## 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: 1,128 Publications (since 1995) References Indexed: 911 Publications with 27,802 References.
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### Latest Issues

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### Authors

 47 Phillips, Peter Charles Bonest 24 Taylor, A. M. Robert 23 Linton, Oliver Bruce 17 Xiao, Zhijie 16 Horváth, Lajos 15 Wang, Qiying 14 Leybourne, Stephen J. 13 Cavaliere, Giuseppe 12 Saikkonen, Pentti 11 de Jong, Robert M. 11 Gao, Jiti 11 Potscher, Benedikt M. 11 Robinson, Peter Michael 11 White, Halbert Lynn jun. 10 Florens, Jean-Pierre 10 Li, Qi 10 Ling, Shiqing 10 Otsu, Taisuke 10 Su, Liangjun 9 Hahn, Jinyong 9 Jansson, Michael 9 Lee, Lung-Fei 9 Lieberman, Offer 9 Moon, Hyungsik Roger 9 Perron, Pierre 9 Rahbek, Anders 8 Andrews, Donald Wilfrid Kao 8 Chan, Ngai Hang 8 Francq, Christian 8 Hansen, Bruce E. 8 Hillier, Grant H. 8 Hong, Yongmiao 8 Johansen, Søren Glud 8 Sun, Yixiao 8 Vogelsang, Timothy J. 8 Zakoïan, Jean-Michel 7 Anatolyev, Stanislav 7 Cai, Zongwu 7 Chambers, Marcus J. 7 Chen, Songnian 7 Giraitis, Liudas 7 Guggenberger, Patrik 7 Han, Chirok 7 Härdle, Wolfgang Karl 7 Harvey, David I. 7 Kokoszka, Piotr S. 7 Leeb, Hannes 6 Abadir, Karim M. 6 Baltagi, Badi H. 6 Bierens, Herman J. 6 del Barrio Castro, Tomas 6 Deo, Rohit S. 6 Escanciano, Juan Carlos 6 Forchini, Giovanni 6 Georgiev, Iliyan 6 Kristensen, Dennis 6 Mammen, Enno 6 Rodrigues, Paulo M. M. 6 Sasaki, Yuya 6 Shao, Xiaofeng 6 Smith, Richard J. 6 Tjøstheim, Dag B. 6 Velasco, Carlos I. Hoyos 6 Whang, Yoon-Jae 6 Wu, Wei Biao 5 Aue, Alexander 5 Bao, Yong 5 Beare, Brendan K. 5 Bera, Anil K. 5 Carrasco, Marine 5 Chen, Xiaohong 5 Fan, Yanqin 5 Hafner, Christian Matthias 5 Hassler, Uwe 5 Hoderlein, Stefan G. N. 5 Hsiao, Cheng 5 Inoue, Atsushi 5 Kapetanios, George 5 Leipus, Remigijus 5 Lewbel, Arthur 5 Liao, Zhipeng 5 Lütkepohl, Helmut 5 Marsh, Patrick 5 McAleer, Michael 5 McCabe, Brendan P. M. 5 Nabeya, Seiji 5 Nielsen, Bent 5 Nielsen, Morten Ørregaard 5 Park, Joon Y. 5 Politis, Dimitris Nicolas 5 Simar, Léopold 5 Tanaka, Katsuto 5 Wooldridge, Jeffrey M. 5 Xia, Yingcun 5 Zinde-Walsh, Victoria 4 Bauer, Dietmar 4 Berkes, István 4 Breitung, Jorg 4 Caner, Mehmet 4 Corradi, Valentina ...and 856 more Authors
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### Fields

 1,086 Statistics (62-XX) 153 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) 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

930 Publications have been cited 9,282 times in 6,196 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
2002
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
2008
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
2005
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
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
2004
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
1995
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
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
2005
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
2000
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
2004
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
2006
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
2006
Regression quantiles for time series. Zbl 1181.62124
Cai, Zongwu
2002
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
A single-index quantile regression model and its estimation. Zbl 1419.62090
Kong, Efang; Xia, Yingcun
2012
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
2001
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
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
2013
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
2000
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
2002
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 frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
2005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
2005
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
2006
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
2002
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
2002
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
2010
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
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
1999
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
2011
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
2000
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
2003
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
2008
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
2006
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
2003
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
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
2010
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
2005
Sequential change-point detection in $$\text{GARCH}(p,q)$$ models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
2004
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
2011
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
2000
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
2004
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
2004
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
2009
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
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
2006
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
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
2008
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
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
2009
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
2000
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
2003
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
2009
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
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
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
2014
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
2008
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
2017
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
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
2010
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
2001
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
2002
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
2001
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
2004
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
2011
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
2004
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
2013
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
2013
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
2009
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
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
2004
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
2007
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
2009
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
2002
Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037
Linton, Oliver B.
