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October 1995, Volume 11, Issue 5
- 888-911 Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
by Saikkonen, Pentti
- 912-951 Robust Nonstationary Regression
by Phillips, Peter C.B.
- 952-983 Testing for Cointegration in a System of Equations
by Choi, In & Ahn, Byung Chul
- 984-1014 Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
by Horvath, Michael T.K. & Watson, Mark W.
- 1015-1032 Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions
by Toda, Hiro Y.
- 1033-1094 Time Series Regression with Mixtures of Integrated Processes
by Chang, Yoosoon & Phillips, Peter C.B.
- 1095-1130 Efficient IV Estimation in Nonstationary Regression
by Kitamura, Yuichi & Phillips, Peter C.B.
- 1131-1147 Inference in Models with Nearly Integrated Regressors
by Cavanagh, Christopher L. & Elliott, Graham & Stock, James H.
- 1148-1171 Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
by Hansen, Bruce E.
August 1995, Volume 11, Issue 4
- 671-698 A Nonparametric Conditional Moment Test for Structural Stability
by Hidalgo, Javier
- 699-720 The Moving-Estimates Test for Parameter Stability
by Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming
- 721-735 Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values
by Singer, Hermann
- 736-749 Spurious Break
by Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul
- 750-774 On the Existence of Moments of Ratios of Quadratic Forms
by Roberts, Leigh A.
- 775-793 The Limiting Distribution of the t Ratio Under a Unit Root
by Abadir, Karim M.
June 1995, Volume 11, Issue 3
- 403-436 Least Absolute Deviation Estimation of a Shift
by Bai, Jushan
- 437-483 Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models
by Lee, Lung-Fei
- 484-497 Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation
by Skeels, Christopher L.
- 498-529 Instrumental Variables Estimation in Misspecified Single Equations
by Skeels, Christopher L.
- 530-536 Causality in the Long Run
by Clive, W.J. & Lin, Jin-Lung
- 537-549 The Effect of Model Selection on Confidence Regions and Prediction Regions
by Kabaila, Paul
- 550-559 Comment on “The Effect of Model Selection on Confidence Regions and Prediction Regions” by P. Kabaila
by Pötscher, B.M.
- 560-586 Nonparametric Kernel Estimation for Semiparametric Models
by Andrews, Donald W.K.
- 625-630 TIME SERIES ANALYSISJames D. Hamilton Princeton University Press, 1994
by Hansen, Bruce E.
- 631-635 ESTIMATION AND INFERENCE IN ECONOMETRICSRussell Davidson and James G. MacKinnon Oxford University Press, 1993
by Zinde-Walsh, Victoria
February 1995, Volume 11, Issue 2
- 195-228 Testing, Encompassing, and Simulating Dynamic Econometric Models
by Gouriéroux, Christian & Monfort, Alain
- 229-257 Solutions of multivariate Rational Expectations Models
by Broze, Laurence & Gouriéroux, Christian & Szafarz, Ariane
- 258-289 Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
by Masry, Elias & Tjøstheim, Dag
- 290-305 On the Use of Artificial Regressions in Certain Microeconometric Models
by Orme, Chris
- 306-330 The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes
by Larsson, Rolf
- 331-346 Unit Root Tests Based on M Estimators
by Lucas, André
- 347-358 Laws of Large Numbers for Dependent Heterogeneous Processes
by de Jong, R.M.
- 359-368 An LM Test for a Unit Root in the Presence of a Structural Change
by Amsler, Christine & Lee, Junsoo
- 371-383 THE HISTORY OF ECONOMETRIC IDEAS Mary S. Morgan Cambridge University Press, 1990
by Neuberg, Leland Gerson
- 384-385 Comments On Neuberg'S Review Of The History Of Econometric Ideas
by Qin, Duo
- 386-388 Comments On Neuberg'S Review Of The History Of Econometric Ideas
by Lail, G. Michael & Marchi, Neil De
- 389-391 Tinbergen's Cycle: An Arithmetic Error? - TINBERGEN'S CYCLE: AN ARITHMETIC ERROR?
by Boumans, Marcel
- 392-397 The History of Econometrics: Errors and Refutations - THE HISTORY OF ECONOMETRICS: ERRORS AND REFUTATIONS
by Morgan, Mary S.
