Econometric Theory

1987 - 2009

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Volume 19, issue 06, 2003

AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD pp. 885-922

Pekka Pere

GENERALIZED EMPIRICAL LIKELIHOOD BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS pp. 923-943

Han Hong, Bruce Preston and Matthew Shum

THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP pp. 944-961

Atsushi Inoue and Lutz Kilian

COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY pp. 962-983

Alastair R. Hall, Atsushi Inoue and Fernanda Paula Mora Peixe

HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES pp. 984-1007

Masanobu Taniguchi, Kees Jan van Garderen and Madan L. Puri

SEMIPARAMETRIC ESTIMATION OF SEPARABLE MODELS WITH POSSIBLY LIMITED DEPENDENT VARIABLES pp. 1008-1039

Rodr guez-P o, Juan M., Stefan Sperlich and Philippe Vieu

SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL pp. 1040-1064

Songnian Chen and Shakeeb Khan

DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS pp. 1065-1121

Yongmiao Hong and Lee, Tae-Hwy

AN EQUIVALENCE RESULT FOR VC CLASSES OF SETS pp. 1123-1127

Scott Joslin and Robert P. Sherman

CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS pp. 1128-1143

Arturo Estrella

THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 pp. 1159-1193

Francis Diebold

03.6.1. The Central Limit Theorem for Student's Distribution pp. 1195-1195

Karim Abadir and Jan Magnus

03.6.2. Unbiasedness of the OLS Estimator with Random Regressors pp. 1195-1195

Michael Jansson

02.6.1. Oblique Projectors Solution pp. 1195-1196

G tz Trenkler

02.6.1. Oblique Projectors Solution pp. 1196-1197

Hans Joachim Werner

02.6.2. Autoregression and Redundant Instruments Solution pp. 1197-1198

Stanislav Anatolyev

THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2003 pp. 1199-1200

Viv B. Hall and Peter C. B. Phillips

THE 2000 2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE pp. 1201-1202

Peter C. B. Phillips

Volume 19, issue 05, 2003

CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS pp. 707-743

Giovanni Forchini and Grant H. Hillier

FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC pp. 744-753

Paul Bekker and Frank Kleibergen

BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION pp. 754-777

Jo o Nicolau

DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION pp. 778-811

Karim Abadir and Michael Rockinger

IDENTIFIABILITY OF RECURRENT NEURAL NETWORKS pp. 812-828

Al-Falou, A.A. and D. Trummer

SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE pp. 829-864

David Harris, Brendan McCabe and Stephen Leybourne

THE DICKEY FULLER TEST FOR EXPONENTIAL RANDOM WALKS pp. 865-877

P.L. Davies and W. Kr mer

03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation pp. 879-879

Badi Baltagi

03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation pp. 879-880

Dennis Kristensen and Oliver Bruce Linton

02.5.1. A Mixingale Inequality Using an Exponential Moment pp. 880-881

Robert M. de Jong

02.5.2. Durbin Watson Statistic and Random Individual Effects pp. 882-883

Stanislav Anatolyev

Volume 19, issue 04, 2003

ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS pp. 515-540

Istv n Berkes, Lajos Horv th and Piotr Kokoszka

ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS pp. 541-564

Shiqing Ling and W.K. Li

ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE pp. 565-586

Istv n Berkes, Lajos Horv th and Piotr Kokoszka

ASYMPTOTIC ESTIMATION OF THE E-GINI INDEX pp. 587-601

Ricardas Zitikis

THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS pp. 602-609

Stanislav Anatolyev

ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS pp. 610-619

Gordon C.R. Kemp

INFERENCE ON SEGMENTED COINTEGRATION pp. 620-639

Kim, Jae-Young

NONPARAMETRIC ESTIMATION OF HOMOGENEOUS FUNCTIONS pp. 640-663

Gautam Tripathi and Woocheol Kim

ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000 pp. 665-674

Alex S. Maynard

CAUSALITY: MODELS, REASONING, AND INFERENCE, by Judea Pearl, Cambridge University Press, 2000 pp. 675-685

Leland Gerson Neuberg

COMMENTS ON NEUBERG'S REVIEW OF CAUSALITY pp. 686-689

Judea Pearl

03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance pp. 691-691

Karim Abadir and Jan R. Magnus

03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint pp. 691-692

Giuseppe Cavaliere

02.3.1. Regression with an Evaporating Logarithmic Trend Solution pp. 692-701

Peter C. B. Phillips and Yixiao Sun

02.3.2. Badly Weighted Least Squares Solution pp. 701-703

Douglas P. Wiens

02.4.1. On Hadamard Product of Square Roots of Correlation Matrices Solution pp. 703-704

Shuangzhe Liu

02.4.2. On the Rank of a Matrix Useful in Goodness-of-Fit Testing of Structural Equation Models Solution pp. 704-705

Simo Puntanen, George P.H. Styan and Hans Joachim Werner

Volume 19, issue 03, 2003

IN MEMORY OF JOHN DENIS SARGAN pp. 417-422

Peter C. B. Phillips

CURRENT PROBLEMS IN ECONOMETRICS A PERSONAL VIEW: Address on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa of the University Carlos III, 2 February 1993 pp. 423-428

J. Denis Sargan

THE DEVELOPMENT OF ECONOMETRICS AT LSE IN THE LAST 30 YEARS pp. 429-438

J. Denis Sargan

LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993 pp. 439-450

Antoni Espasa

J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY pp. 457-480

David F. Hendry

DENIS SARGAN: SOME PERSPECTIVES pp. 481-494

P.M. Robinson

VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN pp. 495-511

Peter C. B. Phillips

Volume 19, issue 02, 2003

ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST pp. 231-239

Rohit S. Deo and Matthew Richardson

POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS pp. 240-253

Ted Juhl and Zhijie Xiao

MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES pp. 254-279

Ing, Ching-Kang

ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL pp. 280-310

Shiqing Ling and Michael McAleer

ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS pp. 311-321

Robert Taylor

DETECTING LACK OF IDENTIFICATION IN GMM pp. 322-330

Jonathan Wright

THE ET INTERVIEW: PROFESSOR C.R. RAO: Interviewed by Anil K. Bera University of Illinois at Urbana-Champaign pp. 331-400

Anil K. Bera

FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001 pp. 401-409

Frank Schorfheide

03.2.1. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model pp. 411-412

Jeffrey M. Wooldridge

01.2.1. ARMA Representation of Squared Markov Switching Heteroskedastic Models Solution pp. 412-413

Walter Distaso

Volume 19, issue 01, 2003

EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL pp. 1-31

Sokbae (Simon) Lee

A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS pp. 32-48

Anders Rygh Swensen

THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION pp. 49-77

Marcus J. Chambers

THE RISE AND FALL OF EXTRANEOUS ESTIMATION: LESSONS FROM ECONOMETRIC HISTORY? pp. 78-99

A. Buse

THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS pp. 100-142

Hannes Leeb and Benedikt M. P tscher

ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS pp. 143-164

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

WORLDWIDE INSTITUTIONAL AND INDIVIDUAL RANKINGS IN ECONOMETRICS OVER THE PERIOD 1989 1999: AN UPDATE pp. 165-224

Badi Baltagi

03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression pp. 225-226

Stanislav Anatolyev

03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function pp. 225-225

S.K. Sapra

02.1.1. LS and BLUE Are Algebraically Identical Solution pp. 226-227

Richard William Farebrother

02.1.2. A Particular Symmetric Idempotent Matrix Solution pp. 227-228

George P.H. Styan and Hans Joachim Werner