# zbMATH — the first resource for mathematics

## 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: 1,102 Publications (since 1995) References Indexed: 886 Publications with 26,670 References.
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#### Authors

 44 Phillips, Peter Charles Bonest 24 Taylor, A. M. Robert 22 Linton, Oliver Bruce 16 Xiao, Zhijie 15 Horváth, Lajos 14 Leybourne, Stephen J. 13 Cavaliere, Giuseppe 13 Wang, Qiying 12 Saikkonen, Pentti 11 Gao, Jiti 11 Potscher, Benedikt M. 11 Robinson, Peter Michael 11 White, Halbert Lynn jun. 10 de Jong, Robert M. 10 Li, Qi 10 Ling, Shiqing 10 Su, Liangjun 9 Florens, Jean-Pierre 9 Hahn, Jinyong 9 Jansson, Michael 9 Lee, Lung-Fei 9 Lieberman, Offer 9 Moon, Hyungsik Roger 9 Rahbek, Anders 8 Andrews, Donald Wilfrid Kao 8 Francq, Christian 8 Hansen, Bruce E. 8 Hillier, Grant H. 8 Hong, Yongmiao 8 Johansen, Søren Glud 8 Perron, Pierre 8 Sun, Yixiao 8 Vogelsang, Timothy J. 8 Zakoïan, Jean-Michel 7 Cai, Zongwu 7 Chambers, Marcus J. 7 Chan, Ngai Hang 7 Chen, Songnian 7 Guggenberger, Patrik 7 Han, Chirok 7 Härdle, Wolfgang Karl 7 Harvey, David I. 7 Kokoszka, Piotr S. 7 Leeb, Hannes 7 Otsu, Taisuke 6 Abadir, Karim M. 6 Anatolyev, Stanislav 6 Bierens, Herman J. 6 del Barrio Castro, Tomas 6 Deo, Rohit S. 6 Forchini, Giovanni 6 Georgiev, Iliyan 6 Giraitis, Liudas 6 Kristensen, Dennis 6 Mammen, Enno 6 Rodrigues, Paulo M. M. 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 Baltagi, Badi H. 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 Hsiao, Cheng 5 Inoue, Atsushi 5 Leipus, Remigijus 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 Politis, Dimitris Nicolas 5 Sasaki, Yuya 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 4 Corradi, Valentina 4 Escanciano, Juan Carlos 4 Ghysels, Eric 4 Gonçalves, Sílvia 4 Guerre, Emmanuel 4 Hoderlein, Stefan G. N. ...and 828 more Authors
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#### Fields

 1,060 Statistics (62-XX) 151 Probability theory and stochastic processes (60-XX) 150 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 142 Numerical analysis (65-XX) 40 History and biography (01-XX) 10 General and overarching topics; collections (00-XX) 5 Linear and multilinear algebra; matrix theory (15-XX) 5 Functional analysis (46-XX) 4 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Computer science (68-XX) 2 Ordinary differential equations (34-XX) 2 Operator theory (47-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Approximations and expansions (41-XX) 1 Statistical mechanics, structure of matter (82-XX)

#### Citations contained in zbMATH Open

902 Publications have been cited 8,489 times in 5,742 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
2002
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
2005
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
2008
A new asymptotic theory for heteroskedasticity - autocorrelation robust tests. Zbl 1082.62040
Kiefer, Nicholas M.; Vogelsang, Timothy J.
2005
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
2000
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
1995
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
2005
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
2004
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
1999
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
2009
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
2000
Regression quantiles for time series. Zbl 1181.62124
Cai, Zongwu
2002
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
2006
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
2004
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
2002
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
2001
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
2006
The nonstationary fractional unit root. Zbl 0985.62073
Tanaka, Katsuto
1999
Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071
Fan, Yanqin; Li, Qi
2000
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
2000
The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes. Zbl 0981.60028
Davidson, James; de Jong, Robert M.
