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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: Indexed cover-to-cover
Documents Indexed: 1,138 Publications (since 1995)
References Indexed: 921 Publications with 28,225 References.
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...and 41 more Volumes
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Authors

47 Phillips, Peter Charles Bonest
24 Taylor, A. M. Robert
23 Linton, Oliver Bruce
17 Xiao, Zhijie
16 Horváth, Lajos
15 Wang, Qiying
14 Leybourne, Stephen J.
13 Cavaliere, Giuseppe
12 Saikkonen, Pentti
11 de Jong, Robert M.
11 Gao, Jiti
11 Li, Qi
11 Potscher, Benedikt M.
11 Robinson, Peter Michael
11 White, Halbert Lynn jun.
10 Florens, Jean-Pierre
10 Ling, Shiqing
10 Otsu, Taisuke
10 Su, Liangjun
9 Hahn, Jinyong
9 Jansson, Michael
9 Lee, Lung-Fei
9 Lieberman, Offer
9 Moon, Hyungsik Roger
9 Perron, Pierre
9 Rahbek, Anders
8 Andrews, Donald Wilfrid Kao
8 Chan, Ngai Hang
8 Francq, Christian
8 Hansen, Bruce E.
8 Hillier, Grant H.
8 Hong, Yongmiao
8 Johansen, Søren Glud
8 Sun, Yixiao
8 Vogelsang, Timothy J.
8 Zakoïan, Jean-Michel
7 Anatolyev, Stanislav
7 Cai, Zongwu
7 Chambers, Marcus J.
7 Chen, Songnian
7 Giraitis, Liudas
7 Guggenberger, Patrik
7 Han, Chirok
7 Härdle, Wolfgang Karl
7 Harvey, David I.
7 Kokoszka, Piotr S.
7 Leeb, Hannes
6 Abadir, Karim M.
6 Baltagi, Badi H.
6 Bierens, Herman J.
6 del Barrio Castro, Tomas
6 Deo, Rohit S.
6 Escanciano, Juan Carlos
6 Forchini, Giovanni
6 Georgiev, Iliyan
6 Kristensen, Dennis
6 Mammen, Enno
6 Rodrigues, Paulo M. M.
6 Sasaki, Yuya
6 Shao, Xiaofeng
6 Smith, Richard J.
6 Tjøstheim, Dag B.
6 Velasco, Carlos I. Hoyos
6 Whang, Yoon-Jae
6 Wu, Wei Biao
5 Aue, Alexander
5 Bao, Yong
5 Beare, Brendan K.
5 Bera, Anil K.
5 Carrasco, Marine
5 Chen, Xiaohong
5 Fan, Yanqin
5 Hafner, Christian Matthias
5 Hassler, Uwe
5 Hoderlein, Stefan G. N.
5 Hsiao, Cheng
5 Inoue, Atsushi
5 Kapetanios, George
5 Leipus, Remigijus
5 Lewbel, Arthur
5 Liao, Zhipeng
5 Lütkepohl, Helmut
5 Marsh, Patrick
5 McAleer, Michael
5 McCabe, Brendan P. M.
5 Nabeya, Seiji
5 Nielsen, Bent
5 Nielsen, Morten Ørregaard
5 Park, Joon Y.
5 Peng, Liang
5 Politis, Dimitris Nicolas
5 Simar, Léopold
5 Tanaka, Katsuto
5 Wooldridge, Jeffrey M.
5 Xia, Yingcun
5 Zinde-Walsh, Victoria
4 Bauer, Dietmar
4 Berkes, István
4 Breitung, Jorg
4 Caner, Mehmet
...and 865 more Authors

Publications by Year

Citations contained in zbMATH Open

950 Publications have been cited 9,973 times in 6,562 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
175
2002
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
135
2008
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
125
2005
A new asymptotic theory for heteroskedasticity - autocorrelation robust tests. Zbl 1082.62040
Kiefer, Nicholas M.; Vogelsang, Timothy J.
