Econometric Theory

1987 - 2009

from Cambridge University Press
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Volume 25, issue 06, 2009

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS? INTRODUCTION pp. 1451-1456

Stephen Leybourne and Robert Taylor

THE RESEARCH INTERESTS OF PAUL NEWBOLD pp. 1460-1465

Clive W. J. Granger and Stephen J. Leybourne

LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION pp. 1466-1497

Peter C. B. Phillips

AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK pp. 1498-1514

Bruce E. Hansen

A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC pp. 1515-1544

Morten Ørregaard Nielsen

TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND pp. 1545-1588

David Harris, David . Harvey, Stephen J. Leybourne and Robert Taylor

REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES pp. 1589-1624

James Davidson and Nigar Hashimzade

ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS pp. 1625-1661

Giuseppe Cavaliere and Iliyan Georgiev

THE PROPERTIES OF KULLBACK?LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS pp. 1662-1681

Patrick Marsh

UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST pp. 1682-1715

Peter C. B. Phillips and Tassos Magdalinos

INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS pp. 1716-1733

P.M. Robinson

HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT pp. 1734-1753

Hsein Kew and David Harris

GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES pp. 1754-1792

Carrion-i-Silvestre, Josep Llu?s, Dukpa Kim and Pierre Perron

TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN pp. 1793-1828

Uwe Hassler, Paulo M.M. Rodrigues and Antonio Rubia

TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT pp. 1829-1850

Graham Elliott and Elena Pesavento

A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS pp. 1851-1868

Joakim Westerlund and Rolf Larsson

NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY pp. 1869-1892

Jiti Gao, Maxwell King, Zudi Lu and Tj?stheim, Dag

Volume 25, issue 05, 2009

OBITUARY pp. 1139-1142

David F. Hendry and Peter C. B. Phillips

BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD pp. 1143-1179

Willa W. Chen and Rohit S. Deo

WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE pp. 1180-1207

Norbert Christopeit

LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS pp. 1208-1227

Guodong Li and Wai Keung Li

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT pp. 1228-1276

Giuseppe Cavaliere and Robert Taylor

INTEGRATED MARKOV-SWITCHING GARCH PROCESS pp. 1277-1288

Liu, Ji-Chun

A BIAS-CORRECTED NONPARAMETRIC ENVELOPMENT ESTIMATOR OF FRONTIERS pp. 1289-1318

B?din, Luiza and Leopold Simar

OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS pp. 1319-1347

Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin

GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA pp. 1348-1391

Hugo Kruiniger

EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION pp. 1392-1414

Sung Jae Jun and Joris Pinkse

NONSTANDARD QUANTILE-REGRESSION INFERENCE pp. 1415-1432

Chuan Goh and K. Knight

UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA pp. 1433-1445

Dennis Kristensen

Volume 25, issue 04, 2009

ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM?INTRODUCTION pp. 891-900

Marcus J. Chambers, Peter C. B. Phillips and Robert Taylor

THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE pp. 903-913

A.R. Bergstrom

EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL pp. 915-957

Grant H. Hillier

EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY pp. 958-984

Peter C. B. Phillips

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS pp. 985-994

Peter M. Robinson

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS pp. 995-1029

David . Harvey, Stephen J. Leybourne and Robert Taylor

DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA pp. 1030-1049

Marcus J. Chambers

THE NEW ZEALAND BUSINESS CYCLE pp. 1050-1069

Viv B. Hall and Christopher John McDermott

THE LIMITS OF ECONOMETRICS: NONPARAMETRIC ESTIMATION IN HILBERT SPACES pp. 1070-1086

Graciela Chichilnisky

REX BERGSTROM?S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING pp. 1087-1098

K. Ben Nowman

APERIODIC DYNAMICS IN THE BERGSTROM/WYMER MODEL OF THE UNITED KINGDOM pp. 1099-1111

Clifford R. Wymer

CYCLICAL TRENDS IN CONTINUOUS TIME MODELS pp. 1112-1119

Joanne S. Ercolani

ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG pp. 1120-1137

J. Roderick McCrorie

Volume 25, issue 03, 2009

ECONOMETRIC THEORY AND PRACTICE pp. 583-586

Peter C. B. Phillips

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION pp. 587-636

David . Harvey, Stephen J. Leybourne and Robert Taylor

COMMENTARIES ON ?Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,? by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 637-643

Patrick Marsh

COMMENTARIES ON ?Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,? by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 643-648

M?ller, Ulrich K.

