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Econometric Theory

1985 - 2020

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Volume 25, issue 6, 2009

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION pp. 1451-1456 Downloads
Stephen Leybourne and Robert Taylor
CONFERENCE IN HONOUR OF PAUL NEWBOLD pp. 1457-1459 Downloads
Anonymous
THE RESEARCH INTERESTS OF PAUL NEWBOLD pp. 1460-1465 Downloads
Clive Granger and Stephen Leybourne
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION pp. 1466-1497 Downloads
Peter Phillips
AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK pp. 1498-1514 Downloads
Bruce Hansen
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC pp. 1515-1544 Downloads
Morten Nielsen
TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND pp. 1545-1588 Downloads
David Harris, David Harvey, Stephen Leybourne and Robert Taylor
REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES pp. 1589-1624 Downloads
James Davidson and Nigar Hashimzade
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS pp. 1625-1661 Downloads
Giuseppe Cavaliere and Iliyan Georgiev
THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS pp. 1662-1681 Downloads
Patrick Marsh
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST pp. 1682-1715 Downloads
Peter Phillips and Tassos Magdalinos
INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS pp. 1716-1733 Downloads
P.M. Robinson
HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT pp. 1734-1753 Downloads
Hsein Kew and David Harris
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES pp. 1754-1792 Downloads
Josep Carrion-i-Silvestre, Dukpa Kim and Pierre Perron
TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN pp. 1793-1828 Downloads
Uwe Hassler, Paulo Rodrigues and Antonio Rubia
TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT pp. 1829-1850 Downloads
Graham Elliott and Elena Pesavento
A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS pp. 1851-1868 Downloads
Joakim Westerlund and Rolf Larsson
NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY pp. 1869-1892 Downloads
Jiti Gao, Maxwell King, Zudi Lu and Tjøstheim, Dag

Volume 25, issue 5, 2009

BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD pp. 1143-1179 Downloads
Willa W. Chen and Rohit Deo
WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE pp. 1180-1207 Downloads
Norbert Christopeit
LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS pp. 1208-1227 Downloads
Guodong Li and Wai Keung Li
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT pp. 1228-1276 Downloads
Giuseppe Cavaliere and Robert Taylor
INTEGRATED MARKOV-SWITCHING GARCH PROCESS pp. 1277-1288 Downloads
Ji-Chun Liu
A BIAS-CORRECTED NONPARAMETRIC ENVELOPMENT ESTIMATOR OF FRONTIERS pp. 1289-1318 Downloads
Luiza Bădin and Leopold Simar
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS pp. 1319-1347 Downloads
Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin
GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA pp. 1348-1391 Downloads
Hugo Kruiniger
EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION pp. 1392-1414 Downloads
Sung Jae Jun and Joris Pinkse
NONSTANDARD QUANTILE-REGRESSION INFERENCE pp. 1415-1432 Downloads
Chuan Goh and K. Knight
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA pp. 1433-1445 Downloads
Dennis Kristensen

Volume 25, issue 4, 2009

EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL pp. 915-957 Downloads
Grant Hillier
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY pp. 958-984 Downloads
Peter Phillips
ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS pp. 985-994 Downloads
Peter M. Robinson
SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS pp. 995-1029 Downloads
David Harvey, Stephen Leybourne and Robert Taylor
DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA pp. 1030-1049 Downloads
Marcus Chambers
THE NEW ZEALAND BUSINESS CYCLE pp. 1050-1069 Downloads
Viv Hall and Christopher McDermott
THE LIMITS OF ECONOMETRICS: NONPARAMETRIC ESTIMATION IN HILBERT SPACES pp. 1070-1086 Downloads
Graciela Chichilnisky
REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING pp. 1087-1098 Downloads
K. Ben Nowman
APERIODIC DYNAMICS IN THE BERGSTROM/WYMER MODEL OF THE UNITED KINGDOM pp. 1099-1111 Downloads
Clifford R. Wymer
CYCLICAL TRENDS IN CONTINUOUS TIME MODELS pp. 1112-1119 Downloads
Joanne S. Ercolani
ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG pp. 1120-1137 Downloads
J. Roderick McCrorie

Volume 25, issue 3, 2009

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION pp. 587-636 Downloads
David Harvey, Stephen Leybourne and Robert Taylor
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,†by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 637-643 Downloads
Patrick Marsh
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,†by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 643-648 Downloads
Müller, Ulrich K.
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,†by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 649-653 Downloads
Jörg Breitung
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,†by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 653-654 Downloads
Peter Burridge
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,†by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor pp. 654-657 Downloads
Zhijie Xiao
REJOINDER pp. 658-667 Downloads
David Harvey, Stephen Leybourne and Robert Taylor
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC†INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES pp. 669-709 Downloads
Donald Andrews and Patrik Guggenberger
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION pp. 710-738 Downloads
Qiying Wang and Peter Phillips
CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES pp. 739-747 Downloads
Rickard Sandberg
CENTRAL LIMIT THEOREMS FOR WEIGHTED SUMS OF LINEAR PROCESSES: LP -APPROXIMABILITY VERSUS BROWNIAN MOTION pp. 748-763 Downloads
Kairat Mynbaev
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY pp. 764-792 Downloads
Rohit Deo, Clifford Hurvich, Philippe Soulier and Yi Wang
OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE pp. 793-805 Downloads
Laura Chioda and Michael Jansson
ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION pp. 806-818 Downloads
Victor Chernozhukov, Christian Hansen and Michael Jansson
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES pp. 819-846 Downloads
Rustam Ibragimov
BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND pp. 857-872 Downloads
Noud Giersbergen
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE pp. 873-890 Downloads
Kazuhiko Hayakawa

Volume 25, issue 2, 2009

ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION pp. 305-335 Downloads
Grant Hillier
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL pp. 336-363 Downloads
Christian Hafner and Arie Preminger
FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS pp. 364-410 Downloads
Andreea Halunga and Chris Orme
ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES pp. 411-441 Downloads
Alexander Aue, Horváth, Lajos, Hušková, Marie and Shiqing Ling
NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES pp. 442-481 Downloads
Enno Mammen, Støve, Bård and Tjøstheim, Dag
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS pp. 482-526 Downloads
Tassos Magdalinos and Peter Phillips
REGRESSION-BASED SEASONAL UNIT ROOT TESTS pp. 527-560 Downloads
Richard Smith, Robert Taylor and Tomás del Barrio Castro
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS pp. 561-570 Downloads
Juan Carlos Escanciano
ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES pp. 571-582 Downloads
Dietmar Bauer

Volume 25, issue 1, 2009

NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS pp. 1-42 Downloads
Desheng Ouyang, Qi Li and Jeffrey Racine
ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY pp. 43-62 Downloads
Robert Stelzer
COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE pp. 63-116 Downloads
Alex Maynard and Katsumi Shimotsu
MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL pp. 117-161 Downloads
Marcelo Medeiros and Alvaro Veiga
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS pp. 162-194 Downloads
Juan Carlos Escanciano
A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES pp. 195-210 Downloads
Xiaofeng Shao
COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS pp. 211-242 Downloads
Grant Hillier, Raymond Kan and Xiaolu Wang
BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS pp. 243-269 Downloads
Carsten Trenkler
LASSO-TYPE GMM ESTIMATOR pp. 270-290 Downloads
Mehmet Caner
FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION pp. 291-297 Downloads
Yong Bao
ADDING REGRESSORS TO OBTAIN EFFICIENCY pp. 298-301 Downloads
Sung Jae Jun and Joris Pinkse
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