2000
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
2002
A single-index quantile regression model and its estimation. Zbl 1419.62090
Kong, Efang; Xia, Yingcun
2012
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
2013
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
1999
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Asymptotic size and a problem with subsampling and with the $$m$$ out of $$n$$ bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
2010
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
2002
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
2002
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
2006
Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
2005
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
2011
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
2003
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
2000
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
2001
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
2005
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
2010
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
2003
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
2005
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
2008
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
2010
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
2004
Sequential change-point detection in $$\text{GARCH}(p,q)$$ models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
2004
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
2006
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
2000
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
2004
Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013
Velasco, Carlos; Robinson, Peter M.
2001
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.
2001
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
2009
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
2008
The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027
de Jong, Robert M.; Davidson, James
2000
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
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
2009
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
2011
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
2006
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
2009
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
2002
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123
Pedroni, Peter
2004
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
2000
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
2008
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
2008
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
2004
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
2004
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
2008
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
2017
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
2013
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
2001
The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056
Gonçalves, Sílvia; White, Halbert
2002
Fourth moment structure of the GARCH$$(p,q)$$ process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
1999
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
2010
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
2004
Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037
Linton, Oliver B.
2000
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
2013
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
2009
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
2001
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
2002
A statistical analysis of cointegration for $$I(2)$$ variables. Zbl 1274.62597
Johansen, S.
1995
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
2011
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
2014
Empirical characteristic function in time series estimation. Zbl 1109.62337
Knight, John L.; Yu, Jun
2002
Optimal minimax rates for nonparametric specificaton testing in regression models. Zbl 1033.62042
Guerre, Emmanuel; Lavergne, Pascal
2002
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
2009
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
2009
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
2003
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
2007
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
2012
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
2011
Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. Zbl 1181.62140
Linton, Oliver; Pan, Jiazhu; Wang, Hui
2010
Non-Gaussian log-periodogram regression. Zbl 0945.62091
Velasco, Carlos
2000
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
2008
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
2009
On the lack of power of omnibus specification tests. Zbl 1231.62079
Escanciano, J. Carlos
2009
Bayesian regression analysis with scale mixtures of normals. Zbl 0945.62031
Fernández, Carmen; Steel, Mark F. J.
2000
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
1998
Nonparametric additive models for panels of time series. Zbl 1279.62189
Mammen, Enno; Støve, Bård; Tjøstheim, Dag
2009
Tests for parameter instability in dynamic factor models. Zbl 1441.62722
Han, Xu; Inoue, Atsushi
2015
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
2014
Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163
Shimotsu, Katsumi
2010
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
2005
Testing for zero autocorrelation in the presence of statistical dependence. Zbl 1109.62341
Lobato, I. N.; Nankervis, John C.; Savin, N. E.
2002
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
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.
2020
Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037
Matsushita, Yukitoshi; Otsu, Taisuke
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
2020
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
2019
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
2019
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009
Xiao, Weilin; Yu, Jun
2019
Inference after model averaging in linear regression models. Zbl 1420.62300
Zhang, Xinyu; Liu, Chu-An
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.
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
2019
Statistical inference for measurement equation selection in the log-RealGARCH model. Zbl 1432.62307
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya
2019
Testing GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
2019
The factor-Lasso and $$k$$-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509
Hansen, Christian; Liao, Yuan
2019
Adaptive tests of conditional moment inequalities. Zbl 1441.62105
Chetverikov, Denis
2018
On the functional estimation of multivariate diffusion processes. Zbl 1393.62036
Bandi, Federico M.; Moloche, Guillermo
2018
Alternative asymptotics and the partially linear model with many regressors. Zbl 1441.62630
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K.
2018
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
2018
Testing for a general class of functional inequalities. Zbl 1400.62096
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae
2018
Exact likelihood inference in group interaction network models. Zbl 1441.62731
Hillier, Grant; Martellosio, Federico
2018
Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061
Hu, Yingyao; Shiu, Ji-Liang
2018
Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244
Wu, Wei Biao; Zaffaroni, Paolo
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
2018
On nonparametric inference in the regression discontinuity design. Zbl 1390.62073
Kamat, Vishal
2018
Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. Zbl 1393.62037
Dong, Chaohua; Gao, Jiti
2018
Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019
Wang, Xia; Hong, Yongmiao
2018
Nonparametric instrumental regression with errors in variables. Zbl 1406.62032
2018
Simple, robust, and accurate $$F$$ and $$t$$ tests in cointegrated systems. Zbl 1400.62180
Hwang, Jungbin; Sun, Yixiao
2018
Structural change in nonstationary $$\mathrm{AR}(1)$$ models. Zbl 1400.62192
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
2018
A general double robustness result for estimating average treatment effects. Zbl 1441.62087
Słoczyński, Tymon; Wooldridge, Jeffrey M.
