Econometric Theory

1987 - 2009

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Volume 9, issue 04, 1993

Adaptive Estimation in ARCH Models pp. 539-569

Oliver Bruce Linton

Estimation in Dynamic Linear Regression Models with Infinite Variance Errors pp. 570-588

Keith Knight

A Consistent Test of Stationary-Ergodicity pp. 589-601

Ian Domowitz and El-Gamal, Mahmoud A.

Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models pp. 602-632

Craig Burnside

Determination of Estimators with Minimum Asymptotic Covariance Matrices pp. 633-648

Charles E. Bates and Halbert White

Specification Testing with Locally Misspecified Alternatives pp. 649-658

Anil K. Bera and Mann J. Yoon

A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series pp. 659-667

Anders Rygh Swensen

A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model pp. 668-679

Kazuhiro Ohtani

On the Noninvertible Moving Average Time Series with Infinite Variance pp. 680-685

Ngai Hang Chan

Efficient Estimation with Orthogonal Regressors pp. 687-687

Jeffrey M. Wooldridge

Nested Effects pp. 687-688

Badi Baltagi

Yule-Walker Prediction Error in a Random Walk Model pp. 688-689

Hiroyuki Hisamatsu

Reduced Rank Regression Asymptotics in Multivariate Regression pp. 689-689

Peter C.B. Phillips

Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure pp. 689-690

Peter C. B. Phillips

Instrumental Variable Estimation of a Simple Simultaneous Equations Model with a Singular Error Variance Matrix pp. 690-691

R.W. Farebrother

Matrix Trace Inequalities Involving Simple Kronecker, and Hadamard Products pp. 690-690

Heinz Neudecker and Liu Shuangzhe

A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures pp. 691-691

Liu Shuangzhe

An Approximate Transformation for the Error Component Model with MA(q) Disturbances pp. 692-694

Badi Baltagi and Qi Li

Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors pp. 694-697

Alv?rez, Luis J. and Juan J. Dolado

Tabulation of Farebrother's Test for Linear Restriction pp. 697-703

Dufour, Jean-Marie and Sophie Mahseredjian

Moore-Penrose Inverse of a Symmetric Matrix pp. 703-703

Jalaluddin Abdullah, Heinz Neudecker and Liu Shuangzhe

Volume 9, issue 03, 1993

Multivariate Time Series: A Polynomial Error Correction Representation Theorem pp. 329-342

Gregoir, St?phane and Guy Laroque

Point Optimal Tests for Testing the Order of Differencing in ARIMA Models pp. 343-362

Pentti Saikkonen and Ritva Luukkonen

Asymptotic Expansions for Random Walks with Normal Errors pp. 363-376

J.L. Knight and S.E. Satchell

Distribution of the ML Estimator of an MA(1) and a local level model pp. 377-401

Neil Shephard

The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case pp. 402-412

James Davidson

Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix pp. 413-430

Lee, Lung-Fei

The VPRT: A Sequential Testing Procedure Dominating the SPRT pp. 431-450

Noel Cressie and Peter B. Morgan

A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models pp. 451-477

Pedro L. Gozalo

Robust Model Selection and M-Estimation pp. 478-493

José António Ferreira Machado

A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root pp. 494-498

Pentti Saikkonen

Median Unbiasedness of Estimators of Panel Data Censored Regression Models pp. 499-503

Jeffrey R. Campbell and Honor?, Bo E.

