Econometric Theory

1987 - 2009

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Volume 13, issue 06, 1997

New Heraldry for ET pp. 769-769

Peter C. B. Phillips

Curved Exponential Models in Econometrics pp. 771-790

Kees Jan van Garderen

Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios pp. 791-807

John L Knight and Stephen E. Satchell

Optimal Prediction Under Asymmetric Loss pp. 808-817

Peter F. Christoffersen and Francis Diebold

Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series pp. 818-848

Timothy Vogelsang

Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables pp. 850-876

In Choi, Joon Y. Park and Byungchul Yu

Multivariate Linear Rational Expectations Models pp. 877-888

Michael Binder and M Hashem Pesaran

Estimation of Time-Series Regressions with Autoregressive Disturbances and Missing Observations pp. 889-889

Badi H. Baltagi and Ping X. Wu

Mahalanobis Distance for Multinomial Data pp. 890-891

Heinz Neudecker

A Fundamental Matrix Result on Scaling in Multivariate Analysis pp. 890-890

Heinz Neudecker, Albert Satorra and Michel van de Velden

Heteroskedastic Fixed Effects Models?Solution pp. 891-893

Christian Kleiber

Equivariance of the Maximum Likelihood (ML) Estimator in a Log-Logistic Duration Data Model with Right-Censoring?Solution pp. 893-894

Canals, Jos? and Shiferaw Gurmu

Roots of an Orthogonal Matrix?Solution pp. 894-895

H. Peter Boswijk and Maozo Lu

On the Bias of Standard Errors of the LS Residual under Nonnormal Errors pp. 895-896

Maozo Lu

On the Bias of Standard Errors of the LS Residual under Nonnormal Errors?Solution pp. 896-897

Offer Lieberman, Aman Ullah and Robert Vincent Breunig

Linear Combinations of Stationary Processes?Solution pp. 897-898

Gordon C.R. Kemp

Volume 13, issue 05, 1997

A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model pp. 615-645

George J. Jiang and John L. Knight

Comovements Between Diffusion Processes pp. 646-666

Valentina Corradi

Multiplicative Panel Data Models Without the Strict Exogeneity Assumption pp. 667-678

Jeffrey M. Wooldridge

Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test pp. 679-691

Yin-Wong Cheung and Kon S. Lai

On Asymptotic Inference in Linear Cointegrated Time Series Systems pp. 692-745

P. Jeganathan

Econometric Analysis of Panel Data pp. 747-754

Badi Baltagi and Michael A. Boozer

Hausman's Specification Test as a Gauss-Newton Regression pp. 757-757

Badi Baltagi

Asymptotic Properties of the Least-Squares Estimator of the Variance in a Linear Model pp. 757-758

Risto Heijmans

Instrument Selection for Consistent IV Estimators?Solution pp. 758-760

David L. Ryan and Denise Young

Multivariate Regression Subject to Orthogonality Conditions pp. 758-758

R.W. Farebrother

Reasonable Spurious Regressions?Solution pp. 760-764

Monta?es, Antonio

Orthogonal Projectors?Solution pp. 764-765

Simo Puntanen and George P.H. Styan

Ordered-Reversed Stochastic Processes May Be Nonstochastic?Solution pp. 765-766

Geert Dhaene

The Symmetry of a Moore-Penrose Inverse?Solution pp. 766-767

Francisco José Goerlich Gisbert

Volume 13, issue 04, 1997

Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data pp. 467-505

A.R. Bergstrom

Weak Convergence to a Matrix Stochastic Integral with Stable Processes pp. 506-528

Mehmet Caner

Principal Components Analysis of Cointegrated Time Series pp. 529-557

David Harris

An Asymptotic Expansion in the GARCH(l, 1) Model pp. 558-581

Oliver Bruce Linton

A Note on the Efficient Semiparametric Estimation of Some Exponential Panel Models pp. 583-588

Jinyong Hahn

The Formation of Econometrics: A Historical Perspective Duo Qin Oxford University Press, 1993 pp. 589-603

Leland Gerson Neuberg

A Consistent Estimator for Truncated Poisson Models with Specification Error pp. 605-605

