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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: Indexed cover-to-cover
Documents Indexed: 1,102 Publications (since 1995)
References Indexed: 886 Publications with 26,670 References.
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Authors

44 Phillips, Peter Charles Bonest
24 Taylor, A. M. Robert
22 Linton, Oliver Bruce
16 Xiao, Zhijie
15 Horváth, Lajos
14 Leybourne, Stephen J.
13 Cavaliere, Giuseppe
13 Wang, Qiying
12 Saikkonen, Pentti
11 Gao, Jiti
11 Potscher, Benedikt M.
11 Robinson, Peter Michael
11 White, Halbert Lynn jun.
10 de Jong, Robert M.
10 Li, Qi
10 Ling, Shiqing
10 Su, Liangjun
9 Florens, Jean-Pierre
9 Hahn, Jinyong
9 Jansson, Michael
9 Lee, Lung-Fei
9 Lieberman, Offer
9 Moon, Hyungsik Roger
9 Rahbek, Anders
8 Andrews, Donald Wilfrid Kao
8 Francq, Christian
8 Hansen, Bruce E.
8 Hillier, Grant H.
8 Hong, Yongmiao
8 Johansen, Søren Glud
8 Perron, Pierre
8 Sun, Yixiao
8 Vogelsang, Timothy J.
8 Zakoïan, Jean-Michel
7 Cai, Zongwu
7 Chambers, Marcus J.
7 Chan, Ngai Hang
7 Chen, Songnian
7 Guggenberger, Patrik
7 Han, Chirok
7 Härdle, Wolfgang Karl
7 Harvey, David I.
7 Kokoszka, Piotr S.
7 Leeb, Hannes
7 Otsu, Taisuke
6 Abadir, Karim M.
6 Anatolyev, Stanislav
6 Bierens, Herman J.
6 del Barrio Castro, Tomas
6 Deo, Rohit S.
6 Forchini, Giovanni
6 Georgiev, Iliyan
6 Giraitis, Liudas
6 Kristensen, Dennis
6 Mammen, Enno
6 Rodrigues, Paulo M. M.
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 Baltagi, Badi H.
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 Hsiao, Cheng
5 Inoue, Atsushi
5 Leipus, Remigijus
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 Politis, Dimitris Nicolas
5 Sasaki, Yuya
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
4 Escanciano, Juan Carlos
4 Ghysels, Eric
4 Gonçalves, Sílvia
4 Guerre, Emmanuel
4 Hoderlein, Stefan G. N.
...and 828 more Authors

Publications by Year

Citations contained in zbMATH Open

902 Publications have been cited 8,491 times in 5,743 Documents Cited by Year
Mixing and moment properties of various GARCH and stochastic volatility models. Zbl 1181.62125
Carrasco, Marine; Chen, Xiaohong
161
2002
Model selection and inference: facts and fiction. Zbl 1085.62004
Leeb, Hannes; Pötscher, Benedikt M.
108
2005
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
106
2008
A new asymptotic theory for heteroskedasticity - autocorrelation robust tests. Zbl 1082.62040
Kiefer, Nicholas M.; Vogelsang, Timothy J.
89
2005
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
80
2000
Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Zbl 1401.62171
Masry, E.; Tjøstheim, D.
73
1995
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
72
2005
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
68
2004
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
67
1999
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
63
2009
Generalization of GMM to a continuum of moment conditions. Zbl 0968.62028
Carrasco, Marine; Florens, Jean-Pierre
60
2000
Regression quantiles for time series. Zbl 1181.62124
Cai, Zongwu
58
2002
Asymptotic distributions for two estimators of the single-index model. Zbl 1170.62323
Xia, Yingcun
58
2006
Asymptotic inference for nonstationary GARCH. Zbl 1069.62067
Jensen, Søren Tolver; Rahbek, Anders
57
2004
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
53
2002
The generalized dynamic factor model: representation theory. Zbl 1181.62189
Forni, Mario; Lippi, Marco
50
2001
A consistent diagnostic test for regression models using projections. Zbl 1170.62318
Escanciano, J. Carlos
49
2006
The nonstationary fractional unit root. Zbl 0985.62073
Tanaka, Katsuto
48
1999
Consistent model specification tests. (Kernel-based tests versus Bierens’ ICM tests). Zbl 1180.62071
Fan, Yanqin; Li, Qi
46
2000
The FDH estimator for productivity efficiency scores. Zbl 0967.62102
Park, B. U.; Simar, L.; Weiner, Ch.
