Econometric Theory

1985 - 2024

From Cambridge University Press
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Volume 23, issue 6, 2007

RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS pp. 1033-1082

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

David F. Findley

MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY pp. 1108-1135

Ansgar Steland

HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS pp. 1136-1161

Emma Iglesias and Oliver Linton

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS pp. 1162-1215

Giuseppe Cavaliere and Iliyan Georgiev

ON RANK ESTIMATION IN SYMMETRIC MATRICES: THE CASE OF INDEFINITE MATRIX ESTIMATORS pp. 1217-1232

Stephen G. Donald, Natércia Fortuna and Vladas Pipiras

LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES pp. 1233-1247

Peter Phillips and Chang Sik Kim

DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES pp. 1248-1253

Chirok Han

PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY pp. 1254-1260

Luca Fanelli

Volume 23, issue 5, 2007

WRITING “THE PROBABILITY APPROACH” WITH NOWHERE TO GO: HAAVELMO IN THE UNITED STATES, 1939–1944 pp. 775-837

Olav Bjerkholt

THE NATURE AND LOGIC OF ECONOMETRIC INFERENCE: THE 1942 HILLSIDE LECTURE pp. 838-851

Trygve Haavelmo and Olav Bjerkholt

WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE pp. 852-879

Jiazhu Pan, Hui Wang and Qiwei Yao

NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS pp. 880-898

João Nicolau

LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES pp. 899-929

Xiaofeng Shao and Wei Biao Wu

A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS pp. 930-951

Wei Biao Wu and Xiaofeng Shao

WORLDWIDE ECONOMETRICS RANKINGS: 1989–2005 pp. 952-1012

Badi Baltagi

THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION pp. 1013-1021

Yong Bao

THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR pp. 1022-1032

Jan Magnus

Volume 23, issue 4, 2007

REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS pp. 557-614

Peter Phillips

THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL pp. 615-637

Heino Bohn Nielsen and Anders Rahbek

A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION pp. 638-685

Zhongjun Qu and Pierre Perron

THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT pp. 686-710

Patrick Marsh

THE ET INTERVIEW: PROFESSOR MANFRED DEISTLER: Interviewed by Benedikt M. Pötscher pp. 711-748

Benedikt Pötscher

BAYESIAN CONSISTENCY FOR STATIONARY MODELS pp. 749-759

Antonio Lijoi, Igor Prünster and Stephen G. Walker

ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS pp. 761-766

Søren 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

Yong Bao

Volume 23, issue 3, 2007

A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM pp. 371-413

Oliver Linton and Zhijie Xiao

A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA pp. 414-439

Xiaohong Chen and Yanqin Fan

A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING pp. 440-463

Caterina Conigliani and Fulvio Spezzaferri

ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS pp. 464-484

Wolfgang Scherrer and Eva Ribarits

ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES pp. 485-500

Ari Abramson and Israel Cohen

EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF α-SYMMETRIC DISTRIBUTIONS pp. 501-517

Rustam Ibragimov

AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)/UNIT ROOT MODEL FOR PANEL DATA pp. 519-535

Hugo Kruiniger

THE REAL PART OF A COMPLEX ARMA PROCESS pp. 537-545

Ralph Bailey

THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES pp. 546-553

Massimo Franchi

Volume 23, issue 2, 2007

A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS pp. 201-220

Alexander Aue and Lajos Horvath

TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS pp. 221-250

Fuchun Li

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS pp. 251-280

Christian Hafner and Jeroen Rombouts

EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY pp. 281-308

Peter Bearse, José Canals-Cerdá and Paul Rilstone

WEIGHTED AND TWO-STAGE LEAST SQUARES ESTIMATION OF SEMIPARAMETRIC TRUNCATED REGRESSION MODELS pp. 309-347

Shakeeb Khan and Arthur Lewbel

NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARDS MODEL WITH TIME-VARYING COVARIATES pp. 349-354

Christian Brinch

MODIFIED KPSS TESTS FOR NEAR INTEGRATION pp. 355-363

David Harris, Stephen Leybourne and Brendan McCabe

REDUNDANCY OF LAGGED REGRESSORS REVISITED pp. 364-368

Stanislav Anatolyev

Volume 23, issue 1, 2007

PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? pp. 1-36

Yuhong Yang

LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE pp. 37-70

Zudi Lu and Oliver Linton

WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION pp. 71-88

David Pollock

COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS pp. 89-105

Štěpána Lazarová, 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

Yongmiao Hong and Yoon-Jin Lee

THE ET INTERVIEW: TAKESHI AMEMIYA: Interviewed by James L. Powell pp. 155-181

James Powell

PERMANENT-TRANSITORY DECOMPOSITIONS UNDER WEAK EXOGENEITY pp. 183-189

Lance A. Fisher and Hyeon-seung Huh

MINIMAX REGRET TREATMENT CHOICE WITH INCOMPLETE DATA AND MANY TREATMENTS pp. 190-199

Jörg Stoye