Econometric Theory

Article	Citations
ECT volume 39 issue 1 Cover and Back matter	19
ECT volume 39 issue 5 Cover and Front matter	15
SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION	12
CAN PRINCIPAL COMPONENT ANALYSIS PRESERVE THE SPARSITY IN FACTOR LOADINGS?	11
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY	10
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS	8
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA	6
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS	6
CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE	6
A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES	6
NONPARAMETRIC PREDICTION WITH SPATIAL DATA	6
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS	5
IDENTIFICATION-ROBUST TWO-STAGE BOOTSTRAP TESTS WITH PRETESTING FOR EXOGENEITY	5
IS COMPLETENESS NECESSARY? ESTIMATION IN NONIDENTIFIED LINEAR MODELS	4
ROBUST ESTIMATION FOR THE SPATIAL AUTOREGRESSIVE MODEL	4
THE ECONOMETRIC THEORY AWARDS 2023	4
TESTING FOR COEFFICIENT RANDOMNESS IN LOCAL-TO-UNITY AUTOREGRESSIONS	4
AVERAGING ESTIMATORS OF HETEROGENEOUS TREATMENT EFFECTS UNDER ADDITIVE MODELS	4
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS	4
NEW ASYMPTOTICS APPLIED TO FUNCTIONAL COEFFICIENT REGRESSION AND CLIMATE SENSITIVITY ANALYSIS	4
WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION	3
FASTER UNIFORM CONVERGENCE RATES FOR DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS	3
HIGHER-ORDER APPROXIMATION FOR UNCERTAINTY QUANTIFICATION IN TIME-SERIES ANALYSIS	3
THE ECONOMETRIC THEORY INTERVIEW: PROFESSOR MARCO LIPPI	3
INFERENCE IN MEDIAN AR MODELS WITH NONSTATIONARY AND HEAVY-TAILED HETEROSKEDASTIC NOISES	3

NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER	3
DIRECTION IDENTIFICATION AND MINIMAX ESTIMATION IN HIGH-DIMENSIONAL SPARSE REGRESSION VIA A GENERALIZED EIGENVALUE APPROACH	3
OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION	2
GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS	2
SLOW MOVERS IN PANEL DATA	2
A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES	2
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS – ADDENDUM	2
PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA	2
VALID HETEROSKEDASTICITY ROBUST TESTING	2
ALGORITHMIC SUBSAMPLING UNDER MULTIWAY CLUSTERING	2
IDENTIFICATION AND STATISTICAL DECISION THEORY	2
ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES	2
ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES	2
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY	2
BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION	2
HIGHER-ORDER APPROXIMATION OF IV ESTIMATORS WITH INVALID INSTRUMENTS	2
ECT volume 38 issue 5 Cover and Back matter	2
TIME-VARYING COMPLETE SUBSET AVERAGING IN A DATA-RICH ENVIRONMENT	2
SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES	2
ECT volume 39 issue 4 Cover and Back matter	2
THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS	2
INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS	2
EXTENDING ECONOMIC MODELS WITH TESTABLE ASSUMPTIONS: THEORY AND APPLICATIONS	2
WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS	1
RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM	1
THE ET INTERVIEW: PROFESSOR PETER SCHMIDT	1
GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER	1
ECT volume 38 issue 3 Cover and Front matter	1
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS	1
ECT volume 39 issue 6 Cover and Front matter	1
ECT volume 38 issue 4 Cover and Back matter	1
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION	1
ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS WITH KERNEL SPOT VOLATILITY ESTIMATORS	1
SEMIPARAMETRIC ESTIMATION OF QUANTILE REGRESSION WITH BINARY QUANTILE SELECTION	1
THE LOCAL PROJECTION RESIDUAL BOOTSTRAP FOR AR(1) MODELS	1