44
2000
Nonparametric estimation and testing of interaction in additive models. Zbl 1109.62310
Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian
43
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.
43
2000
A single-index quantile regression model and its estimation. Zbl 1419.62090
Kong, Efang; Xia, Yingcun
43
2012
The size distortion of bootstrap tests. Zbl 0963.62025
Davidson, Russell; MacKinnon, James G.
41
1999
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. Zbl 1272.62033
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert
41
2013
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
41
2009
Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models. Zbl 1109.62339
Lee, Lung-Fei
40
2002
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Zbl 1033.62081
Kiefer, Nicholas M.; Vogelsang, Timothy J.
40
2002
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
40
2006
Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
40
2010
Bias reduction for dynamic nonlinear panel models with fixed effects. Zbl 1442.62739
Hahn, Jinyong; Kuersteiner, Guido
39
2011
Nonparametric frontier estimation: a conditional quantile-based approach. Zbl 1062.62252
Aragon, Y.; Daouia, A.; Thomas-Agnan, C.
39
2005
Efficient semiparametric estimation of a partially linear quantile regression model. Zbl 1031.62034
Lee, Sokbae
37
2003
Nonparametric significance testing. Zbl 0968.62047
Lavergne, Pascal; Vuong, Quang
37
2000
Testing for distributional change in time series. Zbl 0976.62088
Inoue, Atsushi
36
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
36
2010
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
36
2005
The finite-sample distribution of post-model-selection estimators and uniform versus nonuniform approximations. Zbl 1032.62011
Leeb, Hannes; Pötscher, Benedikt M.
35
2003
Generalized empirical likelihood estimators and tests under partial, weak, and strong identification. Zbl 1083.62086
Guggenberger, Patrik; Smith, Richard J.
35
2005
Nonparametric estimation of varying coefficient dynamic panel data models. Zbl 1284.62209
Cai, Zongwu; Li, Qi
34
2008
Smoothed empirical likelihood methods for quantile regression models. Zbl 1138.62017
Whang, Yoon-Jae
33
2006
Nonparametric filtering of the realized spot volatility: a kernel-based approach. Zbl 1183.91189
Kristensen, Dennis
33
2010
Weak dependence: models and applications to econometrics. Zbl 1069.62070
Nze, Patrick Ango; Doukhan, Paul
33
2004
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
33
2004
Edgeworth expansions for spectral density estimates and studentized sample mean. Zbl 1018.62013
Velasco, Carlos; Robinson, Peter M.
32
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.
32
2001
Monitoring structural changes with the generalized fluctuation test. Zbl 0967.62067
Leisch, Friedrich; Hornik, Kurt; Kuan, Chung-Ming
32
2000
Bootstrap inference in semiparametric generalized additive models. Zbl 1072.62034
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan
32
2004
Asymptotics and consistent bootstraps for DEA estimators in nonparametric frontier models. Zbl 1231.62077
Kneip, Alois; Simar, Léopold; Wilson, Paul W.
31
2008
Opening the black box: structural factor models with large cross sections. Zbl 1284.91446
Forni, Mario; Giannone, Domenico; Lippi, Marco; Reichlin, Lucrezia
31
2009
The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes. Zbl 0981.60027
de Jong, Robert M.; Davidson, James
30
2000
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
30
2006
On rate optimality for ill-posed inverse problems in econometrics. Zbl 1218.62028
Chen, Xiaohong; Reiss, Markus
30
2011
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
30
2009
Empirical likelihood for GARCH models. Zbl 1125.62097
Chan, Ngai Hang; Ling, Shiqing
29
2006
An invariance principle for sieve bootstrap in time series. Zbl 1109.62346
Park, Joon Y.