2000
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
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
2012
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
2012
Empirical characteristic function in time series estimation. Zbl 1109.62337
Knight, John L.; Yu, Jun
2002
Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163
Shimotsu, Katsumi
2010
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
2011
A statistical analysis of cointegration for $$I(2)$$ variables. Zbl 1274.62597
Johansen, S.
1995
Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027
Guerre, Emmanuel; Sabbah, Camille
2012
Optimal minimax rates for nonparametric specificaton testing in regression models. Zbl 1033.62042
Guerre, Emmanuel; Lavergne, Pascal
2002
Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. Zbl 1181.62140
Linton, Oliver; Pan, Jiazhu; Wang, Hui
2010
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
2009
On the lack of power of omnibus specification tests. Zbl 1231.62079
Escanciano, J. Carlos
2009
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
Nonparametric additive models for panels of time series. Zbl 1279.62189
Mammen, Enno; Støve, Bård; Tjøstheim, Dag
2009
Copula-based characterizations for higher order Markov processes. Zbl 1277.60123
Ibragimov, Rustam
2009
Non-Gaussian log-periodogram regression. Zbl 0945.62091
Velasco, Carlos
2000
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
2005
Asymptotics of the QMLE for a class of ARCH($$q$$) models. Zbl 1081.62065
Kristensen, Dennis; Rahbek, Anders
2005
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
2009
Specification testing for errors-in-variables models. Zbl 1473.62147
Otsu, Taisuke; Taylor, Luke
2021
Latent variable nonparametric cointegrating regression. Zbl 1462.62249
Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis
2021
Instrumental variable quantile regression with misclassification. Zbl 1462.62247
Ura, Takuya
2021
Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139
Aknouche, Abdelhakim; Francq, Christian
2021
Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068
Hosseinkouchack, Mehdi; Demetrescu, Matei
2021
Nonparametric Euler equation identification and estimation. Zbl 1479.62090
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot
2021
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
2020
Robust inference in structural vector autoregressions with long-run restrictions. Zbl 1436.62416
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo
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
2020
The sum of the reciprocal of the random walk. Zbl 1440.60038
Michel, Jon; de Jong, Robert
2020
Cointegration in functional autoregressive processes. Zbl 1462.62769
Franchi, Massimo; Paruolo, Paolo
2020
A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570
Sakarya, Neslihan; De Jong, Robert M.
