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. all top 5 Latest Issues 40, No. 3 (2024) 40, No. 2 (2024) 40, No. 1 (2024) 39, No. 6 (2023) 39, No. 5 (2023) 39, No. 4 (2023) 39, No. 3 (2023) 39, No. 2 (2023) 39, No. 1 (2023) 38, No. 6 (2022) 38, No. 5 (2022) 38, No. 4 (2022) 38, No. 3 (2022) 38, No. 2 (2022) 38, No. 1 (2022) 37, No. 6 (2021) 37, No. 5 (2021) 37, No. 4 (2021) 37, No. 2 (2021) 37, No. 1 (2021) 36, No. 6 (2020) 36, No. 5 (2020) 36, No. 4 (2020) 36, No. 3 (2020) 36, No. 2 (2020) 36, No. 1 (2020) 35, No. 6 (2019) 35, No. 5 (2019) 35, No. 4 (2019) 35, No. 3 (2019) 35, No. 2 (2019) 35, No. 1 (2019) 34, No. 6 (2018) 34, No. 5 (2018) 34, No. 4 (2018) 34, No. 3 (2018) 34, No. 2 (2018) 34, No. 1 (2018) 33, No. 6 (2017) 33, No. 5 (2017) 33, No. 4 (2017) 33, No. 3 (2017) 33, No. 2 (2017) 33, No. 1 (2017) 32, No. 6 (2016) 32, No. 5 (2016) 32, No. 4 (2016) 32, No. 3 (2016) 32, No. 2 (2016) 32, No. 1 (2016) 31, No. 6 (2015) 31, No. 5 (2015) 31, No. 4 (2015) 31, No. 3 (2015) 31, No. 2 (2015) 31, No. 1 (2015) 30, No. 6 (2014) 30, No. 5 (2014) 30, No. 4 (2014) 30, No. 3 (2014) 30, No. 2 (2014) 30, No. 1 (2014) 29, No. 6 (2013) 29, No. 5 (2013) 29, No. 4 (2013) 29, No. 3 (2013) 29, No. 2 (2013) 29, No. 1 (2013) 28, No. 6 (2012) 28, No. 5 (2012) 28, No. 4 (2012) 28, No. 3 (2012) 28, No. 2 (2012) 28, No. 1 (2012) 27, No. 6 (2011) 27, No. 5 (2011) 27, No. 4 (2011) 27, No. 3 (2011) 27, No. 2 (2011) 27, No. 1 (2011) 26, No. 6 (2010) 26, No. 5 (2010) 26, No. 4 (2010) 26, No. 3 (2010) 26, No. 2 (2010) 26, No. 1 (2010) 25, No. 6 (2009) 25, No. 5 (2009) 25, No. 4 (2009) 25, No. 3 (2009) 25, No. 2 (2009) 25, No. 1 (2009) 24, No. 6 (2008) 24, No. 5 (2008) 24, No. 4 (2008) 24, No. 3 (2008) 24, No. 2 (2008) 24, No. 1 (2008) 23, No. 6 (2007) 23, No. 5 (2007) ...and 52 more Volumes all top 5 Authors 39 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 Phillips, Peter C. B. 5 Pinkse, Joris 5 Politis, Dimitris Nicolas 5 Preinerstorfer, David 5 Sancetta, Alessio ...and 938 more Authors all top 5 Fields 1,170 Statistics (62-XX) 154 Probability theory and stochastic processes (60-XX) 150 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 143 Numerical analysis (65-XX) 40 History and biography (01-XX) 14 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 1,046 Publications have been cited 13,630 times in 8,028 Documents Cited by ▼ Year ▼ Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125 Carrasco, Marine; Chen, Xiaohong 203 2002 Model selection and inference: facts and fiction. Zbl 1085.62004 Leeb, Hannes; Pötscher, Benedikt M. 195 2005 Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252 Hansen, Bruce E. 179 2008 A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Zbl 1082.62040 Kiefer, Nicholas M.; Vogelsang, Timothy J. 131 2005 Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171 Masry, E.; Tjøstheim, D. 107 1995 The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080 Sancetta, Alessio; Satchell, Stephen 107 2004 Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799 Ling, Shiqing; McAleer, Michael 93 2003 Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323 Xia, Yingcun 92 2006 Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023 Wang, Qiying; Phillips, Peter C. B. 90 2009 A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033 Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert 90 2013 Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030 Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus 88 2000 Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105 Stinchcombe, M. B.; White, Halbert 88 1998 A consistent diagnostic test for regression models using projections. Zbl 1170.62318 Escanciano, J. Carlos 86 2006 Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092 Park, Joon Y.; Phillips, Peter C. B. 85 1999 Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028 Carrasco, Marine; Florens, Jean-Pierre 82 2000 Asymptotic inference for nonstationary GARCH. Zbl 1069.62067 Jensen, Søren Tolver; Rahbek, Anders 80 2004 Automated inference and learning in modeling financial volatility. Zbl 1072.62104 McAleer, Michael 77 2005 Regression quantiles for time series. Zbl 1181.62124 Cai, Zongwu 72 2002 A single-index quantile regression model and its estimation. Zbl 1419.62090 Kong, Efang; Xia, Yingcun 71 2012 Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011 Andrews, Donald W. K.; Guggenberger, Patrik 70 2009 The generalized dynamic factor model: representation theory. Zbl 1181.62189 Forni, Mario; Lippi, Marco 66 2001 Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252 Aragon, Y.; Daouia, A.; Thomas-Agnan, C. 66 2005 Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189 Kristensen, Dennis 66 2010 Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739 