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. all top 5 Latest Issues 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) 23, No. 4 (2007) 23, No. 3 (2007) 23, No. 2 (2007) 23, No. 1 (2007) 22, No. 6 (2006) 22, No. 5 (2006) 22, No. 4 (2006) 22, No. 3 (2006) 22, No. 2 (2006) 22, No. 1 (2006) 21, No. 6 (2005) 21, No. 5 (2005) 21, No. 4 (2005) ...and 39 more Volumes all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1181.62125Carrasco, Marine; Chen, Xiaohong 167 2002 Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252Hansen, Bruce E. 125 2008 Model selection and inference: facts and fiction. Zbl 1085.62004Leeb, Hannes; Pötscher, Benedikt M. 118 2005 A new asymptotic theory for heteroskedasticity - autocorrelation robust tests. Zbl 1082.62040Kiefer, Nicholas M.; Vogelsang, Timothy J. 91 2005 Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus 81 2000 The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080Sancetta, Alessio; Satchell, Stephen 78 2004 Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171Masry, E.; Tjøstheim, D. 76 1995 Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092Park, Joon Y.; Phillips, Peter C. B. 73 1999 Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023Wang, Qiying; Phillips, Peter C. B. 72 2009 Automated inference and learning in modeling financial volatility. Zbl 1072.62104McAleer, Michael 72 2005 Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028Carrasco, Marine; Florens, Jean-Pierre 65 2000 Asymptotic inference for nonstationary GARCH. Zbl 1069.62067Jensen, Søren Tolver; Rahbek, Anders 64 2004 A consistent diagnostic test for regression models using projections. Zbl 1170.62318Escanciano, J. Carlos 63 2006 Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323Xia, Yingcun 61 2006 Regression quantiles for time series. Zbl 1181.62124Cai, Zongwu 61 2002 Necessary and sufficient moment conditions for the \(\text{GARCH}((r,s)\) and asymmetric power \(\text{GARCH}((r,s)\) models. Zbl 1110.62332Ling, Shiqing; McAleer, Michael 54 2002 A single-index quantile regression model and its estimation. Zbl 1419.62090Kong, Efang; Xia, Yingcun 54 2012 The generalized dynamic factor model: representation theory. Zbl 1181.62189Forni, Mario; Lippi, Marco 51 2001 The nonstationary fractional unit root. Zbl 0985.62073Tanaka, Katsuto 49 1999 Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071Fan, Yanqin; Li, Qi 47 2000 A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert 46 2013 The FDH estimator for productivity efficiency scores. Zbl 0967.62102Park, B. U.; Simar, L.; Weiner, Ch. 45 2000 Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian 44 2002 The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes. Zbl 0981.60028Davidson, James; de Jong, Robert M. 44 2000 Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252Aragon, Y.; Daouia, A.; Thomas-Agnan, C. 44 2005 Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058Bouezmarni, Taoufik; Scaillet, Olivier 44 2005 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 42 2006 Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339Lee, Lung-Fei 42 2002 Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011Andrews, Donald W. K.; Guggenberger, Patrik 42 2009 Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081Kiefer, Nicholas M.; Vogelsang, Timothy J. 41 2002 Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189Kristensen, Dennis 41 2010 Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044Andrews, Donald W. K.; Guggenberger, Patrik 41 2010 The size distortion of bootstrap tests. Zbl 0963.62025Davidson, Russell; MacKinnon, James G. 41 1999 Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739Hahn, Jinyong; Kuersteiner, Guido 40 2011 Nonparametric significance testing. Zbl 0968.62047Lavergne, Pascal; Vuong, Quang 40 2000 The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011Leeb, Hannes; Pötscher, Benedikt M. 39 2003 Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209Cai, Zongwu; Li, Qi 39 2008 Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017Whang, Yoon-Jae 37 2006 Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034Lee, Sokbae 37 2003 Testing for distributional change in time series. Zbl 0976.62088Inoue, Atsushi 37 2001 Uniform Bahadur representation for local polynomial estimates of M-regression and its application to the additive model. Zbl 1198.62030Kong, Efang; Linton, Oliver; Xia, Yingcun 36 2010 Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086Guggenberger, Patrik; Smith, Richard J. 36 2005 Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr 35 2004 On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028Chen, Xiaohong; Reiss, Markus 35 2011 Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming 34 2000 Weak dependence: models and applications to econometrics. Zbl 1069.62070Nze, Patrick Ango; Doukhan, Paul 33 2004 Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan 33 2004 Opening the black box: structural factor models with large cross sections. Zbl 1284.91446Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia 33 2009 Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083Francq, Christian; Zakoïan, Jean-Michel 32 2006 Empirical likelihood for GARCH models. Zbl 1125.62097Chan, Ngai Hang; Ling, Shiqing 32 2006 Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013Velasco, Carlos; Robinson, Peter M. 32 2001 On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models. Zbl 1018.62079Deo, Rohit S.; Hurvich, Clifford M. 32 2001 Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077Kneip, Alois; Simar, Léopold; Wilson, Paul W. 32 2008 A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285Su, Liangjun; White, Halbert 32 2008 Unit root testing in practice: dealing with uncertainty over the trend and initial condition. Zbl 1253.62060Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert 32 2009 Test of rank. Zbl 0957.62047Robin, Jean-Marc; Smith, Richard J. 32 2000 Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799Ling, Shiqing; McAleer, Michael 32 2003 Lasso-type GMM estimator. Zbl 1231.62028Caner, Mehmet 31 2009 Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152Leeb, Hannes; Pötscher, Benedikt M. 31 2008 The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027de Jong, Robert M.; Davidson, James 31 2000 Efficient regressions via optimally combining quantile information. Zbl 1314.62151Zhao, Zhibiao; Xiao, Zhijie 30 2014 Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098Cavaliere, Giuseppe; Taylor, A. M. Robert 30 2008 Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816Moon, Hyungsik Roger; Weidner, Martin 29 2017 Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123Pedroni, Peter 29 2004 Asymptotics of spectral density estimates. Zbl 1294.62077Liu, Weidong; Wu, Wei Biao 28 2010 Whittle estimation of ARCH models. Zbl 1051.62074Giraitis, Liudas; Robinson, Peter M. 28 2001 An invariance principle for sieve bootstrap in time series. Zbl 1109.62346Park, Joon Y. 28 2002 Structural change in AR(1) models. Zbl 1009.62073Chong, Terence Tai-Leung 28 2001 Instrumental variable estimation of a threshold model. Zbl 1071.62115Caner, Mehmet; Hansen, Bruce E. 28 2004 Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021Flury, Thomas; Shephard, Neil 27 2011 Adaptive testing in continuous-time diffusion models. Zbl 1071.62068Gao, Jiti; King, Maxwell 27 2004 A functional version of the ARCH model. Zbl 1271.62204Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron 27 2013 Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088Su, Liangjun; Chen, Qihui 27 2013 Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag 26 2009 The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056Gonçalves, Sílvia; White, Halbert 26 2002 Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077He, Changli; Teräsvirta, Timo 26 1999 Nonparametric regression in the presence of measurement error. Zbl 1069.62037Schennach, Susanne M. 26 2004 Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122Pan, Jiazhu; Wang, Hui; Yao, Qiwei 26 2007 Heteroskedastic time series with a unit root. Zbl 1284.62546Cavaliere, Giuseppe; Taylor, A. M. Robert 26 2009 Consistent covariance matrix estimation for linear processes. Zbl 1039.62080Jansson, Michael 25 2002 Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037Linton, Oliver B. 25 2000 Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105Stinchcombe, M. B.; White, Halbert 25 1998 Testing for a change in correlation at an unknown point in time using an extended functional delta method. Zbl 1239.91187Wied, Dominik; Krämer, Walter; Dehling, Herold 25 2012 Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167Mancini, Cecilia; Gobbi, Fabio 24 2012 Empirical characteristic function in time series estimation. Zbl 1109.62337Knight, John L.; Yu, Jun 24 2002 Exact local Whittle estimation of fractional integration with unknown