28
2002
Lasso-type GMM estimator. Zbl 1231.62028
Caner, Mehmet
28
2009
Test of rank. Zbl 0957.62047
Robin, Jean-Marc; Smith, Richard J.
28
2000
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Zbl 1059.62123
Pedroni, Peter
28
2004
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098
Cavaliere, Giuseppe; Taylor, A. M. Robert
28
2008
A nonparametric Hellinger metric test for conditional independence. Zbl 1284.62285
Su, Liangjun; White, Halbert
28
2008
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
27
2004
Adaptive testing in continuous-time diffusion models. Zbl 1071.62068
Gao, Jiti; King, Maxwell
27
2004
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
27
2017
Can one estimate the unconditional distribution of post-model-selection estimators? Zbl 1284.62152
Leeb, Hannes; Pötscher, Benedikt M.
27
2008
Whittle estimation of ARCH models. Zbl 1051.62074
Giraitis, Liudas; Robinson, Peter M.
26
2001
The bootstrap of the mean for dependent heterogeneous arrays. Zbl 1181.62056
Gonçalves, Sílvia; White, Halbert
26
2002
Asymptotics of spectral density estimates. Zbl 1294.62077
Liu, Weidong; Wu, Wei Biao
26
2010
Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
26
1999
Testing homogeneity in panel data models with interactive fixed effects. Zbl 1290.62088
Su, Liangjun; Chen, Qihui
26
2013
Efficient estimation of generalized additive nonparametric regression models. Zbl 0963.62037
Linton, Oliver B.
25
2000
Nonparametric regression in the presence of measurement error. Zbl 1069.62037
Schennach, Susanne M.
25
2004
A functional version of the ARCH model. Zbl 1271.62204
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron
25
2013
Consistent covariance matrix estimation for linear processes. Zbl 1039.62080
Jansson, Michael
24
2002
Structural change in AR(1) models. Zbl 1009.62073
Chong, Terence Tai-Leung
24
2001
Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices. Zbl 1219.62144
Politis, Dimitris N.
24
2011
A statistical analysis of cointegration for \(I(2)\) variables. Zbl 1274.62597
Johansen, S.
24
1995
Heteroskedastic time series with a unit root. Zbl 1284.62546
Cavaliere, Giuseppe; Taylor, A. M. Robert
24
2009
Efficient regressions via optimally combining quantile information. Zbl 1314.62151
Zhao, Zhibiao; Xiao, Zhijie
23
2014
Empirical characteristic function in time series estimation. Zbl 1109.62337
Knight, John L.; Yu, Jun
23
2002
Optimal minimax rates for nonparametric specificaton testing in regression models. Zbl 1033.62042
Guerre, Emmanuel; Lavergne, Pascal
23
2002
Identifying the Brownian covariation from the co-jumps given discrete observations. Zbl 1298.91167
Mancini, Cecilia; Gobbi, Fabio
23
2012
Weighted least absolute deviations estimation for ARMA models with infinite variance. Zbl 1237.62122
Pan, Jiazhu; Wang, Hui; Yao, Qiwei
23
2007
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
23
2003
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
23
2011
Nonparametric specification testing for nonlinear time series with nonstationarity. Zbl 1179.62055
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag
23
2009
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
23
2009
Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. Zbl 1181.62140
Linton, Oliver; Pan, Jiazhu; Wang, Hui
22
2010
Non-Gaussian log-periodogram regression. Zbl 0945.62091
Velasco, Carlos
22
2000
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
22
2008
On the lack of power of omnibus specification tests. Zbl 1231.62079
Escanciano, J. Carlos
21
2009
Consistent specification testing with nuisance parameters present only under the alternative. Zbl 1419.62105
Stinchcombe, M. B.; White, Halbert
21
1998
Bayesian regression analysis with scale mixtures of normals. Zbl 0945.62031
Fernández, Carmen; Steel, Mark F. J.