Hahn, Jinyong; Kuersteiner, Guido 65 2011 Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044 Andrews, Donald W. K.; Guggenberger, Patrik 61 2010 A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285 Su, Liangjun; White, Halbert 60 2008 The nonstationary fractional unit root. Zbl 0985.62073 Tanaka, Katsuto 60 1999 Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017 Whang, Yoon-Jae 59 2006 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 58 2002 Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071 Fan, Yanqin; Li, Qi 58 2000 Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339 Lee, Lung-Fei 55 2002 The FDH estimator for productivity efficiency scores. Zbl 0967.62102 Park, B. U.; Simar, L.; Weiner, Ch. 54 2000 Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209 Cai, Zongwu; Li, Qi 53 2008 Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081 Kiefer, Nicholas M.; Vogelsang, Timothy J. 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 Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816 Moon, Hyungsik Roger; Weidner, Martin 52 2017 Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098 Cavaliere, Giuseppe; Taylor, A. M. Robert 51 2008 Test of rank. Zbl 0957.62047 Robin, Jean-Marc; Smith, Richard J. 51 2000 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 50 2006 Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152 Leeb, Hannes; Pötscher, Benedikt M. 50 2008 Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310 Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian 50 2002 Nonparametric significance testing. Zbl 0968.62047 Lavergne, Pascal; Vuong, Quang 50 2000 Lasso-type GMM estimator. Zbl 1231.62028 Caner, Mehmet 50 2009 Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034 Lee, Sokbae 49 2003 Efficient regressions via optimally combining quantile information. Zbl 1314.62151 Zhao, Zhibiao; Xiao, Zhijie 49 2014 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 49 2010 Opening the black box: structural factor models with large cross sections. Zbl 1284.91446 Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia 48 2009 A functional version of the ARCH model. Zbl 1271.62204 Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron 48 2013 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 48 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. 47 2000 Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088 Su, Liangjun; Chen, Qihui 46 2013 Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077 Kneip, Alois; Simar, Léopold; Wilson, Paul W. 46 2008 Empirical likelihood for GARCH models. Zbl 1125.62097 Chan, Ngai Hang; Ling, Shiqing 45 2006 Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058 Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr 45 2004 Asymptotics of spectral density estimates. Zbl 1294.62077 Liu, Weidong; Wu, Wei Biao 45 2010 The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011 Leeb, Hannes; Pötscher, Benedikt M. 44 2003 The size distortion of bootstrap tests. Zbl 0963.62025 Davidson, Russell; MacKinnon, James G. 44 1999 Testing for distributional change in time series. Zbl 0976.62088 Inoue, Atsushi 44 2001 Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144 Politis, Dimitris N. 44 2011 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 43 2006 Instrumental variable estimation of a threshold model. Zbl 1071.62115 Caner, Mehmet; Hansen, Bruce E. 43 2004 Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086 Guggenberger, Patrik; Smith, Richard J. 43 2005 HAC estimation by automated regression. Zbl 1072.62078 Phillips, Peter C. B. 42 2005 Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067 Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming 42 2000 On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028 Chen, Xiaohong; Reiss, Markus 42 2011 Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034 Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan 41 2004 On the completeness condition in nonparametric instrumental problems. Zbl 1218.62029 D’Haultfoeuille, Xavier 41 2011 Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013 Velasco, Carlos; Robinson, Peter M. 40 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. 