- 402-402 Errata
by Paruolo, Paolo
February 1995, Volume 11, Issue 1
December 1994, Volume 10, Issue 5
- 821-848 Testing a Parametric Model Against a Semiparametric Alternative
by Horowitz, Joel L. & Härdle, Wolfgang
- 849-866 Testing for Second-Order Stochastic Dominance of Two Distributions
by Kaur, Amarjot & Prakasa Rao, B.L.S. & Singh, Harshinder
- 867-883 On the Asymptotic Optimality of Alternative Minimum-Distance Estimators in Linear Latent-Variable Models
by Satorra, Albert & Neudecker, Heinz
- 884-899 A Note on Autoregressive Modeling
by Poskitt, D.S.
- 900-916 On the Approximation of Saddlepoint Expansions in Statistics
by Lieberman, Offer
- 917-936 Testing for Unit Roots in Models with Structural Change
by Park, Joon Y. & Sung, Jaewhan
- 937-966 Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend
by Nabeya, Seiji & Sørensen, Bent E.
August 1994, Volume 10, Issue 3-4
- 453-460 Bayes Methods and Unit Roots
by Phillips, Peter C.B. & Van Dijk, Herman K.
- 461-482 Noninformative Priors and Bayesian Testing for the AR(1) Model
by Berger, James O. & Yang, Ruo-Yong
- 483-513 Bayesian Forecasting of Economic Time Series
by Hill, Bruce M.
- 514-551 On the Shape of the Likelihood/Posterior in Cointegration Models
by Kleibergen, Frank & van Dijk, Herman K.
- 552-578 A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model
by Zivot, Eric
- 579-595 Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations
by Schotman, Peter C.
- 596-608 Bayesian Inference of Trend and Difference-Stationarity
by McCulloch, Robert E. & Tsay, Ruey S.
- 609-632 Priors for Macroeconomic Time Series and Their Application
by Geweke, John
- 633-644 On Jeffreys Prior when Using the Exact Likelihood Function
by Uhlig, Harald
- 645-671 What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective
by Uhlig, Harald
- 672-700 Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
by Elliott, Graham & Stock, James H.
- 701-719 Modeling Stock Prices without Knowing How to Induce Stationarity
by DeJong, David N. & Whiteman, Charles H.
- 720-746 Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series
by Choi, In
- 747-763 Bayesian Encompassing Tests of a Unit Root Hypothesis
by Florens, Jean-Pierre & Larribeau, Sophie & Mouchart, Michel
- 764-773 Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process
by Kim, Jae-Young
- 774-808 Posterior Odds Testing for a Unit Root with Data-Based Model Selection
by Phillips, Peter C.B. & Ploberger, Werner
- 811-811 Corrigendum
by Anonymous
- 813-815 System IdentificationT. Söderström and P. Stoica Prentice Hall International, 1989
by Deistler, M.
June 1994, Volume 10, Issue 2
- 1-21 Kernel Estimation of Partial Means and a General Variance Estimator
by Newey, Whitney K.
- 254-285 Autoregressive Errors in Singular Systems of Equations
by Dhrymes, Phoebus J.
- 286-315 On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models
by Spanos, Aris
- 316-356 Testing the Goodness of Fit of a Parametric Density Function by Kernel Method
by Fan, Yanqin
- 357-371 Power of Tests for Nonlinear Transformation in Regression Analysis
by Kobayashi, Masahito
- 372-395 U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator
by Sherman, Robert P.
- 396-408 Estimating Error Component Models With General MA(q) Disturbances
by Baltagi, Badi H. & Li, Qi
- 409-418 On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi
by Wooldridge, Jeffrey M.
