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Econometric Theory

1985 - 2020

From Cambridge University Press
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Volume 7, issue 4, 1991

Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models pp. 435-449 Downloads
Pötscher, B.M.
A Shortcut to LAD Estimator Asymptotics pp. 450-463 Downloads
Peter Phillips
The Exact Likelihood Function for an Empirical Job Search Model pp. 464-486 Downloads
Bent Jesper Christensen and Nicholas Kiefer
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models pp. 487-496 Downloads
Lütkepohl, Helmut and Donald Poskitt
The Joint Distribution of Forecast Errors in the AR(1) Model pp. 497-518 Downloads
Gordon Kemp
From Characteristic Function to Distribution Function: A Simple Framework for the Theory pp. 519-529 Downloads
Neil Shephard

Volume 7, issue 3, 1991

On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle pp. 269-306 Downloads
P. Jeganathan
Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality pp. 307-340 Downloads
Brian J. Eastwood and A. Gallant
Test Consistency with Varying Sampling Frequency pp. 341-368 Downloads
Pierre Perron
On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models pp. 369-384 Downloads
Philippe Deschamps
On Limited Dependent Variable Models: Maximum Likelihood Estimation and Test of One-sided Hypothesis pp. 385-395 Downloads
Mervyn J. Silvapulle
The Limits of Econometrics by Adrian C. Darnell and J. Lynne Evans, Edward Elgar Publishing Limited, 1990 pp. 409-411 Downloads
Dale J. Poirier

Volume 7, issue 2, 1991

Effects of Model Selection on Inference pp. 163-185 Downloads
Pötscher, B.M.
Asymptotics for Least Absolute Deviation Regression Estimators pp. 186-199 Downloads
David Pollard
Limit Theory for M-Estimates in an Integrated Infinite Variance pp. 200-212 Downloads
Keith Knight
Strong Laws for Dependent Heterogeneous Processes pp. 213-221 Downloads
Bruce Hansen
The Bias of Forecasts from a First-Order Autoregression pp. 222-235 Downloads
Jan Magnus and Bahram Pesaran
A Continuous Time Approximation to the Stationary First-Order Autoregressive Model pp. 236-252 Downloads
Pierre Perron

Volume 7, issue 1, 1991

Asymptotically Efficient Estimation of Cointegration Regressions pp. 1-21 Downloads
Pentti Saikkonen
Estimation of the Covariance Matrix of the Least-Squares Regression Coefficients When the Disturbance Covariance Matrix Is of Unknown Form pp. 22-45 Downloads
Robert W. Keener, Jan Kmenta and Neville C. Weber
Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation pp. 46-68 Downloads
Andrew A. Weiss
Robust M-Tests pp. 69-84 Downloads
Franco Peracchi
Topics in Advanced Econometrics: Probability FoundationsPhoebus J. Dhrymes, Springer-Verlag, 1989 pp. 125-131 Downloads
Mahmoud El-Gamal
Econometric AnalysisWilliam H. Greene, Macmillan, 1990 pp. 132-138 Downloads
Pravin Trivedi

Volume 6, issue 4, 1990

The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models pp. 411-432 Downloads
Katsuto Tanaka
Testing for a Moving Average Unit Root pp. 433-444 Downloads
Katsuto Tanaka
Functional Forms of Characteristic Functions and Characterizations of Multivariate Distributions pp. 445-458 Downloads
Yasuko Chikuse
Strong Consistency in Nonlinear Regression pp. 459-565 Downloads
G.D. Richardson and B.B. Bhattacharyya
Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality pp. 466-479 Downloads
Donald Andrews and Yoon-Jae Whang
Lectures on Advanced Econometric Theory by Denis Sargan Edited by Meghnad Desai Basil Blackwell, 1988 pp. 481-483 Downloads
Alberto Holly

Volume 6, issue 3, 1990

Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions pp. 295-317 Downloads
Whitney Newey and James L. Powell
Stationarity and Persistence in the GARCH(1,1) Model pp. 318-334 Downloads
Daniel B. Nelson
The Local Power of the CUSUM and CUSUM of Squares Tests pp. 335-347 Downloads
Werner Ploberger and Krämer;, Walter
Model-free Asymptotically Best Forecasting of Stationary Economic Time Series pp. 348-383 Downloads
Herman Bierens