2018
Dynamic panel Anderson-Hsiao estimation with roots near unity. Zbl 1441.62840
Phillips, Peter C. B.
2018
The linear systems approach to linear rational expectations models. Zbl 1390.62331
2018
On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128
Lee, Ji Hyung; Liao, Zhipeng
2018
Testing for homogeneity in mixture models. Zbl 1393.62018
Gu, Jiaying; Koenker, Roger; Volgushev, Stanislav
2018
Block bootstrap consistency under weak assumptions. Zbl 1406.62091
Calhoun, Gray
2018
Directionally differentiable econometric models. Zbl 1400.62317
Cho, Jin Seo; White, Halbert
2018
Closed-form identification of dynamic discrete choice models with proxies for unobserved state variables. Zbl 1441.62746
Hu, Yingyao; Sasaki, Yuya
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
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.
2018
Stationary integrated ARCH($$\infty$$) and AR($$\infty$$) processes with finite variance. Zbl 1406.62095
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius
2018
Root-$$n$$ consistency of intercept estimators in a binary response model under tail restrictions. Zbl 1406.62150
Tan, Lili; Zhang, Yichong
2018
Nonparametric stochastic volatility. Zbl 1406.62109
Bandi, Federico M.; Renò, Roberto
2018
Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027
Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert
2018
Renorming volatilities in a family of GARCH models. Zbl 1406.62097
Li, Dong; Wu, Wuqing
2018
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
2017
Efficient estimation of integrated volatility and related processes. Zbl 1442.62755
Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M.
2017
Efficient estimation using the characteristic function. Zbl 1442.62732
Carrasco, Marine; Kotchoni, Rachidi
2017
Asymptotics of diagonal elements of projection matrices under many instruments/regressors. Zbl 1441.62583
2017
Bootstrapping pre-averaged realized volatility under market microstructure noise. Zbl 1441.62742
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
2017
Estimating volatility functionals with multiple transactions. Zbl 1441.62755
Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing
2017
Smoothed estimating equations for instrumental variables quantile regression. Zbl 1441.62768
Kaplan, David M.; Sun, Yixiao
2017
Uniform Bahadur representation for nonparametric censored quantile regression: a redistribution-of-mass approach. Zbl 1442.62746
Kong, Efang; Xia, Yingcun
2017
Testing for changes in Kendall’s tau. Zbl 1396.62202
Dehling, Herold; Vogel, Daniel; Wendler, Martin; Wied, Dominik
2017
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. Zbl 1396.62248
Tangsgaard Varneskov, Rasmus
2017
Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach. Zbl 1441.62764
Kanaya, Shin
2017
Adaptive Bayesian estimation of conditional densities. Zbl 1441.62095
Norets, Andriy; Pati, Debdeep
2017
Asymptotic size of Kleibergen’s LM and conditional LR tests for moment condition models. Zbl 1442.62728
Andrews, Donald W. K.; Guggenberger, Patrik
2017
Specification tests for multiplicative error models. Zbl 1441.62836
Perera, Indeewara; Silvapulle, Mervyn J.
2017
Identifying restrictions for finite parameter continuous time models with discrete time data. Zbl 1442.62731
Blevins, Jason R.