21
2000
Uniform convergence rates of kernel estimators with heterogeneous dependent data. Zbl 1286.62031
Kristensen, Dennis
21
2009
Nonparametric additive models for panels of time series. Zbl 1279.62189
Mammen, Enno; Støve, Bård; Tjøstheim, Dag
21
2009
Testing for zero autocorrelation in the presence of statistical dependence. Zbl 1109.62341
Lobato, I. N.; Nankervis, John C.; Savin, N. E.
20
2002
Asymptotics of the QMLE for a class of ARCH(\(q\)) models. Zbl 1081.62065
Kristensen, Dennis; Rahbek, Anders
20
2005
Asymptotic theory for zero energy functionals with nonparametric regression applications. Zbl 1210.62126
Wang, Qiying; Phillips, Peter C. B.
20
2011
Cauchy estimators for autoregressive processes with applications to unit root tests and confidence intervals. Zbl 0985.62072
So, Beong Soo; Shin, Dong Wan
20
1999
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
20
2005
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
2
2020
Identifying latent grouped patterns in cointegrated panels. Zbl 1440.62045
Huang, Wenxin; Jin, Sainan; Su, Liangjun
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
Likelihood inference on semiparametric models with generated regressors. Zbl 1447.62037
Matsushita, Yukitoshi; Otsu, Taisuke
1
2020
A new multilevel modeling approach for clustered survival data. Zbl 1447.62076
Xu, Jinfeng; Yue, Mu; Zhang, Wenyang
1
2020
QML inference for volatility models with covariates. Zbl 1415.62078
Francq, Christian; Thieu, Le Quyen
8
2019
Estimation of a semiparametric transformation model in the presence of endogeneity. Zbl 1415.62155
Vanhems, Anne; van Keilegom, Ingrid
6
2019
Inference after model averaging in linear regression models. Zbl 1420.62300
Zhang, Xinyu; Liu, Chu-An
5
2019
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. Zbl 1415.62009
Xiao, Weilin; Yu, Jun
5
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.
3
2019
Testing regression monotonicity in econometric models. Zbl 1420.62480
Chetverikov, Denis
3
2019
Inference for option panels in pure-jump settings. Zbl 1432.62356
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor; Varneskov, Rasmus T.
2
2019
A local Gaussian bootstrap method for realized volatility and realized beta. Zbl 1428.62499
Hounyo, Ulrich
2
2019
Detecting financial data dependence structure by averaging mixture copulas. Zbl 1420.62445
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi
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
Testing GARCH-X type models. Zbl 1432.62310
Pedersen, Rasmus Søndergaard; Rahbek, Anders
1
2019
Properties of doubly robust estimators when nuisance functions are estimated nonparametrically. Zbl 1432.62079
Rothe, Christoph; Firpo, Sergio
1
2019
Estimation of spatial autoregressions with stochastic weight matrices. Zbl 1427.62112
Gupta, Abhimanyu
1
2019
The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications. Zbl 1419.62509
Hansen, Christian; Liao, Yuan
1
2019
A simple iterative Z-estimator for semiparametric models. Zbl 1415.62019
Frazier, David T.
1
2019
On the functional estimation of multivariate diffusion processes. Zbl 1393.62036
Bandi, Federico M.; Moloche, Guillermo
13
2018
Adaptive tests of conditional moment inequalities. Zbl 1441.62105
Chetverikov, Denis
13
2018
Alternative asymptotics and the partially linear model with many regressors. Zbl 1441.62630
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K.
