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Econometric Theory is a peer-reviewed journal published by Cambridge University Press, covering Statistical Methods and Inference, Monetary Policy and Economic Impact, Financial Risk and Volatility Modeling.
| Publisher | Cambridge University Press |
|---|---|
| Reference style | Numbered Numbered — [1], [2] in the text [1] A. Smith, B. Jones, and C. Lee, A representative article title, Econometric Theory 12 (2023) 45–58.
Formats any DOI in the closest standard style — Econometric Theory has no published style definition, so this is an approximation. No sign-up. |
| Publishes research in | Statistical Methods and Inference Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Advanced Statistical Methods and Models Complex Systems and Time Series Analysis |
| ISSN | 0266-4666 |
| Citation impact (2-yr) | 1.15 |
| h-index | 135 |
| i10-index | 1,098 |
| Total citations | 93,252 |
| Top institutions publishing here | London School of Economics and Political Science |
| Journal website | www.cambridge.org |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within…
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary…
The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.
An asymptotic optimality theory for the estimation of cointegration regressions is developed in this paper. The theory applies to a reasonably wide class of estimators without making any specific assumptions about the probability distribution or short-run dynamics of the data-generating process. Due to the nonstandard nature of the estimation problem, the conventional minimum variance criterion…
This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process. As a special case, it is shown that the IGARCH(1,1) process with no drift converges almost surely to zero, while IGARCH(1,1) with a positive drift is strictly stationary and ergodic. We examine the persistence of shocks to conditional variance…