2017
Adaptive long memory testing under heteroskedasticity. Zbl 1441.62724
Harris, David; Kew, Hsein
2017
An almost closed form estimator for the EGARCH model. Zbl 1442.62199
Hafner, Christian M.; Linton, Oliver
2017
Goodness-of-fit tests for multivariate copula-based time series models. Zbl 1442.62730
Berghaus, Betina; Bücher, Axel
2017
Instrumental variables methods with heterogeneity and mismeasured instruments. Zbl 1441.62631
Chalak, Karim
2017
Identification of discrete choice dynamic programming models with nonparametric distribution of unobservables. Zbl 1441.62638
Chen, Le-Yu
2017
Inference on two-component mixtures under tail restrictions. Zbl 1441.62756
Jochmans, Koen; Henry, Marc; Salanié, Bernard
2017
On using linear quantile regressions for causal inference. Zbl 1441.62769
Kato, Ryutah; Sasaki, Yuya
2017
Residual-based GARCH bootstrap and second order asymptotic refinement. Zbl 1392.62265
Jeong, Minsoo
2017
Nonparametric estimation of semiparametric transformation models. Zbl 1441.62687
Florens, Jean-Pierre; Sokullu, Senay
2017
Identification of paired nonseparable measurement error models. Zbl 1441.62745
Hu, Yingyao; Sasaki, Yuya
2017
A note on generalized empirical likelihood estimation of semiparametric conditional moment restriction models. Zbl 1442.62073
Sueishi, Naoya
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
2017
Identification and inference on regressions with missing covariate data. Zbl 1441.62595
Aucejo, Esteban M.; Bugni, Federico A.; Hotz, V. Joseph
2017
Semiparametric estimation of random coefficients in structural economic models. Zbl 1415.91141
Hoderlein, Stefan; Nesheim, Lars; Simoni, Anna
2017
On the stationarity of dynamic conditional correlation models. Zbl 1442.62738
Fermanian, Jean-David; Malongo, Hassan
2017
Weak diffusion limits of dynamic conditional correlation models. Zbl 1441.62712
Hafner, Christian M.; Laurent, Sebastien; Violante, Francesco
2017
Complementarity and identification. Zbl 1441.62895
Twinam, Tate
2017
Asymptotically efficient estimation of weighted average derivatives with an interval censored variable. Zbl 1442.62744
Kaido, Hiroaki
2017
Granger causality and structural causality in cross-section and panel data. Zbl 1441.62804
Lu, Xun; Su, Liangjun; White, Halbert
2017
Robust forecast comparison. Zbl 1396.62220
Jin, Sainan; Corradi, Valentina; Swanson, Norman R.
2017
Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression. Zbl 1396.62077
Duffy, James A.
2017
Integrated score estimation. Zbl 1396.62089
Jun, Sung Jae; Pinkse, Joris; Wan, Yuanyuan
2017
Higher order moments of Markov switching VARMA models. Zbl 1396.62197
2017
Semiparametric estimation with generated covariates. Zbl 1441.62808
Mammen, Enno; Rothe, Christoph; Schienle, Melanie
2016
Fixed-$$b$$ asymptotics for spatially dependent robust nonparametric covariance matrix estimators. Zbl 1441.62612
Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B.; Vogelsang, Timothy J.
2016
Nonparametric cointegrating regression with endogeneity and long memory. Zbl 1442.62758
Wang, Qiying; Phillips, Peter C. B.
2016
Estimation of stochastic volatility models by nonparametric filtering. Zbl 1441.62766
Kanaya, Shin; Kristensen, Dennis
2016
Regularizing priors for linear inverse problems. Zbl 1441.62686
Florens, Jean-Pierre; Simoni, Anna
2016
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Zbl 1441.62779
Koike, Yuta
2016
Shrinkage estimation of regression models with multiple structural changes. Zbl 1385.62018
Qian, Junhui; Su, Liangjun
2016
On size and power of heteroskedasticity and autocorrelation robust tests. Zbl 1441.62844
Preinerstorfer, David; Pötscher, Benedikt M.
