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Econometric Theory

1985 - 2020

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 18, issue 6, 2002

TESTING FOR LONG MEMORY IN VOLATILITY pp. 1291-1308 Downloads
Clifford Hurvich and Philippe Soulier
REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES pp. 1309-1335 Downloads
Michael Jansson and Niels Haldrup
ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS pp. 1336-1349 Downloads
Jörg Breitung and Carsten Trenkler
HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE pp. 1350-1366 Downloads
Nicholas Kiefer and Timothy Vogelsang
THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS pp. 1367-1384 Downloads
Gonçalves, Sílvia and Halbert White
MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS pp. 1385-1407 Downloads
Hyungsik Moon and Frank Schorfheide
NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS pp. 1408-1448 Downloads
Lijian Yang and Rolf Tschernig
CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES pp. 1449-1459 Downloads
Michael Jansson
PROBLEMS AND SOLUTIONS pp. 1461-1465 Downloads
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CORRIGENDUM pp. 1466-1466 Downloads
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Volume 18, issue 5, 2002

ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS pp. 1019-1039 Downloads
Tucker McElroy and Dimitris N. Politis
EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS pp. 1040-1085 Downloads
Donald Andrews
PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED pp. 1086-1098 Downloads
Akio Namba
RANK ESTIMATORS FOR A TRANSFORMATION MODEL pp. 1099-1120 Downloads
Elena Asparouhova, Robert Golanski, Krzysztof Kasprzyk, Robert P. Sherman and Tihomir Asparouhov
ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS pp. 1121-1138 Downloads
Dong Wan Shin and Man Suk Oh
OPTIMAL MINIMAX RATES FOR NONPARAMETRIC SPECIFICATION TESTING IN REGRESSION MODELS pp. 1139-1171 Downloads
Emmanuel Guerre and Pascal Lavergne
ASYMPTOTIC THEORY FOR SOME HIGH BREAKDOWN POINT ESTIMATORS pp. 1172-1196 Downloads
Victoria Zinde-Walsh
THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES pp. 1197-1220 Downloads
Eiji Kurozumi
THE ET INTERVIEW: PROFESSOR PHOEBUS J. DHRYMES pp. 1221-1272 Downloads
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PROBLEMS AND SOLUTIONS pp. 1273-1289 Downloads
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Volume 18, issue 4, 2002

THE EXACT CUMULATIVE DISTRIBUTION FUNCTION OF A RATIO OF QUADRATIC FORMS IN NORMAL VARIABLES, WITH APPLICATION TO THE AR(1) MODEL pp. 823-852 Downloads
Giovanni Forchini
OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL pp. 853-867 Downloads
Giovanni Forchini
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS pp. 868-885 Downloads
Changli He, Teräsvirta, Timo and Hans Malmsten
ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY pp. 886-912 Downloads
Raymond J. Carroll, Härdle, Wolfgang and Enno Mammen
ON VARIABLE SELECTION IN LINEAR REGRESSION pp. 913-925 Downloads
Paul Kabaila
SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION pp. 926-947 Downloads
Antonio Aznar and Manuel Salvador
KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD pp. 948-961 Downloads
Christina Christou and Nikitas Pittis
ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS pp. 962-984 Downloads
Donald Andrews and Moshe Buchinsky
NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR pp. 985-991 Downloads
Flavio A. Ziegelmann
ASYMPTOTIC THEORY OF STATISTICAL INFERENCE FOR TIME SERIES pp. 993-999 Downloads
Offer Lieberman
ECONOMETRICS pp. 1000-1006 Downloads
In Choi
PROBLEMS AND SOLUTIONS pp. 1007-1017 Downloads
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Volume 18, issue 3, 2002

EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY pp. 547-583 Downloads
Guido Kuersteiner
PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN pp. 584-624 Downloads
J. Hidalgo and Yoshihiro Yajima
SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS pp. 625-645 Downloads
Qi Li and Jeffrey Wooldridge
INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION pp. 646-672 Downloads
Francesc Marmol, Alvaro Escribano and Felipe M. Aparicio
ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS pp. 673-690 Downloads
Paolo Paruolo
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION pp. 691-721 Downloads
John Knight and Jun Yu
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS pp. 722-729 Downloads
Shiqing Ling and Michael McAleer
TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE pp. 730-743 Downloads
Ignacio Lobato, John C. Nankervis and N.E. Savin
STRUCTURAL CHANGES AND SEEMINGLY UNIDENTIFIED STRUCTURAL EQUATIONS pp. 744-775 Downloads
In Choi
TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS pp. 776-799 Downloads
Timothy Erickson and Toni Whited
A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL pp. 800-814 Downloads
Mehmet Caner
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS†pp. 815-818 Downloads
Christian Francq and Zakoïan, Jean-Michel
PROBLEMS AND SOLUTIONS pp. 819-821 Downloads
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Volume 18, issue 2, 2002

NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS pp. 197-251 Downloads
Stefan Sperlich, Tjøstheim, Dag and Lijian Yang
CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS pp. 252-277 Downloads
Lung-Fei Lee
A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS pp. 278-296 Downloads
Katsuto Tanaka
ASYMPTOTIC ROBUSTNESS IN MULTIPLE GROUP LINEAR-LATENT VARIABLE MODELS pp. 297-312 Downloads
Albert Satorra
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME pp. 313-348 Downloads
Pentti Saikkonen and Lütkepohl, Helmut
ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS pp. 349-386 Downloads
Inmaculada Fiteni
MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK pp. 387-419 Downloads
Marcus Chambers and Joanne S. McGarry
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA pp. 420-468 Downloads
Oliver Linton and Yoon-Jae Whang
AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES pp. 469-490 Downloads
Joon Park
THE PROPERTIES OF Lp-GMM ESTIMATORS pp. 491-504 Downloads
Robert de Jong and Chirok Han
TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES pp. 505-524 Downloads
Alfred Haug
ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS pp. 525-530 Downloads
Mario Faliva and Maria Zoia
PARTIAL REDUNDANCY OF MOMENT CONDITIONS pp. 531-539 Downloads
Hailong Qian
PROBLEMS AND SOLUTIONS pp. 541-545 Downloads
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Volume 18, issue 1, 2002

ON STATIONARITY IN THE ARCH(∞) MODEL pp. 1-16 Downloads
Vytautas KazakeviÄ ius and Remigijus Leipus
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS pp. 17-39 Downloads
Marine Carrasco and Xiaohong Chen
ON INTERCEPT ESTIMATION IN THE SAMPLE SELECTION MODEL pp. 40-50 Downloads
Marcia M.A. Schafgans and Victoria Zinde-Walsh
SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES pp. 51-78 Downloads
Ching-Fan Chung
ON THE JACKKNIFE-AFTER-BOOTSTRAP METHOD FOR DEPENDENT DATA AND ITS CONSISTENCY PROPERTIES pp. 79-98 Downloads
S.N. Lahiri
STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME pp. 99-118 Downloads
Nicolau, João
THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS pp. 119-139 Downloads
Qiying Wang, Yan-Xia Lin and Chandra M. Gulati
OPTIMAL INFERENCE WITH MANY INSTRUMENTS pp. 140-168 Downloads
Jinyong Hahn
REGRESSION QUANTILES FOR TIME SERIES pp. 169-192 Downloads
Zongwu Cai
PROBLEMS AND SOLUTIONS pp. 193-194 Downloads
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Page updated 2020-09-22