On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables pp. 504-515

Kazuhiro Ohtani and Hikaru Hasegawa

MINQUE under Heteroskedasticity pp. 521-521

Badi Baltagi

ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations pp. 521-522

Lonnie Magee

Minimization of a Scalar Function Matrix pp. 522-523

Eric Iksoon Im and Marcellus S. Snow

Inefficiency of the method of moments estimate for noninvertible MA(1) processes pp. 523-523

In Choi

Characterization of an orthogonal projection matrix pp. 523-524

R.W. Farebrother, P. Pordzik and G. Trenkler

Nonlinear transformations of LUS residuals pp. 524-524

R.W Farebrother

Binary Prediction pp. 525-525

Ruud Koning

When are Expectiles Percentiles? pp. 526-527

Roger Koenker

The Asymptotic Variance of the ML Estimator of MA(1) Coefficient pp. 527-530

Chang, Young-Ho and Eric Iksoon Im

Generalized Inverses of Partitioned Matrices pp. 530-533

Trenkler, G?tz, Bernhard Schipp, Heinz Neudecker and Liu Shuangzhe

Efficiency of Maximum Likelihood pp. 534-536

Peter C. B. Phillips and P?tscher, Benedikt M.

Volume 9, issue 02, 1993

Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model pp. 155-188

Pentti Saikkonen

On the Asymptotic Power of Unit Root Tests pp. 189-221

Karim Abadir

Testing Identifiability and Specification in Instrumental Variable Models pp. 222-240

John G. Cragg and Stephen G. Donald

Noncausality and Marginalization of Markov Processes pp. 241-262

J.P. Florens, M. Mouchart and J.M. Rolin

Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications pp. 263-282

In Choi

Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data pp. 283-295

Alfred Hamerle, Hermann Singer and Willi Nagl

A Curious Result on Exact FIML and Instrumental Variables pp. 296-309

Giorgio Calzolari and Letizia Sampoli

Two New Co-Editors of Econometric Theory pp. 311-311

Joel Horowitz and Katsuto Tanaka

Deriving Restricted Least Squares Estimator without a Lagrangean pp. 313-314

Paolo Paruolo

The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models pp. 313-313

Frank Windmeijer

The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix pp. 314-314

Paolo Paruolo

Trace Minimization of Singular Systems with Cross-Equation Restrictions pp. 314-315

Badi Baltagi and Berndt Savin

A Derivation of the Limited Information Maximum Likelihood Estimator pp. 315-316

Kimio Morimune

The Three-Choice Multinomial Probit with Selectivity Corrections pp. 316-322

Paul William Glewwe

Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity pp. 322-323

Eric Iksoon Im and Marcellus S. Snow

Characterization of a Positive Semidefinite Matrix pp. 323-324

R.W. Farebrother

The Maximally Concentrated Unbiased Linear Estimator of ? pp. 324-325

R.W. Farebrother

Seemingly Unrelated Regression Equations with No Contemporaneous Observations pp. 325-326

R.W. Farebrother

Simultaneous Equations Bias in Level VAR Estimation pp. 326-328

Peter C. B. Phillips

Volume 9, issue 01, 1993

Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions pp. 1-18

Joel L. Horowitz

Estimation of Cointegration Vectors with Linear Restrictions pp. 19-35

Pentti Saikkonen

An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration pp. 36-61

Katsuto Tanaka

Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable pp. 62-80

Jan Frederik Kiviet and Garry D.A. Phillips

Ols Bias in a Nonstationary Autoregression pp. 81-93

Karim Abadir

Variable Augmentation Specification Tests in the Exponential Family pp. 94-113

Shiferaw Gurmu and Pravin Trivedi

Professor Marc Nerlove pp. 117-143

Eric Ghysels

Bounds on Coefficient Estimates When the Dependent Variable is Grouped pp. 145-145

Denzil G. Fiebig

Variable Addition Test pp. 145-146

Ping Wu

An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model pp. 146-147

Paul Rilstone

Efficiency as Correlation pp. 146-146

E.H. Oksanen

Can More Information Make You Worse Off?? pp. 147-148

Edward E. Leamer

A Class of Bivariate Density Functions with Common Marginals pp. 148-149

R.W. Farebrother

Instrumental Variables Estimator and Admissibility pp. 148-148

Trenkler, G?etz

The Bias of the Standard Errors of OLS Process with an Arbitrary Variance on the Initial Observations pp. 149-150

Ruud Koning

Limit Theory in Cointegrated Vector Autoregressions pp. 150-153

Peter C. B. Phillips and Hiro Y. Toda