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Econometric Theory

1985 - 2020

From Cambridge University Press
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Volume 9, issue 4, 1993

Adaptive Estimation in ARCH Models pp. 539-569 Downloads
Oliver Linton
Estimation in Dynamic Linear Regression Models with Infinite Variance Errors pp. 570-588 Downloads
Keith Knight
A Consistent Test of Stationary-Ergodicity pp. 589-601 Downloads
Ian Domowitz and Mahmoud El-Gamal
Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models pp. 602-632 Downloads
Craig Burnside
Determination of Estimators with Minimum Asymptotic Covariance Matrices pp. 633-648 Downloads
Charles E. Bates and Halbert White
Specification Testing with Locally Misspecified Alternatives pp. 649-658 Downloads
Anil K. Bera and Mann J. Yoon
A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series pp. 659-667 Downloads
Anders Rygh Swensen
A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model pp. 668-679 Downloads
Kazuhiro Ohtani
On the Noninvertible Moving Average Time Series with Infinite Variance pp. 680-685 Downloads
Ngai Hang Chan

Volume 9, issue 3, 1993

Multivariate Time Series: A Polynomial Error Correction Representation Theorem pp. 329-342 Downloads
Stéphane Gregoir and Guy Laroque
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models pp. 343-362 Downloads
Pentti Saikkonen and Ritva Luukkonen
Asymptotic Expansions for Random Walks with Normal Errors pp. 363-376 Downloads
John Knight and S.E. Satchell
Distribution of the ML Estimator of an MA(1) and a local level model pp. 377-401 Downloads
Neil Shephard
The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case pp. 402-412 Downloads
James Davidson
Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix pp. 413-430 Downloads
Lung-Fei Lee
The VPRT: A Sequential Testing Procedure Dominating the SPRT pp. 431-450 Downloads
Noel Cressie and Peter B. Morgan
A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models pp. 451-477 Downloads
Pedro L. Gozalo
Robust Model Selection and M-Estimation pp. 478-493 Downloads
José António Machado
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root pp. 494-498 Downloads
Pentti Saikkonen
Median Unbiasedness of Estimators of Panel Data Censored Regression Models pp. 499-503 Downloads
Jeffrey Campbell and Honoré, Bo E.
On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables pp. 504-515 Downloads
Kazuhiro Ohtani and Hikaru Hasegawa

Volume 9, issue 2, 1993

Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model pp. 155-188 Downloads
Pentti Saikkonen
On the Asymptotic Power of Unit Root Tests pp. 189-221 Downloads
Karim M. Abadir
Testing Identifiability and Specification in Instrumental Variable Models pp. 222-240 Downloads
John G. Cragg and Stephen Donald
Noncausality and Marginalization of Markov Processes pp. 241-262 Downloads
J.P. Florens, M. Mouchart and J.M. Rolin
Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications pp. 263-282 Downloads
In Choi
Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data pp. 283-295 Downloads
Alfred Hamerle, Hermann Singer and Willi Nagl
A Curious Result on Exact FIML and Instrumental Variables pp. 296-309 Downloads
Giorgio Calzolari and Letizia Sampoli

Volume 9, issue 1, 1993

Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions pp. 1-18 Downloads
Joel L. Horowitz
Estimation of Cointegration Vectors with Linear Restrictions pp. 19-35 Downloads
Pentti Saikkonen
An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration pp. 36-61 Downloads
Katsuto Tanaka
Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable pp. 62-80 Downloads
Jan Kiviet and Garry Phillips
Ols Bias in a Nonstationary Autoregression pp. 81-93 Downloads
Karim M. Abadir
Variable Augmentation Specification Tests in the Exponential Family pp. 94-113 Downloads
Shiferaw Gurmu and Pravin Trivedi

Volume 8, issue 4, 1992

Nonparametric Regression Tests Based on Least Squares pp. 435-451 Downloads
Adonis Yatchew
A Test for Functional Form Against Nonparametric Alternatives pp. 452-475 Downloads
Jeffrey Wooldridge
Simultaneous Density Estimation of Several Income Distributions pp. 476-488 Downloads
J.S. Marron and H.-P. Schmitz
Convergence to Stochastic Integrals for Dependent Heterogeneous Processes pp. 489-500 Downloads
Bruce Hansen
On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives pp. 501-517 Downloads
V.K. Jandhyala and I.B. MacNeill
On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models pp. 518-552 Downloads
Lung-Fei Lee
The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses pp. 553-569 Downloads
Jerzy Szroeter
Continuous Time Econometric ModellingA.R. Bergstrom Oxford University Press, 1991 pp. 571-579 Downloads
Peter M. Robinson

Volume 8, issue 3, 1992

A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes pp. 313-329 Downloads
James Davidson
On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics pp. 330-342 Downloads
C. H. Hesse
Stochastic Expansions and Asymptotic Approximations pp. 343-367 Downloads
Michael A. Magdalinos
Winsorized Mean Estimator for Censored Regression pp. 368-382 Downloads
Myoung-jae Lee
The Cowles Commission, the Brookings Project, and the Econometric Services Industry: Successes and Possible New Directions: A Personal View pp. 383-401 Downloads
Michael D. McCarthy
Semiparametric IV Estimation with Parameter Dependent Instruments pp. 403-406 Downloads
Paul Rilstone
A Course in EconometricsArthur Goldberger Harvard University Press, 1991 pp. 407-412 Downloads
Douglas Steigerwald
Applied Nonparametric RegressionW. Härdle Cambridge University Press, 1990 pp. 413-419 Downloads
Miguel Delgado
Bruce E. Hansen, Strong Laws for Dependent Heterogeneous Processes. Econometric Theory 7(1992): 213–221 pp. 421-422 Downloads
Anonymous

Volume 8, issue 2, 1992

Adaptive Estimation in Time Serise Regression Models With Heteroskedasticity of Unknown Form pp. 161-187 Downloads
Javier Hidalgo
A Representation of Vector Autoregressive Processes Integrated of Order 2 pp. 188-202 Downloads
Soren Johansen
Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model pp. 203-222 Downloads
Miguel Delgado
Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications pp. 223-240 Downloads
Jean-Marie Dufour and Marc Hallin
Generic Uniform Convergence pp. 241-257 Downloads
Donald Andrews
The Bias of Bootstrapped Versus Conventional Standard Errors in the General Linear and SUR Models pp. 258-275 Downloads
Scott Atkinson and Paul Wilson
A Bootstrap Test for Positive Definiteness of Income Effect Matrices pp. 276-292 Downloads
Härdle, Wolfgang and Jeffrey D. Hart
Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989 pp. 293-299 Downloads
Francis Diebold

Volume 8, issue 1, 1992

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation pp. 1-27 Downloads
Pentti Saikkonen
Continuous Record Asymptotics in Systems of Stochastic Differential Equations pp. 28-51 Downloads
Sørensen, Bent E.
Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models pp. 52-94 Downloads
Lung-Fei Lee
The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors pp. 95-111 Downloads
John Galbraith and Victoria Zinde-Walsh
A Note on the Estimation of Simultaneous Equations with Error Components pp. 113-119 Downloads
Badi Baltagi and Qi Li
On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series pp. 120-126 Downloads
Tuan Dinh Pham and Lanh Tat Tran
A Graphical Exposition of the Ordered Probit pp. 127-131 Downloads
William Becker and Peter Kennedy
The Statistical Theory of Linear SystemsE. J. Hannan and Manfred Deistler John Wiley & Sons, 1988 pp. 135-143 Downloads
Victor Solo
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