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Econometric Theory

1985 - 2017

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Volume 24, issue 06, 2008

UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES pp. 1463-1499 Downloads
Kyungchul Song
GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS pp. 1500-1529 Downloads
Pavel Cizek
M-ESTIMATION IN GARCH MODELS pp. 1530-1553 Downloads
Kanchan Mukherjee
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION pp. 1554-1583 Downloads
Michael McAleer, Felix Chan, Suhejla Hoti and Offer Lieberman
SPECIFICATION AND ESTIMATION OF SEMIPARAMETRIC MULTIPLE-INDEX MODELS pp. 1584-1606 Downloads
Bas Donkers and Marcia Schafgans
ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS pp. 1607-1627 Downloads
Lajos Horvath, Zsuzsanna Horváth and Wang Zhou
ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS pp. 1628-1662 Downloads
F. Comte, J. Dedecker and M.L. Taupin
ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS pp. 1663-1697 Downloads
Alois Kneip, Leopold Simar and Paul Wilson
UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP pp. 1699-1716 Downloads
Myung Hwan Seo
A PUZZLING PHENOMENON IN SEMIPARAMETRIC ESTIMATION PROBLEMS WITH INFINITE-DIMENSIONAL NUISANCE PARAMETERS pp. 1717-1728 Downloads
Kohtaro Hitomi, Yoshihiko Nishiyama and Ryo Okui

Volume 24, issue 05, 2008

SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS pp. 1149-1173 Downloads
Songnian Chen and Shakeeb Khan
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS pp. 1174-1206 Downloads
Roberto Renò
FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS pp. 1207-1253 Downloads
Afonso Gonçalves da Silva and Peter M. Robinson
ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA pp. 1254-1276 Downloads
Sokbae (Simon) Lee
WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL pp. 1277-1290 Downloads
Giovanni Forchini
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS pp. 1291-1320 Downloads
Mika Meitz and Pentti Saikkonen
NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS pp. 1321-1342 Downloads
Zongwu Cai and Qi Li
NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES pp. 1343-1372 Downloads
Alexander Aue
DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS pp. 1373-1403 Downloads
Ioannis Kasparis
ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES pp. 1404-1424 Downloads
Feng Gao and Fengming Song
DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION pp. 1425-1441 Downloads
Mohitosh Kejriwal and Pierre Perron
NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC pp. 1443-1455 Downloads
James Davidson, Jan R. Magnus and Jan Wiegerinck
REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS pp. 1456-1460 Downloads
Hailong Qian
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007 pp. 1461-1462 Downloads
Viv Hall and Peter Phillips

Volume 24, issue 04, 2008

A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE pp. 829-864 Downloads
Liangjun Su and Halbert White
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS pp. 865-887 Downloads
Peter Phillips and Tassos Magdalinos
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS pp. 888-947 Downloads
Rustam Ibragimov and Peter Phillips
ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES pp. 948-987 Downloads
Abdessamad Saidi and Roch Roy
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION pp. 988-1009 Downloads
Tucker McElroy
QUANTILE REGRESSION WITH MISMEASURED COVARIATES pp. 1010-1043 Downloads
Susanne Schennach
TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE pp. 1044-1062 Downloads
Edna Schechtman, Amit Shelef, Shlomo Yitzhaki and Ričardas Zitikis
USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS pp. 1063-1092 Downloads
Dietmar Bauer
TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES pp. 1093-1129 Downloads
Tomás del Barrio Castro and Denise Osborn
ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS pp. 1131-1136 Downloads
Robert Stelzer
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS pp. 1137-1148 Downloads
Giuseppe Cavaliere and Iliyan Georgiev

Volume 24, issue 03, 2008

ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS pp. 587-615 Downloads
Iliyan Georgiev
THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES pp. 616-630 Downloads
Ulrich K. MÜller
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT pp. 631-650 Downloads
Peter Phillips and Chirok Han
A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES pp. 651-676 Downloads
Soren Johansen
MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS pp. 677-695 Downloads
M. Zarepour and S.M. Roknossadati
KERNEL ESTIMATION WHEN DENSITY MAY NOT EXIST pp. 696-725 Downloads
Victoria Zinde-Walsh
UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA pp. 726-748 Downloads
Bruce Hansen
SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS pp. 749-794 Downloads
Herman Bierens
A PERMUTATION-BASED ESTIMATOR FOR MONOTONE INDEX MODELS pp. 795-807 Downloads
Debopam Bhattacharya
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS pp. 809-822 Downloads
Ai Deng and Pierre Perron
A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL pp. 823-828 Downloads
Henghsiu Tsai and Kung-Sik Chan

Volume 24, issue 02, 2008

GUEST EDITORS' EDITORIAL: RECENT DEVELOPMENTS IN MODEL SELECTION AND RELATED AREAS pp. 319-322 Downloads
Hannes Leeb and Benedikt M. P tscher
SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS pp. 323-337 Downloads
Keith Knight
CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS? pp. 338-376 Downloads
Hannes Leeb and Benedikt M. P tscher
AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION pp. 377-403 Downloads
Tanujit Dey, Hemant Ishwaran and J. Sunil Rao
FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES pp. 404-447 Downloads
Joseph P. Romano, Azeem Shaikh and Michael Wolf
ADAPTIVE ESTIMATORS OF A MEAN MATRIX: TOTAL LEAST SQUARES VERSUS TOTAL SHRINKAGE pp. 448-471 Downloads
Rudolf Beran
LOCALIZED MODEL SELECTION FOR REGRESSION pp. 472-492 Downloads
Yuhong Yang
MINIMIZING AVERAGE RISK IN REGRESSION MODELS pp. 493-527 Downloads
Gerda Claeskens and Nils Lid Hjort
PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION pp. 528-544 Downloads
Edward I. George and Xinyi Xu
FAST RATES FOR ESTIMATION ERROR AND ORACLE INEQUALITIES FOR MODEL SELECTION pp. 545-552 Downloads
Peter L. Bartlett
USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS pp. 553-579 Downloads
Jan R. Magnus and Andrey Vasnev
CORRIGENDUM: Correction to pp. 581-583 Downloads
Hannes Leeb and Benedikt M. P tscher

Volume 24, issue 01, 2008

UNIT ROOT AND COINTEGRATION TESTING: GUEST EDITORS' INTRODUCTION pp. 1-6 Downloads
Helmut L tkepohl and Paulo Rodrigues
ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS pp. 15-42 Downloads
Werner Ploberger
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY pp. 43-71 Downloads
Giuseppe Cavaliere and Robert Taylor
TESTING FOR TREND pp. 72-87 Downloads
Fabio Busetti and Andrew Harvey
TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE pp. 88-108 Downloads
Jörg Breitung and Samarjit Das
COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES pp. 109-142 Downloads
Tomás del Barrio Castro and Denise Osborn
TESTING FOR LONG MEMORY pp. 143-175 Downloads
David Harris, Brendan McCabe and Stephen Leybourne
LONG MEMORY TESTING IN THE TIME DOMAIN pp. 176-215 Downloads
Matei Demetrescu, Vladimir Kuzin and Uwe Hassler
DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION pp. 216-255 Downloads
Javier Hualde and Carlos Velasco
ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION pp. 256-293 Downloads
James Davidson and Nigar Hashimzade
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION pp. 294-318 Downloads
Pentti Saikkonen
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