2020
Testing a parametric transformation model versus a nonparametric alternative. Zbl 1462.62737
Szydłowski, Arkadiusz
2020
A smoothing method that looks like the Hodrick-Prescott filter. Zbl 1462.62741
Yamada, Hiroshi
2020
Randomization tests of copula symmetry. Zbl 1462.62297
Beare, Brendan K.; Seo, Juwon
2020
Exact local Whittle estimation in long memory time series with multiple poles. Zbl 1462.62520
Arteche, Josu
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
Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042
Babii, Andrii
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
2020
Truncated sum of squares estimation of fractional time series models with deterministic trends. Zbl 1447.62025
Hualde, Javier; Nielsen, Morten Ørregaard
2020
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
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
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
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 GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
2019
Asymptotically efficient model selection for panel data forecasting. Zbl 1420.62486
Greenaway-McGrevy, Ryan
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
2019
Statistical inference for measurement equation selection in the log-RealGARCH model. Zbl 1432.62307
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya
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
2019
Mixed causal-noncausal AR processes and the modelling of explosive bubbles. Zbl 1433.62258
Fries, Sébastien; Zakoian, Jean-Michel
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
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
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
Testing for a general class of functional inequalities. Zbl 1400.62096
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae
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
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
Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019
Wang, Xia; Hong, Yongmiao
2018
Structural change in nonstationary $$\mathrm{AR}(1)$$ models. Zbl 1400.62192
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling
2018
Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061
Hu, Yingyao; Shiu, Ji-Liang
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
2018
Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244
Wu, Wei Biao; Zaffaroni, Paolo
2018
Exact likelihood inference in group interaction network models. Zbl 1441.62731
Hillier, Grant; Martellosio, Federico
2018
Nonparametric instrumental regression with errors in variables. Zbl 1406.62032
Adusumilli, Karun; Otsu, Taisuke
2018
The linear systems approach to linear rational expectations models. Zbl 1390.62331
Al-Sadoon, Majid M.
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
Nonparametric stochastic volatility. Zbl 1406.62109
Bandi, Federico M.; Renò, Roberto
2018
Block bootstrap consistency under weak assumptions. Zbl 1406.62091
Calhoun, Gray
2018
Simple, robust, and accurate $$F$$ and $$t$$ tests in cointegrated systems. Zbl 1400.62180
Hwang, Jungbin; Sun, Yixiao
2018
Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models. Zbl 1400.62335
Peng, Jiangyan; Wang, Qiying
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
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
Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027
Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert
2018
Directionally differentiable econometric models. Zbl 1400.62317
Cho, Jin Seo; White, Halbert
2018
Identification of joint distributions in dependent factor models. Zbl 1441.62604
Ben-Moshe, Dan
2018
Closed-form identification of dynamic discrete choice models with proxies for unobserved state variables. Zbl 1441.62746
Hu, Yingyao; Sasaki, Yuya
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
Estimation for the prediction of point processes with many covariates. Zbl 1390.62048
Sancetta, Alessio
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
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
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
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
Estimating volatility functionals with multiple transactions. Zbl 1441.62755
Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing
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
Asymptotics of diagonal elements of projection matrices under many instruments/regressors. Zbl 1441.62583
Anatolyev, Stanislav; Yaskov, Pavel
2017
Identifying restrictions for finite parameter continuous time models with discrete time data. Zbl 1442.62731
Blevins, Jason R.
2017
Residual-based GARCH bootstrap and second order asymptotic refinement. Zbl 1392.62265
Jeong, Minsoo
2017
Bootstrapping pre-averaged realized volatility under market microstructure noise. Zbl 1441.62742
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
2017
Adaptive Bayesian estimation of conditional densities. Zbl 1441.62095
Norets, Andriy; Pati, Debdeep
2017
Goodness-of-fit tests for multivariate copula-based time series models. Zbl 1442.62730
Berghaus, Betina; Bücher, Axel
2017
Specification tests for multiplicative error models. Zbl 1441.62836
Perera, Indeewara; Silvapulle, Mervyn J.
2017
Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach. Zbl 1441.62764
Kanaya, Shin
2017
Change point tests for the tail index of $$\beta$$-mixing random variables. Zbl 1442.62741
Hoga, Yannick
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
Instrumental variables methods with heterogeneity and mismeasured instruments. Zbl 1441.62631
Chalak, Karim
2017
On using linear quantile regressions for causal inference. Zbl 1441.62769
Kato, Ryutah; Sasaki, Yuya
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
Semiparametric estimation of random coefficients in structural economic models. Zbl 1415.91141
Hoderlein, Stefan; Nesheim, Lars; Simoni, Anna
2017
Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression. Zbl 1396.62077
Duffy, James A.
