Econometric Theory

1985 - 2024

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

Oliver Linton

ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS pp. 1051-1081

Yongmiao Hong and Jin Lee

LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY pp. 1082-1112

Zhijie Xiao

THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY pp. 1113-1141

Mario Forni and Marco Lippi

INDEPENDENCE OF DOUBLE WIENER INTEGRALS pp. 1143-1155

Seiji Nabeya

PROBLEMS AND SOLUTIONS pp. 1157-1160

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Volume 17, issue 5, 2001

CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED REGRESSION MODELS pp. 863-888

Whitney Newey

IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS pp. 889-912

Cheng Hsiao

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS pp. 913-932

Jinyong Hahn

INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION pp. 933-961

Lung-Fei Lee

COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL? pp. 962-983

Herman Bierens

SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS pp. 984-1024

Oliver Linton and Zhijie Xiao

PROBLEMS AND SOLUTIONS pp. 1025-1031

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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

Hannes Leeb and Benedikt Pötscher

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS pp. 686-710

Rohit Deo and Clifford Hurvich

APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS pp. 711-737

Seiji Nabeya

ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS pp. 738-764

Shiqing Ling and W.K. Li

ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM pp. 765-784

Quanshui Zhao

ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING pp. 785-819

Gurupdesh S. Pandher

LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS pp. 820-852

Alan J. Rogers

CORRIGENDA pp. 859-859

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Volume 17, issue 3, 2001

EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN pp. 497-539

Carlos Velasco and Peter M. Robinson

A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS pp. 540-566

Efstathios Paparoditis and Dimitris N. Politis

SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL pp. 567-590

Songnian Chen and Shakeeb Khan

TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS pp. 591-607

Marcus Chambers

WHITTLE ESTIMATION OF ARCH MODELS pp. 608-631

Liudas Giraitis and Peter M. Robinson

THE ET INTERVIEW: PROFESSOR JOSEPH B. KADANE pp. 633-668

Ngai Hang Chan

Volume 17, issue 2, 2001

LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS pp. 283-295

Lajos Horvath and Piotr Kokoszka

CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 296-326

Pentti Saikkonen

STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS pp. 327-356

Pentti Saikkonen

UNIT ROOT SEASONAL AUTOREGRESSIVE MODELS WITH A POLYNOMIAL TREND OF HIGHER DEGREE pp. 357-385

Seiji Nabeya

TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS pp. 386-423

Jin Lee and Yongmiao Hong

THE ERROR TERM IN THE HISTORY OF TIME SERIES ECONOMETRICS pp. 424-450

Duo Qin and Christopher L. Gilbert

ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES pp. 451-470

Jeffrey Wooldridge

AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION pp. 471-474

Ralph Bailey, Peter Burridge and Shasikanta Nandeibam

A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING pp. 475-482

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

Grant Hillier

HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY pp. 29-69

Peter Phillips, Hyungsik Moon and Zhijie Xiao

NEAR SEASONAL INTEGRATION pp. 70-86

Paulo Rodrigues

STRUCTURAL CHANGE IN AR(1) MODELS pp. 87-155

Terence Tai Leung Chong

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES pp. 156-187

Atsushi Inoue

A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS pp. 188-221

Cheng Hsiao and Qi Li

THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES pp. 222-246

Karim M. Abadir and Rolf Larsson

ON THE RANGE OF CORRELATION COEFFICIENTS OF BIVARIATE ORDERED DISCRETE RANDOM VARIABLES pp. 247-256

Lung-Fei Lee

VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE pp. 257-275

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

Marine Carrasco and Jean-Pierre Florens

MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST pp. 835-854

Friedrich Leisch, Kurt Hornik and Chung-Ming Kuan

THE FDH ESTIMATOR FOR PRODUCTIVITY EFFICIENCY SCORES pp. 855-877

B.U. Park, Leopold Simar and Ch. Weiner

MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS pp. 878-904

H. Peter Boswijk

VECTOR AUTOREGRESSIONS WITH UNKNOWN MIXTURES OF I(0), I(1), AND I(2) COMPONENTS pp. 905-926

Yoosoon Chang

ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA pp. 927-997

Hyungsik Moon and Peter Phillips

DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM pp. 998-1015

J. Roderick McCrorie

CONSISTENT MODEL SPECIFICATION TESTS pp. 1016-1041

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

Robert de Jong and James Davidson

THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II pp. 643-666

James Davidson and Robert de Jong

A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS pp. 667-691

John Xu Zheng

ESTIMATING WEAK GARCH REPRESENTATIONS pp. 692-728

Christian Francq and Jean-Michel Zakoian

LOCAL SEMIPARAMETRIC EFFICIENCY BOUNDS UNDER SHAPE RESTRICTIONS pp. 729-739

Gautam Tripathi

A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS pp. 740-778

Soren Johansen

BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS pp. 779-789

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

Zongwu Cai and Elias Masry

EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS pp. 502-523

Oliver Linton

ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS pp. 524-550

Paolo Paruolo

SEMIPARAMETRIC ESTIMATION OF MULTIPLE EQUATION MODELS pp. 551-575

Gabriel Picone and J. Butler

NONPARAMETRIC SIGNIFICANCE TESTING pp. 576-601

Pascal Lavergne and Quang Vuong

IDENTIFICATION OF THE BINARY CHOICE MODEL WITH MISCLASSIFICATION pp. 603-609

Arthur Lewbel

SEMIPARAMETRIC METHODS IN ECONOMETRICS pp. 611-617

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

Kanchan Mukherjee

ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS pp. 324-346

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

Soosung Hwang

TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT pp. 373-406

Pentti Saikkonen and Helmut Lütkepohl

THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED pp. 407-439

Eric Zivot

FORECASTING ECONOMIC TIME SERIES pp. 441-450

Frank Schorfheide

CORRIGENDA pp. 459-461

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Volume 16, issue 2, 2000

TESTS OF RANK pp. 151-175

Jean-Marc Robin and Richard Smith

TESTS OF COMMON STOCHASTIC TRENDS pp. 176-199

Jukka Nyblom and Andrew Harvey

ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS pp. 200-230

Seiji Nabeya

SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL pp. 231-248

Offer Lieberman, Judith Rousseau and David M. Zucker

LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS pp. 249-261

Marilena Furno

A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS pp. 262-268

Robert de Jong

SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS pp. 269-279

Badi Baltagi and Young-Jae Chang

A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION pp. 280-282

Menelaos Karanasos

PROBLEMS AND SOLUTIONS pp. 287-299

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Volume 16, issue 1, 2000

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM pp. 3-22

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus

SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS pp. 23-43

Minxian Yang

NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION pp. 44-79

Carlos Velasco

BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS pp. 80-101

Carmen Fernández and Mark Steel

COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS pp. 102-111

Umberto Triacca

THE ET INTERVIEW: PROFESSOR OLAV REIERSØL pp. 113-125

Yngve Willassen

DYNAMIC NONLINEAR ECONOMETRIC MODELS—ASYMPTOTIC THEORY pp. 127-130

Robert de Jong

SIMULATION-BASED ECONOMETRIC METHODS pp. 131-138

Torben Andersen

ECONOMETRIC METHODS pp. 139-142

Gautam Tripathi