Econometric Theory

1987 - 2009

from Cambridge University Press
The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK.
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Volume 18, issue 06, 2002

TESTING FOR LONG MEMORY IN VOLATILITY pp. 1291-1308

Clifford M. Hurvich and Philippe Soulier

REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES pp. 1309-1335

Michael Jansson and Niels Haldrup

ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS pp. 1336-1349

J rg Breitung and Carsten Trenkler

HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE pp. 1350-1366

Nicholas M. Kiefer and Timothy Vogelsang

THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS pp. 1367-1384

S lvia Gon alves and Halbert White

MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS pp. 1385-1407

Hyungsik Roger Moon and Frank Schorfheide

NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS pp. 1408-1448

Lijian Yang and Rolf Tschernig

CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES pp. 1449-1459

Michael Jansson

Volume 18, issue 05, 2002

ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS pp. 1019-1039

Tucker Sprague McElroy and Dimitris N. Politis

EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS pp. 1040-1085

Donald W. K. Andrews

PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED pp. 1086-1098

Akio Namba

RANK ESTIMATORS FOR A TRANSFORMATION MODEL pp. 1099-1120

Elena Asparouhova, Robert Golanski, Krzysztof Kasprzyk, Robert P. Sherman and Tihomir Asparouhov

ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS pp. 1121-1138

Dong Wan Shin and Man Suk Oh

OPTIMAL MINIMAX RATES FOR NONPARAMETRIC SPECIFICATION TESTING IN REGRESSION MODELS pp. 1139-1171

Emmanuel Guerre and Pascal Lavergne

ASYMPTOTIC THEORY FOR SOME HIGH BREAKDOWN POINT ESTIMATORS pp. 1172-1196

Victoria Zinde-Walsh

THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES pp. 1197-1220

Eiji Kurozumi

Volume 18, issue 04, 2002

THE EXACT CUMULATIVE DISTRIBUTION FUNCTION OF A RATIO OF QUADRATIC FORMS IN NORMAL VARIABLES, WITH APPLICATION TO THE AR(1) MODEL pp. 823-852

Giovanni Forchini

OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL pp. 853-867

Giovanni Forchini

MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS pp. 868-885

Changli He, Timo Ter svirta and Hans Malmsten

ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY pp. 886-912

Raymond J. Carroll, Wolfgang H rdle and Enno Mammen

ON VARIABLE SELECTION IN LINEAR REGRESSION pp. 913-925

Paul Kabaila

SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION pp. 926-947

Antonio Aznar and Manuel Salvador

KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD pp. 948-961

Christina Christou and Nikitas Pittis

ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS pp. 962-984

Donald W. K. Andrews and Moshe Buchinsky

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR pp. 985-991

Flavio A. Ziegelmann

ASYMPTOTIC THEORY OF STATISTICAL INFERENCE FOR TIME SERIES pp. 993-999

Offer Lieberman

ECONOMETRICS pp. 1000-1006

In Choi

Volume 18, issue 03, 2002

EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY pp. 547-583

Guido M. Kuersteiner

PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN pp. 584-624

J. Hidalgo and Y. Yajima

SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS pp. 625-645

Qi Li and Jeffrey M. Wooldridge

INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION pp. 646-672

Francesc Marmol, Alvaro Escribano and Felipe M. Aparicio

ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS pp. 673-690

Paolo Paruolo

EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION pp. 691-721

John L. Knight and Jun Yu

NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS pp. 722-729

Shiqing Ling and Michael McAleer

TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE pp. 730-743

Ignacio N. Lobato, John C. Nankervis and N.E. Savin

STRUCTURAL CHANGES AND SEEMINGLY UNIDENTIFIED STRUCTURAL EQUATIONS pp. 744-775

In Choi

TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS pp. 776-799

Timothy Erickson and Toni M. Whited

A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL pp. 800-814

Mehmet Caner

COMMENTS ON THE PAPER BY MINXIAN YANG pp. 815-818

Christian Francq and Zako an, Jean-Michel

Volume 18, issue 02, 2002

NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS pp. 197-251

Stefan Sperlich, Dag Tj stheim and Lijian Yang

CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS pp. 252-277

Lung-Fei Lee

A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS pp. 278-296

Katsuto Tanaka

ASYMPTOTIC ROBUSTNESS IN MULTIPLE GROUP LINEAR-LATENT VARIABLE MODELS pp. 297-312

Albert Satorra

TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME pp. 313-348

Pentti Saikkonen and Helmut L tkepohl

ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS pp. 349-386

Inmaculada Fiteni

MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK pp. 387-419

Marcus J. Chambers and Joanne S. McGarry

NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA pp. 420-468

Oliver Bruce Linton and Yoon-Jae Whang

AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES pp. 469-490

Joon Y. Park

THE PROPERTIES OF Lp-GMM ESTIMATORS pp. 491-504

Robert de Jong and Chirok Han

TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES pp. 505-524

Alfred A. Haug

ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS pp. 525-530

Mario Faliva and Maria Grazia Zoia

PARTIAL REDUNDANCY OF MOMENT CONDITIONS pp. 531-539

Hailong Qian

Volume 18, issue 01, 2002

ON STATIONARITY IN THE ARCH([infty infinity]) MODEL pp. 1-16

Vytautas Kazakevicius and Remigijus Leipus

MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS pp. 17-39

Marine Carrasco and Xiaohong Chen

ON INTERCEPT ESTIMATION IN THE SAMPLE SELECTION MODEL pp. 40-50

Marcia M.A. Schafgans and Victoria Zinde-Walsh

SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES pp. 51-78

Chung, Ching-Fan

ON THE JACKKNIFE-AFTER-BOOTSTRAP METHOD FOR DEPENDENT DATA AND ITS CONSISTENCY PROPERTIES pp. 79-98

S.N. Lahiri

STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME pp. 99-118

Jo o Nicolau

THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS pp. 119-139

Qiying Wang, Lin, Yan-Xia and Chandra M. Gulati

OPTIMAL INFERENCE WITH MANY INSTRUMENTS pp. 140-168

Jinyong Hahn

REGRESSION QUANTILES FOR TIME SERIES pp. 169-192

Zongwu Cai

The 2002 Econometric Theory Awards pp. 195-195

Peter C. B. Phillips