HIGH-DIMENSIONAL NEWEY–POWELL TEST VIA APPROXIMATE MESSAGE PASSING	1
TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS	1
A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK	1
A NOTE ON MINIMAX REGRET RULES WITH MULTIPLE TREATMENTS IN FINITE SAMPLES	1
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS	1
TESTING FOR ANTICIPATED CHANGES IN SPOT VOLATILITY AT EVENT TIMES	1
INSTRUMENTAL VARIABLES ESTIMATION FOR INFINITE ORDER PANEL AUTOREGRESSIVE PROCESSES	1
A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS	1
ECT volume 38 issue 3 Cover and Back matter	1
EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION	1
THEORY OF LOW FREQUENCY CONTAMINATION FROM NONSTATIONARITY AND MISSPECIFICATION: CONSEQUENCES FOR HAR INFERENCE	1
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2021–2023	1
THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS	1
NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF A GENERALIZED ADDITIVE MODEL WITH A FLEXIBLE ADDITIVE STRUCTURE AND UNKNOWN LINK	1
ARE UNOBSERVABLES SEPARABLE?	1

A NONPARAMETRIC TEST OF HETEROGENEITY IN CONDITIONAL QUANTILE TREATMENT EFFECTS	1
INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY	1
ECT volume 39 issue 1 Cover and Front matter	1
CONDITIONAL LIKELIHOOD RATIO TEST WITH MANY WEAK INSTRUMENTS	1
MODEL AVERAGING FOR TREATMENT EFFECT ESTIMATION WITH HETEROGENEITY AND HETEROSKEDASTICITY	1
ON GMM INFERENCE: PARTIAL IDENTIFICATION, IDENTIFICATION STRENGTH, AND NONSTANDARD ASYMPTOTICS	1
TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION—CORRIGENDUM	1
RANDOMIZED TESTING FOR JUMP DETECTION	1
SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY	0
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY	0
AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS	0
THIS SHOCK IS DIFFERENT: ESTIMATION AND INFERENCE IN MISSPECIFIED TWO-WAY FIXED EFFECTS PANEL REGRESSIONS	0
INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS	0
ANALYSIS OF GLOBAL AND LOCAL OPTIMA OF REGULARIZED QUANTILE REGRESSION IN HIGH DIMENSIONS: A SUBGRADIENT APPROACH	0
COINTEGRATING POLYNOMIAL REGRESSIONS: ROBUSTNESS OF FULLY MODIFIED OLS	0
ECT volume 39 issue 5 Cover and Back matter	0
RELEVANT MOMENT SELECTION UNDER MIXED IDENTIFICATION STRENGTH	0
REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS	0
GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS	0
THE ECONOMETRIC THEORY AWARDS 2024	0
ECT volume 38 issue 5 Cover and Front matter	0
A POWERFUL SUBVECTOR ANDERSON–RUBIN TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY	0
NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS	0
SWITCHING REGIME INTEGER AUTOREGRESSIONS	0
ECT volume 39 issue 6 Cover and Back matter	0
KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING	0
UNIFORM CONVERGENCE RATES FOR NONPARAMETRIC ESTIMATORS OF A DENSITY FUNCTION AND ITS DERIVATIVES WHEN THE DENSITY HAS A KNOWN POLE	0
PARAMETERS ON THE BOUNDARY IN PREDICTIVE REGRESSION	0
ECT volume 38 issue 6 Cover and Back matter	0
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT	0
REAL ANALYTIC DISCRETE CHOICE MODELS OF DEMAND: THEORY AND IMPLICATIONS	0
LEARNING MARKOV PROCESSES WITH LATENT VARIABLES	0
THE ECONOMETRIC THEORY AWARDS 2026	0
ECT volume 38 issue 6 Cover and Front matter	0
ISOTONIC PROPENSITY SCORE MATCHING	0
INSTRUMENTAL VARIABLES INFERENCE IN A SMALL-DIMENSIONAL VAR MODEL WITH DYNAMIC LATENT FACTORS	0
CENTRAL LIMIT THEORY FOR COMBINED CROSS SECTION AND TIME SERIES WITH AN APPLICATION TO AGGREGATE PRODUCTIVITY SHOCKS	0
SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS	0
SUPERCONSISTENCY OF TESTS IN HIGH DIMENSIONS	0
ECT volume 39 issue 2 Cover and Back matter	0
TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM	0
THE ECONOMETRIC THEORY AWARDS 2025	0