COMMENTARIES ON ?Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,? by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 649-653

Breitung, J?rg

COMMENTARIES ON ?Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,? by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 653-654

Peter Burridge

COMMENTARIES ON ?Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,? by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 654-657

Zhijie Xiao

REJOINDER pp. 658-667

David . Harvey, Stephen J. Leybourne and Robert Taylor

VALIDITY OF SUBSAMPLING AND ?PLUG-IN ASYMPTOTIC? INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES pp. 669-709

Donald W. K. Andrews and Patrik Guggenberger

ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION pp. 710-738

Qiying Wang and Peter C. B. Phillips

CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES pp. 739-747

Rickard Sandberg

CENTRAL LIMIT THEOREMS FOR WEIGHTED SUMS OF LINEAR PROCESSES: LP -APPROXIMABILITY VERSUS BROWNIAN MOTION pp. 748-763

Kairat T. Mynbaev

CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY pp. 764-792

Rohit S. Deo, Clifford M. Hurvich, Philippe Soulier and Yi Wang

OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE pp. 793-805

Laura Chioda and Michael Jansson

ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION pp. 806-818

Victor Chernozhukov, Christian Hansen and Michael Jansson

COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES pp. 819-846

Rustam Ibragimov

EFFICIENCY BOUNDS FOR SEMIPARAMETRIC ESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTED FUNCTIONS pp. 847-855

Jacho-Ch?vez, David T.

BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND pp. 857-872

Noud P.A. van Giersbergen

A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR( p) MODELS WHEN BOTH N AND T ARE LARGE pp. 873-890

Kazuhiko Hayakawa

Volume 25, issue 02, 2009

ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION pp. 305-335

Grant H. Hillier

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL pp. 336-363

Christian Matthias Hafner and Arie Preminger

FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS pp. 364-410

Andreea G. Halunga and Chris Orme

ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES pp. 411-441

Alexander Aue, Horv?th, Lajos, Hu?kov?, Marie and Shiqing Ling

NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES pp. 442-481

Enno Mammen, St?ve, B?rd and Tj?stheim, Dag

LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS pp. 482-526

Tassos Magdalinos and Peter C. B. Phillips

REGRESSION-BASED SEASONAL UNIT ROOT TESTS pp. 527-560

Richard J. Smith, Robert Taylor and Tomás del Barrio Castro

QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS pp. 561-570

Juan Carlos Escanciano

ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES pp. 571-582

Dietmar Bauer

Volume 25, issue 01, 2009

NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS pp. 1-42

Desheng Ouyang, Qi Li and Jeffrey Scott Racine

ON MARKOV-SWITCHING ARMA PROCESSES?STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY pp. 43-62

Robert Stelzer

COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE pp. 63-116

Alex S. Maynard and Katsumi Shimotsu

MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL pp. 117-161

Marcelo C. Medeiros and Alvaro Veiga

ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS pp. 162-194

Juan Carlos Escanciano

A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES pp. 195-210

Xiaofeng Shao

COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS pp. 211-242

Grant H. Hillier, Raymond Kan and Xiaolu Wang

BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS pp. 243-269

Carsten Trenkler

LASSO-TYPE GMM ESTIMATOR pp. 270-290

Mehmet Caner

FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION pp. 291-297

Yong Bao

ADDING REGRESSORS TO OBTAIN EFFICIENCY pp. 298-301

Sung Jae Jun and Joris Pinkse