2016
Adaptive estimation of functionals in nonparametric instrumental regression. Zbl 1441.62616
Breunig, Christoph; Johannes, Jan
2016
Asymptotic theory for nonlinear quantile regression under weak dependence. Zbl 1441.62822
Oberhofer, Walter; Haupt, Harry
2016
A flexible nonparametric test for conditional independence. Zbl 1385.62015
Huang, Meng; Sun, Yixiao; White, Halbert
2016
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#### Cited by 5,360 Authors

 77 Phillips, Peter Charles Bonest 50 McAleer, Michael 49 Taylor, A. M. Robert 42 Horváth, Lajos 42 Linton, Oliver Bruce 40 Su, Liangjun 39 Simar, Léopold 35 Gao, Jiti 33 Li, Qi 30 Cavaliere, Giuseppe 30 Shin, Dongwan 29 Van Keilegom, Ingrid 28 Cai, Zongwu 28 Robinson, Peter Michael 26 Leybourne, Stephen J. 26 Politis, Dimitris Nicolas 25 Härdle, Wolfgang Karl 25 Lee, Sangyeol 25 Park, Joon Y. 25 Zhu, Lixing 24 Chen, Xiaohong 23 Fan, Yanqin 23 Hallin, Marc 23 Saikkonen, Pentti 23 Tjøstheim, Dag B. 22 Florens, Jean-Pierre 22 Francq, Christian 22 Ling, Shiqing 22 Mammen, Enno 22 Nielsen, Morten Ørregaard 22 Sun, Yixiao 22 Surgailis, Donatas 22 Xiao, Zhijie 21 Chan, Ngai Hang 21 Lu, Zudi 21 Zakoïan, Jean-Michel 20 Lee, Lung-Fei 19 Escanciano, Juan Carlos 19 Hassler, Uwe 19 Li, Degui 19 Peng, Liang 19 Perron, Pierre 19 Rahbek, Anders 19 Velasco, Carlos I. Hoyos 18 Aue, Alexander 18 Chambers, Marcus J. 18 Corradi, Valentina 18 Dette, Holger 18 Hsiao, Cheng 18 Kokoszka, Piotr S. 18 Kristensen, Dennis 18 Liang, Hua 18 Meintanis, Simos G. 18 Shao, Xiaofeng 18 Wang, Qiying 17 Andrews, Donald Wilfrid Kao 17 Harvey, David I. 17 Hwang, Eunju 17 Lian, Heng 17 Vogelsang, Timothy J. 17 White, Halbert Lynn jun. 17 Wu, Wei Biao 16 Giraitis, Liudas 16 Guggenberger, Patrik 16 Hong, Yongmiao 16 Lieberman, Offer 16 McElroy, Tucker S. 16 Potscher, Benedikt M. 16 Sperlich, Stefan 16 Swanson, Norman Rasmus 16 Westerlund, Joakim 16 Yang, Lijian 15 Demetrescu, Matei 15 Galvao, Antonio F. jun. 15 Johansen, Søren Glud 15 Kapetanios, George 15 Kurozumi, Eiji 15 Lütkepohl, Helmut 15 You, Jinhong 15 Zhang, Rongmao 14 Fan, Jianqing 14 Gil-Alana, Luis Alberiko 14 Gonçalves, Sílvia 14 Hall, Peter Gavin 14 Horowitz, Joel L. 14 Jiménez-Gamero, María Dolores 14 Lin, Zhengyan 14 Otsu, Taisuke 14 Renault, Eric 14 Tian, Yongge 14 Ullah, Aman 14 Zhang, Xinyu 13 Asai, Manabu 13 Bouezmarni, Taoufik 13 Bravo, Francesco 13 Doukhan, Paul 13 Gourieroux, Christian 13 Hušková, Marie 13 Koul, Hira Lal 13 Moon, Hyungsik Roger ...and 5,260 more Authors
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#### Cited in 265 Journals

 1,176 Journal of Econometrics 548 Econometric Theory 242 Journal of Time Series Analysis 211 Computational Statistics and Data Analysis 210 Economics Letters 184 Journal of Multivariate Analysis 173 The Annals of Statistics 161 Communications in Statistics. Theory and Methods 151 Statistics & Probability Letters 147 Journal of Statistical Planning and Inference 145 Econometric Reviews 107 The Econometrics Journal 107 Electronic Journal of Statistics 99 Journal of Nonparametric Statistics 86 Journal of Statistical Computation and Simulation 82 Bernoulli 75 Statistical Papers 73 Annals of the Institute of Statistical Mathematics 64 Communications in Statistics. Simulation and Computation 59 Quantitative Finance 58 European Journal of Operational Research 56 Scandinavian Journal of Statistics 54 Mathematics and Computers in Simulation 52 Statistics 52 Stochastic Processes and their Applications 51 Journal of the American Statistical Association 51 Test 40 Metrika 37 Computational Statistics 34 Journal of the Korean Statistical Society 32 Journal of Economic Dynamics & Control 32 Journal of Time Series Econometrics 