2017
Higher order moments of Markov switching VARMA models. Zbl 1396.62197
Cavicchioli, Maddalena
2017
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### Cited by 5,873 Authors

 80 Phillips, Peter Charles Bonest 51 McAleer, Michael 51 Taylor, A. M. Robert 46 Linton, Oliver Bruce 45 Horváth, Lajos 42 Su, Liangjun 41 Simar, Léopold 39 Gao, Jiti 34 Li, Qi 33 Shin, Dongwan 32 Cavaliere, Giuseppe 31 Cai, Zongwu 30 Van Keilegom, Ingrid 28 Robinson, Peter Michael 27 Lee, Sangyeol 27 Leybourne, Stephen J. 27 Politis, Dimitris Nicolas 27 Xiao, Zhijie 26 Park, Joon Y. 25 Chen, Xiaohong 25 Härdle, Wolfgang Karl 25 Ling, Shiqing 25 Tjøstheim, Dag B. 25 Zhu, Lixing 24 Hallin, Marc 24 Saikkonen, Pentti 23 Chan, Ngai Hang 23 Fan, Yanqin 23 Florens, Jean-Pierre 23 Francq, Christian 23 Nielsen, Morten Ørregaard 23 Sun, Yixiao 22 Lee, Lung-Fei 22 Mammen, Enno 22 Surgailis, Donatas 22 Wang, Qiying 22 Zakoïan, Jean-Michel 21 Escanciano, Juan Carlos 21 Lu, Zudi 21 Meintanis, Simos G. 21 Perron, Pierre 20 Hassler, Uwe 20 Hsiao, Cheng 20 Li, Degui 20 Peng, Liang 20 Rahbek, Anders 19 Dette, Holger 19 Liang, Hua 19 Shao, Xiaofeng 19 Velasco, Carlos I. Hoyos 19 Zhang, Rongmao 18 Aue, Alexander 18 Chambers, Marcus J. 18 Corradi, Valentina 18 Harvey, David I. 18 Kokoszka, Piotr S. 18 Kristensen, Dennis 18 Lieberman, Offer 17 Andrews, Donald Wilfrid Kao 17 Demetrescu, Matei 17 Hwang, Eunju 17 Lian, Heng 17 Otsu, Taisuke 17 Vogelsang, Timothy J. 17 Westerlund, Joakim 17 White, Halbert Lynn jun. 17 Wu, Wei Biao 17 Zhang, Xinyu 16 Giraitis, Liudas 16 Guggenberger, Patrik 16 Hong, Yongmiao 16 Kurozumi, Eiji 16 McElroy, Tucker S. 16 Potscher, Benedikt M. 16 Sperlich, Stefan 16 Swanson, Norman Rasmus 16 Yang, Lijian 15 Galvao, Antonio F. jun. 15 Hušková, Marie 15 Jiménez-Gamero, María Dolores 15 Johansen, Søren Glud 15 Kapetanios, George 15 Lütkepohl, Helmut 15 Renault, Eric 15 Rodrigues, Paulo M. M. 15 You, Jinhong 14 Asai, Manabu 14 Bravo, Francesco 14 Fan, Jianqing 14 Gil-Alana, Luis Alberiko 14 Gonçalves, Sílvia 14 Gourieroux, Christian 14 Hall, Peter Gavin 14 Hidalgo, Javier 14 Horowitz, Joel L. 14 Koul, Hira Lal 14 Lewbel, Arthur 14 Lin, Zhengyan 14 Sibbertsen, Philipp 14 Tian, Yongge ...and 5,773 more Authors
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### Cited in 282 Journals

 1,222 Journal of Econometrics 569 Econometric Theory 249 Econometric Reviews 242 Journal of Time Series Analysis 217 Computational Statistics and Data Analysis 216 Economics Letters 198 Journal of Multivariate Analysis 187 The Annals of Statistics 170 Communications in Statistics. Theory and Methods 156 Statistics & Probability Letters 155 Journal of Statistical Planning and Inference 117 Electronic Journal of Statistics 107 The Econometrics Journal 100 Journal of Statistical Computation and Simulation 100 Journal of Nonparametric Statistics 94 Statistical Papers 88 Bernoulli 78 Annals of the Institute of Statistical Mathematics 65 Communications in Statistics. Simulation and Computation 63 European Journal of Operational Research 62 Quantitative Finance 58 Test 56 Scandinavian Journal of Statistics 54 Mathematics and Computers in Simulation 54 Statistics 53 Stochastic Processes and their Applications 51 Journal of the American Statistical Association 46 Journal of the Korean Statistical Society 45 Metrika 40 Computational Statistics 39 Journal