Kuchibhotla, Arun K.; Brown, Lawrence D.; Buja, Andreas; George, Edward I.; Zhao, Linda Uniform-in-submodel bounds for linear regression in a model-free framework. (English) Zbl 07785628 Econom. Theory 39, No. 6, 1202-1248 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{A. K. Kuchibhotla} et al., Econom. Theory 39, No. 6, 1202--1248 (2023; Zbl 07785628) Full Text: DOI arXiv OA License
Dahlhaus, Rainer; Richter, Stefan Adaptation for nonparametric estimators of locally stationary processes. (English) Zbl 07785626 Econom. Theory 39, No. 6, 1123-1153 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{R. Dahlhaus} and \textit{S. Richter}, Econom. Theory 39, No. 6, 1123--1153 (2023; Zbl 07785626) Full Text: DOI arXiv OA License
Meitz, Mika; Saikkonen, Pentti Subgeometrically ergodic autoregressions. (English) Zbl 07622635 Econom. Theory 38, No. 5, 959-985 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{M. Meitz} and \textit{P. Saikkonen}, Econom. Theory 38, No. 5, 959--985 (2022; Zbl 07622635) Full Text: DOI arXiv
Hahn, Jinyong; Kuersteiner, Guido; Mazzocco, Maurizio Joint time-series and cross-Section limit theory under mixingale assumptions. (English) Zbl 07622634 Econom. Theory 38, No. 5, 942-958 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{J. Hahn} et al., Econom. Theory 38, No. 5, 942--958 (2022; Zbl 07622634) Full Text: DOI arXiv
Debaly, Zinsou Max; Truquet, Lionel Iterations of dependent random maps and exogeneity in nonlinear dynamics. (English) Zbl 1493.62599 Econom. Theory 37, No. 6, 1135-1172 (2021). MSC: 62P20 PDFBibTeX XMLCite \textit{Z. M. Debaly} and \textit{L. Truquet}, Econom. Theory 37, No. 6, 1135--1172 (2021; Zbl 1493.62599) Full Text: DOI arXiv
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot Nonparametric Euler equation identification and estimation. (English) Zbl 1479.62090 Econom. Theory 37, No. 5, 851-891 (2021). MSC: 62P20 62G05 65C05 PDFBibTeX XMLCite \textit{J. C. Escanciano} et al., Econom. Theory 37, No. 5, 851--891 (2021; Zbl 1479.62090) Full Text: DOI
Chao, Shih-Kang; Härdle, Wolfgang K.; Yuan, Ming Factorisable multitask quantile regression. (English) Zbl 1473.62131 Econom. Theory 37, No. 4, 794-816 (2021). MSC: 62G08 62H12 62P05 PDFBibTeX XMLCite \textit{S.-K. Chao} et al., Econom. Theory 37, No. 4, 794--816 (2021; Zbl 1473.62131) Full Text: DOI arXiv
Aknouche, Abdelhakim; Francq, Christian Count and duration time series with equal conditional stochastic and mean orders. (English) Zbl 1467.62139 Econom. Theory 37, No. 2, 248-280 (2021). MSC: 62M10 62P20 62P12 PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{C. Francq}, Econom. Theory 37, No. 2, 248--280 (2021; Zbl 1467.62139) Full Text: DOI
Lee, Ji Hyung; Linton, Oliver; Whang, Yoon-Jae Quantilograms under strong dependence. (English) Zbl 1440.62387 Econom. Theory 36, No. 3, 457-487 (2020). MSC: 62P20 62G08 62M20 60F17 PDFBibTeX XMLCite \textit{J. H. Lee} et al., Econom. Theory 36, No. 3, 457--487 (2020; Zbl 1440.62387) Full Text: DOI
Cho, Jin Seo; White, Halbert Directionally differentiable econometric models. (English) Zbl 1400.62317 Econom. Theory 34, No. 5, 1101-1131 (2018). MSC: 62P20 62E20 62F12 62F05 PDFBibTeX XMLCite \textit{J. S. Cho} and \textit{H. White}, Econom. Theory 34, No. 5, 1101--1131 (2018; Zbl 1400.62317) Full Text: DOI
