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Econometric Theory

1985 - 2014

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 Downloads
Liudas Giraitis, Remigijus Leipus and Anne Philippe
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS pp. 1030-1051 Downloads
Juan Carlos Escanciano
STOCHASTIC UNIT ROOT MODELS pp. 1052-1090 Downloads
Christian Gourieroux and Christian Y. Robert
A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION pp. 1091-1111 Downloads
Uwe Hassler and Jörg Breitung
ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL pp. 1112-1137 Downloads
Yingcun Xia
ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS pp. 1138-1175 Downloads
Donald Poskitt
ACKNOWLEDGMENT OF RELATED PRIOR WORK pp. 1177-1178 Downloads
Jeffrey Wooldridge
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER pp. 1179-1190 Downloads
H.R. Moon, Benoit Perron and Peter Phillips
AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION pp. 1191-1194 Downloads
Badi Baltagi

Volume 22, issue 05, 2006

UNBALANCED COINTEGRATION pp. 765-814 Downloads
Javier Hualde
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS pp. 815-834 Downloads
Christian Francq and Jean-Michel Zako an
A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS pp. 835-851 Downloads
Atsushi Inoue and Gary Solon
ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES pp. 852-862 Downloads
Ji-Chun Liu
BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION pp. 863-912 Downloads
Patrik Guggenberger and Yixiao Sun
YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS pp. 913-931 Downloads
Grant Hillier
ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR pp. 932-946 Downloads
Giovanni Forchini
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION pp. 947-960 Downloads
Peter Phillips
NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005 pp. 961-967 Downloads
Lutz Kilian
MATRIX ALGEBRA, by Karim M. Abadir and Jan R. Magnus, Cambridge University Press, 2005 pp. 968-972 Downloads
Taisuke Otsu
RANDOM EFFECTS AND SPATIAL AUTOCORRELATION WITH EQUAL WEIGHTS pp. 973-984 Downloads
Badi Baltagi
A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES pp. 985-988 Downloads
Mika Meitz

Volume 22, issue 04, 2006

A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS pp. 543-586 Downloads
Alain Guay and Emmanuel Guerre
A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS pp. 587-613 Downloads
Yanqin Fan, Qi Li and Insik Min
A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS pp. 614-632 Downloads
Yiguo Sun
ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES pp. 633-676 Downloads
Pierre Duchesne
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS pp. 677-719 Downloads
Ole Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod and Neil Shephard
A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES pp. 721-742 Downloads
Emmanuel Guerre and Hyungsik Roger Moon
FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS pp. 743-755 Downloads
Helle Bunzel
A GENERALIZATION OF THE BURRIDGE GUERRE NONPARAMETRIC UNIT ROOT TEST pp. 756-761 Downloads
Ana Garc a and Andreu Sans
THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE pp. 763-764 Downloads
Peter Phillips

Volume 22, issue 03, 2006

ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT pp. 347-372 Downloads
Ye Cai and Mototsugu Shintani
MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES pp. 373-402 Downloads
Lajos Horv th, Piotr Kokoszka and Aonan Zhang
EMPIRICAL LIKELIHOOD FOR GARCH MODELS pp. 403-428 Downloads
Ngai Hang Chan and Shiqing Ling
A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION pp. 429-456 Downloads
Brendan McCabe, Stephen Leybourne and David Harris
TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS pp. 457-482 Downloads
Lajos Horv th and Ricardas Zitikis
ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS pp. 483-498 Downloads
Joanne S. Ercolani and Marcus Chambers
REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL pp. 499-512 Downloads
Jinyong Hahn and Hyungsik Roger Moon
GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION pp. 513-527 Downloads
Taisuke Otsu
PARTIALLY SUPERFLUOUS OBSERVATIONS pp. 529-536 Downloads
Hailong Qian and Yongge Tian
A NOTE ON IDENTIFICATION WITH AVERAGED DATA pp. 537-541 Downloads
Jos A.F. Machado and João Santos Silva

Volume 22, issue 02, 2006

SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS pp. 173-205 Downloads
Yoon-Jae Whang
THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS pp. 206-234 Downloads
Willa W. Chen and Rohit Deo
IDENTIFICATION OF COVARIANCE STRUCTURES pp. 235-257 Downloads
Riccardo (Jack) Lucchetti
SOME IDENTIFICATION ISSUES IN NONPARAMETRIC LINEAR MODELS WITH ENDOGENOUS REGRESSORS pp. 258-278 Downloads
Thomas A. Severini and Gautam Tripathi
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS pp. 279-303 Downloads
George Kapetanios, Yongcheol Shin and Andy Snell
CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES pp. 304-322 Downloads
Istv n Berkes and Lajos Horv th
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL pp. 323-337 Downloads
Dennis Kristensen and Oliver Linton
ON THE PRODUCT AND RATIO OF GAMMA AND WEIBULL RANDOM VARIABLES pp. 338-344 Downloads
Saralees Nadarajah and Samuel Kotz
The Econometric Theory Awards 2006 pp. 345-345 Downloads
Peter Phillips

Volume 22, issue 01, 2006

UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES pp. 1-14 Downloads
Wei Biao Wu
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING pp. 15-68 Downloads
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 Downloads
Hannes Leeb and Benedikt M. P tscher
MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS pp. 98-126 Downloads
Liangjun Su and Aman Ullah
NONPARAMETRIC STUDY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS pp. 127-157 Downloads
Anne Vanhems
GENERALIZATION OF A RESULT ON pp. 159-163 Downloads
Francesca Molinari and Marcin Peski
STATIONARITY CONDITION FOR AR INDEX PROCESS pp. 164-168 Downloads
Eric Iksoon Im, David Hammes and Douglas T. Wills
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005 pp. 169-170 Downloads
Viv Hall and Peter Phillips
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