Econometric Theory

Papers
(The TQCC of Econometric Theory is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-06-01 to 2024-06-01.)
ArticleCitations
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION20
INFERENCE IN DYNAMIC, NONPARAMETRIC MODELS OF PRODUCTION: CENTRAL LIMIT THEOREMS FOR MALMQUIST INDICES13
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS9
ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS9
ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION8
A WILD BOOTSTRAP FOR DEPENDENT DATA7
CONSTRAINT QUALIFICATIONS IN PARTIAL IDENTIFICATION6
QUANTILE DOUBLE AUTOREGRESSION6
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS6
SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET6
ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS5
TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS5
LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY5
ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES5
PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX5
SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS4
SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS4
A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS4
TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION4
TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL4
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA4
GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS4
EFFICIENT TWO-STEP GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION AND TESTS WITH MARTINGALE DIFFERENCES3
AN ADAPTIVE TEST OF STOCHASTIC MONOTONICITY3
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS3
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS3
THE ET INTERVIEW: PROFESSOR PETER SCHMIDT3
BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA3
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS3
IDENTIFICATION OF LINEAR REGRESSIONS WITH ERRORS IN ALL VARIABLES3
VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS3
LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS3
ANALYSIS OF GLOBAL AND LOCAL OPTIMA OF REGULARIZED QUANTILE REGRESSION IN HIGH DIMENSIONS: A SUBGRADIENT APPROACH3
FACTORISABLE MULTITASK QUANTILE REGRESSION3
KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING3
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION3
HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION2
BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES2
A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS2
ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS2
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS2
RELEVANT MOMENT SELECTION UNDER MIXED IDENTIFICATION STRENGTH2
LIMIT THEOREMS FOR FACTOR MODELS2
AVERAGE DERIVATIVE ESTIMATION UNDER MEASUREMENT ERROR2
PARTIAL IDENTIFICATION OF NONSEPARABLE MODELS USING BINARY INSTRUMENTS2
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION2
AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY2
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY2
TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS2
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES2
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY2
JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS2
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION2
NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS2
A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS2
LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS2
ON THE REPRESENTATION OF THE NESTED LOGIT MODEL2
CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE2
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS2
AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS2
IDENTIFICATION AND ESTIMATION IN A CORRELATED RANDOM COEFFICIENTS TRANSFORMATION MODEL2
A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK2
WEAK-IDENTIFICATION ROBUST WILD BOOTSTRAP APPLIED TO A CONSISTENT MODEL SPECIFICATION TEST2
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