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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 17, issue 6, 2001

ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY pp. 1037-1050 Downloads
Oliver Linton
ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS pp. 1051-1081 Downloads
Yongmiao Hong and Jin Lee
LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY pp. 1082-1112 Downloads
Zhijie Xiao
THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY pp. 1113-1141 Downloads
Mario Forni and Marco Lippi
INDEPENDENCE OF DOUBLE WIENER INTEGRALS pp. 1143-1155 Downloads
Seiji Nabeya
PROBLEMS AND SOLUTIONS pp. 1157-1160 Downloads
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Volume 17, issue 5, 2001

CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED REGRESSION MODELS pp. 863-888 Downloads
Whitney Newey
IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS pp. 889-912 Downloads
Cheng Hsiao
THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS pp. 913-932 Downloads
Jinyong Hahn
INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION pp. 933-961 Downloads
Lung-Fei Lee
COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL? pp. 962-983 Downloads
Herman Bierens
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS pp. 984-1024 Downloads
Oliver Linton and Zhijie Xiao
PROBLEMS AND SOLUTIONS pp. 1025-1031 Downloads
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Volume 17, issue 4, 2001

THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES pp. 671-685 Downloads
Hannes Leeb and Pötscher, Benedikt M.
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS pp. 686-710 Downloads
Rohit Deo and Clifford Hurvich
APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS pp. 711-737 Downloads
Seiji Nabeya
ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS pp. 738-764 Downloads
Shiqing Ling and W.K. Li
ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM pp. 765-784 Downloads
Quanshui Zhao
ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING pp. 785-819 Downloads
Gurupdesh S. Pandher
LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS pp. 820-852 Downloads
Alan J. Rogers
CORRIGENDA pp. 859-859 Downloads
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Volume 17, issue 3, 2001

EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN pp. 497-539 Downloads
Carlos Velasco and Peter M. Robinson
A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS pp. 540-566 Downloads
Efstathios Paparoditis and Dimitris N. Politis
SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL pp. 567-590 Downloads
Songnian Chen and Shakeeb Khan
TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS pp. 591-607 Downloads
Marcus Chambers
WHITTLE ESTIMATION OF ARCH MODELS pp. 608-631 Downloads
Liudas Giraitis and Peter M. Robinson
THE ET INTERVIEW: PROFESSOR JOSEPH B. KADANE pp. 633-668 Downloads
Ngai Hang Chan

Volume 17, issue 2, 2001

LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS pp. 283-295 Downloads
Horváth, Lajos and Piotr Kokoszka
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 296-326 Downloads
Pentti Saikkonen
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 327-356 Downloads
Pentti Saikkonen
UNIT ROOT SEASONAL AUTOREGRESSIVE MODELS WITH A POLYNOMIAL TREND OF HIGHER DEGREE pp. 357-385 Downloads
Seiji Nabeya
TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS pp. 386-423 Downloads
Jin Lee and Yongmiao Hong
THE ERROR TERM IN THE HISTORY OF TIME SERIES ECONOMETRICS pp. 424-450 Downloads
Duo Qin and Christopher L. Gilbert
ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES pp. 451-470 Downloads
Jeffrey Wooldridge
AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION pp. 471-474 Downloads
Ralph Bailey, Peter Burridge and Shasikanta Nandeibam
A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING pp. 475-482 Downloads
John Knight and S.E. Satchell

Volume 17, issue 1, 2001

THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE pp. 1-28 Downloads
Grant Hillier
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY pp. 29-69 Downloads
Peter Phillips, Hyungsik Moon and Zhijie Xiao
NEAR SEASONAL INTEGRATION pp. 70-86 Downloads
Paulo Rodrigues
STRUCTURAL CHANGE IN AR(1) MODELS pp. 87-155 Downloads
Terence Tai Leung Chong
TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES pp. 156-187 Downloads
Atsushi Inoue
A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS pp. 188-221 Downloads
Cheng Hsiao and Qi Li
THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES pp. 222-246 Downloads
Karim M. Abadir and Rolf Larsson
ON THE RANGE OF CORRELATION COEFFICIENTS OF BIVARIATE ORDERED DISCRETE RANDOM VARIABLES pp. 247-256 Downloads
Lung-Fei Lee
VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE pp. 257-275 Downloads
Offer Lieberman, Judith Rousseau and David M. Zucker

