99
2004
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
88
2009
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
88
2000
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
88
2006
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
86
2003
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
84
1999
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
83
2013
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
82
1998
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
79
2006
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
78
2004
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
77
2000
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
76
2005
Regression quantiles for time series. Zbl 1181.62124
Cai, Zongwu
66
2002
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
65
2009
A single-index quantile regression model and its estimation. Zbl 1419.62090
Kong, Efang; Xia, Yingcun
65
2012
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
65
2001
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
63
2010
Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
63
2005
Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
60
2010
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
58
2011
The nonstationary fractional unit root. Zbl 0985.62073
Tanaka, Katsuto
58
1999
Necessary and sufficient moment conditions for the \(\text{GARCH}((r,s)\) and asymmetric power \(\text{GARCH}((r,s)\) models. Zbl 1110.62332
Ling, Shiqing; McAleer, Michael
56
2002
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
55
2006
Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071
Fan, Yanqin; Li, Qi
54
2000
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
53
2002
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
52
2005
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
51
2008
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
51
2000
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
51
2002
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
50
2008
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
50
2002
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
48
2008
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
48
2000
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
46
2008
The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes. Zbl 0981.60028
Davidson, James; de Jong, Robert M.
46
2000
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
46
2000
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
46
2006
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
46
2017
Unit root testing in practice: dealing with uncertainty over the trend and initial condition. Zbl 1253.62060
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
45
2009
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
45
2009
Uniform Bahadur representation for local polynomial estimates of M-regression and its application to the additive model. Zbl 1198.62030
Kong, Efang; Linton, Oliver; Xia, Yingcun
45
2010
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
45
2003
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
45
2014
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
44
2001
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
44
2006
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
44
2003
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
44
2009
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
44
2013
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
43
1999
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
43
2004
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
43
2005
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
42
2013
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
42
2011
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
42
2010
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
41
2008
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
41
2004
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
40
2000
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123
Pedroni, Peter
40
2004
On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models. Zbl 1018.62079
Deo, Rohit S.; Hurvich, Clifford M.
39
2001
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
38
2004
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
38
2009
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
37
2011
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
37
2004
Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083
Francq, Christian; Zakoïan, Jean-Michel
37
2006
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
37
2005
Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013
Velasco, Carlos; Robinson, Peter M.
37
2001
Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances. Zbl 1181.62137
Lee, Lung-Fei; Liu, Xiaodong
36
2010
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
36
2014
On the completeness condition in nonparametric instrumental problems. Zbl 1218.62029
D’Haultfoeuille, Xavier
35
2011
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
35
2001
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
34
2011
Sharp bounds on the distribution of treatment effects and their statistical inference. Zbl 1191.62061
Fan, Yanqin; Park, Sang Soo
34
2010
GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. Zbl 1284.62522
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa; Perron, Pierre
34
2009
Testing for a change in correlation at an unknown point in time using an extended functional delta method. Zbl 1239.91187
Wied, Dominik; Krämer, Walter; Dehling, Herold
33
2012
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
33
2007
Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163
Shimotsu, Katsumi
33
2010
The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027
de Jong, Robert M.; Davidson, James
33
2000
Bootstrapping quantile regression estimators. Zbl 1401.62045
Hahn, Jinyong
33
1995
The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056
Gonçalves, Sílvia; White, Halbert
33
2002
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
32
2009
A consistent nonparametric test of parametric regression models under conditional quantile restrictions. Zbl 1419.62107
Zheng, J. Xu
32
1998
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
32
2001
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
32
2002
Testing for zero autocorrelation in the presence of statistical dependence. Zbl 1109.62341
Lobato, I. N.; Nankervis, John C.; Savin, N. E.
32
2002
Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments. Zbl 1442.62734
Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen
31
2012
Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027
Guerre, Emmanuel; Sabbah, Camille
31
2012
Tests for parameter instability in dynamic factor models. Zbl 1441.62722
Han, Xu; Inoue, Atsushi
31
2015
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. Zbl 1284.62566
Meitz, Mika; Saikkonen, Pentti
30
2008
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
30
2004
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
30
2004
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
30
2002
QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120
Francq, Christian; Zakoïan, Jean-Michel
29
2012
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
29
2012
Unit root testing for functionals of linear processes. Zbl 1083.62098
Wu, Wei Biao
29
2006
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
29
2009
Estimation and inference with near unit roots. Zbl 07682010
Phillips, Peter C. B.
