发布求助
文献互助 智能选刊 最新文献

Econometric Theory最新文献

筛选
英文 中文
ECT volume 39 issue 6 Cover and Front matter ECT 第 39 卷第 6 期封面和封底
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-12-01 DOI: 10.1017/s0266466623000361
{"title":"ECT volume 39 issue 6 Cover and Front matter","authors":"","doi":"10.1017/s0266466623000361","DOIUrl":"https://doi.org/10.1017/s0266466623000361","url":null,"abstract":"","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"427 2","pages":"f1 - f2"},"PeriodicalIF":0.8,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138993102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ECT volume 39 issue 6 Cover and Back matter ECT 第 39 卷第 6 期封面和封底资料
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-12-01 DOI: 10.1017/s0266466623000373
{"title":"ECT volume 39 issue 6 Cover and Back matter","authors":"","doi":"10.1017/s0266466623000373","DOIUrl":"https://doi.org/10.1017/s0266466623000373","url":null,"abstract":"","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"689 26","pages":"b1 - b2"},"PeriodicalIF":0.8,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139022853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY 具有自回归条件异方差的亚几何遍历自回归
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-11-17 DOI: 10.1017/s026646662300035x
Mika Meitz, Pentti Saikkonen
{"title":"SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY","authors":"Mika Meitz, Pentti Saikkonen","doi":"10.1017/s026646662300035x","DOIUrl":"https://doi.org/10.1017/s026646662300035x","url":null,"abstract":"In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional heteroskedasticity (ARCH). The notion of subgeometric ergodicity was introduced in the Markov chain literature in the 1980s, and it means that the transition probability measures converge to the stationary measure at a rate slower than geometric; this rate is also closely related to the convergence rate of <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S026646662300035X_inline1.png\" /> <jats:tex-math> $beta $ </jats:tex-math> </jats:alternatives> </jats:inline-formula>-mixing coefficients. While the existing literature on subgeometrically ergodic autoregressions assumes a homoskedastic error term, this paper provides an extension to the case of conditionally heteroskedastic ARCH-type errors, considerably widening the scope of potential applications. Specifically, we consider suitably defined higher-order nonlinear autoregressions with possibly nonlinear ARCH errors and show that they are, under appropriate conditions, subgeometrically ergodic at a polynomial rate. An empirical example using energy sector volatility index data illustrates the use of subgeometrically ergodic AR–ARCH models.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"29 4","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138525653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA 具有相关数据的线性回归的经验风险最小化性能
4区 经济学
Econometric Theory Pub Date : 2023-11-10 DOI: 10.1017/s0266466623000348
Christian Brownlees, Gu{dh}mundur Stef'an Gu{dh}mundsson
{"title":"PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA","authors":"Christian Brownlees, Gu{dh}mundur Stef'an Gu{dh}mundsson","doi":"10.1017/s0266466623000348","DOIUrl":"https://doi.org/10.1017/s0266466623000348","url":null,"abstract":"This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be dependent and heavy-tailed. The analysis covers both the cases of identically and heterogeneously distributed observations. Our analysis is nonparametric in the sense that the relationship between the regressand and the regressors is not specified. The main results of this paper show that the empirical risk minimizer achieves the optimal performance (up to a logarithmic factor) in a dependent data setting.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"84 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135087574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES 非参数极值条件分位数的子抽样推理
4区 经济学
Econometric Theory Pub Date : 2023-11-06 DOI: 10.1017/s0266466623000336
Daisuke Kurisu, Taisuke Otsu
{"title":"SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES","authors":"Daisuke Kurisu, Taisuke Otsu","doi":"10.1017/s0266466623000336","DOIUrl":"https://doi.org/10.1017/s0266466623000336","url":null,"abstract":"This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance parameters in the limiting distribution of the local estimator. A simulation study and empirical example illustrate usefulness of our subsampling inference to investigate extremal phenomena.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135634757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY 异质性的非参数时变面板数据模型
