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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 13, issue 6, 1997

Curved Exponential Models in Econometrics pp. 771-790 Downloads
Kees Jan van Garderen
Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios pp. 791-807 Downloads
John Knight and Stephen E. Satchell
Optimal Prediction Under Asymmetric Loss pp. 808-817 Downloads
Peter Christoffersen and Francis Diebold
Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series pp. 818-848 Downloads
Timothy Vogelsang
Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables pp. 850-876 Downloads
In Choi, Joon Park and Byungchul Yu
Multivariate Linear Rational Expectations Models pp. 877-888 Downloads
Michael Binder and M Pesaran

Volume 13, issue 5, 1997

A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model pp. 615-645 Downloads
George J. Jiang and John Knight
Comovements Between Diffusion Processes pp. 646-666 Downloads
Valentina Corradi
Multiplicative Panel Data Models Without the Strict Exogeneity Assumption pp. 667-678 Downloads
Jeffrey Wooldridge
Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test pp. 679-691 Downloads
Yin-Wong Cheung and Kon S. Lai
On Asymptotic Inference in Linear Cointegrated Time Series Systems pp. 692-745 Downloads
P. Jeganathan
Econometric Analysis of Panel DataBadi H. Baltagi Wiley, 1995 pp. 747-754 Downloads
Michael A. Boozer

Volume 13, issue 4, 1997

Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data pp. 467-505 Downloads
Albert Bergstrom
Weak Convergence to a Matrix Stochastic Integral with Stable Processes pp. 506-528 Downloads
Mehmet Caner
Principal Components Analysis of Cointegrated Time Series pp. 529-557 Downloads
David Harris
An Asymptotic Expansion in the GARCH(l, 1) Model pp. 558-581 Downloads
Oliver Linton
The Formation of Econometrics: A Historical PerspectiveDuo Qin Oxford University Press, 1993 pp. 589-603 Downloads
Leland Gerson Neuberg

Volume 13, issue 3, 1997

Estimating Multiple Breaks One at a Time pp. 315-352 Downloads
Jushan Bai
Central Limit Theorems for Dependent Heterogeneous Random Variables pp. 353-367 Downloads
Robert de Jong
Comparison of Deterministic and Stochastic Predictors in Nonlinear Systems When the Disturbances Are Small pp. 368-391 Downloads
Hassan Arvin-Rad
Approximate Solutions to Stochastic Dynamic Programs pp. 392-405 Downloads
Steven Stern
Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances pp. 406-429 Downloads
Anoop Chaturvedi, Hikaru Hasegawa, Ajit Chaturvedi and Govind Shukla
Estimation in the Cox-Ingersoll-Ross Model pp. 430-461 Downloads
Ludger Overbeck and Rydén, Tobias

Volume 13, issue 2, 1997

Cointegration Testing Using Pseudolikelihood Ratio Tests pp. 149-169 Downloads
Andre Lucas
The Cumulant Generating Function Estimation Method pp. 170-184 Downloads
John Knight and Stephen E. Satchell
Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity pp. 185-213 Downloads
N. Scott Cardell
Additive Nonlinear ARX Time Series and Projection Estimates pp. 214-252 Downloads
Elias Masry and Tjøstheim, Dag

Volume 13, issue 1, 1997

Semiparametric Estimation of a Single-Index Model with Nonparametrically Generated Regressors pp. 3-31 Downloads
Hyungtaik Ahn
Semiparametric Estimation of Location and Other Discrete Choice Moments pp. 32-51 Downloads
Arthur Lewbel
The Effect of Nonnormality pp. 52-78 Downloads
Offer Lieberman
Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems pp. 79-118 Downloads
Paolo Paruolo
Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994 pp. 119-132 Downloads
Bruce Hansen and Joel L. Horowitz
Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 pp. 133-142 Downloads
Keith Knight

