Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 5, issue 3, 1989

Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models pp. 333-353

Katsuto Tanaka and S.E. Satchell

On the First-Order Autoregressive Process with Infinite Variance pp. 354-362

Ngai Hang Chan and Lanh Tat Tran

Testing for Consistency using Artificial Regressions pp. 363-384

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

Yuzo Hosoya, Yoshihiko Tsukuda and Nobuhiko Terui

On Rereading Haavelmo: A Retrospective View of Econometric Modeling pp. 405-429

Aris Spanos

Predictors in Dynamic Nonlinear Models: Large-Sample Behavior pp. 430-452

Bryan W. Brown and Roberto Mariano

Volume 5, issue 2, 1989

Partially Identified Econometric Models pp. 181-240

Peter Phillips

The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model pp. 241-255

Pierre Perron

Testing for Unit Roots in Time Series Data pp. 256-271

Sastry G. Pantula

Consistency Via Type 2 Inequalities: A Generalization of Wu's Theorem pp. 272-286

Asad Zaman

Volume 5, issue 1, 1989

Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models pp. 1-35

Frank A. Wolak

Mirror-Image and Invariant Distributions in ARMA Models pp. 36-52

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

Jiro Hodoshima

A General Framework for Testing a Null Hypothesis in a “Mixed” Form pp. 63-82

Christian Gourieroux and Alain Monfort

Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses pp. 83-94

Noxy Dastoor and Michael McAleer

Statistical Inference in Regressions with Integrated Processes: Part 2 pp. 95-131

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

David Pollock

A Unified Theory of Estimation and Inference for Nonlinear Dynamic ModelsA.R. Gallant and H. White pp. 166-171

Donald Andrews

Volume 4, issue 3, 1988

The History of Continuous-Time Econometric Models pp. 365-383

Albert Bergstrom

Some Exact Formulae for Autoregressive Moving Average Processes pp. 384-402

Victoria Zinde-Walsh

The Estimation of Linear Stochastic Models with Covariance Restrictions pp. 403-427

David Pollock

Partially Adaptive Estimation of Regression Models via the Generalized T Distribution pp. 428-457

James McDonald and Whitney Newey

Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables pp. 458-467

Donald Andrews

Statistical Inference in Regressions with Integrated Processes: Part 1 pp. 468-497

Joon Park and Peter Phillips

A Multiple Decision Theory Analysis of Structural Stability in Regression pp. 499-508

Brendan McCabe

Locally Optimal Properties of the Durbin-Watson Test pp. 509-516

Maxwell King and Merran A. Evans

A Comparison of Ordinary Least Squares and Least Absolute Error Estimation pp. 517-527

Andrew A. Weiss

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations pp. 528-533

Peter Phillips

Nonparametric Time-Series Estimation of Joint DGP, and Vector Autoregression (Econometric Theory 1 (1985): 27–52) pp. 547-547

Anonymous

Volume 4, issue 2, 1988

Econometric Methodology at the Cowles Commission: Rise and Maturity pp. 187-209

Edmond Malinvaud

Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes pp. 210-230

Jeffrey Wooldridge and Halbert White

Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data pp. 231-247

Andrew Lo

Approximate Distributions and Power of Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations pp. 248-274

Naoto Kunitomo

Higher-Order Approximations to the Null Distributions of Test Statistics for Nonlinear Restrictions on Regression Coefficients pp. 275-299

Kimio Morimune

A Variance Comparison of OLS and Feasible GLS Estimators pp. 329-335

David Grubb and Lonnie Magee

Asymptotic Equivalence of Closest Moments and GMM Estimators pp. 336-340

Whitney Newey

Statistical Foundations of Econometric Modelling Aris Spanos, Cambridge University Press, 1986 pp. 341-348

Vassilis Hajivassiliou

Volume 4, issue 1, 1988

Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 pp. 1-34

Peter Phillips, In Choi and P.Z. Schochet

ARMA Memory Index Modeling of Economic Time Series pp. 35-59

Herman Bierens

Comment pp. 60-69

Werner Ploberger, M. Deistler, J. Rissanen and Christopher A. Sims

Reply pp. 70-76

Herman Bierens

Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process pp. 77-85

Helmut Lütkepohl

Estimation of a Single Structural Equation with Structural Change pp. 86-96

Jiro Hodoshima

On Point-Optimal Cox Tests pp. 97-107

Noxy Dastoor and Gordon Fisher

Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies pp. 108-124

Peter Zadrozny

Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations pp. 159-170

James Durbin

Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986 pp. 183-186

Benedikt Pötscher

Volume 3, issue 3, 1987

Asymptotic Normality of a Class of Nonparametric Statistics pp. 313-347

Munsup Seoh and Madan L. Puri

Asymptotic Results for Generalized Wald Tests pp. 348-358

Donald Andrews

Finite Sample Properties of Several Predictors From an Autoregressive Model pp. 359-370

Koichi Maekawa

Bias in Regressions With a Lagged Dependent Variable pp. 371-386

David Grubb and James Symons

Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable pp. 387-408

J.C. Nankervis and N.E. Savin

Volume 3, issue 2, 1987

Worldwide Rankings of Research Activity in Econometrics: 1980–1985 pp. 171-194

Anthony Hall

Methods for Constructing Top Order Invariant Polynomials pp. 195-207

Yasuko Chikuse

Implications of Aggregation with Common Factors pp. 208-222

Clive Granger

Full Information Estimations of a System of Simultaneous Equations with Error Component Structure pp. 223-246

Pietro Balestra and Jaya Krishnakumar

Approximating the Approximate Slopes of LR, W, and LM Test Statistics pp. 247-271

Lonnie Magee

Volume 3, issue 1, 1987

Classes of Similar Regions and Their Power Properties for Some Econometric Testing Problems pp. 1-44

Grant Hillier

Asymptotic Expansions in Nonstationary Vector Autoregressions pp. 45-68

Peter Phillips

Global and Partial Non-Nested Hypotheses and Asymptotic Local Power pp. 69-97

Mohammad Pesaran

Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions pp. 98-116

Donald Andrews

An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample pp. 143-149

Temisan Agbeyegbe

Predictive Consequences of Using Conditioning or Causal Variables pp. 150-152

Clive Granger and P. J. Thomson

Advanced Econometrics ByTakeshi Amemiya, Harvard University Press, 1986 pp. 153-158

Whitney K. Newey