Volume 16, issue 6, 2000

GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS pp. 797-834 Downloads
Marine Carrasco and Jean-Pierre Florens
MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST pp. 835-854 Downloads
Friedrich Leisch, Kurt Hornik and Chung-Ming Kuan
THE FDH ESTIMATOR FOR PRODUCTIVITY EFFICIENCY SCORES pp. 855-877 Downloads
B.U. Park, Leopold Simar and Ch. Weiner
MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS pp. 878-904 Downloads
H. Peter Boswijk
VECTOR AUTOREGRESSIONS WITH UNKNOWN MIXTURES OF I(0), I(1), AND I(2) COMPONENTS pp. 905-926 Downloads
Yoosoon Chang
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA pp. 927-997 Downloads
Hyungsik Moon and Peter Phillips
DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM pp. 998-1015 Downloads
J. Roderick McCrorie
CONSISTENT MODEL SPECIFICATION TESTS pp. 1016-1041 Downloads
Yanqin Fan and Qi Li

Volume 16, issue 5, 2000

THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I pp. 621-642 Downloads
Robert de Jong and James Davidson
THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II pp. 643-666 Downloads
James Davidson and Robert de Jong
A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS pp. 667-691 Downloads
John Xu Zheng
ESTIMATING WEAK GARCH REPRESENTATIONS pp. 692-728 Downloads
Christian Francq and Zakoïan, Jean-Michel
LOCAL SEMIPARAMETRIC EFFICIENCY BOUNDS UNDER SHAPE RESTRICTIONS pp. 729-739 Downloads
Gautam Tripathi
A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS pp. 740-778 Downloads
Soren Johansen
BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS pp. 779-789 Downloads
Stephen Leybourne and Paul Newbold

Volume 16, issue 4, 2000

NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS pp. 465-501 Downloads
Zongwu Cai and Elias Masry
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS pp. 502-523 Downloads
Oliver Linton
ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS pp. 524-550 Downloads
Paolo Paruolo
SEMIPARAMETRIC ESTIMATION OF MULTIPLE EQUATION MODELS pp. 551-575 Downloads
Gabriel Picone and J. Butler
NONPARAMETRIC SIGNIFICANCE TESTING pp. 576-601 Downloads
Pascal Lavergne and Quang Vuong
IDENTIFICATION OF THE BINARY CHOICE MODEL WITH MISCLASSIFICATION pp. 603-609 Downloads
Arthur Lewbel
SEMIPARAMETRIC METHODS IN ECONOMETRICS pp. 611-617 Downloads
Qi Li

Volume 16, issue 3, 2000

LINEARIZATION OF RANDOMLY WEIGHTED EMPIRICALS UNDER LONG RANGE DEPENDENCE WITH APPLICATIONS TO NONLINEAR REGRESSION QUANTILES pp. 301-323 Downloads
Kanchan Mukherjee
ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS pp. 324-346 Downloads
Wen-Jen Tsay
THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES pp. 347-372 Downloads
Soosung Hwang
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT pp. 373-406 Downloads
Pentti Saikkonen and Lütkepohl, Helmut
THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED pp. 407-439 Downloads
Eric Zivot
FORECASTING ECONOMIC TIME SERIES pp. 441-450 Downloads
Frank Schorfheide
CORRIGENDA pp. 459-461 Downloads
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Volume 16, issue 2, 2000

TESTS OF RANK pp. 151-175 Downloads
Jean-Marc Robin and Richard Smith
TESTS OF COMMON STOCHASTIC TRENDS pp. 176-199 Downloads
Jukka Nyblom and Andrew Harvey
ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS pp. 200-230 Downloads
Seiji Nabeya
SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL pp. 231-248 Downloads
Offer Lieberman, Judith Rousseau and David M. Zucker
LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS pp. 249-261 Downloads
Marilena Furno
A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS pp. 262-268 Downloads
Robert de Jong
SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS pp. 269-279 Downloads
Badi Baltagi and Young-Jae Chang
A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION pp. 280-282 Downloads
Menelaos Karanasos
PROBLEMS AND SOLUTIONS pp. 287-299 Downloads
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Volume 16, issue 1, 2000

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM pp. 3-22 Downloads
Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus
SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS pp. 23-43 Downloads
Minxian Yang
NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION pp. 44-79 Downloads
Carlos Velasco
BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS pp. 80-101 Downloads
Fernández, Carmen and Mark Steel
COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS pp. 102-111 Downloads
Umberto Triacca
THE ET INTERVIEW: PROFESSOR OLAV REIERSØL pp. 113-125 Downloads
Yngve Willassen
DYNAMIC NONLINEAR ECONOMETRIC MODELS—ASYMPTOTIC THEORY pp. 127-130 Downloads
Robert de Jong
SIMULATION-BASED ECONOMETRIC METHODS pp. 131-138 Downloads
Torben Andersen
ECONOMETRIC METHODS pp. 139-142 Downloads
Gautam Tripathi
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