Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 13, issue 6, 1997

Curved Exponential Models in Econometrics pp. 771-790

Kees Jan van Garderen

Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios pp. 791-807

John Knight and Stephen E. Satchell

Optimal Prediction Under Asymmetric Loss pp. 808-817

Peter Christoffersen and Francis Diebold

Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series pp. 818-848

Timothy Vogelsang

Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables pp. 850-876

In Choi, Joon Park and Byungchul Yu

Multivariate Linear Rational Expectations Models pp. 877-888

Michael Binder and Mohammad 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

George J. Jiang and John Knight

Comovements Between Diffusion Processes pp. 646-666

Valentina Corradi

Multiplicative Panel Data Models Without the Strict Exogeneity Assumption pp. 667-678

Jeffrey Wooldridge

Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test pp. 679-691

Yin-Wong Cheung and Kon S. Lai

On Asymptotic Inference in Linear Cointegrated Time Series Systems pp. 692-745

P. Jeganathan

Econometric Analysis of Panel DataBadi H. Baltagi Wiley, 1995 pp. 747-754

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

Albert Bergstrom

Weak Convergence to a Matrix Stochastic Integral with Stable Processes pp. 506-528

Mehmet Caner

Principal Components Analysis of Cointegrated Time Series pp. 529-557

David Harris

An Asymptotic Expansion in the GARCH(l, 1) Model pp. 558-581

Oliver Linton

A Note on the Efficient Semiparametric Estimation of Some Exponential Panel Models pp. 583-588

Jinyong Hahn

The Formation of Econometrics: A Historical Perspective Duo Qin Oxford University Press, 1993 pp. 589-603

Leland Gerson Neuberg

Volume 13, issue 3, 1997

Estimating Multiple Breaks One at a Time pp. 315-352

Jushan Bai

Central Limit Theorems for Dependent Heterogeneous Random Variables pp. 353-367

Robert de Jong

Comparison of Deterministic and Stochastic Predictors in Nonlinear Systems When the Disturbances Are Small pp. 368-391

Hassan Arvin-Rad

Approximate Solutions to Stochastic Dynamic Programs pp. 392-405

Steven Stern

Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances pp. 406-429

Anoop Chaturvedi, Hikaru Hasegawa, Ajit Chaturvedi and Govind Shukla

Estimation in the Cox-Ingersoll-Ross Model pp. 430-461

Ludger Overbeck and Tobias Rydén

Volume 13, issue 2, 1997

Cointegration Testing Using Pseudolikelihood Ratio Tests pp. 149-169

Andre Lucas

The Cumulant Generating Function Estimation Method pp. 170-184

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

N. Scott Cardell

Additive Nonlinear ARX Time Series and Projection Estimates pp. 214-252

Elias Masry and Dag Tjøstheim

Volume 13, issue 1, 1997

Semiparametric Estimation of a Single-Index Model with Nonparametrically Generated Regressors pp. 3-31

Hyungtaik Ahn

Semiparametric Estimation of Location and Other Discrete Choice Moments pp. 32-51

Arthur Lewbel

The Effect of Nonnormality pp. 52-78

Offer Lieberman

Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems pp. 79-118

Paolo Paruolo

Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994 pp. 119-132

Bruce Hansen and Joel L. Horowitz

Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 pp. 133-142

Keith Knight

Volume 12, issue 5, 1996

Sobolev Estimation of Approximate Regressions pp. 753-772

Jean-Pierre Florens, Marc Ivaldi and Sophie Larribeau

Spectral Analysis for Bivariate Time Series with Long Memory pp. 773-792

J. Hidalgo

Conditional Quantile Estimation and Inference for Arch Models pp. 793-813

Roger Koenker and Quanshui Zhao

Infinite-Order Cointegrated Vector Autoregressive Processes pp. 814-844

Pentti Saikkonen and Helmut Lütkepohl

The Encompassing Principle and Hypothesis Testing pp. 845-858

Maozu Lu and Grayham Mizon

Stochastic Limit Theory: An Introduction for EconometriciansJames Davidson, Oxford University Press, 1994 pp. 859-865

Stéphane Gregoir

Volume 12, issue 4, 1996

A Reappraisal of Misspecified Econometric Models pp. 597-619

Alain Monfort

Encompassing and Specificity pp. 620-656

Jean-Pierre Florens, David Hendry and Jean-Francois Richard

Which Moments to Match? pp. 657-681

A. Gallant and George Tauchen

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series pp. 682-704

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

Peter Burridge and Emmanuel Guerre

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests pp. 724-731

Jon Faust

The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients pp. 733-738

Brian McCall

Modeling Stock Prices without Knowing How to Induce Stationarity pp. 739-740

David DeJong and Charles Whiteman

Erratum pp. 752-752

Anonymous

Volume 12, issue 3, 1996

Markov Chain Monte Carlo Simulation Methods in Econometrics pp. 409-431

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

Eric Ghysels and Offer Lieberman

Calculating the Distribution of the Serial Correlation Estimator by Saddlepoint Integration pp. 458-480

Carl W. Helstrom

Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value pp. 481-499

Hrishikesh Vinod and L.R. Shenton

BAYESIAN ECONOMETRICS: The First Twenty Years pp. 500-516

Duo Qin

Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm pp. 517-567

Stephen Donald and Harry Paarsch

Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations pp. 569-580

Paul Rilstone and Michael Veall

Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994 pp. 581-583

Oliver Linton

Volume 12, issue 2, 1996

Noncausality in Continuous Time Models pp. 215-256

F. Comte and Eric Renault

The Bahadur-Kiefer Representation of Lp Regression Estimators pp. 257-283

Miguel A. Arcones

Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications pp. 284-304

Xiaohong Chen and Halbert White

Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors pp. 305-330

Myoung-jae Lee

Valid Edgeworth Expansions of M-Estimators in Regression Models with Weakly Dependent Resfduals pp. 331-346

Masanobu Taniguchi and Madan L. Puri

Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays pp. 347-359

Bruce Hansen

Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends pp. 361-373

Theodore Simos

The Estimation of Continuous Parameter Long-Memory Time Series Models pp. 374-390

Marcus Chambers

Erratum pp. 407-408

Anonymous

Volume 12, issue 1, 1996

Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle pp. 1-29

Richard A. Davis and William T.M. Dunsmuir

Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models pp. 30-60

Oliver Linton

Testing for Causation Using Infinite Order Vector Autoregressive Processes pp. 61-87

Helmut Lütkepohl and Donald Poskitt

Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches pp. 88-112

Mohamed Bentarzi and Marc Hallin

A Note on the Normalized Errors in ARCH and Stochastic Volatility Models pp. 113-128

Daniel B. Nelson

Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors pp. 129-153

Miguel A. Herce

A Note on Bootstrapping Generalized Method of Moments Estimators pp. 187-197

Jinyong Hahn