10
2018
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
5
2018
Nonparametric identification using instrumental variables: sufficient conditions for completeness. Zbl 1390.62061
Hu, Yingyao; Shiu, Ji-Liang
4
2018
Testing for a general class of functional inequalities. Zbl 1400.62096
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-Jae
4
2018
Exact likelihood inference in group interaction network models. Zbl 1441.62731
Hillier, Grant; Martellosio, Federico
4
2018
Nonparametric instrumental regression with errors in variables. Zbl 1406.62032
Adusumilli, Karun; Otsu, Taisuke
3
2018
On nonparametric inference in the regression discontinuity design. Zbl 1390.62073
Kamat, Vishal
3
2018
Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. Zbl 1393.62037
Dong, Chaohua; Gao, Jiti
3
2018
Characteristic function based testing for conditional independence: a nonparametric regression approach. Zbl 1393.62019
Wang, Xia; Hong, Yongmiao
3
2018
Asymptotic theory for spectral density estimates of general multivariate time series. Zbl 1441.62244
Wu, Wei Biao; Zaffaroni, Paolo
3
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
3
2018
Block bootstrap consistency under weak assumptions. Zbl 1406.62091
Calhoun, Gray
2
2018
The linear systems approach to linear rational expectations models. Zbl 1390.62331
Al-Sadoon, Majid M.
2
2018
On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128
Lee, Ji Hyung; Liao, Zhipeng
2
2018
Testing for homogeneity in mixture models. Zbl 1393.62018
Gu, Jiaying; Koenker, Roger; Volgushev, Stanislav
2
2018
Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems. Zbl 1400.62180
Hwang, Jungbin; Sun, Yixiao
2
2018
Structural change in nonstationary \(\mathrm{AR}(1)\) models. Zbl 1400.62192
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling
2
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
2
2018
A general double robustness result for estimating average treatment effects. Zbl 1441.62087
Słoczyński, Tymon; Wooldridge, Jeffrey M.
2
2018
Dynamic panel Anderson-Hsiao estimation with roots near unity. Zbl 1441.62840
Phillips, Peter C. B.
2
2018
Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance. Zbl 1406.62095
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius
1
2018
Root-\(n\) consistency of intercept estimators in a binary response model under tail restrictions. Zbl 1406.62150
Tan, Lili; Zhang, Yichong
1
2018
Nonparametric stochastic volatility. Zbl 1406.62109
Bandi, Federico M.; Renò, Roberto
1
2018
Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027
Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert
1
2018
Renorming volatilities in a family of GARCH models. Zbl 1406.62097
Li, Dong; Wu, Wuqing
1
2018
Directionally differentiable econometric models. Zbl 1400.62317
Cho, Jin Seo; White, Halbert
1
2018
Closed-form identification of dynamic discrete choice models with proxies for unobserved state variables. Zbl 1441.62746
Hu, Yingyao; Sasaki, Yuya
1
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
1
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.
1
2018
Dynamic linear panel regression models with interactive fixed effects. Zbl 1441.62816
Moon, Hyungsik Roger; Weidner, Martin
27
2017
Efficient estimation of integrated volatility and related processes. Zbl 1442.62755
Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M.
8
2017
Efficient estimation using the characteristic function. Zbl 1442.62732
Carrasco, Marine; Kotchoni, Rachidi
6
2017
Asymptotics of diagonal elements of projection matrices under many instruments/regressors. Zbl 1441.62583
Anatolyev, Stanislav; Yaskov, Pavel
5
2017
Bootstrapping pre-averaged realized volatility under market microstructure noise. Zbl 1441.62742
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
5
2017
Testing for changes in Kendall’s tau. Zbl 1396.62202
Dehling, Herold; Vogel, Daniel; Wendler, Martin; Wied, Dominik
5
2017
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. Zbl 1396.62248
Tangsgaard Varneskov, Rasmus
5
2017
Estimating volatility functionals with multiple transactions. Zbl 1441.62755
Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing
5
2017
Smoothed estimating equations for instrumental variables quantile regression. Zbl 1441.62768
Kaplan, David M.; Sun, Yixiao
5
2017
Uniform Bahadur representation for nonparametric censored quantile regression: a redistribution-of-mass approach. Zbl 1442.62746
Kong, Efang; Xia, Yingcun
5
2017
Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach. Zbl 1441.62764
Kanaya, Shin
4
2017
Adaptive Bayesian estimation of conditional densities. Zbl 1441.62095
Norets, Andriy; Pati, Debdeep
4
2017
Asymptotic size of Kleibergen’s LM and conditional LR tests for moment condition models. Zbl 1442.62728
Andrews, Donald W. K.; Guggenberger, Patrik
4
2017
Specification tests for multiplicative error models. Zbl 1441.62836
Perera, Indeewara; Silvapulle, Mervyn J.
