Econometric Theory

1985 - 2024

From Cambridge University Press
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Volume 22, issue 6, 2006

A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS pp. 989-1029

Liudas Giraitis, Remigijus Leipus and Anne Philippe

A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS pp. 1030-1051

Juan Carlos Escanciano

STOCHASTIC UNIT ROOT MODELS pp. 1052-1090

Christian Gourieroux and Christian Y. Robert

A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION pp. 1091-1111

Uwe Hassler and Jörg Breitung

ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL pp. 1112-1137

Yingcun Xia

ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS pp. 1138-1175

Donald Poskitt

ACKNOWLEDGMENT OF RELATED PRIOR WORK pp. 1177-1178

Jeffrey Wooldridge

ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER pp. 1179-1190

Hyungsik Moon, Benoit Perron and Peter Phillips

AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION pp. 1191-1194

Badi Baltagi

Volume 22, issue 5, 2006

UNBALANCED COINTEGRATION pp. 765-814

Javier Hualde

MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS pp. 815-834

Christian Francq and Jean-Michel Zakoian

A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS pp. 835-851

Atsushi Inoue and Gary Solon

ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES pp. 852-862

Ji-Chun Liu

BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION pp. 863-912

Patrik Guggenberger and Yixiao Sun

YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS pp. 913-931

Grant Hillier

ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR pp. 932-946

Giovanni Forchini

A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION pp. 947-960

Peter Phillips

NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut Lütkepohl, Springer, 2005 pp. 961-967

Lutz Kilian

MATRIX ALGEBRA, by Karim M. Abadir and Jan R. Magnus, Cambridge University Press, 2005 pp. 968-972

Taisuke Otsu

RANDOM EFFECTS AND SPATIAL AUTOCORRELATION WITH EQUAL WEIGHTS pp. 973-984

Badi Baltagi

A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES pp. 985-988

Mika Meitz

Volume 22, issue 4, 2006

A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS pp. 543-586

Alain Guay and Emmanuel Guerre

A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS pp. 587-613

Yanqin Fan, Qi Li and Insik Min

A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS pp. 614-632

Yiguo Sun

ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES pp. 633-676

Pierre Duchesne

LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS pp. 677-719

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

Emmanuel Guerre and Hyungsik Moon

FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS pp. 743-755

Helle Bunzel

A GENERALIZATION OF THE BURRIDGE–GUERRE NONPARAMETRIC UNIT ROOT TEST pp. 756-761

Ana García and Andreu Sansó

Volume 22, issue 3, 2006

ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT pp. 347-372

Ye Cai and Mototsugu Shintani

MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES pp. 373-402

Lajos Horvath, Piotr Kokoszka and Aonan Zhang

EMPIRICAL LIKELIHOOD FOR GARCH MODELS pp. 403-428

Ngai Hang Chan and Shiqing Ling

A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION pp. 429-456

Brendan McCabe, Stephen Leybourne and David Harris

TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS pp. 457-482

Lajos Horvath and Ričardas Zitikis

ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS pp. 483-498

Joanne S. Ercolani and Marcus Chambers

REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL pp. 499-512

Jinyong Hahn and Hyungsik Moon

GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION pp. 513-527

Taisuke Otsu

PARTIALLY SUPERFLUOUS OBSERVATIONS pp. 529-536

Hailong Qian and Yongge Tian

A NOTE ON IDENTIFICATION WITH AVERAGED DATA pp. 537-541

José A.F. Machado and João Santos Silva

Volume 22, issue 2, 2006

SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS pp. 173-205

Yoon-Jae Whang

THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS pp. 206-234

Willa W. Chen and Rohit Deo

IDENTIFICATION OF COVARIANCE STRUCTURES pp. 235-257

Riccardo (Jack) Lucchetti

SOME IDENTIFICATION ISSUES IN NONPARAMETRIC LINEAR MODELS WITH ENDOGENOUS REGRESSORS pp. 258-278

Thomas A. Severini and Gautam Tripathi

TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS pp. 279-303

George Kapetanios, Yongcheol Shin and Andy Snell

CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES pp. 304-322

István Berkes and Lajos Horvath

A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL pp. 323-337

Dennis Kristensen and Oliver Linton

ON THE PRODUCT AND RATIO OF GAMMA AND WEIBULL RANDOM VARIABLES pp. 338-344

Saralees Nadarajah and Samuel Kotz

Volume 22, issue 1, 2006

UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES pp. 1-14

Wei Biao Wu

BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING pp. 15-68

Pentti Saikkonen, Helmut Lütkepohl 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

Hannes Leeb and Benedikt Pötscher

MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS pp. 98-126

Liangjun Su and Aman Ullah

NONPARAMETRIC STUDY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS pp. 127-157

Anne Vanhems

GENERALIZATION OF A RESULT ON “REGRESSIONS, SHORT AND LONG” pp. 159-163

Francesca Molinari and Marcin Peski

STATIONARITY CONDITION FOR AR INDEX PROCESS pp. 164-168

Eric Iksoon Im, David Hammes and Douglas T. Wills