- 451-451 Erratum
by Alvarez, L. & Dolado, J.
March 1994, Volume 10, Issue 1
- 1-28 Series Estimation of Regression Functionals
by Newey, Whitney K.
- 29-52 Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
by Lee, Sang-Won & Hansen, Bruce E.
- 53-69 Asymptotically Optimal Tests Using Limited Information and Testing for Exogeneity
by Smith, Richard J.
- 70-90 On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity
by de Jong, R.M. & Bierens, H.J.
- 91-115 A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
by Shin, Yongcheol
- 116-129 Symmetry, Regression Design, and Sampling Distributions
by Chesher, Andrew & Peters, Simon
- 130-139 Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component
by Wyhowski, Donald J.
- 140-171 Some Exact Distribution Results for the Partially Restricted Reduced form Estimator
by Kinal, Terrence W. & Knight, John L.
- 172-197 Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation
by Koenker, Roger & Machado, José A.F. & Skeels, Christopher L. & Welsh, Alan H.
- 198-219 Haavelmo's Identification Theory
by Aldrich, John
August 1993, Volume 9, Issue 4
- 539-569 Adaptive Estimation in ARCH Models
by Linton, Oliver
- 570-588 Estimation in Dynamic Linear Regression Models with Infinite Variance Errors
by Knight, Keith
- 589-601 A Consistent Test of Stationary-Ergodicity
by Domowitz, Ian & El-Gamal, Mahmoud A.
- 602-632 Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models
by Burnside, Craig
- 633-648 Determination of Estimators with Minimum Asymptotic Covariance Matrices
by Bates, Charles E. & White, Halbert
- 649-658 Specification Testing with Locally Misspecified Alternatives
by Bera, Anil K. & Yoon, Mann J.
- 659-667 A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series
by Swensen, Anders Rygh
- 668-679 A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model
by Ohtani, Kazuhiro
- 680-685 On the Noninvertible Moving Average Time Series with Infinite Variance
by Chan, Ngai Hang
June 1993, Volume 9, Issue 3
- 329-342 Multivariate Time Series: A Polynomial Error Correction Representation Theorem
by Gregoir, Stéphane & Laroque, Guy
- 343-362 Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
by Saikkonen, Pentti & Luukkonen, Ritva
- 363-376 Asymptotic Expansions for Random Walks with Normal Errors
by Knight, J.L. & Satchell, S.E.
- 377-401 Distribution of the ML Estimator of an MA(1) and a local level model
by Shephard, Neil
- 402-412 The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case
by Davidson, James
- 413-430 Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix
by Lee, Lung-Fei
- 431-450 The VPRT: A Sequential Testing Procedure Dominating the SPRT
by Cressie, Noel & Morgan, Peter B.
- 451-477 A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models
by Gozalo, Pedro L.
- 478-493 Robust Model Selection and M-Estimation
by Machado, José A.F.
- 494-498 A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
by Saikkonen, Pentti
- 499-503 Median Unbiasedness of Estimators of Panel Data Censored Regression Models
by Campbell, Jeffrey R. & Honoré, Bo E.
- 504-515 On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables
by Ohtani, Kazuhiro & Hasegawa, Hikaru
April 1993, Volume 9, Issue 2
- 155-188 Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model
by Saikkonen, Pentti
- 189-221 On the Asymptotic Power of Unit Root Tests
by Abadir, Karim M.
- 222-240 Testing Identifiability and Specification in Instrumental Variable Models
by Cragg, John G. & Donald, Stephen G.
- 241-262 Noncausality and Marginalization of Markov Processes
by Florens, J.P. & Mouchart, M. & Rolin, J.M.
- 263-282 Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
by Choi, In
- 283-295 Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data
by Hamerle, Alfred & Singer, Hermann & Nagl, Willi
- 296-309 A Curious Result on Exact FIML and Instrumental Variables
by Calzolari, Giorgio & Sampoli, Letizia
January 1993, Volume 9, Issue 1
- 1-18 Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions
by Horowitz, Joel L.
