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Econometric Theory

Short Title: Econom. Theory
Publisher: Cambridge University Press, Cambridge
ISSN: 0266-4666; 1469-4360/e
Online: https://www.cambridge.org/core/journals/econometric-theory/all-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,196 Publications (since 1995)
References Indexed: 975 Publications with 30,205 References.
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39, No. 6 (2023)
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...and 49 more Volumes
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Authors

52 Phillips, Peter Charles Bonest
24 Linton, Oliver Bruce
24 Taylor, A. M. Robert
17 Xiao, Zhijie
16 Horváth, Lajos
16 Wang, Qiying
14 Leybourne, Stephen J.
13 Cavaliere, Giuseppe
13 Saikkonen, Pentti
12 Hahn, Jinyong
12 Li, Qi
12 Potscher, Benedikt M.
11 de Jong, Robert M.
11 Gao, Jiti
11 Robinson, Peter Michael
11 White, Halbert Lynn jun.
10 Andrews, Donald Wilfrid Kao
10 Florens, Jean-Pierre
10 Jansson, Michael
10 Ling, Shiqing
10 Moon, Hyungsik Roger
10 Otsu, Taisuke
10 Su, Liangjun
9 Francq, Christian
9 Hong, Yongmiao
9 Lee, Lung-Fei
9 Leeb, Hannes
9 Lieberman, Offer
9 Perron, Pierre
9 Rahbek, Anders
9 Zakoïan, Jean-Michel
8 Giraitis, Liudas
8 Hansen, Bruce E.
8 Hillier, Grant H.
8 Johansen, Søren Glud
8 Sun, Yixiao
8 Vogelsang, Timothy J.
7 Anatolyev, Stanislav
7 Cai, Zongwu
7 Chambers, Marcus J.
7 Chen, Songnian
7 Guggenberger, Patrik
7 Han, Chirok
7 Härdle, Wolfgang Karl
7 Harvey, David I.
7 Kokoszka, Piotr S.
7 Sasaki, Yuya
6 Abadir, Karim M.
6 Baltagi, Badi H.
6 Beare, Brendan K.
6 Bierens, Herman J.
6 Chan, Ngai Hang
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 Kuersteiner, Guido M.
6 Liao, Zhipeng
6 Mammen, Enno
6 Nielsen, Morten Ørregaard
6 Rodrigues, Paulo M. M.
6 Shao, Xiaofeng
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 McAleer, Michael
5 McCabe, Brendan P. M.
5 Nabeya, Seiji
5 Nielsen, Bent
5 Park, Joon Y.
5 Peng, Liang
5 Pinkse, Joris
5 Politis, Dimitris Nicolas
5 Sancetta, Alessio
5 Simar, Léopold
5 Tanaka, Katsuto
5 Wooldridge, Jeffrey M.
5 Wu, Wei Biao
5 Xia, Yingcun
...and 913 more Authors

Publications by Year

Citations contained in zbMATH Open

998 Publications have been cited 12,573 times in 7,358 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
187
2002
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
154
2008
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
150
2005
A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Zbl 1082.62040
Kiefer, Nicholas M.; Vogelsang, Timothy J.
106
2005
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
98
1995
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
90
2004
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
86
2009
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
85
2000
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
82
2006
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
81
1999
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
75
2005
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
74
2006
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
73
2004
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
72
2000
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
71
2013
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
68
1998
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
68
2003
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
61
2012
Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
59
2005
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
58
2001
The nonstationary fractional unit root. Zbl 0985.62073
Tanaka, Katsuto
57
1999
Necessary and sufficient moment conditions for the \(\text{GARCH}((r,s)\) and asymmetric power \(\text{GARCH}((r,s)\) models. Zbl 1110.62332
Ling, Shiqing; McAleer, Michael
56
2002
Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
53
2010
Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071
Fan, Yanqin; Li, Qi
52
2000
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
52
2002
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
51
2010
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
50
2000
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
50
2005
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
49
2008
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
49
2009
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
49
2011
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
48
2002
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
48
2006
The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes. Zbl 0981.60028
Davidson, James; de Jong, Robert M.
46
2000
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
45
2000
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
45
2002
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
43
2003
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
43
2003
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
43
2006
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
42
1999
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
42
2001
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
41
2010
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
41
2009
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
41
2008
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
41
2009
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
41
2017
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
41
2014
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
40
2005
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
40
2008
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
40
2006
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
39
2008
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123
Pedroni, Peter
39
2004
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
38
2004
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
38
2004
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
37
2000
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.
