Econometric Theory

1987 - 2009

from Cambridge University Press
The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK.
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Volume 17, issue 06, 2001

ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY pp. 1037-1050

Oliver Bruce Linton

ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS pp. 1051-1081

Yongmiao Hong and Jin Lee

LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY pp. 1082-1112

Zhijie Xiao

THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY pp. 1113-1141

Mario Forni and Marco Lippi

INDEPENDENCE OF DOUBLE WIENER INTEGRALS pp. 1143-1155

Seiji Nabeya

ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS pp. 1161-1163

Les Oxley and Peter C. B. Phillips

Volume 17, issue 05, 2001

CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED REGRESSION MODELS pp. 863-888

Whitney K. Newey

IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS pp. 889-912

Cheng Hsiao

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS pp. 913-932

Jinyong Hahn

INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION pp. 933-961

Lung-Fei Lee

COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL? pp. 962-983

Herman J. Bierens

SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS pp. 984-1024

Oliver Bruce Linton and Zhijie Xiao

Volume 17, issue 04, 2001

THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES pp. 671-685

Hannes Leeb and Benedikt M. P tscher

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS pp. 686-710

Rohit S. Deo and Clifford M. Hurvich

APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS pp. 711-737

Seiji Nabeya

ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS pp. 738-764

Shiqing Ling and W.K. Li

ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM pp. 765-784

Quanshui Zhao

ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING pp. 785-819

Gurupdesh S. Pandher

LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS pp. 820-852

Alan J. Rogers

Volume 17, issue 03, 2001

EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN pp. 497-539

Carlos Velasco and Peter M. Robinson

A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS pp. 540-566

Efstathios Paparoditis and Dimitris N. Politis

SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL pp. 567-590

Songnian Chen and Shakeeb Khan

TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS pp. 591-607

Marcus J. Chambers

WHITTLE ESTIMATION OF ARCH MODELS pp. 608-631

Liudas Giraitis and Peter M. Robinson

THE ET INTERVIEW: PROFESSOR JOSEPH B. KADANE pp. 633-668

Ngai Hang Chan

Volume 17, issue 02, 2001

LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS pp. 283-295

Lajos Horv th and Piotr Kokoszka

CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 296-326

Pentti Saikkonen

STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 327-356

Pentti Saikkonen

UNIT ROOT SEASONAL AUTOREGRESSIVE MODELS WITH A POLYNOMIAL TREND OF HIGHER DEGREE pp. 357-385

Seiji Nabeya

TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS pp. 386-423

Jin Lee and Yongmiao Hong

THE ERROR TERM IN THE HISTORY OF TIME SERIES ECONOMETRICS pp. 424-450

Duo Qin and Christopher L. Gilbert

ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES pp. 451-470

Jeffrey M. Wooldridge

AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION pp. 471-474

Ralph W. Bailey, Peter Burridge and Shasikanta Nandeibam

A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING pp. 475-482

J.L. Knight and S.E. Satchell

Volume 17, issue 01, 2001

THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE pp. 1-28

Grant H. Hillier

HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY pp. 29-69

Peter C. B. Phillips, Hyungsik Roger Moon and Zhijie Xiao

NEAR SEASONAL INTEGRATION pp. 70-86

Paulo Rodrigues

STRUCTURAL CHANGE IN AR(1) MODELS pp. 87-155

Terence Tai Leung Chong

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES pp. 156-187

Atsushi Inoue

A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS pp. 188-221

Cheng Hsiao and Qi Li

THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES pp. 222-246

Karim Abadir and Rolf Larsson

ON THE RANGE OF CORRELATION COEFFICIENTS OF BIVARIATE ORDERED DISCRETE RANDOM VARIABLES pp. 247-256

Lung-Fei Lee

VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE pp. 257-275

Offer Lieberman, Judith Rousseau and David M. Zucker