Volume 12, issue 5, 1996

Sobolev Estimation of Approximate Regressions pp. 753-772 Downloads
Jean-Pierre Florens, Marc Ivaldi and Sophie Larribeau
Spectral Analysis for Bivariate Time Series with Long Memory pp. 773-792 Downloads
J. Hidalgo
Conditional Quantile Estimation and Inference for Arch Models pp. 793-813 Downloads
Roger Koenker and Quanshui Zhao
Infinite-Order Cointegrated Vector Autoregressive Processes pp. 814-844 Downloads
Pentti Saikkonen and Lütkepohl, Helmut
The Encompassing Principle and Hypothesis Testing pp. 845-858 Downloads
Maozu Lu and Grayham Mizon
Stochastic Limit Theory: An Introduction for EconometriciansJames Davidson, Oxford University Press, 1994 pp. 859-865 Downloads
Stéphane Gregoir

Volume 12, issue 4, 1996

A Reappraisal of Misspecified Econometric Models pp. 597-619 Downloads
Alain Monfort
Encompassing and Specificity pp. 620-656 Downloads
Jean-Pierre Florens, David Hendry and Jean-Francois Richard
Which Moments to Match? pp. 657-681 Downloads
A. Gallant and George Tauchen
The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series pp. 682-704 Downloads
Karim M. Abadir and Rolf Larsson
The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test pp. 705-723 Downloads
Peter Burridge and Emmanuel Guerre
Near Observational Equivalence and Theoretical size Problems with Unit Root Tests pp. 724-731 Downloads
Jon Faust
The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients pp. 733-738 Downloads
Brian McCall
Modeling Stock Prices without Knowing How to Induce Stationarity pp. 739-740 Downloads
David DeJong and Charles Whiteman
Erratum pp. 752-752 Downloads

Volume 12, issue 3, 1996

Markov Chain Monte Carlo Simulation Methods in Econometrics pp. 409-431 Downloads
Siddhartha Chib and Edward Greenberg
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples pp. 432-457 Downloads
Eric Ghysels and Offer Lieberman
Calculating the Distribution of the Serial Correlation Estimator by Saddlepoint Integration pp. 458-480 Downloads
Carl W. Helstrom
Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value pp. 481-499 Downloads
Hrishikesh Vinod and L.R. Shenton
BAYESIAN ECONOMETRICS: The First Twenty Years pp. 500-516 Downloads
Duo Qin
Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm pp. 517-567 Downloads
Stephen Donald and Harry Paarsch
Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations pp. 569-580 Downloads
Paul Rilstone and Michael Veall
Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994 pp. 581-583 Downloads
Oliver Linton

Volume 12, issue 2, 1996

Noncausality in Continuous Time Models pp. 215-256 Downloads
F. Comte and Eric Renault
The Bahadur-Kiefer Representation of Lp Regression Estimators pp. 257-283 Downloads
Miguel A. Arcones
Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications pp. 284-304 Downloads
Xiaohong Chen and Halbert White
Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors pp. 305-330 Downloads
Myoung-jae Lee
Valid Edgeworth Expansions of M-Estimators in Regression Models with Weakly Dependent Resfduals pp. 331-346 Downloads
Masanobu Taniguchi and Madan L. Puri
Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays pp. 347-359 Downloads
Bruce Hansen
Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends pp. 361-373 Downloads
Theodore Simos
The Estimation of Continuous Parameter Long-Memory Time Series Models pp. 374-390 Downloads
Marcus Chambers
Erratum pp. 407-408 Downloads

Volume 12, issue 1, 1996

Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle pp. 1-29 Downloads
Richard A. Davis and William T.M. Dunsmuir
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models pp. 30-60 Downloads
Oliver Linton
Testing for Causation Using Infinite Order Vector Autoregressive Processes pp. 61-87 Downloads
Lütkepohl, Helmut and Donald Poskitt
Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches pp. 88-112 Downloads
Mohamed Bentarzi and Marc Hallin
A Note on the Normalized Errors in ARCH and Stochastic Volatility Models pp. 113-128 Downloads
Daniel B. Nelson
Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors pp. 129-153 Downloads
Miguel A. Herce
A Note on Bootstrapping Generalized Method of Moments Estimators pp. 187-197 Downloads
Jinyong Hahn
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