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. (English) Zbl 1441.62240 Econom. Theory 34, No. 1, 23-67 (2018). MSC: 62M10 62G05 62G07 62G32 62P05 91G70 PDFBibTeX XMLCite \textit{C. Martins-Filho} et al., Econom. Theory 34, No. 1, 23--67 (2018; Zbl 1441.62240) Full Text: DOI arXiv
Jeong, Minsoo Residual-based GARCH bootstrap and second order asymptotic refinement. (English) Zbl 1392.62265 Econom. Theory 33, No. 3, 779-790 (2017); addendum ibid. 34, No. 3, 704 (2018). MSC: 62M10 62G09 62E20 PDFBibTeX XMLCite \textit{M. Jeong}, Econom. Theory 33, No. 3, 779--790 (2017; Zbl 1392.62265) Full Text: DOI
Poskitt, D. S.; Martin, Gael M.; Grose, Simone D. Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap. (English) Zbl 1441.62843 Econom. Theory 33, No. 3, 578-609 (2017). MSC: 62P20 62M10 62E20 62M15 62F12 62G20 PDFBibTeX XMLCite \textit{D. S. Poskitt} et al., Econom. Theory 33, No. 3, 578--609 (2017; Zbl 1441.62843) Full Text: DOI arXiv
Oberhofer, Walter; Haupt, Harry Asymptotic theory for nonlinear quantile regression under weak dependence. (English) Zbl 1441.62822 Econom. Theory 32, No. 3, 686-713 (2016). MSC: 62P20 PDFBibTeX XMLCite \textit{W. Oberhofer} and \textit{H. Haupt}, Econom. Theory 32, No. 3, 686--713 (2016; Zbl 1441.62822) Full Text: DOI
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjøstheim, Dag Uniform consistency for nonparametric estimators in null recurrent time series. (English) Zbl 1441.62696 Econom. Theory 31, No. 5, 911-952 (2015). MSC: 62P20 62M10 62G20 62G05 62G08 PDFBibTeX XMLCite \textit{J. Gao} et al., Econom. Theory 31, No. 5, 911--952 (2015; Zbl 1441.62696) Full Text: DOI
Koo, Bonsoo; Linton, Oliver Let’s get LADE: robust estimation of semiparametric multiplicative volatility models. (English) Zbl 1441.62781 Econom. Theory 31, No. 4, 671-702 (2015). MSC: 62P20 62M10 62G05 62G35 62P05 PDFBibTeX XMLCite \textit{B. Koo} and \textit{O. Linton}, Econom. Theory 31, No. 4, 671--702 (2015; Zbl 1441.62781) Full Text: DOI
Lee, Yoonseok Nonparametric estimation of dynamic panel models with fixed effects. (English) Zbl 1314.62206 Econom. Theory 30, No. 6, 1315-1347 (2014). MSC: 62M10 62G05 62G20 91B84 PDFBibTeX XMLCite \textit{Y. Lee}, Econom. Theory 30, No. 6, 1315--1347 (2014; Zbl 1314.62206) Full Text: DOI
Truquet, Lionel On a family of contrasts for parametric inference in degenerate ARCH models. (English) Zbl 1314.62211 Econom. Theory 30, No. 6, 1165-1206 (2014). MSC: 62M10 62F12 PDFBibTeX XMLCite \textit{L. Truquet}, Econom. Theory 30, No. 6, 1165--1206 (2014; Zbl 1314.62211) Full Text: DOI
Lavancier, Frédéric; Leipus, Remigijus; Philippe, Anne; Surgailis, Donatas Detection of nonconstant long memory parameter. (English) Zbl 1290.62062 Econom. Theory 29, No. 5, 1009-1056 (2013). MSC: 62M07 62M10 PDFBibTeX XMLCite \textit{F. Lavancier} et al., Econom. Theory 29, No. 5, 1009--1056 (2013; Zbl 1290.62062) Full Text: DOI arXiv
Linton, Oliver; Xiao, Zhijie Estimation of and inference about the expected shortfall for time series with infinite variance. (English) Zbl 1283.91156 Econom. Theory 29, No. 4, 771-807 (2013). MSC: 91B84 62P05 62M10 91G60 91G70 PDFBibTeX XMLCite \textit{O. Linton} and \textit{Z. Xiao}, Econom. Theory 29, No. 4, 771--807 (2013; Zbl 1283.91156) Full Text: DOI