Volume 16, issue 06, 2000

GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS pp. 797-834

Marine Carrasco and Florens, Jean-Pierre

MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST pp. 835-854

Friedrich Leisch, Kurt Hornik and Chung-Ming Kuan

THE FDH ESTIMATOR FOR PRODUCTIVITY EFFICIENCY SCORES pp. 855-877

B.U. Park, Leopold Simar and Ch. Weiner

MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS pp. 878-904

H. Peter Boswijk

VECTOR AUTOREGRESSIONS WITH UNKNOWN MIXTURES OF I(0), I(1), AND I(2) COMPONENTS pp. 905-926

Yoosoon Chang

ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA pp. 927-997

Hyungsik R. Moon and Peter C. B. Phillips

DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM pp. 998-1015

J. Roderick McCrorie

CONSISTENT MODEL SPECIFICATION TESTS pp. 1016-1041

Yanqin Fan and Qi Li

Volume 16, issue 05, 2000

THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I pp. 621-642

Robert M. de Jong and James Davidson

THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II pp. 643-666

James Davidson and Robert M. de Jong

A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS pp. 667-691

John Xu Zheng

ESTIMATING WEAK GARCH REPRESENTATIONS pp. 692-728

Christian Francq and Zako an, Jean-Michel

LOCAL SEMIPARAMETRIC EFFICIENCY BOUNDS UNDER SHAPE RESTRICTIONS pp. 729-739

Gautam Tripathi

A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS pp. 740-778

Soren Johansen

BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS pp. 779-789

Stephen J. Leybourne and Paul Newbold

Volume 16, issue 04, 2000

NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS pp. 465-501

Zongwu Cai and Elias Masry

EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS pp. 502-523

Oliver Bruce Linton

ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS pp. 524-550

Paolo Paruolo

SEMIPARAMETRIC ESTIMATION OF MULTIPLE EQUATION MODELS pp. 551-575

Gabriel A. Picone and J.S. Butler

NONPARAMETRIC SIGNIFICANCE TESTING pp. 576-601

Pascal Lavergne and Quang Vuong

IDENTIFICATION OF THE BINARY CHOICE MODEL WITH MISCLASSIFICATION pp. 603-609

Arthur Lewbel

SEMIPARAMETRIC METHODS IN ECONOMETRICS pp. 611-617

Qi Li

Volume 16, issue 03, 2000

LINEARIZATION OF RANDOMLY WEIGHTED EMPIRICALS UNDER LONG RANGE DEPENDENCE WITH APPLICATIONS TO NONLINEAR REGRESSION QUANTILES pp. 301-323

Kanchan Mukherjee

ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS pp. 324-346

Wen-Jen Tsay

THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES pp. 347-372

Soosung Hwang

TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT pp. 373-406

Pentti Saikkonen and Helmut L tkepohl

THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED pp. 407-439

Eric Zivot

FORECASTING ECONOMIC TIME SERIES pp. 441-450

Frank Schorfheide

Volume 16, issue 02, 2000

TESTS OF RANK pp. 151-175

Jean-Marc Robin and Richard J. Smith

TESTS OF COMMON STOCHASTIC TRENDS pp. 176-199

Jukka Nyblom and Andrew C. Harvey

ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS pp. 200-230

Seiji Nabeya

SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL pp. 231-248

Offer Lieberman, Judith Rousseau and David M. Zucker

LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS pp. 249-261

Marilena Furno

A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS pp. 262-268

Robert M. de Jong

SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS pp. 269-279

Badi Baltagi and Chang, Young-Jae

A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION pp. 280-282

Menelaos Karanasos

MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG) pp. 283-285

Les Oxley and Peter C. B. Phillips

Volume 16, issue 01, 2000

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM pp. 3-22

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus

SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS pp. 23-43

Minxian Yang

NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION pp. 44-79

Carlos Velasco

BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS pp. 80-101

Carmen Fern ndez and Mark Steel

COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS pp. 102-111

Umberto Triacca

THE ET INTERVIEW: PROFESSOR OLAV REIERS L pp. 113-125

Yngve Willassen

DYNAMIC NONLINEAR ECONOMETRIC MODELS ASYMPTOTIC THEORY pp. 127-130

Robert M. de Jong

SIMULATION-BASED ECONOMETRIC METHODS pp. 131-138

Torben G. Andersen

ECONOMETRIC METHODS pp. 139-142

Gautam Tripathi