Econometric Theory

Article	Citations
ECT volume 39 issue 1 Cover and Back matter	20
ECT volume 39 issue 5 Cover and Front matter	17
SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION	13
CAN PRINCIPAL COMPONENT ANALYSIS PRESERVE THE SPARSITY IN FACTOR LOADINGS?	11
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY	10
A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES	8
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS	8
IDENTIFICATION-ROBUST TWO-STAGE BOOTSTRAP TESTS WITH PRETESTING FOR EXOGENEITY	7
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA	6
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS	6
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS	6
CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE	6
THE ECONOMETRIC THEORY AWARDS 2023	5
ROBUST ESTIMATION FOR THE SPATIAL AUTOREGRESSIVE MODEL	5
NEW ASYMPTOTICS APPLIED TO FUNCTIONAL COEFFICIENT REGRESSION AND CLIMATE SENSITIVITY ANALYSIS	5
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS	4
IS COMPLETENESS NECESSARY? ESTIMATION IN NONIDENTIFIED LINEAR MODELS	4
TESTING FOR COEFFICIENT RANDOMNESS IN LOCAL-TO-UNITY AUTOREGRESSIONS	4
NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER	4
AVERAGING ESTIMATORS OF HETEROGENEOUS TREATMENT EFFECTS UNDER ADDITIVE MODELS	4
HIGHER-ORDER APPROXIMATION FOR UNCERTAINTY QUANTIFICATION IN TIME-SERIES ANALYSIS	4
DIRECTION IDENTIFICATION AND MINIMAX ESTIMATION IN HIGH-DIMENSIONAL SPARSE REGRESSION VIA A GENERALIZED EIGENVALUE APPROACH	3
WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION	3
OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION	3
FASTER UNIFORM CONVERGENCE RATES FOR DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS	3

THE ECONOMETRIC THEORY INTERVIEW: PROFESSOR MARCO LIPPI	3
IDENTIFICATION AND STATISTICAL DECISION THEORY	3
INFERENCE IN MEDIAN AR MODELS WITH NONSTATIONARY AND HEAVY-TAILED HETEROSKEDASTIC NOISES	3
ECT volume 38 issue 5 Cover and Back matter	3
PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA	2
VALID HETEROSKEDASTICITY ROBUST TESTING	2
GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS	2
ECT volume 39 issue 4 Cover and Back matter	2
A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES	2
NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF A GENERALIZED ADDITIVE MODEL WITH A FLEXIBLE ADDITIVE STRUCTURE AND UNKNOWN LINK	2
BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION	2
INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS	2
ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES	2
SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES	2
ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES	2
EXTENDING ECONOMIC MODELS WITH TESTABLE ASSUMPTIONS: THEORY AND APPLICATIONS	2
RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM	2
THE ET INTERVIEW: PROFESSOR PETER SCHMIDT	2
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS – ADDENDUM	2
SLOW MOVERS IN PANEL DATA	2
TIME-VARYING COMPLETE SUBSET AVERAGING IN A DATA-RICH ENVIRONMENT	2
ALGORITHMIC SUBSAMPLING UNDER MULTIWAY CLUSTERING	2
HIGHER-ORDER APPROXIMATION OF IV ESTIMATORS WITH INVALID INSTRUMENTS	2
THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS	2
TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS	2
WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS	2
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY	2
ECT volume 38 issue 3 Cover and Back matter	1
ECT volume 39 issue 1 Cover and Front matter	1
A NONPARAMETRIC TEST OF HETEROGENEITY IN CONDITIONAL QUANTILE TREATMENT EFFECTS	1
EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION	1
THEORY OF LOW FREQUENCY CONTAMINATION FROM NONSTATIONARITY AND MISSPECIFICATION: CONSEQUENCES FOR HAR INFERENCE	1