Volume 6, issue 2, 1990

Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models pp. 123-150 Downloads
Peter Hall and Joel L. Horowitz
Perspectives in the History of Econometrics: A Review Essay of R. J. Epstein: A History of Econometrics pp. 151-164 Downloads
Mary S. Morgan
On the Sensitivity of a Regression Coefficient to Monotonic Transformations pp. 165-169 Downloads
Shlomo Yitzhaki
State Space Modeling of Time SeriesMasanao Aoki Springer-Verlag, 1987 pp. 263-267 Downloads
M. Deistler
Analog Estimation Methods in EconometricsCharles F. Manski New York: Chapman and Hall, 1988, 150pp., $45.00 pp. 268-272 Downloads
Joel L. Horowitz
Evaluating Models: A Review of L.G. Godfrey Misspecification Tests in Econometrics Econometric Society Monographs No. 16 Cambridge University Press, 1988, pp. 252+xii, $49.50 pp. 273-281 Downloads
Adrian Pagan
Errata pp. 293-293 Downloads
Victoria Zinde-Walsh

Volume 6, issue 1, 1990

Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988 pp. 1-16 Downloads
Anthony Hall
A Unified Approach to Robust, Regression-Based Specification Tests pp. 17-43 Downloads
Jeffrey Wooldridge
Time Series Regression With a Unit Root and Infinite-Variance Errors pp. 44-62 Downloads
Peter Phillips
Unbiased Estimation of the MSE Matrix of Stein-Rule Estimators, Confidence Ellipsoids, and Hypothesis Testing pp. 63-74 Downloads
Richard (Robin) Carter, M.S. Srivastava, V.K. Srivastava and Aman Ullah
Asymptotic Expansions of the Distributions of Statistics Related to the Spectral Density Matrix in Multivariate Time Series and Their Applications pp. 75-96 Downloads
Masanobu Taniguchi and Koichi Maekawa
Interpretation of Graphs that Compare the Distribution Functions of Estimators pp. 97-102 Downloads
Brent Moulton
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 pp. 103-106 Downloads
Michael Wickens
Search Models and Applied Labor Economics by Nicholas M. Kiefer and George R. Neumann Cambridge University Press, Cambridge, 1989297 pages, $47.50 pp. 107-112 Downloads
Steven Stern

Volume 5, issue 3, 1989

Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models pp. 333-353 Downloads
Katsuto Tanaka and S.E. Satchell
On the First-Order Autoregressive Process with Infinite Variance pp. 354-362 Downloads
Ngai Hang Chan and Lanh Tat Tran
Testing for Consistency using Artificial Regressions pp. 363-384 Downloads
Russell Davidson and James MacKinnon
Ancillarity and the Limited Information Maximum-Likelihood Estimation of a Structural Equation in a Simultaneous Equation System pp. 385-404 Downloads
Yuzo Hosoya, Yoshihiko Tsukuda and Nobuhiko Terui
On Rereading Haavelmo: A Retrospective View of Econometric Modeling pp. 405-429 Downloads
Aris Spanos
Predictors in Dynamic Nonlinear Models: Large-Sample Behavior pp. 430-452 Downloads
Bryan W. Brown and Roberto Mariano

Volume 5, issue 2, 1989

Partially Identified Econometric Models pp. 181-240 Downloads
Peter Phillips
The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model pp. 241-255 Downloads
Pierre Perron
Testing for Unit Roots in Time Series Data pp. 256-271 Downloads
Sastry G. Pantula
Consistency Via Type 2 Inequalities: A Generalization of Wu's Theorem pp. 272-286 Downloads
Asad Zaman

Volume 5, issue 1, 1989

Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models pp. 1-35 Downloads
Frank A. Wolak
Mirror-Image and Invariant Distributions in ARMA Models pp. 36-52 Downloads
Jonathan D. Cryer, John C. Nankervis and N.E. Savin
Effect of Nonnormality on the Estimation of a Single Structural Equation with Structural Change pp. 53-62 Downloads
Jiro Hodoshima
A General Framework for Testing a Null Hypothesis in a “Mixed†Form pp. 63-82 Downloads
Christian Gourieroux and Alain Monfort
Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses pp. 83-94 Downloads
Naorayex K. Dastoor and Michael McAleer
Statistical Inference in Regressions with Integrated Processes: Part 2 pp. 95-131 Downloads
Joon Park and Peter Phillips
Matrix Differential CalculusJan R. Magnus and Heinz Neudecker John Wiley and Sons, 1988 - Linear StructuresJan R. Magnus Charles Griffin and Co., 1988 pp. 161-165 Downloads
David Pollock
A Unified Theory of Estimation and Inference for Nonlinear Dynamic ModelsA.R. Gallant and H. White pp. 166-171 Downloads
Donald Andrews
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