31 AStA. Advances in Statistical Analysis 30 Statistical Methods and Applications 29 Journal of Applied Statistics 28 Statistical Inference for Stochastic Processes 25 Statistics and Computing 23 Statistical Science 20 Mathematical Methods of Statistics 19 The Canadian Journal of Statistics 19 Acta Mathematicae Applicatae Sinica. English Series 18 Lithuanian Mathematical Journal 18 Insurance Mathematics & Economics 18 Journal of Econometric Methods 15 Economic Theory 15 Science China. Mathematics 14 Journal of Theoretical Probability 14 Computational Economics 13 Biometrics 13 Annals of Operations Research 13 Journal of the Royal Statistical Society. Series B. Statistical Methodology 13 Journal of Systems Science and Complexity 12 Journal of Forecasting 11 Sequential Analysis 11 Extremes 11 Acta Mathematica Sinica. English Series 11 Statistical Methodology 11 The Annals of Applied Statistics 11 Annals of Finance 11 Bayesian Analysis 10 Psychometrika 10 Journal of Computational and Applied Mathematics 10 Open Economies Review 10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 10 International Journal of Theoretical and Applied Finance 10 Journal of Probability and Statistics 10 Quantitative Economics 9 International Economic Review 9 Statistica Neerlandica 9 Probability Theory and Related Fields 9 Applied Mathematics. Series B (English Edition) 9 Statistica Sinica 9 Brazilian Journal of Probability and Statistics 8 Advances in Applied Probability 8 Methodology and Computing in Applied Probability 8 Dependence Modeling 7 Automatica 7 Kybernetika 7 The Annals of Applied Probability 7 Studies in Nonlinear Dynamics and Econometrics 7 Australian & New Zealand Journal of Statistics 6 Journal of Applied Probability 6 Stochastic Analysis and Applications 6 Science in China. Series A 6 Neural Computation 6 Automation and Remote Control 6 Applied Stochastic Models in Business and Industry 6 Scandinavian Actuarial Journal 6 Comptes Rendus. Mathématique. Académie des Sciences, Paris 6 ASTIN Bulletin 6 Asia-Pacific Financial Markets 5 The Journal of Mathematical Sociology 5 Operations Research 5 Mathematical and Computer Modelling 5 Abstract and Applied Analysis 5 Macroeconomic Dynamics 5 Journal of Economic Growth 5 AStA. Allgemeines Statistisches Archiv 5 Statistical Modelling 5 Journal of Machine Learning Research (JMLR) ...and 165 more Journals
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#### Cited in 39 Fields

 5,298 Statistics (62-XX) 1,013 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 847 Probability theory and stochastic processes (60-XX) 674 Numerical analysis (65-XX) 92 Operations research, mathematical programming (90-XX) 41 Biology and other natural sciences (92-XX) 34 Systems theory; control (93-XX) 31 Linear and multilinear algebra; matrix theory (15-XX) 31 Computer science (68-XX) 25 History and biography (01-XX) 20 Harmonic analysis on Euclidean spaces (42-XX) 16 Dynamical systems and ergodic theory (37-XX) 15 Information and communication theory, circuits (94-XX) 14 General and overarching topics; collections (00-XX) 14 Functional analysis (46-XX) 13 Geophysics (86-XX) 10 Approximations and expansions (41-XX) 10 Operator theory (47-XX) 9 Partial differential equations (35-XX) 8 Combinatorics (05-XX) 6 Real functions (26-XX) 6 Special functions (33-XX) 5 Difference and functional equations (39-XX) 5 Integral equations (45-XX) 5 Statistical mechanics, structure of matter (82-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Astronomy and astrophysics (85-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Measure and integration (28-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Mathematics education (97-XX)