93
2005
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
83
2000
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
82
1995
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
81
2009
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
81
2004
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
79
1999
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
74
2005
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
73
2006
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
68
2000
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
66
2004
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
65
2006
Regression quantiles for time series. Zbl 1181.62124
Cai, Zongwu
63
2002
A single-index quantile regression model and its estimation. Zbl 1419.62090
Kong, Efang; Xia, Yingcun
56
2012
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
55
2002
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
54
2001
The nonstationary fractional unit root. Zbl 0985.62073
Tanaka, Katsuto
52
1999
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
51
2013
Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071
Fan, Yanqin; Li, Qi
50
2000
Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
47
2005
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
47
2000
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
46
2005
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
45
2002
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
45
2009
The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes. Zbl 0981.60028
Davidson, James; de Jong, Robert M.
45
2000
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
45
2003
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
44
2002
Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
44
2010
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
44
2008
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
44
2011
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
43
2010
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
43
2000
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
42
2006
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
42
1999
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
41
2002
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
41
2003
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
41
2006
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
40
2009
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
39
2003
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
39
2010
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
38
2005
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
38
2001
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
38
2006
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
37
2009
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
36
2004
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
36
2008
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
35
2004
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
35
2000
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
35
2011
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
35
2008
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.
34
2001
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
34
2008
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
34
2006
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
34
2000
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
34
2009
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
34
2014
Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013
Velasco, Carlos; Robinson, Peter M.
33
2001
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
33
2004
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
33
2017
The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027
de Jong, Robert M.; Davidson, James
32
2000
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
32
2008
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
31
2009
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
31
1998
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
31
2001
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
30
2001
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
29
2002
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
29
2004
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123
Pedroni, Peter
29
2004
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
29
2011
The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056
Gonçalves, Sílvia; White, Halbert
28
2002
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
28
2004
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
28
2010
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
28
2009
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
28
2013
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
27
2004
Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
27
1999
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
27
2013
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
27
2007
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
26
2009
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
26
2011
Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037
Linton, Oliver B.
26
2000
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
26
2012
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
25
2002
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
25
2009
A statistical analysis of cointegration for \(I(2)\) variables. Zbl 1274.62597
Johansen, S.
25
1995
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
25
2008
Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027
Guerre, Emmanuel; Sabbah, Camille
25
2012
Empirical characteristic function in time series estimation. Zbl 1109.62337
Knight, John L.; Yu, Jun
24
2002
Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163
Shimotsu, Katsumi
24
2010
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
24
2009
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
24
2012
Semiparametric estimation of partially linear models for dependent data with generated regressors. Zbl 1109.62314
Li, Qi; Wooldridge, Jeffrey M.
23
2002
Copula-based characterizations for higher order Markov processes. Zbl 1277.60123
Ibragimov, Rustam
23
2009
Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. Zbl 1181.62140
Linton, Oliver; Pan, Jiazhu; Wang, Hui
23
2010
On the lack of power of omnibus specification tests. Zbl 1231.62079
Escanciano, J. Carlos
23
2009
Estimation of autoregressive roots near unity using panel data. Zbl 1179.62126
Moon, Hyungsik R.; Phillips, Peter C. B.
23
2000
A consistent test of conditional parametric distributions. Zbl 0967.62032
Zheng, John Xu
23
2000
Non-Gaussian log-periodogram regression. Zbl 0945.62091
Velasco, Carlos
23
2000
On the uniform convergence of deconvolution estimators from repeated measurements. Zbl 07493786
Kurisu, Daisuke; Otsu, Taisuke
2
2022
Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach. Zbl 07493780
Matsui, Muneya; Pedersen, Rasmus Søndergaard
1
2022
Estimation and inference for moments of ratios with robustness against large trimming bias. Zbl 07493784
Sasaki, Yuya; Ura, Takuya
1
2022
Specification testing for errors-in-variables models. Zbl 1473.62147
Otsu, Taisuke; Taylor, Luke
3
2021
Optimal auxiliary priors and reversible jump proposals for a class of variable dimension models. Zbl 1462.62395
Norets, Andriy
1
2021
Latent variable nonparametric cointegrating regression. Zbl 1462.62249
Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis
1
2021
Instrumental variable quantile regression with misclassification. Zbl 1462.62247
Ura, Takuya
1
2021
Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139
Aknouche, Abdelhakim; Francq, Christian
1
2021
A new study on asymptotic optimality of least squares model averaging. Zbl 1467.62067
Zhang, Xinyu
1
2021
Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068
Hosseinkouchack, Mehdi; Demetrescu, Matei
1
2021
Nonparametric Euler equation identification and estimation. Zbl 1479.62090
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot
1
2021
Nonstationary linear processes with infinite variance GARCH errors. Zbl 1479.62068
Zhang, Rongmao; Chan, Ngai Hang
1
2021
Average derivative estimation under measurement error. Zbl 1479.62022
Dong, Hao; Otsu, Taisuke; Taylor, Luke
1
2021
Limit theorems for factor models. Zbl 1479.62069
Anatolyev, Stanislav; Mikusheva, Anna
1
2021
Iterations of dependent random maps and exogeneity in nonlinear dynamics. Zbl 07464255
Debaly, Zinsou Max; Truquet, Lionel
1
2021
Nonlinear cointegrating power function regression with endogeneity. Zbl 07464256
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying
1
2021
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
3
2020
A smoothing method that looks like the Hodrick-Prescott filter. Zbl 1462.62741
Yamada, Hiroshi
3
2020
A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570
Sakarya, Neslihan; De Jong, Robert M.
