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Econometric Theory

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ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

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Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira L. Koul

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000182 (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES

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Matias D. Cattaneo, Richard K. Crump and Michael Jansson

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000169 (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS

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Tomás del Barrio Castro, Paulo M.M. Rodrigues and A.M. Robert Taylor

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000066 (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY

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Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S026646661300011X (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS

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Zhijie Xiao

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000133 (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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NONPARAMETRIC NONSTATIONARITY TESTS NONPARAMETRIC NONSTATIONARITY TESTS

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Federico M. Bandi and Valentina Corradi

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000145 (About DOI), Published online: Tue Aug 20 00:00:00 BST 2013

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EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS

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Giuseppe Cavaliere and Iliyan Georgiev

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000030 (About DOI), Published online: Tue Aug 13 00:00:00 BST 2013

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ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

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Peter R. Hansen and Asger Lunde

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000121 (About DOI), Published online: Thu Aug 08 00:00:00 BST 2013

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TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS

false

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Liangjun Su and Qihui Chen

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000017 (About DOI), Published online: Wed Aug 07 00:00:00 BST 2013

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GENERALIZED ADDITIVE PARTIAL LINEAR MODELS WITH HIGH-DIMENSIONAL COVARIATES GENERALIZED ADDITIVE PARTIAL LINEAR MODELS WITH HIGH-DIMENSIONAL COVARIATES

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Heng Lian and Hua Liang

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000029 (About DOI), Published online: Wed Aug 07 00:00:00 BST 2013

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MEASUREMENT ERRORS IN DYNAMIC MODELS MEASUREMENT ERRORS IN DYNAMIC MODELS

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Ivana Komunjer and Serena Ng

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000157 (About DOI), Published online: Wed Aug 07 00:00:00 BST 2013

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MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS

false

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Adam McCloskey and Pierre Perron

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000042 (About DOI), Published online: Wed Aug 07 00:00:00 BST 2013

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X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION

false

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Chirok Han, Peter C. B. Phillips and Donggyu Sul

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000170 (About DOI), Published online: Wed Aug 07 00:00:00 BST 2013

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SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION

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Peter C.B. Phillips and Jun Yu

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000108 (About DOI), Published online: Tue Aug 06 00:00:00 BST 2013

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TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

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Dennis Kristensen and Anders Rahbek

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466613000054 (About DOI), Published online: Tue Aug 06 00:00:00 BST 2013

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ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION

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Zhipeng Liao

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000783 (About DOI), Published online: Mon Feb 25 00:00:00 GMT 2013

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GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS

false

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Efang Kong, Oliver Linton and Yingcun Xia

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000813 (About DOI), Published online: Mon Feb 25 00:00:00 GMT 2013

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EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

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Gubhinder Kundhi and Paul Rilstone

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000837 (About DOI), Published online: Mon Feb 25 00:00:00 GMT 2013

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NONPARAMETRIC IDENTIFICATION OF ACCELERATED FAILURE TIME COMPETING RISKS MODELS NONPARAMETRIC IDENTIFICATION OF ACCELERATED FAILURE TIME COMPETING RISKS MODELS

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Sokbae Lee and Arthur Lewbel

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000795 (About DOI), Published online: Thu Feb 21 00:00:00 GMT 2013

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A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERS A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERS

false

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Thomas Parker

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000825 (About DOI), Published online: Thu Feb 21 00:00:00 GMT 2013

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TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

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Ngai Hang Chan, Deyuan Li, Liang Peng and Rongmao Zhang

Econometric Theory / FirstView Articles

DOI: http://dx.doi.org/10.1017/S0266466612000801 (About DOI), Published online: Thu Feb 21 00:00:00 GMT 2013

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Econometric Theory

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