mean and time trend. Zbl 1185.62163Shimotsu, Katsumi 24 2010 Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144Politis, Dimitris N. 24 2011 A statistical analysis of cointegration for \(I(2)\) variables. Zbl 1274.62597Johansen, S. 24 1995 Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function. Zbl 1234.62027Guerre, Emmanuel; Sabbah, Camille 23 2012 Optimal minimax rates for nonparametric specificaton testing in regression models. Zbl 1033.62042Guerre, Emmanuel; Lavergne, Pascal 23 2002 Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. Zbl 1181.62140Linton, Oliver; Pan, Jiazhu; Wang, Hui 23 2010 Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert 23 2009 On the lack of power of omnibus specification tests. Zbl 1231.62079Escanciano, J. Carlos 22 2009 Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. Zbl 1284.62566Meitz, Mika; Saikkonen, Pentti 22 2008 Nonparametric additive models for panels of time series. Zbl 1279.62189Mammen, Enno; Støve, Bård; Tjøstheim, Dag 22 2009 Copula-based characterizations for higher order Markov processes. Zbl 1277.60123Ibragimov, Rustam 22 2009 Non-Gaussian log-periodogram regression. Zbl 0945.62091Velasco, Carlos 22 2000 HAC estimation by automated regression. Zbl 1072.62078Phillips, Peter C. B. 22 2005 Asymptotics of the QMLE for a class of ARCH(\(q\)) models. Zbl 1081.62065Kristensen, Dennis; Rahbek, Anders 22 2005 Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031Kristensen, Dennis 22 2009 Specification testing for errors-in-variables models. Zbl 1473.62147Otsu, Taisuke; Taylor, Luke 2 2021 Latent variable nonparametric cointegrating regression. Zbl 1462.62249Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis 1 2021 Instrumental variable quantile regression with misclassification. Zbl 1462.62247Ura, Takuya 1 2021 Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139Aknouche, Abdelhakim; Francq, Christian 1 2021 Finite-sample size control of IVX-based tests in predictive regressions. Zbl 1473.62068Hosseinkouchack, Mehdi; Demetrescu, Matei 1 2021 Nonparametric Euler equation identification and estimation. Zbl 1479.62090Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur; Linton, Oliver; Srisuma, Sorawoot 1 2021 Nonparametric density estimation by B-spline duality. Zbl 1435.62131Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy 3 2020 Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045Huang, Wenxin; Jin, Sainan; Su, Liangjun 1 2020 Robust inference in structural vector autoregressions with long-run restrictions. Zbl 1436.62416Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo 1 2020 Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility. Zbl 1436.62402Harvey, David I.; Leybourne, Stephen J.; Zu, Yang 1 2020 The sum of the reciprocal of the random walk. Zbl 1440.60038Michel, Jon; de Jong, Robert 1 2020 Cointegration in functional autoregressive processes. Zbl 1462.62769Franchi, Massimo; Paruolo, Paolo 1 2020 A property of the Hodrick-Prescott filter and its application. Zbl 1462.62570Sakarya, Neslihan; De Jong, Robert M. 1 2020 Testing a parametric transformation model versus a nonparametric alternative. Zbl 1462.62737Szydłowski, Arkadiusz 1 2020 A smoothing method that looks like the Hodrick-Prescott filter. Zbl 1462.62741Yamada, Hiroshi 1 2020 Randomization tests of copula symmetry. Zbl 1462.62297Beare, Brendan K.; Seo, Juwon 1 2020 Exact local Whittle estimation in long memory time series with multiple poles. Zbl 1462.62520Arteche, Josu 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 1447.62035Duffy, James A. 1 2020 Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037Matsushita, Yukitoshi; Otsu, Taisuke 1 2020 Honest confidence sets in nonparametric IV regression and other ill-posed models. Zbl 1447.62042Babii, Andrii 1 2020 A new multilevel modeling approach for clustered survival data. Zbl 1447.62076Xu, Jinfeng; Yue, Mu; Zhang, Wenyang 1 2020 Truncated sum of squares estimation of fractional time series models with deterministic trends. Zbl 1447.62025Hualde, Javier; Nielsen, Morten Ørregaard 1 2020 QML inference for volatility models with covariates. Zbl 1415.62078Francq, Christian; Thieu, Le Quyen 11 2019 Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009Xiao, Weilin; Yu, Jun 8 2019 Inference after model averaging in linear regression models. Zbl 1420.62300Zhang, Xinyu; Liu, Chu-An 7 2019 Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155Vanhems, Anne; van