Econometric Theory

1985 - 2025

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 24, issue 6, 2008

UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES pp. 1463-1499

Kyungchul Song

GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS pp. 1500-1529

Pavel Cizek

M-ESTIMATION IN GARCH MODELS pp. 1530-1553

Kanchan Mukherjee

GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION pp. 1554-1583

Michael McAleer, Felix Chan, Suhejla Hoti and Offer Lieberman

SPECIFICATION AND ESTIMATION OF SEMIPARAMETRIC MULTIPLE-INDEX MODELS pp. 1584-1606

Bas Donkers and Marcia Schafgans

ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS pp. 1607-1627

Lajos Horvath, Zsuzsanna Horváth and Wang Zhou

ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS pp. 1628-1662

F. Comte, J. Dedecker and M.L. Taupin

ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS pp. 1663-1697

Alois Kneip, Leopold Simar and Paul Wilson

UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP pp. 1699-1716

Myung Hwan Seo

A PUZZLING PHENOMENON IN SEMIPARAMETRIC ESTIMATION PROBLEMS WITH INFINITE-DIMENSIONAL NUISANCE PARAMETERS pp. 1717-1728

Kohtaro Hitomi, Yoshihiko Nishiyama and Ryo Okui

Volume 24, issue 5, 2008

SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS pp. 1149-1173

Songnian Chen and Shakeeb Khan

NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS pp. 1174-1206

Roberto Renò

FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS pp. 1207-1253

Afonso Gonçalves da Silva and Peter M. Robinson

ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA pp. 1254-1276

Sokbae (Simon) Lee

WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL pp. 1277-1290

Giovanni Forchini

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS pp. 1291-1320

Mika Meitz and Pentti Saikkonen

NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS pp. 1321-1342

Zongwu Cai and Qi Li

NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES pp. 1343-1372

Alexander Aue

DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS pp. 1373-1403

Ioannis Kasparis

ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES pp. 1404-1424

Feng Gao and Fengming Song

DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION pp. 1425-1441

Mohitosh Kejriwal and Pierre Perron

NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC pp. 1443-1455

James Davidson, Jan Magnus and Jan Wiegerinck

REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS pp. 1456-1460

Hailong Qian

Volume 24, issue 4, 2008

A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE pp. 829-864

Liangjun Su and Halbert White

LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS pp. 865-887

Peter Phillips and Tassos Magdalinos

REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS pp. 888-947

Rustam Ibragimov and Peter Phillips

ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES pp. 948-987

Abdessamad Saidi and Roch Roy

MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION pp. 988-1009

Tucker McElroy

QUANTILE REGRESSION WITH MISMEASURED COVARIATES pp. 1010-1043

Susanne Schennach

TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE pp. 1044-1062

Edna Schechtman, Amit Shelef, Shlomo Yitzhaki and Ričardas Zitikis

USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS pp. 1063-1092

Dietmar Bauer

TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES pp. 1093-1129

Tomás del Barrio Castro and Denise Osborn

ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS pp. 1131-1136

Robert Stelzer

REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS pp. 1137-1148

Giuseppe Cavaliere and Iliyan Georgiev

Volume 24, issue 3, 2008

ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS pp. 587-615

Iliyan Georgiev

THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES pp. 616-630

Ulrich K. MÜller

GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT pp. 631-650

Peter Phillips and Chirok Han

A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES pp. 651-676

Soren Johansen

MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS pp. 677-695

M. Zarepour and S.M. Roknossadati

KERNEL ESTIMATION WHEN DENSITY MAY NOT EXIST pp. 696-725

Victoria Zinde-Walsh

UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA pp. 726-748

Bruce Hansen

SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS pp. 749-794

Herman Bierens

A PERMUTATION-BASED ESTIMATOR FOR MONOTONE INDEX MODELS pp. 795-807

Debopam Bhattacharya

THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS pp. 809-822

Ai Deng and Pierre Perron

A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL pp. 823-828

Henghsiu Tsai and Kung-Sik Chan

Volume 24, issue 2, 2008

SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS pp. 323-337

Keith Knight

CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS? pp. 338-376

Hannes Leeb and Benedikt Pötscher

AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION pp. 377-403

Tanujit Dey, Hemant Ishwaran and J. Sunil Rao

FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES pp. 404-447

Joseph P. Romano, Azeem Shaikh and Michael Wolf

ADAPTIVE ESTIMATORS OF A MEAN MATRIX: TOTAL LEAST SQUARES VERSUS TOTAL SHRINKAGE pp. 448-471

Rudolf Beran

LOCALIZED MODEL SELECTION FOR REGRESSION pp. 472-492

Yuhong Yang

MINIMIZING AVERAGE RISK IN REGRESSION MODELS pp. 493-527

Gerda Claeskens and Nils Lid Hjort

PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION pp. 528-544

Edward I. George and Xinyi Xu

FAST RATES FOR ESTIMATION ERROR AND ORACLE INEQUALITIES FOR MODEL SELECTION pp. 545-552

Peter L. Bartlett

USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS pp. 553-579

Jan Magnus and Andrey Vasnev

CORRIGENDUM: Correction to “Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results” pp. 581-583

Hannes Leeb and Benedikt Pötscher

Volume 24, issue 1, 2008

ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS pp. 15-42

Werner Ploberger

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY pp. 43-71

Giuseppe Cavaliere and Robert Taylor

TESTING FOR TREND pp. 72-87

Fabio Busetti and Andrew Harvey

TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE pp. 88-108

Jörg Breitung and Samarjit Das

COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES pp. 109-142

Tomás del Barrio Castro and Denise Osborn

TESTING FOR LONG MEMORY pp. 143-175

David Harris, Brendan McCabe and Stephen Leybourne

LONG MEMORY TESTING IN THE TIME DOMAIN pp. 176-215

Matei Demetrescu, Vladimir Kuzin and Uwe Hassler

DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION pp. 216-255

Javier Hualde and Carlos Velasco

ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION pp. 256-293

James Davidson and Nigar Hashimzade

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION pp. 294-318

Pentti Saikkonen