Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 21, issue 6, 2005

EXACT MEAN INTEGRATED SQUARED ERROR OF HIGHER ORDER KERNEL ESTIMATORS pp. 1031-1057

Bruce Hansen

BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST pp. 1058-1086

Emma Iglesias and Garry Phillips

VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES pp. 1087-1111

Daniel J. Nordman and Soumendra N. Lahiri

STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS pp. 1112-1129

Giuseppe Cavaliere and Robert Taylor

A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS pp. 1130-1164

Nicholas Kiefer and Timothy Vogelsang

A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE pp. 1165-1171

Christian Francq and Jean-Michel Zakoian

A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS pp. 1172-1176

Jorge Belaire-Franch

Volume 21, issue 5, 2005

PARTIALLY LINEAR MODELS WITH UNIT ROOTS pp. 877-906

Ted Juhl and Zhijie Xiao

LIMITED TIME SERIES WITH A UNIT ROOT pp. 907-945

Giuseppe Cavaliere

ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS pp. 946-961

Dennis Kristensen and Anders Rahbek

OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY pp. 962-990

Barbara Rossi

A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS pp. 991-1016

Valentina Corradi and Norman Swanson

THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS pp. 1017-1025

Qi Li and Jianxin Zhou

VIOLATING IGNORABILITY OF TREATMENT BY CONTROLLING FOR TOO MANY FACTORS pp. 1026-1028

Jeffrey Wooldridge

Volume 21, issue 4, 2005

GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION pp. 667-709

Patrik Guggenberger and Richard Smith

VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES pp. 710-734

Donald Andrews and Offer Lieberman

ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY pp. 735-756

Gabriel Pons Rotger and Andreu Sansó

STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER pp. 757-794

Fabio Busetti and Robert Taylor

ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION pp. 795-837

Michael Binder, Cheng Hsiao and Mohammad Pesaran

SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION pp. 838-863

Jeff Dominitz and Robert P. Sherman

INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA pp. 865-869

Jeffrey Wooldridge

EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX pp. 870-875

Eiji Kurozumi, Hiroaki Chigira and Taku Yamamoto

Volume 21, issue 3, 2005

FRISCH'S ECONOMETRIC LABORATORY AND THE RISE OF TRYGVE HAAVELMO'S PROBABILITY APPROACH pp. 491-533

Olav Bjerkholt

STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS pp. 534-561

Bent Nielsen

THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK pp. 562-592

Pierre Perron and Cosme Vodounou

A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA pp. 593-620

Zijun Wang and David Bessler

THE ET INTERVIEW: PROFESSOR JAN KMENTA pp. 621-645

John Lodewijks

Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon, Oxford University Press, 2004 pp. 647-652

Richard Startz

A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES pp. 653-658

Soren Johansen and Helmut Lütkepohl

THREE RANK FORMULAS ASSOCIATED WITH THE COVARIANCE MATRICES OF THE BLUE AND THE OLSE IN THE GENERAL LINEAR MODEL pp. 659-663

Simo Puntanen, George P.H. Styan and Yongge Tian

Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes—Solution pp. 665-666

Paolo Paruolo

Volume 21, issue 2, 2005

THE RANK OF A SUBMATRIX OF COINTEGRATION pp. 299-325

Eiji Kurozumi

BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION pp. 326-357

Mattias Villani

NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH pp. 358-389

Y. Aragon, Abdelaati Daouia and Christine Thomas-Agnan

CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA pp. 390-412

Taoufik Bouezmarni and Olivier Scaillet

FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES pp. 413-430

Robert de Jong and Chien-Ho Wang

ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS pp. 431-454

Offer Lieberman

TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS pp. 455-469

Jinyong Hahn and Juergen Meinecke

AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS pp. 472-476

Stanislav Anatolyev and Grigory Kosenok

THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES pp. 477-482

Karim M. Abadir

Solutions to Problems Posed in Volume 20(1) and 20(2): 04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares—Solution pp. 483-484

Badi Baltagi

Solutions to Problems Posed in Volume 20(1) and 20(2): 04.2.1. A Range Equality for Block Matrices with Orthogonal Projectors—Solution pp. 485-487

Hans Joachim Werner

Solutions to Problems Posed in Volume 20(1) and 20(2): 04.2.2. Characterizations of Hermitian Projectors pp. 487-488

Luc Lauwers

Volume 21, issue 1, 2005

AUTOMATED DISCOVERY IN ECONOMETRICS pp. 3-20

Peter Phillips

MODEL SELECTION AND INFERENCE: FACTS AND FICTION pp. 21-59

Hannes Leeb and Benedikt Pötscher

CHALLENGES FOR ECONOMETRIC MODEL SELECTION pp. 60-68

Bruce Hansen

AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS pp. 69-77

Kevin Hoover

AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT pp. 78-84

Paolo Paruolo

AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS pp. 85-115

Guido Kuersteiner

HAC ESTIMATION BY AUTOMATED REGRESSION pp. 116-142

Peter Phillips

NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA pp. 143-157

Oliver Linton

AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION pp. 158-170

Richard Smith

ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION pp. 171-180

P.M. Robinson

ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS pp. 181-211

Dietmar Bauer

REAL-TIME ECONOMETRICS pp. 212-231

Mohammad Pesaran and Allan Timmermann

AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY pp. 232-261

Michael McAleer

A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets pp. 262-277

Teodosio Pérez-Amaral, Giampiero Gallo and Halbert White

A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING pp. 278-297

Clive Granger and David Hendry