Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 7, issue 4, 1991

Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models pp. 435-449

Benedikt Pötscher

A Shortcut to LAD Estimator Asymptotics pp. 450-463

Peter Phillips

The Exact Likelihood Function for an Empirical Job Search Model pp. 464-486

Bent Jesper Christensen and Nicholas Kiefer

Estimating Orthogonal Impulse Responses via Vector Autoregressive Models pp. 487-496

Helmut Lütkepohl and Donald Poskitt

The Joint Distribution of Forecast Errors in the AR(1) Model pp. 497-518

Gordon Kemp

From Characteristic Function to Distribution Function: A Simple Framework for the Theory pp. 519-529

Neil Shephard

Discrete Models for Estimating General Linear Continuous Time Systems pp. 531-542

Marcus Chambers

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

P. Jeganathan

Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality pp. 307-340

Brian J. Eastwood and A. Gallant

Test Consistency with Varying Sampling Frequency pp. 341-368

Pierre Perron

On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models pp. 369-384

Philippe Deschamps

On Limited Dependent Variable Models: Maximum Likelihood Estimation and Test of One-sided Hypothesis pp. 385-395

Mervyn J. Silvapulle

The Concentration Ellipsoid of a Random Vector Revisited pp. 397-403

Kenneth Nordström

Open Higher Order Continuous-Time Dynamic Model with Mixed Stock and Flow Data and Derivatives of Exogenous Variables pp. 404-408

K. Ben Nowman

The Limits of Econometrics by Adrian C. Darnell and J. Lynne Evans, Edward Elgar Publishing Limited, 1990 pp. 409-411

Dale J. Poirier

Volume 7, issue 2, 1991

Effects of Model Selection on Inference pp. 163-185

Benedikt Pötscher

Asymptotics for Least Absolute Deviation Regression Estimators pp. 186-199

David Pollard

Limit Theory for M-Estimates in an Integrated Infinite Variance pp. 200-212

Keith Knight

Strong Laws for Dependent Heterogeneous Processes pp. 213-221

Bruce Hansen

The Bias of Forecasts from a First-Order Autoregression pp. 222-235

Jan Magnus and Bahram Pesaran

A Continuous Time Approximation to the Stationary First-Order Autoregressive Model pp. 236-252

Pierre Perron

Nonuniform Bounds for Nonparametric t-Tests pp. 253-263

Jean-Marie Dufour and Marc Hallin

Who Invented Local Power Analysis? pp. 265-268

Douglas A. McManus

Volume 7, issue 1, 1991

Asymptotically Efficient Estimation of Cointegration Regressions pp. 1-21

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

Robert W. Keener, Jan Kmenta and Neville C. Weber

Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation pp. 46-68

Andrew A. Weiss

Robust M-Tests pp. 69-84

Franco Peracchi

Topics in Advanced Econometrics: Probability FoundationsPhoebus J. Dhrymes, Springer-Verlag, 1989 pp. 125-131

Mahmoud El-Gamal

Econometric AnalysisWilliam H. Greene, Macmillan, 1990 pp. 132-138

Pravin Trivedi

Volume 6, issue 4, 1990

The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models pp. 411-432

Katsuto Tanaka

Testing for a Moving Average Unit Root pp. 433-444

Katsuto Tanaka

Functional Forms of Characteristic Functions and Characterizations of Multivariate Distributions pp. 445-458

Yasuko Chikuse

Strong Consistency in Nonlinear Regression pp. 459-565

G.D. Richardson and B.B. Bhattacharyya

Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality pp. 466-479

Donald Andrews and Yoon-Jae Whang

Lectures on Advanced Econometric Theory by Denis Sargan Edited by Meghnad Desai Basil Blackwell, 1988 pp. 481-483

Alberto Holly

Volume 6, issue 3, 1990

Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions pp. 295-317

Whitney Newey and James Powell

Stationarity and Persistence in the GARCH(1,1) Model pp. 318-334

Daniel B. Nelson

The Local Power of the CUSUM and CUSUM of Squares Tests pp. 335-347

Werner Ploberger and Walter Krämer

Model-free Asymptotically Best Forecasting of Stationary Economic Time Series pp. 348-383

Herman Bierens

Volume 6, issue 2, 1990

Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models pp. 123-150

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

Mary S. Morgan

On the Sensitivity of a Regression Coefficient to Monotonic Transformations pp. 165-169

Shlomo Yitzhaki

State Space Modeling of Time SeriesMasanao Aoki Springer-Verlag, 1987 pp. 263-267

M. Deistler

Analog Estimation Methods in EconometricsCharles F. Manski New York: Chapman and Hall, 1988, 150pp., $45.00 pp. 268-272

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

Adrian Pagan

Errata pp. 293-293

Victoria Zinde-Walsh

Volume 6, issue 1, 1990

Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988 pp. 1-16

Anthony Hall

A Unified Approach to Robust, Regression-Based Specification Tests pp. 17-43

Jeffrey Wooldridge

Time Series Regression With a Unit Root and Infinite-Variance Errors pp. 44-62

Peter Phillips

Unbiased Estimation of the MSE Matrix of Stein-Rule Estimators, Confidence Ellipsoids, and Hypothesis Testing pp. 63-74

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

Masanobu Taniguchi and Koichi Maekawa

Interpretation of Graphs that Compare the Distribution Functions of Estimators pp. 97-102

Brent Moulton

The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 pp. 103-106

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

Steven Stern