2
2020
Testing for structural changes in factor models via a nonparametric regression. Zbl 1462.62246
Su, Liangjun; Wang, Xia
2
2020
Robust inference in structural vector autoregressions with long-run restrictions. Zbl 1436.62416
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo
1
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
1
2020
The sum of the reciprocal of the random walk. Zbl 1440.60038
Michel, Jon; de Jong, Robert
1
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
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
Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037
Matsushita, Yukitoshi; Otsu, Taisuke
1
2020
Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042
Babii, Andrii
1
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
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
Cointegration in functional autoregressive processes. Zbl 1462.62769
Franchi, Massimo; Paruolo, Paolo
1
2020
Testing a parametric transformation model versus a nonparametric alternative. Zbl 1462.62737
Szydłowski, Arkadiusz
1
2020
Randomization tests of copula symmetry. Zbl 1462.62297
Beare, Brendan K.; Seo, Juwon
1
2020
Exact local Whittle estimation in long memory time series with multiple poles. Zbl 1462.62520
Arteche, Josu
1
2020
Inference after model averaging in linear regression models. Zbl 1420.62300
Zhang, Xinyu; Liu, Chu-An
12
2019
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
12
2019
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009
Xiao, Weilin; Yu, Jun
12
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.
7
2019
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
7
2019
Testing GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
6
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
4
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
4
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
4
2019
Asymptotically efficient model selection for panel data forecasting. Zbl 1420.62486
Greenaway-McGrevy, Ryan
3
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
3
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
3
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
2
2019
The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509
Hansen, Christian; Liao, Yuan
2
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
2
2019
Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects. Zbl 1418.62491
Kock, Anders Bredahl; Tang, Haihan
1
2019
Statistical inference for measurement equation selection in the log-RealGARCH model. Zbl 1432.62307
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya
1
2019
Testing generalized regression monotonicity. Zbl 1433.62124
Hsu, Yu-Chin; Liu, Chu-An; Shi, Xiaoxia
1
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
1
2019
Mixed causal-noncausal AR processes and the modelling of explosive bubbles. Zbl 1433.62258
Fries, Sébastien; Zakoian, Jean-Michel
1
2019
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
15
2018
Adaptive tests of conditional moment inequalities. Zbl 1441.62105
Chetverikov, Denis
14
2018
On the functional estimation of multivariate diffusion processes. Zbl 1393.62036
Bandi, Federico M.; Moloche, Guillermo
13
2018
Alternative asymptotics and the partially linear model with many regressors. Zbl 1441.62630
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K.
12
2018
Testing for a general class of functional inequalities. Zbl 1400.62096
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae
7
2018
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. Zbl 1441.62240
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo
6
2018
Unit root inference for non-stationary linear processes driven by infinite variance innovations. Zbl 1441.62229
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert
6
2018
Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061
Hu, Yingyao; Shiu, Ji-Liang
6
2018
Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. Zbl 1393.62037
Dong, Chaohua; Gao, Jiti
6
2018
Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019
Wang, Xia; Hong, Yongmiao
6
2018
Structural change in nonstationary \(\mathrm{AR}(1)\) models. Zbl 1400.62192
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling
6
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
5
2018
Nonparametric instrumental regression with errors in variables. Zbl 1406.62032
Adusumilli, Karun; Otsu, Taisuke
5
2018
Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244
Wu, Wei Biao; Zaffaroni, Paolo
4
2018
Exact likelihood inference in group interaction network models. Zbl 1441.62731
Hillier, Grant; Martellosio, Federico
4
2018
Nonparametric stochastic volatility. Zbl 1406.62109
Bandi, Federico M.; Renò, Roberto
4
2018
Dynamic panel Anderson-Hsiao estimation with roots near unity. Zbl 1441.62840
Phillips, Peter C. B.
