Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 11, issue 5, 1995

Trending Multiple Time Series: Editor's Introduction pp. 811-817

Peter Phillips

Some Aspects of Asymptotic Theory with Applications to Time Series Models pp. 818-887

P. Jeganathan

Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems pp. 888-911

Pentti Saikkonen

Robust Nonstationary Regression pp. 912-951

Peter Phillips

Testing for Cointegration in a System of Equations pp. 952-983

In Choi and Byung Chul Ahn

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified pp. 984-1014

Michael T.K. Horvath and Mark Watson

Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions pp. 1015-1032

Hiro Y. Toda

Time Series Regression with Mixtures of Integrated Processes pp. 1033-1094

Yoosoon Chang and Peter Phillips

Efficient IV Estimation in Nonstationary Regression pp. 1095-1130

Yuichi Kitamura and Peter Phillips

Inference in Models with Nearly Integrated Regressors pp. 1131-1147

Christopher L. Cavanagh, Graham Elliott and James H. Stock

Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power pp. 1148-1171

Bruce Hansen

Volume 11, issue 4, 1995

A Nonparametric Conditional Moment Test for Structural Stability pp. 671-698

Javier Hidalgo

The Moving-Estimates Test for Parameter Stability pp. 699-720

Chia-Shang James Chu, Kurt Hornik and Chung-Ming Kuan

Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values pp. 721-735

Hermann Singer

Spurious Break pp. 736-749

Luis Nunes, Chung-Ming Kuan and Paul Newbold

On the Existence of Moments of Ratios of Quadratic Forms pp. 750-774

Leigh Roberts

The Limiting Distribution of the t Ratio Under a Unit Root pp. 775-793

Karim M. Abadir

Volume 11, issue 3, 1995

Least Absolute Deviation Estimation of a Shift pp. 403-436

Jushan Bai

Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models pp. 437-483

Lung-Fei Lee

Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation pp. 484-497

Christopher Skeels

Instrumental Variables Estimation in Misspecified Single Equations pp. 498-529

Christopher Skeels

Causality in the Long Run pp. 530-536

W.J. Clive and Jin-Lung Lin

The Effect of Model Selection on Confidence Regions and Prediction Regions pp. 537-549

Paul Kabaila

Comment on “The Effect of Model Selection on Confidence Regions and Prediction Regions” by P. Kabaila pp. 550-559

Benedikt Pötscher

Nonparametric Kernel Estimation for Semiparametric Models pp. 560-586

Donald Andrews

TIME SERIES ANALYSISJames D. Hamilton Princeton University Press, 1994 pp. 625-630

Bruce Hansen

ESTIMATION AND INFERENCE IN ECONOMETRICSRussell Davidson and James G. MacKinnon Oxford University Press, 1993 pp. 631-635

Victoria Zinde-Walsh

Volume 11, issue 2, 1995

Testing, Encompassing, and Simulating Dynamic Econometric Models pp. 195-228

Christian Gourieroux and Alain Monfort

Solutions of multivariate Rational Expectations Models pp. 229-257

Laurence Broze, Christian Gourieroux and Ariane Szafarz

Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality pp. 258-289

Elias Masry and Dag Tjøstheim

On the Use of Artificial Regressions in Certain Microeconometric Models pp. 290-305

Chris Orme

The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes pp. 306-330

Rolf Larsson

Unit Root Tests Based on M Estimators pp. 331-346

Andre Lucas

Laws of Large Numbers for Dependent Heterogeneous Processes pp. 347-358

Robert de Jong

An LM Test for a Unit Root in the Presence of a Structural Change pp. 359-368

Christine Amsler and Junsoo Lee

THE HISTORY OF ECONOMETRIC IDEAS Mary S. Morgan Cambridge University Press, 1990 pp. 371-383

Leland Gerson Neuberg

COMMENTS ON NEUBERG'S REVIEW OF THE HISTORY OF ECONOMETRIC IDEAS pp. 384-385

Duo Qin

COMMENTS ON NEUBERG'S REVIEW OF THE HISTORY OF ECONOMETRIC IDEAS pp. 386-388

G. Michael Lail and Neil De Marchi

Tinbergen's Cycle: An Arithmetic Error? - TINBERGEN'S CYCLE: AN ARITHMETIC ERROR? pp. 389-391

Marcel Boumans

The History of Econometrics: Errors and Refutations - THE HISTORY OF ECONOMETRICS: ERRORS AND REFUTATIONS pp. 392-397