4
2017
Identifying restrictions for finite parameter continuous time models with discrete time data. Zbl 1442.62731
Blevins, Jason R.
3
2017
Adaptive long memory testing under heteroskedasticity. Zbl 1441.62724
Harris, David; Kew, Hsein
3
2017
An almost closed form estimator for the EGARCH model. Zbl 1442.62199
Hafner, Christian M.; Linton, Oliver
3
2017
Goodness-of-fit tests for multivariate copula-based time series models. Zbl 1442.62730
Berghaus, Betina; Bücher, Axel
3
2017
Instrumental variables methods with heterogeneity and mismeasured instruments. Zbl 1441.62631
Chalak, Karim
3
2017
Identification of discrete choice dynamic programming models with nonparametric distribution of unobservables. Zbl 1441.62638
Chen, Le-Yu
2
2017
Inference on two-component mixtures under tail restrictions. Zbl 1441.62756
Jochmans, Koen; Henry, Marc; Salanié, Bernard
2
2017
On using linear quantile regressions for causal inference. Zbl 1441.62769
Kato, Ryutah; Sasaki, Yuya
2
2017
Residual-based GARCH bootstrap and second order asymptotic refinement. Zbl 1392.62265
Jeong, Minsoo
2
2017
Nonparametric estimation of semiparametric transformation models. Zbl 1441.62687
Florens, Jean-Pierre; Sokullu, Senay
2
2017
Identification of paired nonseparable measurement error models. Zbl 1441.62745
Hu, Yingyao; Sasaki, Yuya
2
2017
A note on generalized empirical likelihood estimation of semiparametric conditional moment restriction models. Zbl 1442.62073
Sueishi, Naoya
2
2017
Semiparametric estimation of random coefficients in structural economic models. Zbl 1415.91141
Hoderlein, Stefan; Nesheim, Lars; Simoni, Anna
2
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
2
2017
Identification and inference on regressions with missing covariate data. Zbl 1441.62595
Aucejo, Esteban M.; Bugni, Federico A.; Hotz, V. Joseph
2
2017
On the stationarity of dynamic conditional correlation models. Zbl 1442.62738
Fermanian, Jean-David; Malongo, Hassan
1
2017
Weak diffusion limits of dynamic conditional correlation models. Zbl 1441.62712
Hafner, Christian M.; Laurent, Sebastien; Violante, Francesco
1
2017
Complementarity and identification. Zbl 1441.62895
Twinam, Tate
1
2017
Asymptotically efficient estimation of weighted average derivatives with an interval censored variable. Zbl 1442.62744
Kaido, Hiroaki
1
2017
Robust forecast comparison. Zbl 1396.62220
Jin, Sainan; Corradi, Valentina; Swanson, Norman R.
1
2017
Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression. Zbl 1396.62077
Duffy, James A.
1
2017
Integrated score estimation. Zbl 1396.62089
Jun, Sung Jae; Pinkse, Joris; Wan, Yuanyuan
1
2017
Higher order moments of Markov switching VARMA models. Zbl 1396.62197
Cavicchioli, Maddalena
1
2017
Granger causality and structural causality in cross-section and panel data. Zbl 1441.62804
Lu, Xun; Su, Liangjun; White, Halbert
1
2017
Semiparametric estimation with generated covariates. Zbl 1441.62808
Mammen, Enno; Rothe, Christoph; Schienle, Melanie
14
2016
Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators. Zbl 1441.62612
Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B.; Vogelsang, Timothy J.