Keilegom, Ingrid 6 2019 Characterizations of multinormality and corresponding tests of fit, including for GARCH models. Zbl 1419.62101Henze, Norbert; Jiménez-Gamero, M. Dolores; Meintanis, Simos G. 5 2019 Testing GARCH-X type models. Zbl 1432.62310Pedersen, Rasmus Søndergaard; Rahbek, Anders 4 2019 Testing regression monotonicity in econometric models. Zbl 1420.62480Chetverikov, Denis 4 2019 Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi 4 2019 Inference for option panels in pure-jump settings. Zbl 1432.62356Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T. 3 2019 Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112Gupta, Abhimanyu 3 2019 Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079Rothe, Christoph; Firpo, Sergio 2 2019 Asymptotically efficient model selection for panel data forecasting. Zbl 1420.62486Greenaway-McGrevy, Ryan 2 2019 A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019Frazier, David T. 2 2019 A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499Hounyo, Ulrich 2 2019 Statistical inference for measurement equation selection in the log-RealGARCH model. Zbl 1432.62307Li, Yu-Ning; Zhang, Yi; Zhang, Caiya 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 1433.62261Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert 1 2019 Mixed causal-noncausal AR processes and the modelling of explosive bubbles. Zbl 1433.62258Fries, Sébastien; Zakoian, Jean-Michel 1 2019 The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509Hansen, Christian; Liao, Yuan 1 2019 Adaptive tests of conditional moment inequalities. Zbl 1441.62105Chetverikov, Denis 14 2018 Financial bubble implosion and reverse regression. Zbl 1393.62129Phillips, Peter C. B.; Shi, Shu-Ping 13 2018 On the functional estimation of multivariate diffusion processes. Zbl 1393.62036Bandi, Federico M.; Moloche, Guillermo 13 2018 Alternative asymptotics and the partially linear model with many regressors. Zbl 1441.62630Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K. 12 2018 Testing for a general class of functional inequalities. Zbl 1400.62096Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae 7 2018 Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. Zbl 1441.62240Martins-Filho, Carlos; Yao, Feng; Torero, Maximo 6 2018 Unit root inference for non-stationary linear processes driven by infinite variance innovations. Zbl 1441.62229Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert 6 2018 Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019Wang, Xia; Hong, Yongmiao 6 2018 Structural change in nonstationary \(\mathrm{AR}(1)\) models. Zbl 1400.62192Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling 5 2018 Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061Hu, Yingyao; Shiu, Ji-Liang 5 2018 IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328Lieberman, Offer; Phillips, Peter C. B. 4 2018 Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244Wu, Wei Biao; Zaffaroni, Paolo 4 2018 Exact likelihood inference in group interaction network models. Zbl 1441.62731Hillier, Grant; Martellosio, Federico 4 2018 Nonparametric instrumental regression with errors in variables. Zbl 1406.62032Adusumilli, Karun; Otsu, Taisuke 4 2018 The linear systems approach to linear rational expectations models. Zbl 1390.62331Al-Sadoon, Majid M. 3 2018 On nonparametric inference in the regression discontinuity design. Zbl 1390.62073Kamat, Vishal 3 2018 Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. Zbl 1393.62037Dong, Chaohua; Gao, Jiti 3 2018 Nonparametric stochastic volatility. Zbl 1406.62109Bandi, Federico M.; Renò, Roberto 3 2018 Block bootstrap consistency under weak assumptions. Zbl 1406.62091Calhoun, Gray 3 2018 Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems. Zbl 1400.62180Hwang, Jungbin; Sun, Yixiao 2 2018 Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models. Zbl 1400.62335Peng, Jiangyan; Wang, Qiying 2 2018 A general double robustness result for estimating average treatment effects. Zbl 1441.62087Słoczyński, Tymon; Wooldridge, Jeffrey M. 2 2018 Dynamic panel Anderson-Hsiao estimation with roots near unity. Zbl 1441.62840Phillips, Peter C. B. 2 2018 On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128Lee, Ji Hyung; Liao, Zhipeng 2 2018 Testing for homogeneity in mixture models. Zbl 1393.62018Gu, Jiaying; Koenker, Roger; Volgushev, Stanislav 2 2018 Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert 2 2018 Directionally