Econometric Theory

1985 - 2024

From Cambridge University Press
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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

Stephen Leybourne and Robert Taylor

CONFERENCE IN HONOUR OF PAUL NEWBOLD pp. 1457-1459

Anonymous

THE RESEARCH INTERESTS OF PAUL NEWBOLD pp. 1460-1465

Clive Granger and Stephen Leybourne

LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION pp. 1466-1497

Peter Phillips

AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK pp. 1498-1514

Bruce Hansen

A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC pp. 1515-1544

Morten Nielsen

TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND pp. 1545-1588

David Harris, David Harvey, Stephen Leybourne and Robert Taylor

REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES pp. 1589-1624

James Davidson and Nigar Hashimzade

ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS pp. 1625-1661

Giuseppe Cavaliere and Iliyan Georgiev

THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS pp. 1662-1681

Patrick Marsh

UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST pp. 1682-1715

Peter Phillips and Tassos Magdalinos

INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS pp. 1716-1733

P.M. Robinson

HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT pp. 1734-1753

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

Josep Carrion-i-Silvestre, Dukpa Kim and Pierre Perron

TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN pp. 1793-1828

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

Graham Elliott and Elena Pesavento

A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS pp. 1851-1868

Joakim Westerlund and Rolf Larsson

NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY pp. 1869-1892

Jiti Gao, Maxwell King, Zudi Lu and Dag Tjøstheim

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

Willa W. Chen and Rohit Deo

WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE pp. 1180-1207

Norbert Christopeit

LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS pp. 1208-1227

Guodong Li and Wai Keung Li

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT pp. 1228-1276

Giuseppe Cavaliere and Robert Taylor

INTEGRATED MARKOV-SWITCHING GARCH PROCESS pp. 1277-1288

Ji-Chun Liu

A BIAS-CORRECTED NONPARAMETRIC ENVELOPMENT ESTIMATOR OF FRONTIERS pp. 1289-1318

Luiza Badin and Leopold Simar

OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS pp. 1319-1347

Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin

GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA pp. 1348-1391

Hugo Kruiniger

EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION pp. 1392-1414

Sung Jae Jun and Joris Pinkse

NONSTANDARD QUANTILE-REGRESSION INFERENCE pp. 1415-1432

Chuan Goh and K. Knight

UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA pp. 1433-1445

Dennis Kristensen

Volume 25, issue 4, 2009

EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL pp. 915-957

Grant Hillier

EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY pp. 958-984

Peter Phillips

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS pp. 985-994

Peter M. Robinson

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS pp. 995-1029

David Harvey, Stephen Leybourne and Robert Taylor

DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA pp. 1030-1049

Marcus Chambers

THE NEW ZEALAND BUSINESS CYCLE pp. 1050-1069

Viv Hall and Christopher McDermott

THE LIMITS OF ECONOMETRICS: NONPARAMETRIC ESTIMATION IN HILBERT SPACES pp. 1070-1086

Graciela Chichilnisky

REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING pp. 1087-1098

K. Ben Nowman

APERIODIC DYNAMICS IN THE BERGSTROM/WYMER MODEL OF THE UNITED KINGDOM pp. 1099-1111

Clifford R. Wymer

CYCLICAL TRENDS IN CONTINUOUS TIME MODELS pp. 1112-1119

Joanne S. Ercolani

ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG pp. 1120-1137

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

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

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

Ulrich K. Müller

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

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

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

Zhijie Xiao

REJOINDER pp. 658-667

David Harvey, Stephen Leybourne and Robert Taylor

VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES pp. 669-709

Donald Andrews and Patrik Guggenberger

ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION pp. 710-738

Qiying Wang and Peter Phillips

CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES pp. 739-747

Rickard Sandberg

CENTRAL LIMIT THEOREMS FOR WEIGHTED SUMS OF LINEAR PROCESSES: LP -APPROXIMABILITY VERSUS BROWNIAN MOTION pp. 748-763

Kairat Mynbaev

CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY pp. 764-792

Rohit Deo, Clifford Hurvich, Philippe Soulier and Yi Wang

OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE pp. 793-805

Laura Chioda and Michael Jansson

ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION pp. 806-818

Victor Chernozhukov, Christian Hansen and Michael Jansson

COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES pp. 819-846

Rustam Ibragimov

EFFICIENCY BOUNDS FOR SEMIPARAMETRIC ESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTED FUNCTIONS pp. 847-855

David Jacho-Chávez

BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND pp. 857-872

Noud Giersbergen

A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE pp. 873-890

Kazuhiko Hayakawa

Volume 25, issue 2, 2009

ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION pp. 305-335

Grant Hillier

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL pp. 336-363

Christian Hafner and Arie Preminger

FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS pp. 364-410

Andreea Halunga and Chris Orme

ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES pp. 411-441

Alexander Aue, Lajos Horvath, Marie Hušková and Shiqing Ling

NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES pp. 442-481

Enno Mammen, Bård Støve and Dag Tjøstheim

LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS pp. 482-526

Tassos Magdalinos and Peter Phillips

REGRESSION-BASED SEASONAL UNIT ROOT TESTS pp. 527-560

Richard Smith, Robert Taylor and Tomás del Barrio Castro

QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS pp. 561-570

Juan Carlos Escanciano

ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES pp. 571-582

Dietmar Bauer

Volume 25, issue 1, 2009

NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS pp. 1-42

Desheng Ouyang, Qi Li and Jeffrey Racine

ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY pp. 43-62

Robert Stelzer

COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE pp. 63-116

Alex Maynard and Katsumi Shimotsu

MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL pp. 117-161

Marcelo Medeiros and Alvaro Veiga

ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS pp. 162-194

Juan Carlos Escanciano

A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES pp. 195-210

Xiaofeng Shao

COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS pp. 211-242

Grant Hillier, Raymond Kan and Xiaolu Wang

BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS pp. 243-269

Carsten Trenkler

LASSO-TYPE GMM ESTIMATOR pp. 270-290

Mehmet Caner

FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION pp. 291-297

Yong Bao

ADDING REGRESSORS TO OBTAIN EFFICIENCY pp. 298-301

Sung Jae Jun and Joris Pinkse