4区 经济学
Econometric Theory Pub Date : 2023-10-23 DOI: 10.1017/s0266466623000324
Fei Liu
{"title":"NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY","authors":"Fei Liu","doi":"10.1017/s0266466623000324","DOIUrl":"https://doi.org/10.1017/s0266466623000324","url":null,"abstract":"Abstract Since Bai (2009, Econometrica 77, 1229–1279), considerable extensions have been made to panel data models with interactive fixed effects (IFEs). However, little work has been conducted to understand the associated iterative algorithm, which, to the best of our knowledge, is the most commonly adopted approach in this line of research. In this paper, we refine the algorithm of panel data models with IFEs using the nuclear-norm penalization method and duple least-squares (DLS) iterations. Meanwhile, we allow the regression coefficients to be individual-specific and evolve over time. Accordingly, asymptotic properties are established to demonstrate the theoretical validity of the proposed approach. Furthermore, we show that the proposed methodology exhibits good finite-sample performance using simulation and real data examples.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"2003 45","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135412451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ECT volume 39 issue 5 Cover and Front matter ECT第39卷第5期封面和封面问题
4区 经济学
Econometric Theory Pub Date : 2023-09-28 DOI: 10.1017/s0266466623000282
{"title":"ECT volume 39 issue 5 Cover and Front matter","authors":"","doi":"10.1017/s0266466623000282","DOIUrl":"https://doi.org/10.1017/s0266466623000282","url":null,"abstract":"An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"2016 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135344116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ECT volume 39 issue 5 Cover and Back matter ECT第39卷第5期封面和封底
4区 经济学
Econometric Theory Pub Date : 2023-09-28 DOI: 10.1017/s0266466623000294
{"title":"ECT volume 39 issue 5 Cover and Back matter","authors":"","doi":"10.1017/s0266466623000294","DOIUrl":"https://doi.org/10.1017/s0266466623000294","url":null,"abstract":"An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135344117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM 时变系数面板数据模型的规范试验。勘误
4区 经济学
Econometric Theory Pub Date : 2023-09-19 DOI: 10.1017/s0266466623000300
Alev Atak, Thomas Tao Yang, Yonghui Zhang, Qiankun Zhou
{"title":"SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS – ERRATUM","authors":"Alev Atak, Thomas Tao Yang, Yonghui Zhang, Qiankun Zhou","doi":"10.1017/s0266466623000300","DOIUrl":"https://doi.org/10.1017/s0266466623000300","url":null,"abstract":"An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135014058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ON GMM INFERENCE: PARTIAL IDENTIFICATION, IDENTIFICATION STRENGTH, AND NONSTANDARD ASYMPTOTICS 关于GMM推理:部分辨识、辨识强度和非标准渐近
4区 经济学
Econometric Theory Pub Date : 2023-09-18 DOI: 10.1017/s0266466623000221
Donald S. Poskitt
{"title":"ON GMM INFERENCE: PARTIAL IDENTIFICATION, IDENTIFICATION STRENGTH, AND NONSTANDARD ASYMPTOTICS","authors":"Donald S. Poskitt","doi":"10.1017/s0266466623000221","DOIUrl":"https://doi.org/10.1017/s0266466623000221","url":null,"abstract":"This paper analyses aspects of generalized method of moments (GMM) inference in moment equality models in settings where standard regularity conditions may break down. Explicit analytic formulations for the asymptotic distributions of estimable functions of the GMM estimator and statistics based on the GMM criterion function are derived under relatively mild assumptions. The moment Jacobian is allowed to be rank deficient, so first order identification may fail, the values of the Jacobian singular values are not constrained, thereby allowing for varying levels of identification strength, the long-run variance of the moment conditions can be singular, and the GMM criterion function weighting matrix may also be chosen sub-optimally. The large-sample properties are derived without imposing a specific structure on the functional form of the moment conditions. Closed-form expressions for the distributions are presented that can be evaluated using standard software without recourse to bootstrap or simulation methods. The practical operation of the results is illustrated via examples involving instrumental variables estimation of a structural equation with endogenous regressors and a common CH features model.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"214 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135153455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信