differentiable econometric models. Zbl 1400.62317Cho, Jin Seo; White, Halbert 1 2018 Identification of joint distributions in dependent factor models. Zbl 1441.62604Ben-Moshe, Dan 1 2018 Closed-form identification of dynamic discrete choice models with proxies for unobserved state variables. Zbl 1441.62746Hu, Yingyao; Sasaki, Yuya 1 2018 Determining the cointegration rank in heteroskedastic VAR models of unknown order. Zbl 1441.62228Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Robert Taylor, A. M. 1 2018 Estimation for the prediction of point processes with many covariates. Zbl 1390.62048Sancetta, Alessio 1 2018 Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance. Zbl 1406.62095Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius 1 2018 Root-\(n\) consistency of intercept estimators in a binary response model under tail restrictions. Zbl 1406.62150Tan, Lili; Zhang, Yichong 1 2018 Renorming volatilities in a family of GARCH models. Zbl 1406.62097Li, Dong; Wu, Wuqing 1 2018 Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816Moon, Hyungsik Roger; Weidner, Martin 29 2017 Efficient estimation of integrated volatility and related processes. Zbl 1442.62755Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M. 10 2017 Efficient estimation using the characteristic function. Zbl 1442.62732Carrasco, Marine; Kotchoni, Rachidi 8 2017 Testing for changes in Kendall’s tau. Zbl 1396.62202Dehling, Herold; Vogel, Daniel; Wendler, Martin; Wied, Dominik 8 2017 Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. Zbl 1396.62248Tangsgaard Varneskov, Rasmus 6 2017 Smoothed estimating equations for instrumental variables quantile regression. Zbl 1441.62768Kaplan, David M.; Sun, Yixiao 5 2017 Uniform Bahadur representation for nonparametric censored quantile regression: a redistribution-of-mass approach. Zbl 1442.62746Kong, Efang; Xia, Yingcun 5 2017 Estimating volatility functionals with multiple transactions. Zbl 1441.62755Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing 5 2017 Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models. Zbl 1441.62741Horváth, Lajos; Hušková, Marie; Rice, Gregory; Wang, Jia 5 2017 Asymptotics of diagonal elements of projection matrices under many instruments/regressors. Zbl 1441.62583Anatolyev, Stanislav; Yaskov, Pavel 5 2017 Identifying restrictions for finite parameter continuous time models with discrete time data. Zbl 1442.62731Blevins, Jason R. 5 2017 Residual-based GARCH bootstrap and second order asymptotic refinement. Zbl 1392.62265Jeong, Minsoo 5 2017 Bootstrapping pre-averaged realized volatility under market microstructure noise. Zbl 1441.62742Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour 5 2017 Adaptive Bayesian estimation of conditional densities. Zbl 1441.62095Norets, Andriy; Pati, Debdeep 5 2017 Goodness-of-fit tests for multivariate copula-based time series models. Zbl 1442.62730Berghaus, Betina; Bücher, Axel 4 2017 Specification tests for multiplicative error models. Zbl 1441.62836Perera, Indeewara; Silvapulle, Mervyn J. 4 2017 Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach. Zbl 1441.62764Kanaya, Shin 4 2017 Change point tests for the tail index of \(\beta\)-mixing random variables. Zbl 1442.62741Hoga, Yannick 4 2017 Asymptotic size of Kleibergen’s LM and conditional LR tests for moment condition models. Zbl 1442.62728Andrews, Donald W. K.; Guggenberger, Patrik 4 2017 Instrumental variables methods with heterogeneity and mismeasured instruments. Zbl 1441.62631Chalak, Karim 3 2017 On using linear quantile regressions for causal inference. Zbl 1441.62769Kato, Ryutah; Sasaki, Yuya 3 2017 Adaptive long memory testing under heteroskedasticity. Zbl 1441.62724Harris, David; Kew, Hsein 3 2017 An almost closed form estimator for the EGARCH model. Zbl 1442.62199Hafner, Christian M.; Linton, Oliver 3 2017 Semiparametric estimation of random coefficients in structural economic models. Zbl 1415.91141Hoderlein, Stefan; Nesheim, Lars; Simoni, Anna 3 2017 Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression. Zbl 1396.62077Duffy, James A. 3 2017 Higher order moments of Markov switching VARMA models. Zbl 1396.62197Cavicchioli, Maddalena 3 2017 ...and 830 more Documents all cited Publications top 5 cited Publications all top 5 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 all top 5 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. 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