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION	0
THE ET INTERVIEW: PROFESSOR JOEL L. HOROWITZ	0
ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY	0
THREE-DIMENSIONAL FACTOR MODELS WITH GLOBAL AND LOCAL FACTORS	0
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM	0
REGRESSION DISCONTINUITY DESIGN WITH POTENTIALLY MANY COVARIATES	0
SEMIPARAMETRIC ESTIMATION OF DYNAMIC BINARY CHOICE PANEL DATA MODELS	0
SIMPLE SEMIPARAMETRIC ESTIMATION OF ORDERED RESPONSE MODELS	0
ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS	0
ON THE ROBUSTNESS OF MIXTURE MODELS IN THE PRESENCE OF HIDDEN MARKOV REGIMES WITH COVARIATE-DEPENDENT TRANSITION PROBABILITIES	0
DETECTING CHANGES IN GARCH(1,1) PROCESSES WITHOUT ASSUMING STATIONARITY	0
LARGE SAMPLE JUSTIFICATIONS FOR THE BAYESIAN EMPIRICAL LIKELIHOOD	0
A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES	0
FUNCTIONAL INSTRUMENTAL VARIABLE REGRESSION WITH AN APPLICATION TO ESTIMATING THE IMPACT OF IMMIGRATION ON NATIVE WAGES	0
A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS	0
HAS THE PHILLIPS CURVE FLATTENED?	0
UNIFORM INFERENCE FOR NONPARAMETRIC PANEL MODELS WITH FIXED EFFECTS	0
INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS	0
IDENTIFICATION AND INFERENCE IN A QUANTILE REGRESSION DISCONTINUITY DESIGN UNDER RANK SIMILARITY WITH COVARIATES	0
ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS	0
APPLICATIONS OF FUNCTIONAL DEPENDENCE TO SPATIAL ECONOMETRICS	0
ROBUST HIGH-DIMENSIONAL TIME-VARYING COEFFICIENT ESTIMATION	0
ECT volume 39 issue 3 Cover and Front matter	0
LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION	0
IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR	0
DOUBLE/DEBIASED MACHINE LEARNING FOR DYADIC DATA	0
A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL	0
A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST	0
SUBVECTOR INFERENCE FOR VARYING COEFFICIENT MODELS WITH PARTIAL IDENTIFICATION	0
AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS	0
ECT volume 38 issue 4 Cover and Front matter	0
LEAST TRIMMED SQUARES: NUISANCE PARAMETER FREE ASYMPTOTICS	0
FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS	0
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?	0
ECT volume 39 issue 4 Cover and Front matter	0
FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES	0
ECT volume 39 issue 2 Cover and Front matter	0
TOWARD A UNIFORM ASYMPTOTIC THEORY FOR MILDLY EXPLOSIVE AUTOREGRESSION	0

SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL	0
CONSISTENT NON-GAUSSIAN PSEUDO MAXIMUM LIKELIHOOD ESTIMATORS OF SPATIAL AUTOREGRESSIVE MODELS	0
TESTING LIMITED OVERLAP	0
TESTING FOR STRUCTURAL CHANGE BY ISOTONIC REGRESSION	0
INFERENCE ON EXTREME QUANTILES OF UNOBSERVED INDIVIDUAL HETEROGENEITY	0
REAL-TIME MONITORING WITH RCA MODELS	0
TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS	0
ASYMPTOTIC PROPERTIES OF THE GAUGE AND POWER OF STEP-INDICATOR SATURATION	0
CHRONOLOGICALLY TRIMMED LS FOR NONLINEAR PREDICTIVE REGRESSIONS WITH PERSISTENCE OF UNKNOWN FORM	0
EDITORIAL: A NEW CHAPTER FOR ECONOMETRIC THEORY	0
RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS	0
TESTING A CLASS OF SEMI- OR NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS	0
TIME-VARYING PARAMETER REGRESSIONS WITH STATIONARY PERSISTENT DATA	0
HOW TO DETECT NETWORK DEPENDENCE IN LATENT FACTOR MODELS? A BIAS-CORRECTED CD TEST	0
ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES	0
SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION	0
ECT volume 39 issue 3 Cover and Back matter	0
THE ET INTERVIEW: BENEDIKT M. PÖTSCHER	0
THE FINITE-SAMPLE DENSITY OF THE SUFFICIENT STATISTIC AND RELATED TESTS IN A GAUSSIAN AUTOREGRESSION	0
INFERENCE ON A DISTRIBUTION FROM NOISY DRAWS	0