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Econometric Theory
1985 - 2012
from Cambridge University Press
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Volume 22, issue 06 , 2006
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS pp. 989-1029 Liudas Giraitis , Remigijus Leipus and Anne Philippe A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS pp. 1030-1051 Juan Carlos Escanciano STOCHASTIC UNIT ROOT MODELS pp. 1052-1090 Christian S. Gourieroux and Christian Y. Robert A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION pp. 1091-1111 Uwe Hassler and Jörg Breitung ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL pp. 1112-1137 Yingcun Xia ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS pp. 1138-1175 Donald Stephen Poskitt ACKNOWLEDGMENT OF RELATED PRIOR WORK pp. 1177-1178 Jeffrey Marc Wooldridge ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER pp. 1179-1190 H.R. Moon , Benoit Perron and Peter C. B. Phillips AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION pp. 1191-1194 Badi H. Baltagi Volume 22, issue 05 , 2006
UNBALANCED COINTEGRATION pp. 765-814 Javier Hualde MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS pp. 815-834 Christian Francq and Jean-Michel Zako an A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS pp. 835-851 Atsushi Inoue and Gary Solon ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES pp. 852-862 Ji-Chun Liu BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION pp. 863-912 Patrik Guggenberger and Yixiao Sun YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS pp. 913-931 Grant H. Hillier ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR pp. 932-946 Giovanni Forchini A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION pp. 947-960 Peter C. B. Phillips NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005 pp. 961-967 Lutz Kilian MATRIX ALGEBRA, by Karim M. Abadir and Jan R. Magnus, Cambridge University Press, 2005 pp. 968-972 Taisuke Otsu RANDOM EFFECTS AND SPATIAL AUTOCORRELATION WITH EQUAL WEIGHTS pp. 973-984 Badi H. Baltagi A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES pp. 985-988 Mika Meitz Volume 22, issue 04 , 2006
A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS pp. 543-586 Alain Guay and Emmanuel Guerre A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS pp. 587-613 Yanqin Fan , Qi Li and Insik Min A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS pp. 614-632 Yiguo Sun ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES pp. 633-676 Pierre Duchesne LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS pp. 677-719 Ole E. Barndorff-Nielsen , Svend Erik Graversen , Jean Jacod and Neil Shephard A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES pp. 721-742 Emmanuel Guerre and Hyungsik Roger Moon FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS pp. 743-755 Helle Bunzel A GENERALIZATION OF THE BURRIDGE GUERRE NONPARAMETRIC UNIT ROOT TEST pp. 756-761 Ana Garc a and Andreu Sans THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE pp. 763-764 Peter C. B. Phillips Volume 22, issue 03 , 2006
ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT pp. 347-372 Ye Cai and Mototsugu Shintani MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES pp. 373-402 Lajos Horv th , Piotr Kokoszka and Aonan Zhang EMPIRICAL LIKELIHOOD FOR GARCH MODELS pp. 403-428 Ngai Hang Chan and Shiqing Ling A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION pp. 429-456 Brendan McCabe , Stephen Leybourne and David Harris TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS pp. 457-482 Lajos Horv th and Ricardas Zitikis ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS pp. 483-498 Joanne S. Ercolani and Marcus J. Chambers REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL pp. 499-512 Jinyong Hahn and Hyungsik Roger Moon GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION pp. 513-527 Taisuke Otsu PARTIALLY SUPERFLUOUS OBSERVATIONS pp. 529-536 Hailong Qian and Yongge Tian A NOTE ON IDENTIFICATION WITH AVERAGED DATA pp. 537-541 Jos A.F. Machado and João M.C. Santos Silva Volume 22, issue 02 , 2006
SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS pp. 173-205 Yoon-Jae Whang THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS pp. 206-234 Willa W. Chen and Rohit S. Deo IDENTIFICATION OF COVARIANCE STRUCTURES pp. 235-257 Lucchetti, Riccardo (Jack) SOME IDENTIFICATION ISSUES IN NONPARAMETRIC LINEAR MODELS WITH ENDOGENOUS REGRESSORS pp. 258-278 Thomas A. Severini and Gautam Tripathi TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS pp. 279-303 George Kapetanios , Yongcheol Shin and Andy Snell CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES pp. 304-322 Istv n Berkes and Lajos Horv th A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL pp. 323-337 Dennis Kristensen and Oliver Bruce Linton ON THE PRODUCT AND RATIO OF GAMMA AND WEIBULL RANDOM VARIABLES pp. 338-344 Saralees Nadarajah and Samuel Kotz The Econometric Theory Awards 2006 pp. 345-345 Peter C. B. Phillips Volume 22, issue 01 , 2006
UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES pp. 1-14 Wei Biao Wu BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING pp. 15-68 Pentti Saikkonen , Helmut L tkepohl and Carsten Trenkler PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS pp. 69-97 Hannes Leeb and Benedikt M. P tscher MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS pp. 98-126 Liangjun Su and Aman Ullah NONPARAMETRIC STUDY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS pp. 127-157 Anne Vanhems GENERALIZATION OF A RESULT ON pp. 159-163 Francesca Molinari and Marcin Peski STATIONARITY CONDITION FOR AR INDEX PROCESS pp. 164-168 Eric Iksoon Im , David L. Hammes and Douglas T. Wills THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005 pp. 169-170 Viv B. Hall and Peter C. B. Phillips
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