A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK	1
A NOTE ON MINIMAX REGRET RULES WITH MULTIPLE TREATMENTS IN FINITE SAMPLES	1
GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER	1
GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS	1
INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY	1
ECT volume 38 issue 3 Cover and Front matter	1
CONDITIONAL LIKELIHOOD RATIO TEST WITH MANY WEAK INSTRUMENTS	1
A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS	1
ARE UNOBSERVABLES SEPARABLE?	1
TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION—CORRIGENDUM	1
ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS WITH KERNEL SPOT VOLATILITY ESTIMATORS	1
HIGH-DIMENSIONAL NEWEY–POWELL TEST VIA APPROXIMATE MESSAGE PASSING	1
RANDOMIZED TESTING FOR JUMP DETECTION	1
MODEL AVERAGING FOR TREATMENT EFFECT ESTIMATION WITH HETEROGENEITY AND HETEROSKEDASTICITY	1
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS	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

THE LOCAL PROJECTION RESIDUAL BOOTSTRAP FOR AR(1) MODELS	1
SEMIPARAMETRIC ESTIMATION OF QUANTILE REGRESSION WITH BINARY QUANTILE SELECTION	1
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2021–2023	1
THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS	1
ON GMM INFERENCE: PARTIAL IDENTIFICATION, IDENTIFICATION STRENGTH, AND NONSTANDARD ASYMPTOTICS	1
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION	1
INSTRUMENTAL VARIABLES ESTIMATION FOR INFINITE ORDER PANEL AUTOREGRESSIVE PROCESSES	1
TESTING FOR ANTICIPATED CHANGES IN SPOT VOLATILITY AT EVENT TIMES	1
LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION	0
FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES	0
HAS THE PHILLIPS CURVE FLATTENED?	0
ECT volume 39 issue 6 Cover and Back matter	0
TIME-VARYING PARAMETER REGRESSIONS WITH STATIONARY PERSISTENT DATA	0
THREE-DIMENSIONAL FACTOR MODELS WITH GLOBAL AND LOCAL FACTORS	0
THE ECONOMETRIC THEORY AWARDS 2024	0
ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS	0
LARGE SAMPLE JUSTIFICATIONS FOR THE BAYESIAN EMPIRICAL LIKELIHOOD	0
DETECTING CHANGES IN GARCH(1,1) PROCESSES WITHOUT ASSUMING STATIONARITY	0
A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS	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
REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS	0
UNIFORM CONVERGENCE RATES FOR NONPARAMETRIC ESTIMATORS OF A DENSITY FUNCTION AND ITS DERIVATIVES WHEN THE DENSITY HAS A KNOWN POLE	0
IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR	0
ECT volume 39 issue 3 Cover and Front matter	0
REAL ANALYTIC DISCRETE CHOICE MODELS OF DEMAND: THEORY AND IMPLICATIONS	0
LEARNING MARKOV PROCESSES WITH LATENT VARIABLES	0
DOUBLE/DEBIASED MACHINE LEARNING FOR DYADIC DATA	0
TESTING FOR STRUCTURAL CHANGE BY ISOTONIC REGRESSION	0
SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION	0
SUPERCONSISTENCY OF TESTS IN HIGH DIMENSIONS	0
THE ET INTERVIEW: BENEDIKT M. PÖTSCHER	0
SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS	0
THE ECONOMETRIC THEORY AWARDS 2025	0
ECT volume 39 issue 2 Cover and Back matter	0
THE ET INTERVIEW: PROFESSOR JOEL L. HOROWITZ	0
ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY	0
THIS SHOCK IS DIFFERENT: ESTIMATION AND INFERENCE IN MISSPECIFIED TWO-WAY FIXED EFFECTS PANEL REGRESSIONS	0
ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS	0
THE ECONOMETRIC THEORY AWARDS 2026	0
ECT volume 39 issue 5 Cover and Back matter	0
SEMIPARAMETRIC ESTIMATION OF DYNAMIC BINARY CHOICE PANEL DATA MODELS	0
TOWARD A UNIFORM ASYMPTOTIC THEORY FOR MILDLY EXPLOSIVE AUTOREGRESSION	0
EDITORIAL: A NEW CHAPTER FOR ECONOMETRIC THEORY	0
SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY	0
CENTRAL LIMIT THEORY FOR COMBINED CROSS SECTION AND TIME SERIES WITH AN APPLICATION TO AGGREGATE PRODUCTIVITY SHOCKS	0
TESTING LIMITED OVERLAP	0
REAL-TIME MONITORING WITH RCA MODELS	0
INFERENCE ON EXTREME QUANTILES OF UNOBSERVED INDIVIDUAL HETEROGENEITY	0
COINTEGRATING POLYNOMIAL REGRESSIONS: ROBUSTNESS OF FULLY MODIFIED OLS	0
SWITCHING REGIME INTEGER AUTOREGRESSIONS	0
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM	0
IDENTIFICATION AND INFERENCE IN A QUANTILE REGRESSION DISCONTINUITY DESIGN UNDER RANK SIMILARITY WITH COVARIATES	0
UNIFORM INFERENCE FOR NONPARAMETRIC PANEL MODELS WITH FIXED EFFECTS	0
INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS	0
ECT volume 38 issue 4 Cover and Front matter	0
APPLICATIONS OF FUNCTIONAL DEPENDENCE TO SPATIAL ECONOMETRICS	0
ROBUST HIGH-DIMENSIONAL TIME-VARYING COEFFICIENT ESTIMATION	0
ECT volume 39 issue 4 Cover and Front matter	0
ECT volume 39 issue 2 Cover and Front matter	0
ECT volume 38 issue 6 Cover and Back matter	0
SUBVECTOR INFERENCE FOR VARYING COEFFICIENT MODELS WITH PARTIAL IDENTIFICATION	0
SIMPLE SEMIPARAMETRIC ESTIMATION OF ORDERED RESPONSE MODELS	0
TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM	0
LEAST TRIMMED SQUARES: NUISANCE PARAMETER FREE ASYMPTOTICS	0
AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS	0
THE FINITE-SAMPLE DENSITY OF THE SUFFICIENT STATISTIC AND RELATED TESTS IN A GAUSSIAN AUTOREGRESSION	0
RELEVANT MOMENT SELECTION UNDER MIXED IDENTIFICATION STRENGTH	0
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION	0
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT	0
ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES	0
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?	0
SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL	0
REGRESSION DISCONTINUITY DESIGN WITH POTENTIALLY MANY COVARIATES	0
INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS	0
CHRONOLOGICALLY TRIMMED LS FOR NONLINEAR PREDICTIVE REGRESSIONS WITH PERSISTENCE OF UNKNOWN FORM	0
NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS	0
CONSISTENT NON-GAUSSIAN PSEUDO MAXIMUM LIKELIHOOD ESTIMATORS OF SPATIAL AUTOREGRESSIVE MODELS	0
KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING	0
ON THE ROBUSTNESS OF MIXTURE MODELS IN THE PRESENCE OF HIDDEN MARKOV REGIMES WITH COVARIATE-DEPENDENT TRANSITION PROBABILITIES	0

FUNCTIONAL INSTRUMENTAL VARIABLE REGRESSION WITH AN APPLICATION TO ESTIMATING THE IMPACT OF IMMIGRATION ON NATIVE WAGES	0
ECT volume 38 issue 5 Cover and Front matter	0
A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES	0
A POWERFUL SUBVECTOR ANDERSON–RUBIN TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY	0
ECT volume 39 issue 3 Cover and Back matter	0
RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS	0
TESTING A CLASS OF SEMI- OR NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS	0
INSTRUMENTAL VARIABLES INFERENCE IN A SMALL-DIMENSIONAL VAR MODEL WITH DYNAMIC LATENT FACTORS	0
ECT volume 38 issue 6 Cover and Front matter	0
ISOTONIC PROPENSITY SCORE MATCHING	0
INFERENCE ON A DISTRIBUTION FROM NOISY DRAWS	0
PARAMETERS ON THE BOUNDARY IN PREDICTIVE REGRESSION	0
A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST	0
AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS	0
A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL	0
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY	0
ANALYSIS OF GLOBAL AND LOCAL OPTIMA OF REGULARIZED QUANTILE REGRESSION IN HIGH DIMENSIONS: A SUBGRADIENT APPROACH	0
FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS	0
HOW TO DETECT NETWORK DEPENDENCE IN LATENT FACTOR MODELS? A BIAS-CORRECTED CD TEST	0