Econometric Theory

1987 - 2009

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Volume 15, issue 06, 1999

APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION pp. 789-813

Rolf Larsson

UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES pp. 814-823

Badi Baltagi and Ping X. Wu

FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS pp. 824-846

Changli He and Timo Ter svirta

ASYMPTOTIC THEORY FOR THE DURBIN WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE pp. 847-866

Shisei Nakamura and Masanobu Taniguchi

THE ET INTERVIEW: PROFESSOR JAMES TOBIN pp. 867-900

Robert J. Shiller

Volume 15, issue 05, 1999

DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS pp. 643-663

Valentina Corradi

COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS pp. 664-703

Joon Y. Park and Sang B. Hahn

THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION pp. 704-709

Jonathan Wright

OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST pp. 710-718

Wm. Brent Boning and Fallaw Sowell

RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS pp. 719-752

Cribari-Neto, Francisco, Mark J. Jensen and lvaro A. Novo

ET INTERVIEW: PROFESSOR G.S. MADDALA pp. 753-776

Kajal Lahiri

Volume 15, issue 04, 1999

MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I pp. 435-468

St phane Gregoir

MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II pp. 469-518

St phane Gregoir

EFFICIENT DETRENDING IN COINTEGRATING REGRESSION pp. 519-548

Zhijie Xiao and Peter C. B. Phillips

THE NONSTATIONARY FRACTIONAL UNIT ROOT pp. 549-582

Katsuto Tanaka

ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS pp. 583-621

P. Jeganathan

SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS pp. 622-628

Wen-Jen Tsay

OBITUARY pp. 639-641

Kajal Lahiri and Peter C. B. Phillips

Volume 15, issue 03, 1999

ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES pp. 269-298

Joon Y. Park and Peter C. B. Phillips

LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS pp. 299-336

P.M. Robinson and M. Henry

STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS pp. 337-360

Lung-Fei Lee

THE SIZE DISTORTION OF BOOTSTRAP TESTS pp. 361-376

Russell Davidson and James MacKinnon

IMPROVED ESTIMATION OF THE EXPECTED KULLBACK LEIBLER DISCREPANCY IN CASE OF MISSPECIFICATION pp. 377-387

Erhard Reschenhofer

THE ET INTERVIEW: PROFESSOR GEORGE C. TIAO pp. 389-424

Ngai Hang Chan

Volume 15, issue 02, 1999

CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS pp. 165-176

Beong Soo So and Dong Wan Shin

TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW pp. 177-183

Ralf Runde

ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES pp. 184-217

Tjacco van der Meer, Gyula Pap and Martien C.A. van Zuijlen

A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS pp. 218-227

Francesco Bravo

A GENERAL METHOD TO ESTIMATE CORRELATED DISCRETE RANDOM VARIABLES pp. 228-237

Hans van Ophem

THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE pp. 238-256

Gordon C.R. Kemp

Volume 15, issue 01, 1999

UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION pp. 1-23

Dong Wan Shin and Beong Soo So

ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A STOCHASTIC TREND COMPONENT pp. 24-49