12
2016
Nonparametric cointegrating regression with endogeneity and long memory. Zbl 1442.62758
Wang, Qiying; Phillips, Peter C. B.
12
2016
Estimation of stochastic volatility models by nonparametric filtering. Zbl 1441.62766
Kanaya, Shin; Kristensen, Dennis
9
2016
Shrinkage estimation of regression models with multiple structural changes. Zbl 1385.62018
Qian, Junhui; Su, Liangjun
8
2016
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Zbl 1441.62779
Koike, Yuta
8
2016
Regularizing priors for linear inverse problems. Zbl 1441.62686
Florens, Jean-Pierre; Simoni, Anna
8
2016
A flexible nonparametric test for conditional independence. Zbl 1385.62015
Huang, Meng; Sun, Yixiao; White, Halbert
7
2016
Adaptive estimation of functionals in nonparametric instrumental regression. Zbl 1441.62616
Breunig, Christoph; Johannes, Jan
7
2016
Asymptotic theory for nonlinear quantile regression under weak dependence. Zbl 1441.62822
Oberhofer, Walter; Haupt, Harry
7
2016
On size and power of heteroskedasticity and autocorrelation robust tests. Zbl 1441.62844
Preinerstorfer, David; Pötscher, Benedikt M.
7
2016
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Cited by 5,360 Authors

