Econometric Theory

1987 - 2009

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Volume 12, issue 05, 1996

Sobolev Estimation of Approximate Regressions pp. 753-772

Florens, Jean-Pierre, Marc Ivaldi and Sophie Larribeau

Spectral Analysis for Bivariate Time Series with Long Memory pp. 773-792

J. Hidalgo

Conditional Quantile Estimation and Inference for Arch Models pp. 793-813

Roger Koenker and Quanshui Zhao

Infinite-Order Cointegrated Vector Autoregressive Processes pp. 814-844

Pentti Saikkonen and L?tkepohl, HELMUT

The Encompassing Principle and Hypothesis Testing pp. 845-858

Maozu Lu and Grayham E. Mizon

Stochastic Limit Theory: An Introduction for Econometricians James Davidson, Oxford University Press, 1994 pp. 859-865

Gregoir, St?phane

Equivariance of the Maximum Likelihood (ML) Estimator in a Log-Logistic Duration Data Model with Right-Censoring pp. 867-868

S.K. Sapra

Heteroskedastic Fixed Effects Models pp. 867-867

Badi Baltagi

Roots of an Orthogonal Matrix pp. 868-868

Karim M. Abadir and Kaddour Hadri

Iterative Estimation in Partitioned Regression Models pp. 869-870

Badi Baltagi

Linear Combinations of Stationary Processes pp. 869-869

Robert Taylor

The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models pp. 870-871

Leo Michelis

The Moore-Penrose Inverse of a Sum of Three Matrices pp. 871-872

Heinz Neudecker

Testing for Fixed Effects in Logit and Probit Models Using an Artificial Regression pp. 872-874

Shiferaw Gurmu

Proving the Gauss?Markov Theorem without Using the Explicit Functional Form of the OLS Estimator in the CLR Model pp. 874-876

R.W. Farebrother

Volume 12, issue 04, 1996

A Reappraisal of Misspecified Econometric Models pp. 597-619

Alain Monfort

Encompassing and Specificity pp. 620-656

Florens, Jean-Pierre, David F. Hendry and Richard, Jean-Fran?ois

Which Moments to Match? pp. 657-681

A. Ronald Gallant and George Tauchen

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series pp. 682-704

Karim Abadir and Rolf Larsson

The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test pp. 705-723

Peter Burridge and Emmanuel Guerre

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests pp. 724-731

Jon Faust

The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients pp. 733-738

Brian Mccall

Modeling Stock Prices without Knowing How to Induce Stationarity pp. 739-740

David N. DeJong and Charles H. Whiteman

Reasonable Spurious Regressios pp. 743-744

Uwe Hassler

Instrument Selection for Consistent IV Estimator pp. 743-743

David L. Ryan and Denise Young

Orthogonal Projector pp. 744-744

Gro?, J?rgen and Trenkler, G?tz

Testing for Random Individual Effects with a Gauss-Newton Regression pp. 745-746

Badi Baltagi

Ordered-Reversed Stochastic Processes May Be Nonstochastic pp. 745-745

R.W. Farebrother

Ordering of Covariance Matrice pp. 746-748

Nunzio Cappuccio and Diego Lubian

The Moore-Penrose Generalized Inverse of a Symmetric Matrix pp. 748-749

Simo Puntanen and George P.H. Styan

Derivation of a Fully Modified Estimator pp. 749-751

Diego Lubian

Volume 12, issue 03, 1996

Markov Chain Monte Carlo Simulation Methods in Econometrics pp. 409-431

Siddhartha Chib and Edward Greenberg

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples pp. 432-457

Eric Ghysels and Offer Lieberman

Calculating the Distribution of the Serial Correlation Estimator by Saddlepoint Integration pp. 458-480

Carl W. Helstrom

Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value pp. 481-499

Hrishikesh D. Vinod and L.R. Shenton

BAYESIAN ECONOMETRICS: The First Twenty Years pp. 500-516

Duo Qin

Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm pp. 517-567

Stephen G. Donald and Harry J Paarsch

Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations pp. 569-580

Paul Rilstone and Michael R. Veall

Estimation, Inference and Specification Analysis H. White, Cambridge University Press, 1994 pp. 581-583

