Econometric Theory

1985 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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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