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Econometric Theory

1985 - 2020

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Volume 19, issue 6, 2003

AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD pp. 885-922 Downloads
Pekka Pere
GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS pp. 923-943 Downloads
Han Hong, Bruce Preston and Matthew Shum
THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP pp. 944-961 Downloads
Atsushi Inoue and Lutz Kilian
COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY pp. 962-983 Downloads
Alastair Hall, Atsushi Inoue and Fernanda Peixe
HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES pp. 984-1007 Downloads
Masanobu Taniguchi, Kees Jan van Garderen and Madan L. Puri
SEMIPARAMETRIC ESTIMATION OF SEPARABLE MODELS WITH POSSIBLY LIMITED DEPENDENT VARIABLES pp. 1008-1039 Downloads
Rodríguez-Póo, Juan M., Stefan Sperlich and Philippe Vieu
SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL pp. 1040-1064 Downloads
Songnian Chen and Shakeeb Khan
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS pp. 1065-1121 Downloads
Yongmiao Hong and Tae Hwy Lee
AN EQUIVALENCE RESULT FOR VC CLASSES OF SETS pp. 1123-1127 Downloads
Scott Joslin and Robert P. Sherman
CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS pp. 1128-1143 Downloads
Arturo Estrella
CORRIGENDUM pp. 1145-1158 Downloads
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THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 pp. 1159-1193 Downloads
Francis Diebold
02.6.1. Oblique Projectors—Solution pp. 1195-1196 Downloads
Trenkler, Götz
03.6.1. The Central Limit Theorem for Student's Distribution pp. 1195-1195 Downloads
Karim Abadir and Jan Magnus
03.6.2. Unbiasedness of the OLS Estimator with Random Regressors pp. 1195-1195 Downloads
Michael Jansson
PROBLEMS AND SOLUTIONS pp. 1195-1198 Downloads
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02.6.1. Oblique Projectors—Solution pp. 1196-1197 Downloads
Hans Joachim Werner
02.6.2. Autoregression and Redundant Instruments—Solution pp. 1197-1198 Downloads
Stanislav Anatolyev
THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE pp. 1201-1202 Downloads
Peter Phillips

Volume 19, issue 5, 2003

CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS pp. 707-743 Downloads
Giovanni Forchini and Grant Hillier
FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC pp. 744-753 Downloads
Paul Bekker and Frank Kleibergen
BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION pp. 754-777 Downloads
Nicolau, João
DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION pp. 778-811 Downloads
Karim M. Abadir and Michael Rockinger
IDENTIFIABILITY OF RECURRENT NEURAL NETWORKS pp. 812-828 Downloads
A.A. Al-Falou and D. Trummer
SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE pp. 829-864 Downloads
David Harris, Brendan McCabe and Stephen Leybourne
THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS pp. 865-877 Downloads
P.L. Davies and Krämer, W.
PROBLEMS AND SOLUTIONS pp. 879-883 Downloads
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03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation pp. 879-879 Downloads
Badi Baltagi
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation pp. 879-880 Downloads
Dennis Kristensen and Oliver Linton
02.5.1. A Mixingale Inequality Using an Exponential Moment pp. 880-881 Downloads
Robert de Jong
02.5.2. Durbin–Watson Statistic and Random Individual Effects pp. 882-883 Downloads
Stanislav Anatolyev

