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 2021-04-01 to 2025-04-01.)
ArticleCitations
ECT volume 37 issue 3 Cover and Back matter11
A MOLLIFIER APPROACH TO THE DECONVOLUTION OF PROBABILITY DENSITIES10
REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS9
A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES8
ECT volume 39 issue 1 Cover and Back matter7
ECT volume 39 issue 4 Cover and Back matter7
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY7
ECT volume 39 issue 2 Cover and Front matter6
ECT volume 39 issue 3 Cover and Back matter6
SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION5
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS5
ECT volume 38 issue 4 Cover and Back matter5
ECT volume 39 issue 6 Cover and Back matter5
ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY5
ECT volume 38 issue 6 Cover and Back matter4
ECT volume 39 issue 5 Cover and Front matter4
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY4
IDENTIFICATION AND ESTIMATION IN A CORRELATED RANDOM COEFFICIENTS TRANSFORMATION MODEL4
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM4
TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL4
NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS4
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS4
RELEVANT MOMENT SELECTION UNDER MIXED IDENTIFICATION STRENGTH3
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS3
SPECTRAL FINANCIAL ECONOMETRICS3
THE SPECTRAL APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS3
COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES3
ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES3
AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS3
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH3
ECT volume 38 issue 2 Cover and Front matter2
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS2
CONSTRAINT QUALIFICATIONS IN PARTIAL IDENTIFICATION2
ECT volume 39 issue 1 Cover and Front matter2
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES2
AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS2
COINTEGRATING POLYNOMIAL REGRESSIONS: ROBUSTNESS OF FULLY MODIFIED OLS2
ECT volume 38 issue 1 Cover and Front matter2
ECT volume 37 issue 6 Cover and Front matter2
BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION2
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS2
IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS – ADDENDUM2
ECT volume 37 issue 5 Cover and Back matter2
ECT volume 39 issue 6 Cover and Front matter2
SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY2
ECT volume 39 issue 3 Cover and Front matter1
FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES1
THE ECONOMETRIC THEORY AWARDS 20231
RATE-ADAPTIVE BOOTSTRAP FOR POSSIBLY MISSPECIFIED GMM1
THE ET INTERVIEW: BENEDIKT M. PÖTSCHER1
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS1
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS1
INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS1
ECT volume 39 issue 2 Cover and Back matter1
A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES1
TESTING FOR ANTICIPATED CHANGES IN SPOT VOLATILITY AT EVENT TIMES1
ECT volume 37 issue 2 Cover and Front matter1
SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS1
NEGATIVE POWERS OF INTEGRATED PROCESSES1
THE ECONOMETRIC THEORY AWARDS 20211
THE ET INTERVIEW: PROFESSOR GARY CHAMBERLAIN1
ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS1
A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL1
CONSISTENT SPECIFICATION TESTING UNDER SPATIAL DEPENDENCE1
INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY1
ECT volume 38 issue 3 Cover and Front matter1
VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS1
CHRONOLOGICALLY TRIMMED LS FOR NONLINEAR PREDICTIVE REGRESSIONS WITH PERSISTENCE OF UNKNOWN FORM1
ECT volume 37 issue 5 Cover and Front matter1
THE ECONOMETRIC THEORY AWARDS 20221
GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS1
NONPARAMETRIC PREDICTION WITH SPATIAL DATA1
SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS1
ECT volume 38 issue 3 Cover and Back matter1
TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS1
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION1
FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS1
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