5
2023
Inference on the dimension of the nonstationary subspace in functional time series. Zbl 07695640
Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung
2
2023
An asymptotic theory for least squares model Averaging with nested models. Zbl 07682016
Fang, Fang; Yuan, Chaoxia; Tian, Wenling
2
2023
Nonparametric Bayes analysis of the sharp and fuzzy regression discontinuity designs. Zbl 07695641
Chib, Siddhartha; Greenberg, Edward; Simoni, Anna
1
2023
On multiple structural breaks in distribution: an empirical characteristic function approach. Zbl 07695642
Fu, Zhonghao; Hong, Yongmiao; Wang, Xia
1
2023
How large is the jump discontinuity in the diffusion coefficient of a time-homogeneous diffusion? Zbl 07727192
Robert, Christian Y.
1
2023
In-sample asymptotics and across-sample efficiency gains for high frequency data statistics. Zbl 07659823
Ghysels, Eric; Mykland, Per; Renault, Eric
1
2023
Continuously updated indirect inference in heteroskedastic spatial models. Zbl 07659824
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca
1
2023
Complete subset averaging for quantile regressions. Zbl 07659825
Lee, Ji Hyung; Shin, Youngki
1
2023
A wild bootstrap for dependent data. Zbl 07682011
Hounyo, Ulrich
1
2023
A cross-sectional method for right-tailed panic tests under a moderately local to unity framework. Zbl 07682015
Yamamoto, Yohei; Horie, Tetsushi
1
2023
Robust tests for white noise and cross-correlation. Zbl 07622633
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B.
6
2022
Joint time-series and cross-Section limit theory under mixingale assumptions. Zbl 07622634
Hahn, Jinyong; Kuersteiner, Guido; Mazzocco, Maurizio
6
2022
Generalized Laplace inference in multiple change-points models. Zbl 1493.62598
Casini, Alessandro; Perron, Pierre
4
2022
On the uniform convergence of deconvolution estimators from repeated measurements. Zbl 1493.62610
Kurisu, Daisuke; Otsu, Taisuke
3
2022
Tail behavior of stopped Lévy processes with Markov modulation. Zbl 07622636
Beare, Brendan K.; Seo, Won-Ki; Toda, Alexis Akira
3
2022
Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters. Zbl 1493.62624
Yamada, Hiroshi
3
2022
Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach. Zbl 1493.62615
Matsui, Muneya; Pedersen, Rasmus Søndergaard
2
2022
Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market. Zbl 1493.62605
Horváth, Lajos; Liu, Zhenya; Lu, Shanglin
2
2022
On the convergence rate of potentials of Brenier maps. Zbl 1493.62604
Gunsilius, Florian F.
2
2022
Endogeneity in semiparametric threshold regression. Zbl 1493.62609
Kourtellos, Andros; Stengos, Thanasis; Sun, Yiguo
2
2022
Quantile double autoregression. Zbl 07583892
Zhu, Qianqian; Li, Guodong
2
2022
Estimation and inference for moments of ratios with robustness against large trimming bias. Zbl 1493.62621
Sasaki, Yuya; Ura, Takuya
1
2022
On smooth tests for the equality of distributions. Zbl 1493.62622
Song, Xiaojun; Xiao, Zhijie
1
2022
Estimation of the Kronecker covariance model by quadratic form. Zbl 07622637
Linton, Oliver B.; Tang, Haihan
1
2022
Test for zero median of errors in an ARMA-GARCH model. Zbl 1493.62616
Ma, Yaolan; Zhou, Mo; Peng, Liang; Zhang, Rongmao
1
2022
Constraint qualifications in partial identification. Zbl 1493.62608
Kaido, Hiroaki; Molinari, Francesca; Stoye, Jörg
1
2022
Identification and estimation in a correlated random coefficients transformation model. Zbl 07583889
Zhang, Zhengyu; Jin, Zequn; Mu, Beili
1
2022
Identification robust inference for moments-based analysis of linear dynamic panel data models. Zbl 07583890
Bun, Maurice J. G.; Kleibergen, Frank
1
2022
Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139
Aknouche, Abdelhakim; Francq, Christian
18
2021
Inference in instrumental variable models with heteroskedasticity and many instruments. Zbl 1467.62096
Crudu, Federico; Mellace, Giovanni; Sándor, Zsolt
5
2021
A new study on asymptotic optimality of least squares model averaging. Zbl 1467.62067
Zhang, Xinyu
5
2021
Specification testing for errors-in-variables models. Zbl 1473.62147
Otsu, Taisuke; Taylor, Luke
4
2021
Optimal auxiliary priors and reversible jump proposals for a class of variable dimension models. Zbl 1462.62395
Norets, Andriy
4
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Iterations of dependent random maps and exogeneity in nonlinear dynamics. Zbl 1493.62599
Debaly, Zinsou Max; Truquet, Lionel
4
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Nonstationary linear processes with infinite variance GARCH errors. Zbl 1479.62068
Zhang, Rongmao; Chan, Ngai Hang
3