Joao Santos Silva

Occasional Optimality of T( ? 1) pp. 606-608

Peter Burridge

Properties of Idempotent Matrix pp. 606-606

Robert E. Hartwig and Trenkler, G?tz

Local-to-Spurious Regression?Solution pp. 608-613

Diego Lubian

Multivariate Regression with Unequal Number of Observations?Solution pp. 613-614

Enrique Sentana

Volume 13, issue 03, 1997

Estimating Multiple Breaks One at a Time pp. 315-352

Jushan Bai

Central Limit Theorems for Dependent Heterogeneous Random Variables pp. 353-367

Robert M. de Jong

Comparison of Deterministic and Stochastic Predictors in Nonlinear Systems When the Disturbances Are Small pp. 368-391

Arvin-Rad, Hassan

Approximate Solutions to Stochastic Dynamic Programs pp. 392-405

Steven Stern

Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances pp. 406-429

Anoop Chaturvedi, Hikaru Hasegawa, Ajit Chaturvedi and Govind Shukla

Estimation in the Cox-Ingersoll-Ross Model pp. 430-461

Ludger Overbeck and Ryd?n, Tobias

Two Matrix Inequalities Involving the Moore-Penrose Inverse pp. 463-464

Shuangzhe Liu and Wolfgang Polasek

A Simple Linear Trend Model with Error Components pp. 463-463

Badi H. Baltagi and Kr?mer, Walter

An Inequality Concerning the Hadamard Matrix Product pp. 464-464

Heinz Neudecker

Kernel Regression with ?No? Information pp. 464-465

Oliver Bruce Linton

Global Concavity of the Likelihood Functions for Two Binary Choice Models pp. 465-466

J. Roderick McCrorie

Generalization of a Matrix Inequality pp. 466-466

T.W. Anderson

Volume 13, issue 02, 1997

The Econometric Theory Awards pp. 145-147

Peter C. B. Phillips

The A.R. Bergstrom Prize in Econometrics, 1996 pp. 148-148

Viv B. Hall and Peter C. B. Phillips

Cointegration Testing Using Pseudolikelihood Ratio Tests pp. 149-169

Andre Lucas

The Cumulant Generating Function Estimation Method pp. 170-184

John L. Knight and Stephen E. Satchell

Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity pp. 185-213

N. Scott Cardell

Additive Nonlinear ARX Time Series and Projection Estimates pp. 214-252

Elias Masry and Tj?stheim, Dag

The ET Interview: Professor Clive Granger pp. 253-303

Clive W. J. Granger

Standard Errors for the Long-Run Variance Matrix pp. 305-306

Paolo Paruolo

Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic pp. 306-307

Oliver Bruce Linton

A Joint Test for Functional Form and Random Individual Effects pp. 307-308

Badi Baltagi

Inconsistency of Minimum Variance Quadratic Unbiased Estimators under Non-Gaussian Compound Normal Distribution pp. 308-309

Rolle, Jean-Daniel

Least-Squares Approximation of Off-Diagonal Elements of a Variance Matrix in the Context of Factor Analysis pp. 308-308

Albert Satorra and Heinz Neudecker

Approximating the Finite Sample Bias for Maximum Likelihood Estimators Using the Score?Solution pp. 310-312

Bert Lambrecht, William Perraudin and Stephen Satchell

Properties of Functions of a Real Symmetric Matrix?Solution pp. 312-313

Heinz Neudecker

An Alternative Representation of the Hadamard Product?Solution pp. 313-314

J. Roderick McCrorie

Volume 13, issue 01, 1997

Semiparametric Estimation of a Single-Index Model with Nonparametrically Generated Regressors pp. 3-31

Hyungtaik Ahn

Semiparametric Estimation of Location and Other Discrete Choice Moments pp. 32-51

Arthur Lewbel

The Effect of Nonnormality pp. 52-78

Offer Lieberman

Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems pp. 79-118

Paolo Paruolo

Handbook of Econometrics, vol. 4 Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994 pp. 119-132

Bruce E. Hansen and Joel L. Horowitz

Stable Non-Gaussian Random Processes Gennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 pp. 133-142

Keith Knight