Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 9, issue 4, 1993

Adaptive Estimation in ARCH Models pp. 539-569

Oliver Linton

Estimation in Dynamic Linear Regression Models with Infinite Variance Errors pp. 570-588

Keith Knight

A Consistent Test of Stationary-Ergodicity pp. 589-601

Ian Domowitz and Mahmoud El-Gamal

Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models pp. 602-632

Craig Burnside

Determination of Estimators with Minimum Asymptotic Covariance Matrices pp. 633-648

Charles E. Bates and Halbert White

Specification Testing with Locally Misspecified Alternatives pp. 649-658

Anil K. Bera and Mann J. Yoon

A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series pp. 659-667

Anders Rygh Swensen

A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model pp. 668-679

Kazuhiro Ohtani

On the Noninvertible Moving Average Time Series with Infinite Variance pp. 680-685

Ngai Hang Chan

Volume 9, issue 3, 1993

Multivariate Time Series: A Polynomial Error Correction Representation Theorem pp. 329-342

Stéphane Gregoir and Guy Laroque

Point Optimal Tests for Testing the Order of Differencing in ARIMA Models pp. 343-362

Pentti Saikkonen and Ritva Luukkonen

Asymptotic Expansions for Random Walks with Normal Errors pp. 363-376

John Knight and S.E. Satchell

Distribution of the ML Estimator of an MA(1) and a local level model pp. 377-401

Neil Shephard

The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case pp. 402-412

James Davidson

Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix pp. 413-430

Lung-Fei Lee

The VPRT: A Sequential Testing Procedure Dominating the SPRT pp. 431-450

Noel Cressie and Peter B. Morgan

A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models pp. 451-477

Pedro L. Gozalo

Robust Model Selection and M-Estimation pp. 478-493

José António Machado

A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root pp. 494-498

Pentti Saikkonen

Median Unbiasedness of Estimators of Panel Data Censored Regression Models pp. 499-503

Jeffrey Campbell and Bo E. Honoré

On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables pp. 504-515

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

Pentti Saikkonen

On the Asymptotic Power of Unit Root Tests pp. 189-221

Karim M. Abadir

Testing Identifiability and Specification in Instrumental Variable Models pp. 222-240

John G. Cragg and Stephen Donald

Noncausality and Marginalization of Markov Processes pp. 241-262

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

In Choi

Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data pp. 283-295

Alfred Hamerle, Hermann Singer and Willi Nagl

A Curious Result on Exact FIML and Instrumental Variables pp. 296-309

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

Joel L. Horowitz

Estimation of Cointegration Vectors with Linear Restrictions pp. 19-35

Pentti Saikkonen

An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration pp. 36-61

Katsuto Tanaka

Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable pp. 62-80

Jan Kiviet and Garry Phillips

Ols Bias in a Nonstationary Autoregression pp. 81-93

Karim M. Abadir

Variable Augmentation Specification Tests in the Exponential Family pp. 94-113

Shiferaw Gurmu and Pravin Trivedi

Volume 8, issue 4, 1992

Nonparametric Regression Tests Based on Least Squares pp. 435-451

Adonis Yatchew

A Test for Functional Form Against Nonparametric Alternatives pp. 452-475

Jeffrey Wooldridge

Simultaneous Density Estimation of Several Income Distributions pp. 476-488

J.S. Marron and H.-P. Schmitz

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes pp. 489-500

Bruce Hansen

On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives pp. 501-517

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

Lung-Fei Lee

The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses pp. 553-569

Jerzy Szroeter

Continuous Time Econometric ModellingA.R. Bergstrom Oxford University Press, 1991 pp. 571-579

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

James Davidson

On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics pp. 330-342

C. H. Hesse

Stochastic Expansions and Asymptotic Approximations pp. 343-367

Michael A. Magdalinos

Winsorized Mean Estimator for Censored Regression pp. 368-382

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

Michael D. McCarthy

Semiparametric IV Estimation with Parameter Dependent Instruments pp. 403-406

Paul Rilstone

A Course in EconometricsArthur Goldberger Harvard University Press, 1991 pp. 407-412

Douglas Steigerwald

Applied Nonparametric RegressionW. Härdle Cambridge University Press, 1990 pp. 413-419

Miguel Delgado

Bruce E. Hansen, Strong Laws for Dependent Heterogeneous Processes. Econometric Theory 7(1992): 213–221 pp. 421-422

Anonymous

Volume 8, issue 2, 1992

Adaptive Estimation in Time Serise Regression Models With Heteroskedasticity of Unknown Form pp. 161-187

Javier Hidalgo

A Representation of Vector Autoregressive Processes Integrated of Order 2 pp. 188-202

Soren Johansen

Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model pp. 203-222

Miguel Delgado

Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications pp. 223-240

Jean-Marie Dufour and Marc Hallin

Generic Uniform Convergence pp. 241-257

Donald Andrews

The Bias of Bootstrapped Versus Conventional Standard Errors in the General Linear and SUR Models pp. 258-275

Scott Atkinson and Paul Wilson

A Bootstrap Test for Positive Definiteness of Income Effect Matrices pp. 276-292

Wolfgang Härdle 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

Francis Diebold

Volume 8, issue 1, 1992

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation pp. 1-27

Pentti Saikkonen

Continuous Record Asymptotics in Systems of Stochastic Differential Equations pp. 28-51

Bent Sorensen

Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models pp. 52-94

Lung-Fei Lee

The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors pp. 95-111

John Galbraith and Victoria Zinde-Walsh

A Note on the Estimation of Simultaneous Equations with Error Components pp. 113-119

Badi Baltagi and Qi Li

On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series pp. 120-126

Tuan Dinh Pham and Lanh Tat Tran

A Graphical Exposition of the Ordered Probit pp. 127-131

William Becker and Peter Kennedy

The Statistical Theory of Linear SystemsE. J. Hannan and Manfred Deistler John Wiley & Sons, 1988 pp. 135-143

Victor Solo