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Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068
Hosseinkouchack, Mehdi; Demetrescu, Matei
3
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Spatial dependence in option observation errors. Zbl 1467.62170
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
3
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A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models. Zbl 1462.62528
Cavaliere, Giuseppe; Rahbek, Anders
3
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Least squares estimation for nonlinear regression models with heteroscedasticity. Zbl 1493.62623
Wang, Qiying
2
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Nonparametric Euler equation identification and estimation. Zbl 1479.62090
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot
2
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Average derivative estimation under measurement error. Zbl 1479.62022
Dong, Hao; Otsu, Taisuke; Taylor, Luke
2
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Limit theorems for factor models. Zbl 1479.62069
Anatolyev, Stanislav; Mikusheva, Anna
2
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Identification of linear regressions with errors in all variables. Zbl 1473.62237
Ben-Moshe, Dan
2
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Large sample properties of Bayesian estimation of spatial econometric models. Zbl 1473.62385
Han, Xiaoyi; Lee, Lung-Fei; Xu, Xingbai
2
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Partial identification of nonseparable models using binary instruments. Zbl 1473.62386
Ishihara, Takuya
2
2021
Estimation of time-varying covariance matrices for large datasets. Zbl 1493.62600
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George
2
2021
Efficient estimation of integrated volatility functionals under general volatility dynamics. Zbl 1473.62387
Li, Jia; Liu, Yunxiao
1
2021
Factorisable multitask quantile regression. Zbl 1473.62131
Chao, Shih-Kang; Härdle, Wolfgang K.; Yuan, Ming
1
2021
Latent variable nonparametric cointegrating regression. Zbl 1462.62249
Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis
1
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Instrumental variable quantile regression with misclassification. Zbl 1462.62247
Ura, Takuya
1
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Robustified expected maximum production frontiers. Zbl 1467.62181
Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold
1
2021
Nonlinear cointegrating power function regression with endogeneity. Zbl 1493.62607
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying
1
2021
Cointegration in functional autoregressive processes. Zbl 1462.62769
Franchi, Massimo; Paruolo, Paolo
9
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
8
2020
Representation of I(1) and I(2) autoregressive Hilbertian processes. Zbl 1462.62768
Beare, Brendan K.; Seo, Won-Ki
7
2020
Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042
Babii, Andrii
6
2020
A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570
Sakarya, Neslihan; De Jong, Robert M.
6
2020
Testing for structural changes in factor models via a nonparametric regression. Zbl 1462.62246
Su, Liangjun; Wang, Xia
6
2020
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
5
2020
A smoothing method that looks like the Hodrick-Prescott filter. Zbl 1462.62741
Yamada, Hiroshi
5
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
4
2020
Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility. Zbl 1436.62402
Harvey, David I.; Leybourne, Stephen J.; Zu, Yang
4
2020
Optimal multistep VAR forecast averaging. Zbl 1462.62540
Liao, Jen-Che; Tsay, Wen-Jen
3
2020
Identification and estimation in a third-price auction model. Zbl 1440.62119
Enache, Andreea; Florens, Jean-Pierre
2
2020
Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037
Matsushita, Yukitoshi; Otsu, Taisuke
2
2020
Robust inference in structural vector autoregressions with long-run restrictions. Zbl 1436.62416
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo
2
2020
Inference on a semiparametric model with global power law and local nonparametric trends. Zbl 1435.62422
Gao, Jiti; Linton, Oliver; Peng, Bin
2
2020
Randomization tests of copula symmetry. Zbl 1462.62297
Beare, Brendan K.; Seo, Juwon
2
2020
Exact local Whittle estimation in long memory time series with multiple poles. Zbl 1462.62520
Arteche, Josu
2
2020
Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective. Zbl 1440.62257
Fan, Qingliang; Han, Xiao; Pan, Guangming; Jiang, Bibo
1
2020
Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests. Zbl 1447.62035
Duffy, James A.