37
2001
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
37
2013
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
36
2000
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
36
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
36
2006
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
36
2004
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
36
2009
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
35
2011
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
35
2004
Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013
Velasco, Carlos; Robinson, Peter M.
34
2001
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
34
2009
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
33
2001
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
33
2010
The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027
de Jong, Robert M.; Davidson, James
32
2000
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
32
2009
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
32
2001
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
32
2011
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
32
2013
The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056
Gonçalves, Sílvia; White, Halbert
31
2002
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
31
2011
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
30
2009
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
30
2004
Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163
Shimotsu, Katsumi
29
2010
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
29
2002
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
29
2005
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
29
2007
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
29
2012
Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
28
1999
Bootstrapping quantile regression estimators. Zbl 1401.62045
Hahn, Jinyong
28
1995
Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors. Zbl 1279.62188
Magdalinos, Tassos; Phillips, Peter C. B.
28
2009
Tests for parameter instability in dynamic factor models. Zbl 1441.62722
Han, Xu; Inoue, Atsushi
28
2015
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
28
2004
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
27
2008
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
27
2002
Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037
Linton, Oliver B.
26
2000
Estimation of autoregressive roots near unity using panel data. Zbl 1179.62126
Moon, Hyungsik R.; Phillips, Peter C. B.
26
2000
A statistical analysis of cointegration for \(I(2)\) variables. Zbl 1274.62597
Johansen, S.
26
1995
A consistent nonparametric test of parametric regression models under conditional quantile restrictions. Zbl 1419.62107
Zheng, J. Xu
26
1998
Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances. Zbl 1181.62137
Lee, Lung-Fei; Liu, Xiaodong
26
2010
Testing for zero autocorrelation in the presence of statistical dependence. Zbl 1109.62341
Lobato, I. N.; Nankervis, John C.; Savin, N. E.
26
2002
Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027
Guerre, Emmanuel; Sabbah, Camille
26
2012
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
26
2012
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
26
2009
Automated estimation of vector error correction models. Zbl 1441.62793
Liao, Zhipeng; Phillips, Peter C. B.
26
2015
Continuously updated indirect inference in heteroskedastic spatial models. Zbl 07659824
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca
1
2023
Complete subset averaging for quantile regressions. Zbl 07659825
Lee, Ji Hyung; Shin, Youngki
1
2023
Estimation and inference with near unit roots. Zbl 07682010
Phillips, Peter C. B.
1
2023
A wild bootstrap for dependent data. Zbl 07682011
Hounyo, Ulrich
1
2023
Inference on the dimension of the nonstationary subspace in functional time series. Zbl 07695640
Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung
1
2023
Nonparametric Bayes analysis of the sharp and fuzzy regression discontinuity designs. Zbl 07695641
Chib, Siddhartha; Greenberg, Edward; Simoni, Anna
1
2023
Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters. Zbl 1493.62624
Yamada, Hiroshi
3
2022
Robust tests for white noise and cross-correlation. Zbl 07622633
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B.
3
2022
Joint time-series and cross-Section limit theory under mixingale assumptions. Zbl 07622634
Hahn, Jinyong; Kuersteiner, Guido; Mazzocco, Maurizio
3
2022
Generalized Laplace inference in multiple change-points models. Zbl 1493.62598
Casini, Alessandro; Perron, Pierre
3
2022
Endogeneity in semiparametric threshold regression. Zbl 1493.62609
Kourtellos, Andros; Stengos, Thanasis; Sun, Yiguo
2
2022
Tail behavior of stopped Lévy processes with Markov modulation. Zbl 07622636
Beare, Brendan K.; Seo, Won-Ki; Toda, Alexis Akira
2
2022
On the uniform convergence of deconvolution estimators from repeated measurements. Zbl 1493.62610
Kurisu, Daisuke; Otsu, Taisuke
2
2022
Quantile double autoregression. Zbl 07583892
Zhu, Qianqian; Li, Guodong
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
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 the convergence rate of potentials of Brenier maps. Zbl 1493.62604
Gunsilius, Florian F.
