Econometric Theory

1985 - 2024

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

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