1
2020
Truncated sum of squares estimation of fractional time series models with deterministic trends. Zbl 1447.62025
Hualde, Javier; Nielsen, Morten Ørregaard
1
2020
Cumulated sum of squares statistics for nonlinear and nonstationary regressions. Zbl 1436.62412
Berenguer-Rico, Vanessa; Nielsen, Bent
1
2020
The sum of the reciprocal of the random walk. Zbl 1440.60038
Michel, Jon; de Jong, Robert
1
2020
Estimation for dynamic panel data with individual effects. Zbl 1435.62088
Robinson, Peter M.; Velasco, Carlos
1
2020
Admissible, similar tests: a characterization. Zbl 1435.62087
Montiel Olea, José Luis
1
2020
Testing a parametric transformation model versus a nonparametric alternative. Zbl 1462.62737
Szydłowski, Arkadiusz
1
2020
A max-correlation white noise test for weakly dependent time series. Zbl 1462.62534
Hill, Jonathan B.; Motegi, Kaiji
1
2020
On efficiency gains from multiple incomplete subsamples. Zbl 1440.62038
Chaudhuri, Saraswata
1
2020
Inference after model averaging in linear regression models. Zbl 1420.62300
Zhang, Xinyu; Liu, Chu-An
28
2019
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
25
2019
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009
Xiao, Weilin; Yu, Jun
22
2019
Characterizations of multinormality and corresponding tests of fit, including for GARCH models. Zbl 1419.62101
Henze, Norbert; Jiménez-Gamero, M. Dolores; Meintanis, Simos G.
14
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
12
2019
Testing GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
9
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
8
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
7
2019
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
7
2019
Testing generalized regression monotonicity. Zbl 1433.62124
Hsu, Yu-Chin; Liu, Chu-An; Shi, Xiaoxia
5
2019
The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509
Hansen, Christian; Liao, Yuan
5
2019
Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects. Zbl 1418.62491
Kock, Anders Bredahl; Tang, Haihan
5
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
5
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
4
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
4
2019
Combining estimates of conditional treatment effects. Zbl 1434.62238
Rolling, Craig A.; Yang, Yuhong; Velez, Dagmar
3
2019
Mixed causal-noncausal AR processes and the modelling of explosive bubbles. Zbl 1433.62258
Fries, Sébastien; Zakoian, Jean-Michel
3
2019
Asymptotically efficient model selection for panel data forecasting. Zbl 1420.62486
Greenaway-McGrevy, Ryan
3
2019
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Zbl 1433.62261
Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert
2
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
2
2019
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Cited by 7,102 Authors