1
2022
Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139
Aknouche, Abdelhakim; Francq, Christian
11
2021
Specification testing for errors-in-variables models. Zbl 1473.62147
Otsu, Taisuke; Taylor, Luke
4
2021
A new study on asymptotic optimality of least squares model averaging. Zbl 1467.62067
Zhang, Xinyu
4
2021
Iterations of dependent random maps and exogeneity in nonlinear dynamics. Zbl 1493.62599
Debaly, Zinsou Max; Truquet, Lionel
3
2021
Nonparametric Euler equation identification and estimation. Zbl 1479.62090
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot
2
2021
Nonstationary linear processes with infinite variance GARCH errors. Zbl 1479.62068
Zhang, Rongmao; Chan, Ngai Hang
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
Identification of linear regressions with errors in all variables. Zbl 1473.62237
Ben-Moshe, Dan
2
2021
Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068
Hosseinkouchack, Mehdi; Demetrescu, Matei
2
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
2
2021
Optimal auxiliary priors and reversible jump proposals for a class of variable dimension models. Zbl 1462.62395
Norets, Andriy
2
2021
Spatial dependence in option observation errors. Zbl 1467.62170
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2
2021
Inference in instrumental variable models with heteroskedasticity and many instruments. Zbl 1467.62096
Crudu, Federico; Mellace, Giovanni; Sándor, Zsolt
2
2021
Average derivative estimation under measurement error. Zbl 1479.62022
Dong, Hao; Otsu, Taisuke; Taylor, Luke
1
2021
Nonlinear cointegrating power function regression with endogeneity. Zbl 1493.62607
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying
1
2021
Least squares estimation for nonlinear regression models with heteroscedasticity. Zbl 1493.62623
Wang, Qiying
1
2021
Partial identification of nonseparable models using binary instruments. Zbl 1473.62386
Ishihara, Takuya
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
Cointegration in functional autoregressive processes. Zbl 1462.62769
Franchi, Massimo; Paruolo, Paolo
5
2020
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
4
2020
Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042
Babii, Andrii
4
2020
Representation of I(1) and I(2) autoregressive Hilbertian processes. Zbl 1462.62768
Beare, Brendan K.; Seo, Won-Ki
4
2020
A smoothing method that looks like the Hodrick-Prescott filter. Zbl 1462.62741
Yamada, Hiroshi
4
2020
A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570
Sakarya, Neslihan; De Jong, Robert M.
3
2020
Testing for structural changes in factor models via a nonparametric regression. Zbl 1462.62246
Su, Liangjun; Wang, Xia
3
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
2
2020
Robust inference in structural vector autoregressions with long-run restrictions. Zbl 1436.62416
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo
2
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
2
2020
Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037
Matsushita, Yukitoshi; Otsu, Taisuke
2
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
2
2020
Randomization tests of copula symmetry. Zbl 1462.62297
Beare, Brendan K.; Seo, Juwon
2
2020
Optimal multistep VAR forecast averaging. Zbl 1462.62540
Liao, Jen-Che; Tsay, Wen-Jen
2
2020
Estimation for dynamic panel data with individual effects. Zbl 1435.62088
Robinson, Peter M.; Velasco, Carlos
1
2020
Inference on a semiparametric model with global power law and local nonparametric trends. Zbl 1435.62422
Gao, Jiti; Linton, Oliver; Peng, Bin
1
2020
Identification and estimation in a third-price auction model. Zbl 1440.62119
Enache, Andreea; Florens, Jean-Pierre
1
2020
On efficiency gains from multiple incomplete subsamples. Zbl 1440.62038
Chaudhuri, Saraswata
1
2020
Cumulated sum of squares statistics for nonlinear and nonstationary regressions. Zbl 1436.62412
Berenguer-Rico, Vanessa; Nielsen, Bent
1
2020
The sum of the reciprocal of the random walk. Zbl 1440.60038
Michel, Jon; de Jong, Robert
1
2020
Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests. Zbl 1447.62035
Duffy, James A.
1
2020
Truncated sum of squares estimation of fractional time series models with deterministic trends. Zbl 1447.62025
Hualde, Javier; Nielsen, Morten Ørregaard
1
2020
Testing a parametric transformation model versus a nonparametric alternative. Zbl 1462.62737
Szydłowski, Arkadiusz
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
19
2019
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
18
2019
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009
Xiao, Weilin; Yu, Jun
16
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.