77 Phillips, Peter Charles Bonest
50 McAleer, Michael
49 Taylor, A. M. Robert
42 Horváth, Lajos
42 Linton, Oliver Bruce
40 Su, Liangjun
39 Simar, Léopold
35 Gao, Jiti
33 Li, Qi
30 Cavaliere, Giuseppe
30 Shin, Dongwan
29 Van Keilegom, Ingrid
28 Cai, Zongwu
28 Robinson, Peter Michael
26 Leybourne, Stephen J.
26 Politis, Dimitris Nicolas
25 Härdle, Wolfgang Karl
25 Lee, Sangyeol
25 Park, Joon Y.
25 Zhu, Lixing
24 Chen, Xiaohong
23 Fan, Yanqin
23 Hallin, Marc
23 Saikkonen, Pentti
23 Tjøstheim, Dag B.
22 Florens, Jean-Pierre
22 Francq, Christian
22 Ling, Shiqing
22 Mammen, Enno
22 Nielsen, Morten Ørregaard
22 Sun, Yixiao
22 Surgailis, Donatas
22 Xiao, Zhijie
21 Chan, Ngai Hang
21 Lu, Zudi
21 Zakoïan, Jean-Michel
20 Lee, Lung-Fei
19 Escanciano, Juan Carlos
19 Hassler, Uwe
19 Li, Degui
19 Peng, Liang
19 Perron, Pierre
19 Rahbek, Anders
19 Velasco, Carlos I. Hoyos
18 Aue, Alexander
18 Chambers, Marcus J.
18 Corradi, Valentina
18 Dette, Holger
18 Hsiao, Cheng
18 Kokoszka, Piotr S.
18 Kristensen, Dennis
18 Liang, Hua
18 Meintanis, Simos G.
18 Shao, Xiaofeng
18 Wang, Qiying
17 Andrews, Donald Wilfrid Kao
17 Harvey, David I.
17 Hwang, Eunju
17 Lian, Heng
17 Vogelsang, Timothy J.
17 White, Halbert Lynn jun.
17 Wu, Wei Biao
16 Giraitis, Liudas
16 Guggenberger, Patrik
16 Hong, Yongmiao
16 Lieberman, Offer
16 McElroy, Tucker S.
16 Potscher, Benedikt M.
16 Sperlich, Stefan
16 Swanson, Norman Rasmus
16 Westerlund, Joakim
16 Yang, Lijian
15 Demetrescu, Matei
15 Galvao, Antonio F. jun.
15 Johansen, Søren Glud
15 Kapetanios, George
15 Kurozumi, Eiji
15 Lütkepohl, Helmut
15 You, Jinhong
15 Zhang, Rongmao
14 Fan, Jianqing
14 Gil-Alana, Luis Alberiko
14 Gonçalves, Sílvia
14 Hall, Peter Gavin
14 Horowitz, Joel L.
14 Jiménez-Gamero, María Dolores
14 Lin, Zhengyan
14 Otsu, Taisuke
14 Renault, Eric
14 Tian, Yongge
14 Ullah, Aman
14 Zhang, Xinyu
13 Asai, Manabu
13 Bouezmarni, Taoufik
13 Bravo, Francesco
13 Doukhan, Paul
13 Gourieroux, Christian
13 Hušková, Marie
13 Koul, Hira Lal
13 Moon, Hyungsik Roger
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Cited in 265 Journals

1,176 Journal of Econometrics
548 Econometric Theory
242 Journal of Time Series Analysis
211 Computational Statistics and Data Analysis
210 Economics Letters
184 Journal of Multivariate Analysis
173 The Annals of Statistics
161 Communications in Statistics. Theory and Methods
151 Statistics & Probability Letters
147 Journal of Statistical Planning and Inference
145 Econometric Reviews
107 The Econometrics Journal
107 Electronic Journal of Statistics
99 Journal of Nonparametric Statistics
86 Journal of Statistical Computation and Simulation
82 Bernoulli
75 Statistical Papers
73 Annals of the Institute of Statistical Mathematics
64 Communications in Statistics. Simulation and Computation
59 Quantitative Finance
58 European Journal of Operational Research
56 Scandinavian Journal of Statistics
54 Mathematics and Computers in Simulation
52 Statistics
52 Stochastic Processes and their Applications
51 Journal of the American Statistical Association
51 Test
40 Metrika
37 Computational Statistics
34 Journal of the Korean Statistical Society
32 Journal of Economic Dynamics & Control
32 Journal of Time Series Econometrics
31 AStA. Advances in Statistical Analysis
30 Statistical Methods and Applications
29 Journal of Applied Statistics
28 Statistical Inference for Stochastic Processes
25 Statistics and Computing
23 Statistical Science
20 Mathematical Methods of Statistics
19 The Canadian Journal of Statistics
19 Acta Mathematicae Applicatae Sinica. English Series
18 Lithuanian Mathematical Journal
18 Insurance Mathematics & Economics
18 Journal of Econometric Methods
15 Economic Theory
15 Science China. Mathematics
14 Journal of Theoretical Probability
14 Computational Economics
13 Biometrics
13 Annals of Operations Research
13 Journal of the Royal Statistical Society. Series B. Statistical Methodology
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11 Sequential Analysis
11 Extremes
11 Acta Mathematica Sinica. English Series
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11 The Annals of Applied Statistics
11 Annals of Finance
11 Bayesian Analysis
10 Psychometrika
10 Open Economies Review
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 Applied Mathematics. Series B (English Edition)
9 Statistica Sinica
9 Brazilian Journal of Probability and Statistics
8 Advances in Applied Probability
8 Methodology and Computing in Applied Probability
8 Dependence Modeling
7 Automatica
7 Kybernetika
7 The Annals of Applied Probability
7 Studies in Nonlinear Dynamics and Econometrics
7 Australian & New Zealand Journal of Statistics
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 Comptes Rendus. Mathématique. Académie des Sciences, Paris
6 ASTIN Bulletin
6 Asia-Pacific Financial Markets
5 The Journal of Mathematical Sociology
5 Operations Research
5 Mathematical and Computer Modelling
5 Abstract and Applied Analysis
5 Macroeconomic Dynamics
5 Journal of Economic Growth
5 AStA. Allgemeines Statistisches Archiv
5 Statistical Modelling
5 Journal of Machine Learning Research (JMLR)
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Cited in 39 Fields

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