Li, Degui; Lu, Zudi; Linton, Oliver Local linear fitting under near epoch dependence: uniform consistency with convergence rates. (English) Zbl 1369.62075 Econom. Theory 28, No. 5, 935-958 (2012). MSC: 62G08 62G05 62G20 91B82 PDFBibTeX XMLCite \textit{D. Li} et al., Econom. Theory 28, No. 5, 935--958 (2012; Zbl 1369.62075) Full Text: DOI
Hill, Jonathan B. Tail and nontail memory with applications to extreme value and robust statistics. (English) Zbl 1401.62156 Econom. Theory 27, No. 4, 844-884 (2011). MSC: 62M10 60F05 60G10 60G70 62G32 62G35 62P05 PDFBibTeX XMLCite \textit{J. B. Hill}, Econom. Theory 27, No. 4, 844--884 (2011; Zbl 1401.62156) Full Text: DOI
Otsu, Taisuke; Whang, Yoon-Jae Testing for nonnested conditional moment restrictions via conditional empirical likelihood. (English) Zbl 1207.62100 Econom. Theory 27, No. 1, 114-153 (2011). MSC: 62G10 62E20 65C60 PDFBibTeX XMLCite \textit{T. Otsu} and \textit{Y.-J. Whang}, Econom. Theory 27, No. 1, 114--153 (2011; Zbl 1207.62100) Full Text: DOI
Hassler, Uwe; Kokoszka, Piotr Impulse responses of fractionally integrated processes with long memory. (English) Zbl 1230.62118 Econom. Theory 26, No. 6, 1855-1861 (2010). MSC: 62M10 62M20 PDFBibTeX XMLCite \textit{U. Hassler} and \textit{P. Kokoszka}, Econom. Theory 26, No. 6, 1855--1861 (2010; Zbl 1230.62118) Full Text: DOI
Shao, Xiaofeng Nonstationarity-extended Whittle estimation. (English) Zbl 1401.62176 Econom. Theory 26, No. 4, 1060-1087 (2010). MSC: 62M10 60G18 60G22 62F10 62F12 PDFBibTeX XMLCite \textit{X. Shao}, Econom. Theory 26, No. 4, 1060--1087 (2010; Zbl 1401.62176) Full Text: DOI arXiv
Linton, Oliver; Pan, Jiazhu; Wang, Hui Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. (English) Zbl 1181.62140 Econom. Theory 26, No. 1, 1-28 (2010). MSC: 62M10 62E20 62M09 62G05 60E07 PDFBibTeX XMLCite \textit{O. Linton} et al., Econom. Theory 26, No. 1, 1--28 (2010; Zbl 1181.62140) Full Text: DOI
Shao, Xiaofeng A generalized portmanteau test for independence between two stationary time series. (English) Zbl 1277.62198 Econom. Theory 25, No. 1, 195-210 (2009). MSC: 62M07 62G10 60G10 62M10 PDFBibTeX XMLCite \textit{X. Shao}, Econom. Theory 25, No. 1, 195--210 (2009; Zbl 1277.62198) Full Text: DOI arXiv
Comte, F.; Dedecker, J.; Taupin, M. L. Adaptive density estimation for general ARCH models. (English) Zbl 1277.62103 Econom. Theory 24, No. 6, 1628-1662 (2008). MSC: 62G07 62M09 62P05 PDFBibTeX XMLCite \textit{F. Comte} et al., Econom. Theory 24, No. 6, 1628--1662 (2008; Zbl 1277.62103) Full Text: DOI arXiv
Ibragimov, Rustam; Phillips, Peter C. B. Regression asymptotics using martingale convergence methods. (English) Zbl 1284.60053 Econom. Theory 24, No. 4, 888-947 (2008). MSC: 60F05 60F17 60G46 62M10 62P20 PDFBibTeX XMLCite \textit{R. Ibragimov} and \textit{P. C. B. Phillips}, Econom. Theory 24, No. 4, 888--947 (2008; Zbl 1284.60053) Full Text: DOI
Lu, Zudi; Linton, Oliver Local linear fitting under near epoch dependence. (English) Zbl 1441.62238 Econom. Theory 23, No. 1, 37-70 (2007). MSC: 62M10 62G07 62E20 62P20 91B84 PDFBibTeX XMLCite \textit{Z. Lu} and \textit{O. Linton}, Econom. Theory 23, No. 1, 37--70 (2007; Zbl 1441.62238) Full Text: DOI
Nze, Patrick Ango; Doukhan, Paul Weak dependence: models and applications to econometrics. (English) Zbl 1069.62070 Econom. Theory 20, No. 6, 995-1045 (2004). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{P. A. Nze} and \textit{P. Doukhan}, Econom. Theory 20, No. 6, 995--1045 (2004; Zbl 1069.62070) Full Text: DOI