10
2019
Testing GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
8
2019
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
7
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
7
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
6
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
5
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
5
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
4
2019
The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509
Hansen, Christian; Liao, Yuan
4
2019
Testing generalized regression monotonicity. Zbl 1433.62124
Hsu, Yu-Chin; Liu, Chu-An; Shi, Xiaoxia
3
2019
Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects. Zbl 1418.62491
Kock, Anders Bredahl; Tang, Haihan
3
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
3
2019
Asymptotically efficient model selection for panel data forecasting. Zbl 1420.62486
Greenaway-McGrevy, Ryan
3
2019
Mixed causal-noncausal AR processes and the modelling of explosive bubbles. Zbl 1433.62258
Fries, Sébastien; Zakoian, Jean-Michel
2
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
2
2019
Statistical inference for measurement equation selection in the log-RealGARCH model. Zbl 1432.62307
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya
1
2019
Combining estimates of conditional treatment effects. Zbl 1434.62238
Rolling, Craig A.; Yang, Yuhong; Velez, Dagmar
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
Dynamic asset correlations based on vines. Zbl 1415.62154
Poignard, Benjamin; Fermanian, Jean-David
1
2019
A test for weak stationarity in the spectral domain. Zbl 1420.62383
Hidalgo, Javier; Souza, Pedro C. L.
1
2019
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
18
2018
Adaptive tests of conditional moment inequalities. Zbl 1441.62105
Chetverikov, Denis
16
2018
On the functional estimation of multivariate diffusion processes. Zbl 1393.62036
Bandi, Federico M.; Moloche, Guillermo
14
2018
Alternative asymptotics and the partially linear model with many regressors. Zbl 1441.62630
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K.
13
2018
Testing for a general class of functional inequalities. Zbl 1400.62096
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae
11
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
9
2018
Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019
Wang, Xia; Hong, Yongmiao
9
2018
Structural change in nonstationary \(\mathrm{AR}(1)\) models. Zbl 1400.62192
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling
8
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
8
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
8
2018
Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061
Hu, Yingyao; Shiu, Ji-Liang
8
2018
Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244
Wu, Wei Biao; Zaffaroni, Paolo
7
2018
Nonparametric stochastic volatility. Zbl 1406.62109
Bandi, Federico M.; Renò, Roberto
7
2018
Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. Zbl 1393.62037
Dong, Chaohua; Gao, Jiti
7
2018
Identification of joint distributions in dependent factor models. Zbl 1441.62604
Ben-Moshe, Dan
5
2018
Nonparametric instrumental regression with errors in variables. Zbl 1406.62032
Adusumilli, Karun; Otsu, Taisuke
5
2018
...and 898 more Documents
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Cited by 6,960 Authors