Oliver Bruce Linton

Occasional Optimality of T( ? 1) pp. 585-585

Peter Burridge

Local-to-Spurious Regression pp. 585-586

Jonathan Wright

Multivariate Regression with Unequal Number of Observations pp. 586-587

Enrique Sentana

Optimal Weighting of Unbiased Estimators?Solution pp. 587-589

Trenkler, G?tz

Estimation of a Product of Two Regression Lines pp. 589-590

Ali S. Hadi and Yugo Mulugetta

An Equivalence Relation for Two Symmetric Idempotent Matrices pp. 590-592

Simo Puntanen, George P.H. Styan and Fuzhen Zhang

Aitken Generalization of the Gauss-Markov Theorem without Calculus pp. 592-593

Farshid Vahid

Matrix Results Associated with Aitken's Generalization of the Gauss-Markov Theorem pp. 593-595

Simo Puntaner and George P.H. Styan

Volume 12, issue 02, 1996

Noncausality in Continuous Time Models pp. 215-256

F. Comte and E. Renault

The Bahadur-Kiefer Representation of Lp Regression Estimators pp. 257-283

Miguel A. Arcones

Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications pp. 284-304

Xiaohong Chen and Halbert White

Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors pp. 305-330

Lee, Myoung-Jae

Valid Edgeworth Expansions of M-Estimators in Regression Models with Weakly Dependent Resfduals pp. 331-346

Masanobu Taniguchi and Madan L. Puri

Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays pp. 347-359

Bruce E. Hansen

Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends pp. 361-373

Theodore Simos

The Estimation of Continuous Parameter Long-Memory Time Series Models pp. 374-390

Marcus J. Chambers

Problems: Generalization of a Matrix Inequality pp. 393-394

Eric Iksoon

Problems: Kernel Regression with ?No? Information pp. 393-393

Oliver Linton

Solutions: An Inequality Involving Submatrices pp. 394-395

Jacob Goeree, Liu Shuangzhe and Neudecker Heinz

Solutions: Derivation of the OLS Estimator Without Using Calculus pp. 395-396

William Pizer and Martin Sefton

Solutions: An Approximation to GARCH pp. 396-401

Offer Lieberman

Solutions: A Mixed-Error Component Model pp. 401-402

Weiwen Xiong

Solutions: Asymptotic Properties of Tests for Heteroskedasticity under Measurement Error pp. 402-403

Jeffrey M. Wooldridge

SOLUTIONS: Asymptotic Local Power of Wald Tests in Untransformed and Transformed Autoregressive Model pp. 403-404

In Choi

SOLUTIONS: Equivalence between OLS and GLS Estimators for Linear Regression Models with AR(1) and MA(1) Errors pp. 404-404

S.K. Sapra

SOLUTIONS: Testing for Correlated Effects in Panels pp. 405-406

Weiwen Xiong

Volume 12, issue 01, 1996

Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle pp. 1-29

Richard A. Davis and William T.M. Dunsmuir

Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models pp. 30-60

Oliver Bruce Linton

Testing for Causation Using Infinite Order Vector Autoregressive Processes pp. 61-87

L?tkepohl, Helmut and D.S. Poskitt

Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches pp. 88-112

Mohamed Bentarzi and Marc Hallin

A Note on the Normalized Errors in ARCH and Stochastic Volatility Models pp. 113-128

Daniel B. Nelson

Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors pp. 129-153

Miguel A. Herce

Interviewed by Grant H. Hillier and Christopher L. Skeels pp. 155-185

A.T. James

A Note on Bootstrapping Generalized Method of Moments Estimators pp. 187-197

Jinyong Hahn

Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score pp. 199-199

Bart Lambrech, William Perraudin and Stephen Satchell

Properties of Functions of a Real Symmetric Matrix pp. 200-200

Heinz Neudecker

Fully Modified Least Squares in 1(2) Regression pp. 201-204

David Harris

Spurious Regression and Generalized Least Square pp. 204-209

Diego Lubian

The Asymptotic Power of RESET for Detecting Omitted Variables pp. 209-210

Jeffrey Wooldridge

A Strong Law of Large Numbers pp. 210-214

Robert M. de Jong, C.R. Kemp Gordon and Xu Zheng John