期刊： ECONOMETRIC THEORY, 2021; 37 (2)
In this article, we present a comprehensive study of asymptotic optimality of least squares model averaging methods. The concept of asymptotic optimal......
期刊： ECONOMETRIC THEORY, 2021; 37 (4)
This paper studies asymptotic properties of a posterior probability density and Bayesian estimators of spatial econometric models in the classical sta......
期刊： ECONOMETRIC THEORY, 2021; 37 (4)
A multivariate quantile regression model with a factor structure is proposed to study data with multivariate responses with covariates. The factor str......
期刊： ECONOMETRIC THEORY, 2020; 36 (3)
In this article, using a shrinkage estimator, we propose a penalized quasi-maximum likelihood estimator (PQMLE) to estimate a large system of equation......
期刊： ECONOMETRIC THEORY, 2020; 36 (3)
We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su,......
期刊： ECONOMETRIC THEORY, 2020; 36 (6)
We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smo......
期刊： ECONOMETRIC THEORY, 2020; 36 (4)
In multilevel modeling of clustered survival data, to account for the differences among different clusters, a commonly used approach is to introduce c......
期刊： ECONOMETRIC THEORY, 2019; 35 (1)
This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous re......
期刊： ECONOMETRIC THEORY, 2019; 35 (2)
We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid fo......
期刊： ECONOMETRIC THEORY, 2019; 35 (4)
This article considers the problem of inference for nested least squares averaging estimators. We study the asymptotic behavior of the Mallows model a......
期刊： ECONOMETRIC THEORY, 2019; 35 (4)
A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing co......
期刊： ECONOMETRIC THEORY, 2019; 35 (5)
This article investigates the statistical inference problem of whether a measurement equation is self-consistent in the logarithmic realized GARCH mod......
期刊： ECONOMETRIC THEORY, 2018; 34 (1)
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distribu......
期刊： ECONOMETRIC THEORY, 2018; 34 (6)
This paper studies the weak convergence of renorming volatilities in a family of GARCH(1,1) models from a functional point of view. After suitable ren......
期刊： ECONOMETRIC THEORY, 2018; 34 (6)
We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size comb......
