Econometric Theory

1987 - 2009

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Volume 11, issue 05, 1995

Trending Multiple Time Series: Editor's Introduction pp. 811-817

Peter C. B. Phillips

Some Aspects of Asymptotic Theory with Applications to Time Series Models pp. 818-887

P. Jeganathan

Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems pp. 888-911

Pentti Saikkonen

Robust Nonstationary Regression pp. 912-951

Peter C. B. Phillips

Testing for Cointegration in a System of Equations pp. 952-983

In Choi and Byung Chul Ahn

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified pp. 984-1014

Michael T.K. Horvath and Mark W. Watson

Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions pp. 1015-1032

Hiro Y. Toda

Time Series Regression with Mixtures of Integrated Processes pp. 1033-1094

Yoosoon Chang and Peter C. B. Phillips

Efficient IV Estimation in Nonstationary Regression pp. 1095-1130

Yuichi Kitamura and Peter C. B. Phillips

Inference in Models with Nearly Integrated Regressors pp. 1131-1147

Christopher L. Cavanagh, Graham Elliott and James H. Stock

Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power pp. 1148-1171

Bruce E. Hansen

Iterative Estimation in Partitioned Regression Models pp. 1177-1177

Denzil G. Fiebig

The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models pp. 1177-1178

Leo Michelis

The Moore-Penrose Inverse of a Sum of Three Matrices pp. 1178-1178

Shuangzhe Liu and Yue Ma

Proving the Gauss-Markov Theorem Without Using the Explicit Functional Form of the OLS Estimator in the CLR Model pp. 1179-1180

Gordon C.R. Kemp

Testing for Fixed Effects in Logit and Probit Models Using an Artificial Regression pp. 1179-1179

Badi Baltagi

The Stationarity Conditions for an AR(2) Process and Schur's Theorem pp. 1180-1182

Francesc Marmol

Differentiation of an Exponential Matrix Function pp. 1182-1185

Oliver Bruce Linton and J. Roderick McCrorie

Unit Root Testing with Intermittent Data pp. 1185-1188

Miguel A. Herce

Spurious Regression in Forecast-Encompassing Tests pp. 1188-1190

Peter C. B. Phillips

Some Exponential Martingales pp. 1190-1191

Miguel A. Herce

Volume 11, issue 04, 1995

A Nonparametric Conditional Moment Test for Structural Stability pp. 671-698

Javier Hidalgo

The Moving-Estimates Test for Parameter Stability pp. 699-720

Chu, Chia-Shang James, Kurt Hornik and Chung-Ming Kuan

Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values pp. 721-735

Hermann Singer

Spurious Break pp. 736-749

Luis C. Nunes, Chung-Ming Kuan and Paul Newbold

On the Existence of Moments of Ratios of Quadratic Forms pp. 750-774

Leigh A. Roberts

The Limiting Distribution of the t Ratio Under a Unit Root pp. 775-793

Karim Abadir

Testing for Random Individual Effects with a Gauss-Newton Regression pp. 795-795

Badi Baltagi

Derivation of the Fully Modified Estimator pp. 796-797

Juan J. Dolado

Ordering of Covariance Matrices pp. 796-796

Trenkler, G?tz

Efficient Estimation under Heteroskedasticity pp. 797-798

Jeffrey M. Wooldridge

The Wald, LR, and LM Inequality pp. 798-800

Badi Baltagi

Difference Approach to the Adaptive Regression Model pp. 800-802

Erik Iksoon Im

A Nonlinear Measurement Error Model with Fixed Observed X (Berkson Case) pp. 802-803

S.K. Sapra

The Exact Distribution of the Lagrange Multiplier Test for Heteroskedasticity pp. 803-804

R.W. Farebrother

A Bias Correction for Taken's Correlation Dimension Estimator pp. 804-804

Stephen Satchell

Underspecified Linear Model and the Best Instrumental Variable Estimator pp. 805-807

Francisco José Goerlich Gisbert

An Inequality between Perpendicular Least Squares and Ordinary Least Squares pp. 807-808

R.W. Farebrother

Eigenvalues of the Product of Nonnegative Definite Matrices pp. 808-808

Trenkler, G?tz

Convergence of a Nonlinear Time Series Model pp. 808-809

C.B. Phillips

Volume 11, issue 03, 1995

Least Absolute Deviation Estimation of a Shift pp. 403-436

Jushan Bai

Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models pp. 437-483

Lee, Lung-Fei

Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation pp. 484-497

Christopher Lachlan Skeels

Instrumental Variables Estimation in Misspecified Single Equations pp. 498-529

Christopher Lachlan Skeels

Causality in the Long Run pp. 530-536

W.J. Clive and Lin, Jin-Lung

The Effect of Model Selection on Confidence Regions and Prediction Regions pp. 537-549

Paul Kabaila

Comment on ?The Effect of Model Selection on Confidence Regions and Prediction Regions? by P. Kabaila pp. 550-559

P?tscher, B.M.

