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Econometric Theory

1985 - 2016

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 23, issue 06, 2007

RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS pp. 1033-1082 Downloads
Donald Andrews and Gustavo Soares
OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED pp. 1083-1107 Downloads
David F. Findley
MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY pp. 1108-1135 Downloads
Ansgar Steland
HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS pp. 1136-1161 Downloads
Emma Iglesias and Oliver Linton
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS pp. 1162-1215 Downloads
Giuseppe Cavaliere and Iliyan Georgiev
ON RANK ESTIMATION IN SYMMETRIC MATRICES: THE CASE OF INDEFINITE MATRIX ESTIMATORS pp. 1217-1232 Downloads
Stephen G. Donald, Natércia Fortuna and Vladas Pipiras
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES pp. 1233-1247 Downloads
Peter Phillips and Chang Sik Kim
DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES pp. 1248-1253 Downloads
Chirok Han
PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY pp. 1254-1260 Downloads
Luca Fanelli

Volume 23, issue 05, 2007

WRITING WITH NOWHERE TO GO: HAAVELMO IN THE UNITED STATES, 1939 1944 pp. 775-837 Downloads
Olav Bjerkholt
THE NATURE AND LOGIC OF ECONOMETRIC INFERENCE: THE 1942 HILLSIDE LECTURE pp. 838-851 Downloads
Trygve Haavelmo and Olav Bjerkholt
WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE pp. 852-879 Downloads
Jiazhu Pan, Hui Wang and Qiwei Yao
NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS pp. 880-898 Downloads
Jo o Nicolau
LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES pp. 899-929 Downloads
Xiaofeng Shao and Wei Biao Wu
A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS pp. 930-951 Downloads
Wei Biao Wu and Xiaofeng Shao
WORLDWIDE ECONOMETRICS RANKINGS: 1989 2005 pp. 952-1012 Downloads
Badi Baltagi
THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION pp. 1013-1021 Downloads
Yong Bao
THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR pp. 1022-1032 Downloads
Jan R. Magnus

Volume 23, issue 04, 2007

REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS pp. 557-614 Downloads
Peter Phillips
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL pp. 615-637 Downloads
Heino Bohn Nielsen and Anders Rahbek
A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION pp. 638-685 Downloads
Zhongjun Qu and Pierre Perron
THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT pp. 686-710 Downloads
Patrick Marsh
THE ET INTERVIEW: PROFESSOR MANFRED DEISTLER: Interviewed by Benedikt M. P tscher pp. 711-748 Downloads
Benedikt M. P tscher
BAYESIAN CONSISTENCY FOR STATIONARY MODELS pp. 749-759 Downloads
Antonio Lijoi, Igor Pr nster and Stephen G. Walker
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS pp. 761-766 Downloads
S ren Tolver Jensen and Anders Rahbek
FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION pp. 767-773 Downloads
Yong Bao

Volume 23, issue 03, 2007

A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM pp. 371-413 Downloads
Oliver Linton and Zhijie Xiao
A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA pp. 414-439 Downloads
Xiaohong Chen and Yanqin Fan
A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING pp. 440-463 Downloads
Caterina Conigliani and Fulvio Spezzaferri
ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS pp. 464-484 Downloads
Wolfgang Scherrer and Eva Ribarits
ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES pp. 485-500 Downloads
Ari Abramson and Israel Cohen
EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF [alpha]-SYMMETRIC DISTRIBUTIONS pp. 501-517 Downloads
Rustam Ibragimov
AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)/UNIT ROOT MODEL FOR PANEL DATA pp. 519-535 Downloads
Hugo Kruiniger
THE REAL PART OF A COMPLEX ARMA PROCESS pp. 537-545 Downloads
Ralph Bailey
THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES pp. 546-553 Downloads
Massimo Franchi
NEW CO-EDITORS pp. 555-555 Downloads
Peter C.B. Philllips

Volume 23, issue 02, 2007

A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS pp. 201-220 Downloads
Alexander Aue and Lajos Horv th
TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS pp. 221-250 Downloads
Fuchun Li
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS pp. 251-280 Downloads
Christian Hafner and Jeroen Rombouts
EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY pp. 281-308 Downloads
Peter Bearse, Jos Canals-Cerd and Paul Rilstone
WEIGHTED AND TWO-STAGE LEAST SQUARES ESTIMATION OF SEMIPARAMETRIC TRUNCATED REGRESSION MODELS pp. 309-347 Downloads
Shakeeb Khan and Arthur Lewbel
NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARDS MODEL WITH TIME-VARYING COVARIATES pp. 349-354 Downloads
Christian Brinch
MODIFIED KPSS TESTS FOR NEAR INTEGRATION pp. 355-363 Downloads
David Harris, Stephen Leybourne and Brendan McCabe
REDUNDANCY OF LAGGED REGRESSORS REVISITED pp. 364-368 Downloads
Stanislav Anatolyev
The Econometric Theory Awards 2007 pp. 369-369 Downloads
Peter Phillips

Volume 23, issue 01, 2007

PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? pp. 1-36 Downloads
Yuhong Yang
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE pp. 37-70 Downloads
Zudi Lu and Oliver Linton
WIENER KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION pp. 71-88 Downloads
David Pollock
COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS pp. 89-105 Downloads
Tep Na Lazarov , Lorenzo Trapani and Giovanni Urga
AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM pp. 106-154 Downloads
Yongmiao Hong and Yoon-Jin Lee
THE ET INTERVIEW: TAKESHI AMEMIYA: Interviewed by James L. Powell pp. 155-181 Downloads
James L. Powell
PERMANENT-TRANSITORY DECOMPOSITIONS UNDER WEAK EXOGENEITY pp. 183-189 Downloads
Lance A. Fisher and Hyeon-seung Huh
MINIMAX REGRET TREATMENT CHOICE WITH INCOMPLETE DATA AND MANY TREATMENTS pp. 190-199 Downloads
Jörg Stoye
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