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Econometric Theory

1985 - 2020

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Volume 20, issue 6, 2004

WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS pp. 995-1045 Downloads
Patrick Ango Nze and Paul Doukhan
NONPARAMETRIC REGRESSION IN THE PRESENCE OF MEASUREMENT ERROR pp. 1046-1093 Downloads
Susanne Schennach
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS pp. 1094-1139 Downloads
Woocheol Kim and Oliver Linton
SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS pp. 1140-1167 Downloads
Berkes, István, Edit Gombay, Horváth, Lajos and Piotr Kokoszka
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS pp. 1168-1202 Downloads
Eric Ghysels and Alain Guay
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH pp. 1203-1226 Downloads
Jensen, Søren Tolver and Anders Rahbek
ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES pp. 1227-1260 Downloads
Yixiao Sun
03.6.1 The Central Limit Theorem for Student's Distribution—Solution pp. 1261-1263 Downloads
Karim Abadir and Jan Magnus
03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution pp. 1263-1264 Downloads
Michael Jansson

Volume 20, issue 5, 2004

INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL pp. 813-843 Downloads
Mehmet Caner and Bruce Hansen
ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS pp. 844-882 Downloads
Jiti Gao and Maxwell King
NONPARAMETRIC IDENTIFICATION OF LATENT COMPETING RISKS MODELS pp. 883-890 Downloads
Gordana Colby and Paul Rilstone
ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS pp. 891-903 Downloads
Peter Vlaar
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE pp. 904-926 Downloads
Changli He and Teräsvirta, Timo
ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES pp. 927-942 Downloads
Jeannette H.C. Woerner
A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS pp. 943-962 Downloads
Yixiao Sun
TRANSFORMATIONS FOR MULTIVARIATE STATISTICS pp. 963-987 Downloads
Patrick Marsh
03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation—Solution pp. 989-989 Downloads
Badi Baltagi
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution pp. 990-993 Downloads
Dennis Kristensen and Oliver Linton

Volume 20, issue 4, 2004

ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL pp. 645-670 Downloads
Paulo Rodrigues and Robert Taylor
A SIMPLE TEST OF NORMALITY FOR TIME SERIES pp. 671-689 Downloads
Ignacio Lobato and Carlos Velasco
ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS pp. 690-700 Downloads
Huaizhen Qin and Alan Wan
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD pp. 701-734 Downloads
Jean-David Fermanian and Salanié, Bernard
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION pp. 735-742 Downloads
George Kapetanios
THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson pp. 743-804 Downloads
Neil Ericsson
CORRIGENDUM pp. 811-811 Downloads
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Volume 20, issue 3, 2004

AVERAGE DERIVATIVES FOR HAZARD FUNCTIONS pp. 437-463 Downloads
Gørgens, Tue
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER pp. 464-484 Downloads
Offer Lieberman and Peter Phillips
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS pp. 485-512 Downloads
Hira L. Koul, Richard T. Baillie and Donatas Surgailis
EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS pp. 513-534 Downloads
Aguirre-Torres, Víctor and Toribio, Manuel Domínguez
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS pp. 535-562 Downloads
Alessio Sancetta and Stephen Satchell
SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE pp. 563-596 Downloads
Yuanhua Feng
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS pp. 597-625 Downloads
Peter Pedroni
ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES†pp. 627-635 Downloads
Robert de Jong
A NOTE ON THE PAPER BY H.J. BIERENS: “COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?†pp. 636-637 Downloads
Díaz-Emparanza, Ignacio
04.3.1 An I(2) Model for VAR(1) Processes pp. 639-640 Downloads
Paolo Paruolo

Volume 20, issue 2, 2004

EMPIRICAL LIKELIHOOD BASED INFERENCE WITH APPLICATIONS TO SOME ECONOMETRIC MODELS pp. 231-264 Downloads
Francesco Bravo
BOOTSTRAP INFERENCE IN SEMIPARAMETRIC GENERALIZED ADDITIVE MODELS pp. 265-300 Downloads
Härdle, Wolfgang, Sylvie Huet, Enno Mammen and Stefan Sperlich
COINTEGRATING SMOOTH TRANSITION REGRESSIONS pp. 301-340 Downloads
Pentti Saikkonen and In Choi
ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE pp. 341-359 Downloads
Heikki Kauppi
ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED†pp. 360-381 Downloads
Samuel B. Thompson
A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS pp. 382-416 Downloads
Willa W. Chen and Rohit Deo
ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM pp. 417-426 Downloads
Marco Lippi
04.2.1. A Range Equality for Block Matrices with Orthogonal Projectors pp. 427-427 Downloads
Yongge Tian
04.2.2. Characterizations of Hermitian Projectors pp. 427-427 Downloads
Geert Dhaene and Luc Lauwers
PROBLEMS AND SOLUTIONS pp. 427-429 Downloads
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03.2.1. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model—Solution pp. 428-429 Downloads
Jeffrey Wooldridge

Volume 20, issue 1, 2004

NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM pp. 1-22 Downloads
Pötscher, Benedikt M.
OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS pp. 23-55 Downloads
Samuel B. Thompson
STATIONARITY TESTING WITH COVARIATES pp. 56-94 Downloads
Michael Jansson
ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES pp. 95-115 Downloads
Paulo Rodrigues and Robert Taylor
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS pp. 116-146 Downloads
Morten Nielsen
STATIONARITY AND MEMORY OF ARCH(∞) MODELS pp. 147-160 Downloads
Paolo Zaffaroni
THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL pp. 161-175 Downloads
Stelios Arvanitis
COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS pp. 176-222 Downloads
Yuhong Yang
04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares pp. 223-224 Downloads
Badi Baltagi
PROBLEMS AND SOLUTIONS pp. 223-229 Downloads
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Correcting for Heteroskedasticity of Unspecified Form pp. 224-224 Downloads
Tom Wansbeek
03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function—Solution pp. 225-226 Downloads
Sunil Sapra
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution pp. 227-227 Downloads
Geert Dhaene
03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution pp. 228-229 Downloads
Marine Carrasco
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