Mary S. Morgan

Errata pp. 402-402

Paolo Paruolo

Volume 11, issue 1, 1995

Estimation of Cointegrated Systems with I(2) Processes pp. 1-24

Yuichi Kitamura

A Stastistical Analysis of Cointegration for I(2) Variables pp. 25-59

Soren Johansen

Errors in Variables and Cointegration pp. 60-80

Victor Solo

A New Test for Nonstationarity Against the Stable Alternative pp. 81-104

Karim M. Abadir

Bootstrapping Quantile Regression Estimators pp. 105-121

Jinyong Hahn

Multivariate Simultaneous Generalized ARCH pp. 122-150

Robert Engle and Kenneth F. Kroner

The Econometrics of Learning in Financial Markets pp. 151-189

Peter Bossaerts

Volume 10, issue 5, 1994

Testing a Parametric Model Against a Semiparametric Alternative pp. 821-848

Joel L. Horowitz and Wolfgang Härdle

Testing for Second-Order Stochastic Dominance of Two Distributions pp. 849-866

Amarjot Kaur, B.L.S. Prakasa Rao and Harshinder Singh

On the Asymptotic Optimality of Alternative Minimum-Distance Estimators in Linear Latent-Variable Models pp. 867-883

Albert Satorra and Heinz Neudecker

A Note on Autoregressive Modeling pp. 884-899

Donald Poskitt

On the Approximation of Saddlepoint Expansions in Statistics pp. 900-916

Offer Lieberman

Testing for Unit Roots in Models with Structural Change pp. 917-936

Joon Park and Jaewhan Sung

Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend pp. 937-966

Seiji Nabeya and Bent Sorensen

Volume 10, issue 3-4, 1994

Bayes Methods and Unit Roots pp. 453-460

Peter Phillips and Herman van Dijk

Noninformative Priors and Bayesian Testing for the AR(1) Model pp. 461-482

James O. Berger and Ruo-Yong Yang

Bayesian Forecasting of Economic Time Series pp. 483-513

Bruce M. Hill

On the Shape of the Likelihood/Posterior in Cointegration Models pp. 514-551

Frank Kleibergen and Herman van Dijk

A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model pp. 552-578

Eric Zivot

Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations pp. 579-595

Peter C. Schotman

Bayesian Inference of Trend and Difference-Stationarity pp. 596-608

Robert E. McCulloch and Ruey S. Tsay

Priors for Macroeconomic Time Series and Their Application pp. 609-632

John Geweke

On Jeffreys Prior when Using the Exact Likelihood Function pp. 633-644

Harald Uhlig

What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective pp. 645-671

Harald Uhlig

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown pp. 672-700

Graham Elliott and James H. Stock

Modeling Stock Prices without Knowing How to Induce Stationarity pp. 701-719

David DeJong and Charles Whiteman

Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series pp. 720-746

In Choi

Bayesian Encompassing Tests of a Unit Root Hypothesis pp. 747-763

Jean-Pierre Florens, Sophie Larribeau and Michel Mouchart

Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process pp. 764-773

Jae-Young Kim

Posterior Odds Testing for a Unit Root with Data-Based Model Selection pp. 774-808

Peter Phillips and Werner Ploberger

Corrigendum pp. 811-811

Anonymous

System IdentificationT. Söderström and P. Stoica Prentice Hall International, 1989 pp. 813-815

M. Deistler

Volume 10, issue 2, 1994

Kernel Estimation of Partial Means and a General Variance Estimator pp. 1-21

Whitney Newey

Autoregressive Errors in Singular Systems of Equations pp. 254-285

Phoebus J. Dhrymes

On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models pp. 286-315

Aris Spanos

Testing the Goodness of Fit of a Parametric Density Function by Kernel Method pp. 316-356

Yanqin Fan

Power of Tests for Nonlinear Transformation in Regression Analysis pp. 357-371

Masahito Kobayashi

U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator pp. 372-395

Robert P. Sherman

Estimating Error Component Models With General MA(q) Disturbances pp. 396-408

Badi Baltagi and Qi Li

On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi pp. 409-418

Jeffrey Wooldridge

Erratum pp. 451-451

Luis Alvarez and Juan Dolado

Volume 10, issue 1, 1994

Series Estimation of Regression Functionals pp. 1-28

Whitney Newey

Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator pp. 29-52

Sang-Won Lee and Bruce Hansen

Asymptotically Optimal Tests Using Limited Information and Testing for Exogeneity pp. 53-69

Richard Smith

On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity pp. 70-90

Robert de Jong and Herman Bierens

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration pp. 91-115

Yongcheol Shin

Symmetry, Regression Design, and Sampling Distributions pp. 116-129

Andrew Chesher and Simon Peters

Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component pp. 130-139

Donald J. Wyhowski

Some Exact Distribution Results for the Partially Restricted Reduced form Estimator pp. 140-171

Terrence Kinal and John Knight

Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation pp. 172-197

Roger Koenker, José A.F. Machado, Christopher Skeels and Alan H. Welsh

Haavelmo's Identification Theory pp. 198-219

John Aldrich