3
2018
The linear systems approach to linear rational expectations models. Zbl 1390.62331
Al-Sadoon, Majid M.
3
2018
On nonparametric inference in the regression discontinuity design. Zbl 1390.62073
Kamat, Vishal
3
2018
Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models. Zbl 1400.62335
Peng, Jiangyan; Wang, Qiying
3
2018
Block bootstrap consistency under weak assumptions. Zbl 1406.62091
Calhoun, Gray
3
2018
A general double robustness result for estimating average treatment effects. Zbl 1441.62087
Słoczyński, Tymon; Wooldridge, Jeffrey M.
2
2018
On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128
Lee, Ji Hyung; Liao, Zhipeng
2
2018
Testing for homogeneity in mixture models. Zbl 1393.62018
Gu, Jiaying; Koenker, Roger; Volgushev, Stanislav
2
2018
Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems. Zbl 1400.62180
Hwang, Jungbin; Sun, Yixiao
2
2018
Directionally differentiable econometric models. Zbl 1400.62317
Cho, Jin Seo; White, Halbert
2
2018
Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027
Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert
2
2018
Identification of joint distributions in dependent factor models. Zbl 1441.62604
Ben-Moshe, Dan
1
2018
Closed-form identification of dynamic discrete choice models with proxies for unobserved state variables. Zbl 1441.62746
Hu, Yingyao; Sasaki, Yuya
1
2018
Determining the cointegration rank in heteroskedastic VAR models of unknown order. Zbl 1441.62228
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Robert Taylor, A. M.
1
2018
Estimation for the prediction of point processes with many covariates. Zbl 1390.62048
Sancetta, Alessio
1
2018
Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance. Zbl 1406.62095
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius
1
2018
Root-\(n\) consistency of intercept estimators in a binary response model under tail restrictions. Zbl 1406.62150
Tan, Lili; Zhang, Yichong
1
2018
Renorming volatilities in a family of GARCH models. Zbl 1406.62097
Li, Dong; Wu, Wuqing
1
2018
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
33
2017
Efficient estimation of integrated volatility and related processes. Zbl 1442.62755
Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M.
10
2017
Efficient estimation using the characteristic function. Zbl 1442.62732
Carrasco, Marine; Kotchoni, Rachidi
8
2017
Testing for changes in Kendall’s tau. Zbl 1396.62202
Dehling, Herold; Vogel, Daniel; Wendler, Martin; Wied, Dominik
8
2017
Smoothed estimating equations for instrumental variables quantile regression. Zbl 1441.62768
Kaplan, David M.; Sun, Yixiao
7
2017
Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models. Zbl 1441.62741
Horváth, Lajos; Hušková, Marie; Rice, Gregory; Wang, Jia
6
2017
Bootstrapping pre-averaged realized volatility under market microstructure noise. Zbl 1441.62742
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
6
2017
Adaptive Bayesian estimation of conditional densities. Zbl 1441.62095
Norets, Andriy; Pati, Debdeep
6
2017
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. Zbl 1396.62248
Tangsgaard Varneskov, Rasmus
6
2017
Identifying restrictions for finite parameter continuous time models with discrete time data. Zbl 1442.62731
Blevins, Jason R.
6
2017
Uniform Bahadur representation for nonparametric censored quantile regression: a redistribution-of-mass approach. Zbl 1442.62746
Kong, Efang; Xia, Yingcun
5
2017
Estimating volatility functionals with multiple transactions. Zbl 1441.62755
Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing
5
2017
Asymptotics of diagonal elements of projection matrices under many instruments/regressors. Zbl 1441.62583
Anatolyev, Stanislav; Yaskov, Pavel
5
2017
...and 850 more Documents
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Cited by 6,180 Authors