of Applied Statistics 37 Journal of Economic Dynamics & Control 34 AStA. Advances in Statistical Analysis 33 Statistical Methods and Applications 33 Journal of Time Series Econometrics 30 Statistical Inference for Stochastic Processes 26 Statistical Science 25 Statistics and Computing 23 Statistica Sinica 21 Insurance Mathematics & Economics 21 Mathematical Methods of Statistics 20 Journal of Econometric Methods 19 The Canadian Journal of Statistics 19 Acta Mathematicae Applicatae Sinica. English Series 18 Lithuanian Mathematical Journal 18 Annals of Operations Research 18 Science China. Mathematics 15 Journal of Theoretical Probability 15 Economic Theory 15 Journal of Systems Science and Complexity 14 Computational Economics 13 Biometrics 13 Journal of the Royal Statistical Society. Series B. Statistical Methodology 12 Journal of Forecasting 12 The Annals of Applied Statistics 11 Journal of Computational and Applied Mathematics 11 Sequential Analysis 11 Open Economies Review 11 Extremes 11 Acta Mathematica Sinica. English Series 11 Statistical Methodology 11 Annals of Finance 11 Bayesian Analysis 10 Psychometrika 10 The Annals of Applied Probability 10 Applied Mathematics. Series B (English Edition) 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 Methodology and Computing in Applied Probability 9 Brazilian Journal of Probability and Statistics 9 Dependence Modeling 8 Advances in Applied Probability 7 Automatica 7 Kybernetika 7 Studies in Nonlinear Dynamics and Econometrics 7 Australian & New Zealand Journal of Statistics 7 ASTIN Bulletin 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 Journal of Machine Learning Research (JMLR) 6 Comptes Rendus. Mathématique. Académie des Sciences, Paris 6 Asia-Pacific Financial Markets 6 Sankhyā. Series B 6 Japanese Journal of Statistics and Data Science 5 Physica A 5 Applied Mathematics and Computation 5 Journal of Economic Theory 5 The Journal of Mathematical Sociology 5 Operations Research 5 Mathematical and Computer Modelling ...and 182 more Journals
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### Cited in 41 Fields

 5,676 Statistics (62-XX) 1,129 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 900 Probability theory and stochastic processes (60-XX) 688 Numerical analysis (65-XX) 104 Operations research, mathematical programming (90-XX) 41 Biology and other natural sciences (92-XX) 38 Computer science (68-XX) 38 Systems theory; control (93-XX) 31 Linear and multilinear algebra; matrix theory (15-XX) 25 History and biography (01-XX) 21 Harmonic analysis on Euclidean spaces (42-XX) 17 Dynamical systems and ergodic theory (37-XX) 17 Information and communication theory, circuits (94-XX) 16 Functional analysis (46-XX) 16 Geophysics (86-XX) 14 General and overarching topics; collections (00-XX) 11 Approximations and expansions (41-XX) 11 Operator theory (47-XX) 10 Partial differential equations (35-XX) 9 Statistical mechanics, structure of matter (82-XX) 8 Combinatorics (05-XX) 7 Special functions (33-XX) 6 Integral equations (45-XX) 5 Real functions (26-XX) 5 Difference and functional equations (39-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Astronomy and astrophysics (85-XX) 1 Number theory (11-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 Manifolds and cell complexes (57-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)