40 2001 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 Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027 Guerre, Emmanuel; Sabbah, Camille 40 2012 Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290 Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua 40 2014 Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances. Zbl 1181.62137 Lee, Lung-Fei; Liu, Xiaodong 39 2010 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 A consistent nonparametric test of parametric regression models under conditional quantile restrictions. Zbl 1419.62107 Zheng, J. Xu 37 1998 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 37 2012 Sharp bounds on the distribution of treatment effects and their statistical inference. Zbl 1191.62061 Fan, Yanqin; Park, Sang Soo 37 2010 Testing for zero autocorrelation in the presence of statistical dependence. Zbl 1109.62341 Lobato, I. N.; Nankervis, John C.; Savin, N. E. 36 2002 Structural change in AR(1) models. Zbl 1009.62073 Chong, Terence Tai-Leung 36 2001 Bootstrapping quantile regression estimators. Zbl 1401.62045 Hahn, Jinyong 36 1995 The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056 Gonçalves, Sílvia; White, Halbert 35 2002 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 35 2009 The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027 de Jong, Robert M.; Davidson, James 34 2000 Tests for parameter instability in dynamic factor models. Zbl 1441.62722 Han, Xu; Inoue, Atsushi 34 2015 Inference after model averaging in linear regression models. Zbl 1420.62300 Zhang, Xinyu; Liu, Chu-An 34 2019 Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021 Flury, Thomas; Shephard, Neil 34 2011 Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163 Shimotsu, Katsumi 34 2010 Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122 Pan, Jiazhu; Wang, Hui; Yao, Qiwei 34 2007 Whittle estimation of ARCH models. Zbl 1051.62074 Giraitis, Liudas; Robinson, Peter M. 33 2001 An invariance principle for sieve bootstrap in time series. Zbl 1109.62346 Park, Joon Y. 33 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 33 2012 Consistent covariance matrix estimation for linear processes. Zbl 1039.62080 Jansson, Michael 32 2002 Nonparametric regression in the presence of measurement error. Zbl 1069.62037 Schennach, Susanne M. 32 2004 Copula-based characterizations for higher order Markov processes. Zbl 1277.60123 Ibragimov, Rustam 32 2009 Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055 Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag 32 2009 Adaptive testing in continuous-time diffusion models. Zbl 1071.62068 Gao, Jiti; King, Maxwell 31 2004 A spatial dynamic panel data model with both time and individual fixed effects. Zbl 1185.62169 Lee, Lung-Fei; Yu, Jihai 31 2010 Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167 Mancini, Cecilia; Gobbi, Fabio 31 2012 QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120 Francq, Christian; Zakoïan, Jean-Michel 31 2012 A mollifier approach to the deconvolution of probability densities. Zbl 07852009 Hohage, Thorsten; Maréchal, Pierre; Simar, Léopold; Vanhems, Anne 1 2024 Estimation and inference with near unit roots. Zbl 07682010 Phillips, Peter C. B. 5 2023 An asymptotic theory for least squares model Averaging with nested models. Zbl 07682016 Fang, Fang; Yuan, Chaoxia; Tian, Wenling 4 2023 Inference on the dimension of the nonstationary subspace in functional time series. Zbl 07695640 Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung 3 2023 Uniform-in-submodel bounds for linear regression in a model-free framework. Zbl 07785628 Kuchibhotla, Arun K.; Brown, Lawrence D.; Buja, Andreas; George, Edward I.; Zhao, Linda 3 2023 Nonparametric Bayes analysis of the sharp and fuzzy regression discontinuity designs. Zbl 07695641 Chib, Siddhartha; Greenberg, Edward; Simoni, Anna 2 2023 Backward CUSUM for testing and monitoring structural change with an application to COVID-19 pandemic data. Zbl 07727188 Otto, Sven; Breitung, Jörg 2 2023 A wild bootstrap for dependent data. Zbl 07682011 Hounyo, Ulrich 2 2023 Complete subset averaging for quantile regressions. Zbl 07659825 Lee, Ji Hyung; Shin, Youngki 2 2023 On multiple structural breaks in distribution: an empirical characteristic function approach. Zbl 07695642 Fu, Zhonghao; Hong, Yongmiao; Wang, Xia 1 2023 Cointegration and representation of cointegrated autoregressive processes in Banach spaces. Zbl 07727190 Seo, Won-Ki 1 2023 How large is the jump discontinuity in the diffusion coefficient of a time-homogeneous diffusion? Zbl 07727192 Robert, Christian Y. 1 2023 A simple nonparametric approach for estimation and inference of conditional quantile functions. Zbl 07682012 Fang, Zheng; Li, Qi; Yan, Karen X. 