86 Phillips, Peter Charles Bonest
56 Taylor, A. M. Robert
54 McAleer, Michael
47 Linton, Oliver Bruce
45 Horváth, Lajos
45 Su, Liangjun
43 Simar, Léopold
41 Gao, Jiti
37 Li, Qi
36 Cavaliere, Giuseppe
35 Shin, Dongwan
33 Cai, Zongwu
30 Politis, Dimitris Nicolas
30 Van Keilegom, Ingrid
28 Lee, Sangyeol
28 Robinson, Peter Michael
28 Xiao, Zhijie
27 Leybourne, Stephen J.
26 Park, Joon Y.
26 Zhu, Lixing
25 Chen, Xiaohong
25 Härdle, Wolfgang Karl
25 Ling, Shiqing
25 Tjøstheim, Dag B.
24 Chan, Ngai Hang
24 Fan, Yanqin
24 Hallin, Marc
24 Saikkonen, Pentti
23 Florens, Jean-Pierre
23 Francq, Christian
23 Hsiao, Cheng
23 Lee, Lung-Fei
23 Nielsen, Morten Ørregaard
23 Sun, Yixiao
23 Wang, Qiying
22 Escanciano, Juan Carlos
22 Li, Degui
22 Mammen, Enno
22 Perron, Pierre
22 Surgailis, Donatas
22 Zakoïan, Jean-Michel
21 Lu, Zudi
21 Peng, Liang
21 Rahbek, Anders
21 Zhang, Rongmao
20 Dette, Holger
20 Hassler, Uwe
20 Liang, Hua
20 Otsu, Taisuke
20 Shao, Xiaofeng
20 Westerlund, Joakim
20 Zhang, Xinyu
19 Velasco, Carlos I. Hoyos
18 Aue, Alexander
18 Chambers, Marcus J.
18 Corradi, Valentina
18 Demetrescu, Matei
18 Harvey, David I.
18 Kokoszka, Piotr S.
18 Kristensen, Dennis
18 Lieberman, Offer
18 McElroy, Tucker S.
18 White, Halbert Lynn jun.
17 Andrews, Donald Wilfrid Kao
17 Asai, Manabu
17 Hong, Yongmiao
17 Hwang, Eunju
17 Kapetanios, George
17 Lian, Heng
17 Sperlich, Stefan
17 Ullah, Aman
17 Vogelsang, Timothy J.
17 Wu, Wei Biao
16 Galvao, Antonio F. jun.
16 Giraitis, Liudas
16 Guggenberger, Patrik
16 Hušková, Marie
16 Jiménez-Gamero, María Dolores
16 Kurozumi, Eiji
16 Lewbel, Arthur
16 Meintanis, Simos G.
16 Potscher, Benedikt M.
16 Renault, Eric
16 Swanson, Norman Rasmus
16 Yang, Lijian
16 You, Jinhong
15 Bravo, Francesco
15 Hidalgo, Javier
15 Johansen, Søren Glud
15 Lütkepohl, Helmut
15 Pesaran, M. Hashem
15 Rodrigues, Paulo M. M.
15 Wied, Dominik
15 Zhu, Fukang
14 Doukhan, Paul
14 Fan, Jianqing
14 Gil-Alana, Luis Alberiko
14 Gonçalves, Sílvia
14 Gourieroux, Christian
14 Hall, Peter Gavin
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579 Econometric Theory
385 Econometric Reviews
242 Journal of Time Series Analysis
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202 Journal of Multivariate Analysis
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101 Journal of Nonparametric Statistics
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88 Bernoulli
79 Annals of the Institute of Statistical Mathematics
68 European Journal of Operational Research
64 Quantitative Finance
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56 Scandinavian Journal of Statistics
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48 Journal of the Korean Statistical Society
46 Metrika
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38 Journal of Economic Dynamics & Control
35 AStA. Advances in Statistical Analysis
34 Statistical Methods and Applications
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30 Statistical Inference for Stochastic Processes
26 Statistical Science
25 Statistica Sinica
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20 Acta Mathematicae Applicatae Sinica. English Series
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10 Methodology and Computing in Applied Probability
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9 International Economic Review
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8 Advances in Applied Probability
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7 Automatica
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7 Australian & New Zealand Journal of Statistics
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6 Science in China. Series A
6 Neural Computation
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6 Applied Stochastic Models in Business and Industry
6 Scandinavian Actuarial Journal
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6 Comptes Rendus. Mathématique. Académie des Sciences, Paris
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5 Applied Mathematics and Computation
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