93 Phillips, Peter Charles Bonest
63 Taylor, A. M. Robert
54 McAleer, Michael
52 Su, Liangjun
51 Linton, Oliver Bruce
47 Horváth, Lajos
45 Gao, Jiti
45 Simar, Léopold
37 Shin, Dongwan
35 Cai, Zongwu
35 Cavaliere, Giuseppe
31 Li, Qi
31 Robinson, Peter Michael
31 Van Keilegom, Ingrid
30 Lee, Sangyeol
30 Politis, Dimitris Nicolas
29 Ling, Shiqing
29 Xiao, Zhijie
29 Zhu, Lixing
28 Fan, Yanqin
28 Leybourne, Stephen J.
27 Chan, Ngai Hang
27 Hallin, Marc
26 Escanciano, Juan Carlos
26 Francq, Christian
26 Nielsen, Morten Ørregaard
26 Park, Joon Y.
26 Perron, Pierre
26 Tjøstheim, Dag B.
26 Zhang, Rongmao
25 Chen, Xiaohong
25 Härdle, Wolfgang Karl
25 Li, Degui
25 Saikkonen, Pentti
25 Zhang, Xinyu
24 Dette, Holger
24 Florens, Jean-Pierre
24 Lee, Lung-Fei
24 Sun, Yixiao
24 Wang, Qiying
23 Hong, Yongmiao
23 Hsiao, Cheng
23 Shao, Xiaofeng
23 Zakoïan, Jean-Michel
23 Zhang, Jun
22 Kokoszka, Piotr S.
22 Lu, Zudi
22 Mammen, Enno
22 Otsu, Taisuke
22 Peng, Liang
22 Surgailis, Donatas
22 Velasco, Carlos
21 Demetrescu, Matei
21 Hassler, Uwe
21 Liang, Hua
21 Rahbek, Anders
21 Westerlund, Joakim
20 Chambers, Marcus J.
20 Li, Wai Keung
20 Lieberman, Offer
20 White, Halbert Lynn jun.
19 Corradi, Valentina
19 Harvey, David I.
19 Kapetanios, George
19 Kurozumi, Eiji
19 Rodrigues, Paulo M. M.
18 Andrews, Donald Wilfrid Kao
18 Asai, Manabu
18 Aue, Alexander
18 Bravo, Francesco
18 Giraitis, Liudas
18 Hwang, Eunju
18 Kristensen, Dennis
18 Lian, Heng
18 Sperlich, Stefan
18 Vogelsang, Timothy J.
18 Wu, Wei Biao
18 Yu, Jun
17 Galvao, Antonio F. jun.
17 Guggenberger, Patrik
17 Hidalgo, Javier
17 Lewbel, Arthur
17 Meintanis, Simos G.
17 Pesaran, M. Hashem
17 Potscher, Benedikt M.
17 Renault, Eric
17 Swanson, Norman Rasmus
17 Tu, Yundong
17 Ullah, Aman
17 Wang, Dehui
17 Wied, Dominik
17 Yang, Lijian
17 You, Jinhong
16 Bücher, Axel
16 Gourieroux, Christian
16 Hušková, Marie
16 Jiménez-Gamero, María Dolores
16 Paruolo, Paolo
16 Sasaki, Yuya
16 Sun, Yiguo
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Cited in 315 Journals

1,403 Journal of Econometrics
616 Econometric Theory
412 Econometric Reviews
295 Journal of Time Series Analysis
242 Communications in Statistics. Theory and Methods
241 Computational Statistics and Data Analysis
237 Economics Letters
224 Journal of Multivariate Analysis
207 The Annals of Statistics
164 Journal of Statistical Planning and Inference
163 Statistics & Probability Letters
133 Electronic Journal of Statistics
121 Communications in Statistics. Simulation and Computation
113 Journal of Statistical Computation and Simulation
107 The Econometrics Journal
105 Journal of Nonparametric Statistics
99 Bernoulli
92 Statistical Papers
90 Annals of the Institute of Statistical Mathematics
82 Journal of the American Statistical Association
79 European Journal of Operational Research
69 Quantitative Finance
64 Test
63 Stochastic Processes and their Applications
61 Statistics
57 Scandinavian Journal of Statistics
55 Mathematics and Computers in Simulation
50 Journal of the Korean Statistical Society
48 Journal of Applied Statistics
47 Metrika
46 Studies in Nonlinear Dynamics and Econometrics
44 Computational Statistics
41 Journal of Economic Dynamics & Control
39 Statistical Methods and Applications
38 Statistica Sinica
38 AStA. Advances in Statistical Analysis
38 Journal of Time Series Econometrics
34 Statistical Inference for Stochastic Processes
32 Statistics and Computing
29 Annals of Operations Research
27 The Canadian Journal of Statistics
26 Statistical Science
24 Insurance Mathematics & Economics
23 Biometrics
23 Journal of Econometric Methods
22 Mathematical Methods of Statistics
20 Statistica Neerlandica
20 Acta Mathematicae Applicatae Sinica. English Series
19 Journal of Systems Science and Complexity
18 Lithuanian Mathematical Journal
18 Australian & New Zealand Journal of Statistics
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15 Methodology and Computing in Applied Probability
14 Physica A
14 Computational Economics
13 Open Economies Review
13 Journal of the Royal Statistical Society. Series B. Statistical Methodology
13 The Annals of Applied Statistics
12 Journal of Computational and Applied Mathematics
12 Extremes
12 Acta Mathematica Sinica. English Series
12 Journal of Forecasting
12 Bayesian Analysis
11 International Economic Review
11 Sequential Analysis
11 Applied Mathematics. Series B (English Edition)
11 Brazilian Journal of Probability and Statistics
11 Journal of Machine Learning Research (JMLR)
11 Statistical Methodology
11 Annals of Finance
11 Dependence Modeling
10 Automatica
10 The Annals of Applied Probability
10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
10 International Journal of Theoretical and Applied Finance
10 Journal of Computational and Graphical Statistics
10 Journal of Probability and Statistics
9 Advances in Applied Probability
8 Probability Theory and Related Fields
8 Asia-Pacific Financial Markets
8 Journal of Statistical Theory and Practice
7 Journal of Applied Probability
7 Kybernetika
7 International Transactions in Operational Research
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 ASTIN Bulletin
7 Stochastics
7 Statistics Surveys
7 Sankhyā. Series B
6 Journal of Economic Theory
6 Metron
6 Operations Research
6 Stochastic Analysis and Applications
6 Mathematical and Computer Modelling
6 Neural Computation
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Cited in 40 Fields

6,813 Statistics (62-XX)
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