Volume 19, issue 4, 2003

ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS pp. 515-540 Downloads
Berkes, István, Horváth, Lajos and Piotr Kokoszka
ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS pp. 541-564 Downloads
Shiqing Ling and W.K. Li
ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE pp. 565-586 Downloads
Berkes, István, Horváth, Lajos and Piotr Kokoszka
ASYMPTOTIC ESTIMATION OF THE E-GINI INDEX pp. 587-601 Downloads
RiÄ ardas Zitikis
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS pp. 602-609 Downloads
Stanislav Anatolyev
ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS pp. 610-619 Downloads
Gordon Kemp
INFERENCE ON SEGMENTED COINTEGRATION pp. 620-639 Downloads
Jae-Young Kim
NONPARAMETRIC ESTIMATION OF HOMOGENEOUS FUNCTIONS pp. 640-663 Downloads
Gautam Tripathi and Woocheol Kim
ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000 pp. 665-674 Downloads
Alex Maynard
CAUSALITY: MODELS, REASONING, AND INFERENCE, by Judea Pearl, Cambridge University Press, 2000 pp. 675-685 Downloads
Leland Gerson Neuberg
COMMENTS ON NEUBERG'S REVIEW OF CAUSALITY pp. 686-689 Downloads
Judea Pearl
03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance pp. 691-691 Downloads
Karim M. Abadir and Jan Magnus
PROBLEMS AND SOLUTIONS pp. 691-705 Downloads
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03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint pp. 691-692 Downloads
Giuseppe Cavaliere
02.3.1. Regression with an Evaporating Logarithmic Trend— Solution pp. 692-701 Downloads
Peter Phillips and Yixiao Sun
02.3.2. Badly Weighted Least Squares—Solution pp. 701-703 Downloads
Douglas P. Wiens
02.4.1. On Hadamard Product of Square Roots of Correlation Matrices—Solution pp. 703-704 Downloads
Shuangzhe Liu
02.4.2. On the Rank of a Matrix Useful in Goodness-of-Fit Testing of Structural Equation Models —Solution pp. 704-705 Downloads
Simo Puntanen, George P.H. Styan and Hans Joachim Werner

Volume 19, issue 3, 2003

IN MEMORY OF JOHN DENIS SARGAN pp. 417-422 Downloads
Peter Phillips
CURRENT PROBLEMS IN ECONOMETRICS— A PERSONAL VIEW: Address on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa of the University Carlos III, 2 February 1993 pp. 423-428 Downloads
J. Sargan
THE DEVELOPMENT OF ECONOMETRICS AT LSE IN THE LAST 30 YEARS pp. 429-438 Downloads
J. Sargan
LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993 pp. 439-450 Downloads
Antoni Espasa
J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY pp. 457-480 Downloads
David Hendry
DENIS SARGAN: SOME PERSPECTIVES pp. 481-494 Downloads
P.M. Robinson
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN pp. 495-511 Downloads
Peter Phillips

Volume 19, issue 2, 2003

ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST pp. 231-239 Downloads
Rohit Deo and Matthew Richardson
POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS pp. 240-253 Downloads
Ted Juhl and Zhijie Xiao
MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES pp. 254-279 Downloads
Ching-Kang Ing
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL pp. 280-310 Downloads
Shiqing Ling and Michael McAleer
ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS pp. 311-321 Downloads
Robert Taylor
DETECTING LACK OF IDENTIFICATION IN GMM pp. 322-330 Downloads
Jonathan Wright
THE ET INTERVIEW: PROFESSOR C.R. RAO: Interviewed by Anil K. Bera University of Illinois at Urbana-Champaign pp. 331-400 Downloads
Anil K. Bera
FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001 pp. 401-409 Downloads
Frank Schorfheide
PROBLEMS AND SOLUTIONS pp. 411-413 Downloads
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03.2.1. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model pp. 411-412 Downloads
Jeffrey Wooldridge
01.2.1. ARMA Representation of Squared Markov Switching Heteroskedastic Models—Solution pp. 412-413 Downloads
Walter Distaso

Volume 19, issue 1, 2003

EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL pp. 1-31 Downloads
Sokbae (Simon) Lee
A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS pp. 32-48 Downloads
Anders Rygh Swensen
THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION pp. 49-77 Downloads
Marcus Chambers
THE RISE AND FALL OF EXTRANEOUS ESTIMATION: LESSONS FROM ECONOMETRIC HISTORY? pp. 78-99 Downloads
Adolf Buse
THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS pp. 100-142 Downloads
Hannes Leeb and Pötscher, Benedikt M.
ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS pp. 143-164 Downloads
Qiying Wang, Yan-Xia Lin and Chandra M. Gulati
WORLDWIDE INSTITUTIONAL AND INDIVIDUAL RANKINGS IN ECONOMETRICS OVER THE PERIOD 1989–1999: AN UPDATE pp. 165-224 Downloads
Badi Baltagi
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression pp. 225-226 Downloads
Stanislav Anatolyev
03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function pp. 225-225 Downloads
Sunil Sapra
PROBLEMS AND SOLUTIONS pp. 225-228 Downloads
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02.1.1. LS and BLUE Are Algebraically Identical—Solution pp. 226-227 Downloads
Richard William Farebrother
02.1.2. A Particular Symmetric Idempotent Matrix—Solution pp. 227-228 Downloads
George P.H. Styan and Hans Joachim Werner
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