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 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 Generalized Laplace inference in multiple change-points models. Zbl 1493.62598 Casini, Alessandro; Perron, Pierre 7 2022 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 Tail behavior of stopped Lévy processes with Markov modulation. Zbl 07622636 Beare, Brendan K.; Seo, Won-Ki; Toda, Alexis Akira 4 2022 Quantile double autoregression. Zbl 07583892 Zhu, Qianqian; Li, Guodong 3 2022 Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters. Zbl 1493.62624 Yamada, Hiroshi 3 2022 Constraint qualifications in partial identification. Zbl 1493.62608 Kaido, Hiroaki; Molinari, Francesca; Stoye, Jörg 3 2022 On the uniform convergence of deconvolution estimators from repeated measurements. Zbl 1493.62610 Kurisu, Daisuke; Otsu, Taisuke 3 2022 On the convergence rate of potentials of Brenier maps. Zbl 1493.62604 Gunsilius, Florian F. 3 2022 Test for zero median of errors in an ARMA-GARCH model. Zbl 1493.62616 Ma, Yaolan; Zhou, Mo; Peng, Liang; Zhang, Rongmao 2 2022 Endogeneity in semiparametric threshold regression. Zbl 1493.62609 Kourtellos, Andros; Stengos, Thanasis; Sun, Yiguo 2 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 Estimation of the Kronecker covariance model by quadratic form. Zbl 07622637 Linton, Oliver B.; Tang, Haihan 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 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 Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139 Aknouche, Abdelhakim; Francq, Christian 20 2021 A new study on asymptotic optimality of least squares model averaging. Zbl 1467.62067 Zhang, Xinyu 7 2021 Inference in instrumental variable models with heteroskedasticity and many instruments. Zbl 1467.62096 Crudu, Federico; Mellace, Giovanni; Sándor, Zsolt 5 2021 Iterations of dependent random maps and exogeneity in nonlinear dynamics. Zbl 1493.62599 Debaly, Zinsou Max; Truquet, Lionel 5 2021 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 4 2021 Optimal auxiliary priors and reversible jump proposals for a class of variable dimension models. Zbl 1462.62395 Norets, Andriy 4 2021 Specification testing for errors-in-variables models. Zbl 1473.62147 Otsu, Taisuke; Taylor, Luke 4 2021 Least squares estimation for nonlinear regression models with heteroscedasticity. Zbl 1493.62623 Wang, Qiying 4 2021 Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068 Hosseinkouchack, Mehdi; Demetrescu, Matei 3 2021 Partial identification of nonseparable models using binary instruments. Zbl 1473.62386 Ishihara, Takuya 3 2021 Nonstationary linear processes with infinite variance GARCH errors. Zbl 1479.62068 Zhang, Rongmao; Chan, Ngai Hang 3 2021 Spatial dependence in option observation errors. Zbl 1467.62170 Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T. 3 2021 Latent variable nonparametric cointegrating regression. Zbl 1462.62249 Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis 2 2021 Identification of linear regressions with errors in all variables. Zbl 1473.62237 Ben-Moshe, Dan 2 2021 Large sample properties of Bayesian estimation of spatial econometric models. Zbl 1473.62385 Han, Xiaoyi; Lee, Lung-Fei; Xu, Xingbai 2 2021 Nonparametric Euler equation identification and estimation. Zbl 1479.62090 Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot 2 2021 Average derivative estimation under measurement error. Zbl 1479.62022 Dong, Hao; Otsu, Taisuke; Taylor, Luke 2 2021 Limit theorems for factor models. Zbl 1479.62069 Anatolyev, Stanislav; Mikusheva, Anna 2 2021 Estimation of time-varying covariance matrices for large datasets. Zbl 1493.62600 Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George 2 2021 Nonlinear cointegrating power function regression with endogeneity. Zbl 1493.62607 Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying 2 2021 Robustified expected maximum production frontiers. Zbl 1467.62181 Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold 2 2021 Instrumental variable quantile regression with misclassification. Zbl 1462.62247 Ura, Takuya 1 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 Cointegration in functional autoregressive processes. Zbl 1462.62769 Franchi, Massimo; Paruolo, Paolo 10 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 8 2020 Testing for structural changes in factor models via a nonparametric regression. Zbl 1462.62246 Su, Liangjun; Wang, Xia 8 2020 Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042 Babii, Andrii 7 2020 A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570 Sakarya, Neslihan; De Jong, Robert M. 6 2020 Nonparametric density estimation by B-spline duality. Zbl 1435.62131 Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy 5 2020 A max-correlation white noise test for weakly dependent time series. Zbl 1462.62534 Hill, Jonathan B.; Motegi, Kaiji 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 5 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 Randomization tests of copula symmetry. Zbl 1462.62297 Beare, Brendan K.; Seo, Juwon 4 2020 Exact local Whittle estimation in long memory time series with multiple poles. 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Zbl 1433.62258 Fries, Sébastien; Zakoian, Jean-Michel 5 2019 ...and 946 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 7,511 Authors 74 Phillips, Peter Charles Bonest 65 Taylor, A. M. 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