Econometric Theory

1985 - 2024

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Volume 20, issue 6, 2004

WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS pp. 995-1045

Patrick Ango Nze and Paul Doukhan

NONPARAMETRIC REGRESSION IN THE PRESENCE OF MEASUREMENT ERROR pp. 1046-1093

Susanne Schennach

THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS pp. 1094-1139

Woocheol Kim and Oliver Linton

SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS pp. 1140-1167

István Berkes, Edit Gombay, Lajos Horvath and Piotr Kokoszka

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS pp. 1168-1202

Eric Ghysels and Alain Guay

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH pp. 1203-1226

Søren Tolver Jensen and Anders Rahbek

ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES pp. 1227-1260

Yixiao Sun

03.6.1 The Central Limit Theorem for Student's Distribution—Solution pp. 1261-1263

Karim Abadir and Jan Magnus

03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution pp. 1263-1264

Michael Jansson

Volume 20, issue 5, 2004

INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL pp. 813-843

Mehmet Caner and Bruce Hansen

ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS pp. 844-882

Jiti Gao and Maxwell King

NONPARAMETRIC IDENTIFICATION OF LATENT COMPETING RISKS MODELS pp. 883-890

Gordana Colby and Paul Rilstone

ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS pp. 891-903

Peter Vlaar

AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE pp. 904-926

Changli He and Timo Teräsvirta

ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES pp. 927-942

Jeannette H.C. Woerner

A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS pp. 943-962

Yixiao Sun

TRANSFORMATIONS FOR MULTIVARIATE STATISTICS pp. 963-987

Patrick Marsh

03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation—Solution pp. 989-989

Badi Baltagi

03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution pp. 990-993

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

Paulo Rodrigues and Robert Taylor

A SIMPLE TEST OF NORMALITY FOR TIME SERIES pp. 671-689

Ignacio Lobato and Carlos Velasco

ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS pp. 690-700

Huaizhen Qin and Alan Wan

A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD pp. 701-734

Jean-David Fermanian and Bernard Salanié

THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION pp. 735-742

George Kapetanios

THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson pp. 743-804

Neil Ericsson

CORRIGENDUM pp. 811-811

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Volume 20, issue 3, 2004

AVERAGE DERIVATIVES FOR HAZARD FUNCTIONS pp. 437-463

Tue Gørgens

EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER pp. 464-484

Offer Lieberman and Peter Phillips

REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS pp. 485-512

Hira L. Koul, Richard T. Baillie and Donatas Surgailis

EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS pp. 513-534

Víctor Aguirre-Torres and Manuel Domínguez Toribio

THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS pp. 535-562

Alessio Sancetta and Stephen Satchell

SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE pp. 563-596

Yuanhua Feng

PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS pp. 597-625

Peter Pedroni

ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES” pp. 627-635

Robert de Jong

A NOTE ON THE PAPER BY H.J. BIERENS: “COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?” pp. 636-637

Ignacio Díaz-Emparanza

04.3.1 An I(2) Model for VAR(1) Processes pp. 639-640

Paolo Paruolo

Volume 20, issue 2, 2004

EMPIRICAL LIKELIHOOD BASED INFERENCE WITH APPLICATIONS TO SOME ECONOMETRIC MODELS pp. 231-264

Francesco Bravo

BOOTSTRAP INFERENCE IN SEMIPARAMETRIC GENERALIZED ADDITIVE MODELS pp. 265-300

Wolfgang Härdle, Sylvie Huet, Enno Mammen and Stefan Sperlich

COINTEGRATING SMOOTH TRANSITION REGRESSIONS pp. 301-340

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

Heikki Kauppi

ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED” pp. 360-381

Samuel B. Thompson

A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS pp. 382-416

Willa W. Chen and Rohit Deo

ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM pp. 417-426

Marco Lippi

04.2.1. A Range Equality for Block Matrices with Orthogonal Projectors pp. 427-427

Yongge Tian

04.2.2. Characterizations of Hermitian Projectors pp. 427-427

Geert Dhaene and Luc Lauwers

PROBLEMS AND SOLUTIONS pp. 427-429

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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

Jeffrey Wooldridge

Volume 20, issue 1, 2004

NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM pp. 1-22

Benedikt Pötscher

OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS pp. 23-55

Samuel B. Thompson

STATIONARITY TESTING WITH COVARIATES pp. 56-94

Michael Jansson

ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES pp. 95-115

Paulo Rodrigues and Robert Taylor

EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS pp. 116-146

Morten Nielsen

STATIONARITY AND MEMORY OF ARCH(∞) MODELS pp. 147-160

Paolo Zaffaroni

THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL pp. 161-175

Stelios Arvanitis

COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS pp. 176-222

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

Badi Baltagi

PROBLEMS AND SOLUTIONS pp. 223-229

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Correcting for Heteroskedasticity of Unspecified Form pp. 224-224

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

Sunil Sapra

03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution pp. 227-227

Geert Dhaene

03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution pp. 228-229

Marine Carrasco