105 Phillips, Peter Charles Bonest
61 Taylor, A. M. Robert
57 Su, Liangjun
53 Linton, Oliver Bruce
53 McAleer, Michael
51 Horváth, Lajos
46 Gao, Jiti
42 Cavaliere, Giuseppe
40 Simar, Léopold
37 Shin, Dongwan
35 Cai, Zongwu
33 Van Keilegom, Ingrid
33 Zhu, Lixing
31 Politis, Dimitris Nicolas
31 Robinson, Peter Michael
31 Zhang, Xinyu
29 Chen, Xiaohong
29 Lee, Sangyeol
29 Leybourne, Stephen J.
29 Li, Qi
29 Nielsen, Morten Ørregaard
29 Xiao, Zhijie
28 Ling, Shiqing
27 Dette, Holger
27 Escanciano, Juan Carlos
27 Fan, Yanqin
27 Francq, Christian
27 Hallin, Marc
27 Rahbek, Anders
27 Zhang, Jun
26 Hong, Yongmiao
26 Li, Degui
26 Tjøstheim, Dag B.
25 Florens, Jean-Pierre
25 Kokoszka, Piotr S.
25 Lee, Lung-Fei
25 Otsu, Taisuke
25 Park, Joon Y.
25 Sun, Yixiao
25 Wang, Qiying
25 Zhang, Rongmao
24 Chan, Ngai Hang
23 Hsiao, Cheng
23 McElroy, Tucker S.
23 Peng, Liang
23 Perron, Pierre
23 Shao, Xiaofeng
23 Zakoïan, Jean-Michel
22 Härdle, Wolfgang Karl
22 Lu, Zudi
22 Surgailis, Donatas
22 Velasco, Carlos
22 Westerlund, Joakim
21 Andrews, Donald Wilfrid Kao
21 Asai, Manabu
21 Chernozhukov, Victor
21 Mammen, Enno
21 Saikkonen, Pentti
21 White, Halbert Lynn jun.
20 Corradi, Valentina
20 Demetrescu, Matei
20 Giraitis, Liudas
20 Harvey, David I.
20 Hassler, Uwe
20 Kapetanios, George
20 Liang, Hua
20 Sasaki, Yuya
20 Yu, Jun
19 Chambers, Marcus J.
19 Guggenberger, Patrik
19 Lewbel, Arthur
19 Lian, Heng
19 Lieberman, Offer
19 Rice, Gregory
19 Wied, Dominik
19 Wu, Wei Biao
18 Bravo, Francesco
18 Galvao, Antonio F. jun.
18 Hörmann, Siegfried
18 Hwang, Eunju
18 Kristensen, Dennis
18 Kurozumi, Eiji
18 Rodrigues, Paulo M. M.
18 Tu, Yundong
18 Vogelsang, Timothy J.
18 Zhu, Fukang
17 Aue, Alexander
17 Bai, Jushan
17 Bücher, Axel
17 Cavicchioli, Maddalena
17 Gil-Alana, Luis Alberiko
17 Hu, Yingyao
17 Jiménez-Gamero, María Dolores
17 Li, Dong
17 Li, Jia
17 Li, Wai Keung
17 Meintanis, Simos G.
17 Swanson, Norman Rasmus
17 Yang, Lijian
17 You, Jinhong
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Cited in 319 Journals

1,484 Journal of Econometrics
596 Econometric Theory
350 Journal of Time Series Analysis
347 Econometric Reviews
249 Economics Letters
245 Computational Statistics and Data Analysis
233 Journal of Multivariate Analysis
188 Communications in Statistics. Theory and Methods
185 The Annals of Statistics
167 Journal of Statistical Planning and Inference
167 Statistics & Probability Letters
127 Electronic Journal of Statistics
99 Communications in Statistics. Simulation and Computation
99 Journal of Statistical Computation and Simulation
98 The Econometrics Journal
97 Econometrica
93 Bernoulli
91 Statistical Papers
88 Journal of Nonparametric Statistics
86 Scandinavian Journal of Statistics
84 Annals of the Institute of Statistical Mathematics
80 European Journal of Operational Research
78 Journal of the American Statistical Association
73 Studies in Nonlinear Dynamics and Econometrics
66 Stochastic Processes and their Applications
64 Quantitative Economics
58 Mathematics and Computers in Simulation
57 Test
57 Journal of the Korean Statistical Society
55 Quantitative Finance
50 Statistics
50 Statistica Sinica
47 Journal of Applied Statistics
45 Metrika
44 Computational Statistics
42 Journal of Business and Economic Statistics
41 Journal of Economic Dynamics & Control
38 Journal of Time Series Econometrics
37 The Canadian Journal of Statistics
37 AStA. Advances in Statistical Analysis
36 Statistical Methods and Applications
32 Statistical Inference for Stochastic Processes
32 Statistics and Computing
26 Annals of Operations Research
25 Biometrics
24 Insurance Mathematics & Economics
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23 Journal of Econometric Methods
23 Stat
22 Mathematical Methods of Statistics
22 Journal of Forecasting
21 Statistica Neerlandica
21 Australian & New Zealand Journal of Statistics
21 Journal of Systems Science and Complexity
20 Science China. Mathematics
19 Acta Mathematicae Applicatae Sinica. English Series
18 Journal of Theoretical Probability
17 Lithuanian Mathematical Journal
17 International Economic Review
16 International Statistical Review
16 Economic Theory
15 Physica A
15 Journal of Machine Learning Research (JMLR)
14 Methodology and Computing in Applied Probability
13 Psychometrika
13 Journal of Computational and Applied Mathematics
13 Journal of the Royal Statistical Society. Series B. Statistical Methodology
13 Extremes
12 The Annals of Applied Statistics
11 The Annals of Applied Probability
11 Statistical Methodology
11 Bulletin of Economic Research
11 Bayesian Analysis
11 Dependence Modeling
10 Automatica
10 Applied Mathematics. Series B (English Edition)
10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
10 Acta Mathematica Sinica. English Series
10 Journal of Computational and Graphical Statistics
9 Advances in Applied Probability
9 Open Economies Review
9 Brazilian Journal of Probability and Statistics
9 Journal of Statistical Theory and Practice
9 Annals of Finance
8 Biometrical Journal
8 Journal of Applied Probability
8 Probability Theory and Related Fields
8 Sequential Analysis
8 Stochastics
8 Journal of Probability and Statistics
8 Japanese Journal of Statistics and Data Science
8 Statistical Theory and Related Fields
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Statistics Surveys
7 Sankhyā. Series B
6 Applied Mathematics and Computation
6 Journal of Economic Theory
6 Metron
6 Operations Research
6 Mathematical and Computer Modelling
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Cited in 39 Fields

7,016 Statistics (62-XX)
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