Nonparametric Kernel Estimation for Semiparametric Models pp. 560-586

Donald W. K. Andrews

Gregory C. Chow pp. 597-624

Adrian Rodney Pagan

TIME SERIES ANALYSIS James D. Hamilton Princeton University Press, 1994 pp. 625-630

Bruce E. Hansen

ESTIMATION AND INFERENCE IN ECONOMETRICS Russell Davidson and James G. MacKinnon Oxford University Press, 1993 pp. 631-635

Victoria Zinde-Walsh

Estimation of a Product of Two Regression Lines pp. 637-638

Ali S. Hadi and Yugo Mulugetta

Optimal Weighting of Unbiased Estimators pp. 637-637

Badi Baltagi

Aitken's Generalization of the Gauss-Markov Theorem pp. 638-639

R.W. Farebrother

An Equivalence Relation for Two Symmetric Idempotent Matrices pp. 638-638

Shuangzhe Liu and Wolfgang Polasek

Matrix Results Associated with Aitken's Generalization of the Gauss-Markov Theorem pp. 639-639

R.W. Farebrother

MINQUE Under Heteroskedasticity?Solution pp. 639-641

Badi Baltagi

ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations pp. 641-642

Badi Baltagi and Qi Li

Minimization of a Scalar Function of Matrix pp. 642-646

Eric Iksoon Im and Marcellus S. Snow

Characterization of an Orthogonal Projection Matrix pp. 646-647

R.W. Farebrother, Heinz Neudecker and Shuangzhe Liu

Inefficiency of the Method of Moments Estimate for Noninvertible MA(1) Processes pp. 646-646

In Choi

Nonlinear Transformations of LUS Residuals pp. 647-648

R.W. Farebrother

The Singular Value Decomposition of the Square Roots of the Identity Matrix pp. 648-653

Jacob Goeree, Heinz Neudecker, S.W. Drury and George P.H. Styan

Moore-Penrose Inverse of a Matrix Product with Normal Matrix pp. 653-654

Trenkler, G?tz

A Kronecker Matrix Inequality with a Statistical Application pp. 654-655

Heinz Neudecker, Albert Satorra, Trenkler, G?tz and Shuangzhe Liu

Efficient Estimation with Orthogonal Regressors pp. 655-657

Francisco José Goerlich Gisbert

Nested Effects pp. 658-659

Weiwen Xiong

Yule?Walker Prediction Error in a Random Walk Model pp. 659-661

Hiroyuki Hisamatsu

Reduced Rank Regression Asymptotics in Multivariate Regression ? Solution pp. 661-666

Peter C. B. Phillips

Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure pp. 666-668

Peter C. B. Phillips

Characterization of a Projector pp. 668-669

Heinz Neudecker and Shuangzhe Liu

Matrix Trace Inequalities Involving Simple, Kronecker, and Hadamard Product pp. 669-670

Heinz Neudecker and Shuangzhe Liu

Volume 11, issue 02, 1995

Testing, Encompassing, and Simulating Dynamic Econometric Models pp. 195-228

Gouri?roux, Christian and Alain Monfort

Solutions of multivariate Rational Expectations Models pp. 229-257

Laurence Broze, Gouri?roux, Christian and Ariane Szafarz

Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality pp. 258-289

Elias Masry and Tj?stheim, Dag

On the Use of Artificial Regressions in Certain Microeconometric Models pp. 290-305

Chris Orme

The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes pp. 306-330

Rolf Larsson

Unit Root Tests Based on M Estimators pp. 331-346

Andre Lucas

Laws of Large Numbers for Dependent Heterogeneous Processes pp. 347-358

R.M. de Jong

An LM Test for a Unit Root in the Presence of a Structural Change pp. 359-368

Christine Amsler and Junsoo Lee

THE HISTORY OF ECONOMETRIC IDEAS Mary S. Morgan Cambridge University Press, 1990 pp. 371-383

Leland Gerson Neuberg

COMMENTS ON NEUBERG'S REVIEW OF THE HISTORY OF ECONOMETRIC IDEAS pp. 384-385

Duo Qin

COMMENTS ON NEUBERG'S REVIEW OF THE HISTORY OF ECONOMETRIC IDEAS pp. 386-388

G. Michael Lail and Neil De Marchi

Tinbergen's Cycle: An Arithmetic Error? TINBERGEN'S CYCLE: AN ARITHMETIC ERROR? pp. 389-391

Marcel Boumans

The History of Econometrics: Errors and Refutations THE HISTORY OF ECONOMETRICS: ERRORS AND REFUTATIONS pp. 392-397

Mary S. Morgan

Asymptotic Properties of Tests for Heteroskedasticity pp. 399-400

Jeffrey M. Wooldridge

Asymptotic Local Power of Wald Tests in Untransformed and Transformed Autoregressive Models pp. 400-400

In Choi

Testing for Correlated Effects in Panels pp. 401-402

Badi Baltagi

Equivalence Between OLS and GLS Estimators for Linear Regression Models with AR(1) and MA(1) Errors pp. 401-401

S.K Sapra

Errata pp. 402-402

Paolo Paruolo

Volume 11, issue 01, 1995

Estimation of Cointegrated Systems with I(2) Processes pp. 1-24

Yuichi Kitamura

A Stastistical Analysis of Cointegration for I(2) Variables pp. 25-59

Soren Johansen

Errors in Variables and Cointegration pp. 60-80

Victor Solo

A New Test for Nonstationarity Against the Stable Alternative pp. 81-104

Karim Abadir

Bootstrapping Quantile Regression Estimators pp. 105-121

Jinyong Hahn

Multivariate Simultaneous Generalized ARCH pp. 122-150

Robert F. Engle and Kenneth F. Kroner

The Econometrics of Learning in Financial Markets pp. 151-189

Peter Bossaerts

An Approximation to GARCH pp. 191-192

John L. Knight and Stephen E. Satchel

An Inequality Involving Submatrices pp. 191-191

Shuangzhe Liu

A Mixed-Error Component Model pp. 192-193

Badi Baltagi and Kr?mer, Walter