Econometric Theory

Papers
(The TQCC of Econometric Theory is 1. 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 2021-10-01 to 2025-10-01.)
ArticleCitations
ECT volume 39 issue 5 Cover and Front matter18
ECT volume 39 issue 1 Cover and Back matter13
A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES13
AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS11
COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES9
SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION9
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS8
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY8
ECT volume 37 issue 5 Cover and Back matter7
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA7
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS6
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS6
CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE6
VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS4
NONPARAMETRIC PREDICTION WITH SPATIAL DATA4
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS4
THE ECONOMETRIC THEORY AWARDS 20234
A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS3
FASTER UNIFORM CONVERGENCE RATES FOR DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS3
IS COMPLETENESS NECESSARY? ESTIMATION IN NONIDENTIFIED LINEAR MODELS3
IDENTIFICATION AND STATISTICAL DECISION THEORY3
TESTING FOR COEFFICIENT RANDOMNESS IN LOCAL-TO-UNITY AUTOREGRESSIONS3
OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION3
WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION3
ECT volume 38 issue 5 Cover and Back matter3
ECT volume 38 issue 1 Cover and Back matter3
INFERENCE IN MEDIAN AR MODELS WITH NONSTATIONARY AND HEAVY-TAILED HETEROSKEDASTIC NOISES3
HIGHER-ORDER APPROXIMATION FOR UNCERTAINTY QUANTIFICATION IN TIME-SERIES ANALYSIS3
NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER3
VALID HETEROSKEDASTICITY ROBUST TESTING2
HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS?2
PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA2
ECT volume 39 issue 4 Cover and Back matter2
GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS2
HIGHER-ORDER APPROXIMATION OF IV ESTIMATORS WITH INVALID INSTRUMENTS2
TIME-VARYING COMPLETE SUBSET AVERAGING IN A DATA-RICH ENVIRONMENT2
A WILD BOOTSTRAP FOR DEPENDENT DATA2
A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES2
ALGORITHMIC SUBSAMPLING UNDER MULTIWAY CLUSTERING2
EXTENDING ECONOMIC MODELS WITH TESTABLE ASSUMPTIONS: THEORY AND APPLICATIONS2
ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES2
ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES2
ECT volume 37 issue 6 Cover and Back matter2
SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES2
POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA1
NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF A GENERALIZED ADDITIVE MODEL WITH A FLEXIBLE ADDITIVE STRUCTURE AND UNKNOWN LINK1
BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION1
THEORY OF LOW FREQUENCY CONTAMINATION FROM NONSTATIONARITY AND MISSPECIFICATION: CONSEQUENCES FOR HAR INFERENCE1
EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION1
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS1
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION1
ECT volume 38 issue 4 Cover and Back matter1
ON GMM INFERENCE: PARTIAL IDENTIFICATION, IDENTIFICATION STRENGTH, AND NONSTANDARD ASYMPTOTICS1
THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS1
SEMIPARAMETRIC ESTIMATION OF QUANTILE REGRESSION WITH BINARY QUANTILE SELECTION1
WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS1
RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM1
INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS1
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS – ADDENDUM1
THE ET INTERVIEW: PROFESSOR PETER SCHMIDT1
TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION—CORRIGENDUM1
ECT volume 38 issue 3 Cover and Back matter1
ARE UNOBSERVABLES SEPARABLE?1
A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS1
A NOTE ON MINIMAX REGRET RULES WITH MULTIPLE TREATMENTS IN FINITE SAMPLES1
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2021–20231
MODEL AVERAGING FOR TREATMENT EFFECT ESTIMATION WITH HETEROGENEITY AND HETEROSKEDASTICITY1
TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS1
ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS1
THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS1
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY1
A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK1
ECT volume 38 issue 2 Cover and Back matter1
CONDITIONAL LIKELIHOOD RATIO TEST WITH MANY WEAK INSTRUMENTS1
A NONPARAMETRIC TEST OF HETEROGENEITY IN CONDITIONAL QUANTILE TREATMENT EFFECTS1
BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA1
GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER1
AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY1
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