Kuo, Biing-Shen

LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS pp. 50-78

Pentti Saikkonen and Helmut L tkepohl

SEMIPARAMETRIC ESTIMATION OF A LOCATION PARAMETER IN THE BINARY CHOICE MODEL pp. 79-98

Songnian Chen

ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS pp. 99-113

Masahito Kobayashi and Michael McAleer

CONSTRAINED SMOOTHING SPLINES pp. 114-138

Juan M. Rodriguez P o

ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE pp. 139-149

Seiji Nabeya

Volume 14, issue 06, 1998

THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994 1996 pp. 699-699

Peter C. B. Phillips

BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES pp. 701-743

Frank Kleibergen and Herman K. van Dijk

TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES pp. 744-769

Florens, Jean-Pierre, Eric Renault and Nizar Touzi

MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS pp. 770-782

Jean-Yves Pitarakis

A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES pp. 783-793

Alois Kneip, Byeong U. Park and Leopold Simar

AN INTRODUCTION TO ECONOMETRIC THEORY pp. 795-798

Oliver Bruce Linton

Econometric Society Australasian Meetings 1997 (ESAM97) pp. 800-801

Vance Lindsay Martin

Volume 14, issue 05, 1998

SADDLEPOINT APPROXIMATIONS FOR NONCENTRAL QUADRATIC FORMS pp. 539-559

Patrick W.N. Marsh

AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS pp. 560-603

Pierre Perron and Serena Ng

GOODNESS-OF-FIT TESTS BASED ON KERNEL DENSITY ESTIMATORS WITH FIXED SMOOTHING PARAMETERS pp. 604-621

Yanqin Fan

A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION pp. 622-640

M. Karanasos

ASYMPTOTICS OF NONSTATIONARY FRACTIONAL INTEGRATED SERIES pp. 641-662

Ming Liu

A NOTE ON SPURIOUS BREAK pp. 663-669

Jushan Bai

THE ECONOMETRICS OF FINANCIAL MARKETS pp. 671-685

Torben G. Andersen

Volume 14, issue 04, 1998

ASYMPTOTIC THEORY FOR M-ESTIMATORS OVER A CONVEX KERNEL pp. 387-422

Miguel A. Arcones

EFFICIENT SEMIPARAMETRIC SCORING ESTIMATION OF SAMPLE SELECTION MODELS pp. 423-462

Songnian Chen and Lung-Fei Lee

VALID CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION pp. 463-482

Paul Kabaila

REVISING BELIEFS IN NONIDENTIFIED MODELS pp. 483-509

Dale J. Poirier

TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY pp. 511-516

Graham Elliott

LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS pp. 517-524

Yuichi Kitamura

Volume 14, issue 03, 1998

CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE pp. 295-325

Maxwell B. Stinchcombe and Halbert White

ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT pp. 326-338

B.P.M. McCabe and S.J. Leybourne

CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES pp. 339-354

Stefan Mittnik, Svetlozar T. Rachev and Kim, Jeong-Ryeol

EFFECT OF A SHIFT IN THE TREND FUNCTION ON DICKEY FULLER UNIT ROOT TESTS pp. 355-363

Antonio Monta s and Marcelo Reyes

FINANCIAL CALCULUS: AN INTRODUCTION TO DERIVATIVE PRICING pp. 365-368

Bent E. S renson

TOPICS IN ADVANCED ECONOMETRICS: ESTIMATION, TESTING, AND SPECIFICATION OF CROSS-SECTION AND TIME SERIES MODELS pp. 369-374

Yoon-Jae Whang

TIME-SERIES-BASED ECONOMETRICS pp. 375-378

In Choi

HANDBOOK OF MATRICES pp. 379-380

Jan R. Magnus

Volume 14, issue 02, 1998

QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES pp. 161-186

Laurence Broze, Olivier Scaillet and Zako an, Jean-Michel

A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES pp. 187-199

Lisbeth la Cour

ON PHILLIPS PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS pp. 200-221

J rg Breitung and Philip Hans Franses

TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS pp. 222-259

Byeongseon Seo

CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS pp. 260-284

Xiaohong Chen and Halbert White

EDITOR'S TRIBUTE pp. 293-294

Peter C. B. Phillips

Volume 14, issue 01, 1998

WORLDWIDE INSTITUTIONAL RANKINGS IN ECONOMETRICS: 1989 1995 pp. 1-43

Badi Baltagi

ADAPTIVE ESTIMATION OF ERROR CORRECTION MODELS pp. 44-69

Douglas J. Hodgson

STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS pp. 70-86

Thierry Jeantheau

A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM pp. 87-122

Yoon-Jae Whang

A CONSISTENT NONPARAMETRIC TEST OF PARAMETRIC REGRESSION MODELS UNDER CONDITIONAL QUANTILE RESTRICTIONS pp. 123-138

John Xu Zheng

CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY pp. 139-149

John Xu Zheng