- 19-35 Estimation of Cointegration Vectors with Linear Restrictions
by Saikkonen, Pentti
- 36-61 An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration
by Tanaka, Katsuto
- 62-80 Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
by Kiviet, Jan F. & Phillips, Garry D.A.
- 81-93 Ols Bias in a Nonstationary Autoregression
by Abadir, Karim M.
- 94-113 Variable Augmentation Specification Tests in the Exponential Family
by Gurmu, Shiferaw & Trivedi, Pravin K.
December 1992, Volume 8, Issue 4
- 435-451 Nonparametric Regression Tests Based on Least Squares
by Yatchew, Adonis John
- 452-475 A Test for Functional Form Against Nonparametric Alternatives
by Wooldridge, Jeffrey M.
- 476-488 Simultaneous Density Estimation of Several Income Distributions
by Marron, J.S. & Schmitz, H.-P.
- 489-500 Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
by Hansen, Bruce E.
- 501-517 On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives
by Jandhyala, V.K. & MacNeill, I.B.
- 518-552 On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models
by Lee, Lung-Fei
- 553-569 The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses
by Szroeter, Jerzy
- 571-579 Continuous Time Econometric ModellingA.R. Bergstrom Oxford University Press, 1991
by Robinson, Peter M.
September 1992, Volume 8, Issue 3
- 313-329 A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes
by Davidson, James
- 330-342 On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics
by Hesse, C. H.
- 343-367 Stochastic Expansions and Asymptotic Approximations
by Magdalinos, Michael A.
- 368-382 Winsorized Mean Estimator for Censored Regression
by Lee, Myoung-Jae
- 383-401 The Cowles Commission, the Brookings Project, and the Econometric Services Industry: Successes and Possible New Directions: A Personal View
by McCarthy, Michael D.
- 403-406 Semiparametric IV Estimation with Parameter Dependent Instruments
by Rilstone, Paul
- 407-412 A Course in EconometricsArthur Goldberger Harvard University Press, 1991
by Steigerwald, Douglas G.
- 413-419 Applied Nonparametric RegressionW. Härdle Cambridge University Press, 1990
by Delgado, Miguel A.
- 421-422 Bruce E. Hansen, Strong Laws for Dependent Heterogeneous Processes. Econometric Theory 7(1992): 213–221
by Anonymous
June 1992, Volume 8, Issue 2
- 161-187 Adaptive Estimation in Time Serise Regression Models With Heteroskedasticity of Unknown Form
by Hidalgo, Javier
- 188-202 A Representation of Vector Autoregressive Processes Integrated of Order 2
by Johansen, Søren
- 203-222 Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model
by Delgado, Miguel A.
- 223-240 Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
by Dufour, Jean-Marie & Hallin, Marc
- 241-257 Generic Uniform Convergence
by Andrews, Donald W.K.
- 258-275 The Bias of Bootstrapped Versus Conventional Standard Errors in the General Linear and SUR Models
by Atkinson, Scott E. & Wilson, Paul W.
- 276-292 A Bootstrap Test for Positive Definiteness of Income Effect Matrices
by Härdle, Wolfgang & Hart, Jeffrey D.
- 293-299 Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989
by Diebold, Francis X.
March 1992, Volume 8, Issue 1
- 1-27 Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
by Saikkonen, Pentti
- 28-51 Continuous Record Asymptotics in Systems of Stochastic Differential Equations
by Sørensen, Bent E.
- 52-94 Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models
by Lee, Lung-Fei
- 95-111 The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors
by Galbraith, John W. & Zinde-Walsh, Victoria
- 113-119 A Note on the Estimation of Simultaneous Equations with Error Components
by Baltagi, Badi H. & Li, Qi
- 120-126 On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series
by Pham, Tuan Dinh & Tran, Lanh Tat
- 127-131 A Graphical Exposition of the Ordered Probit
by Becker, William E. & Kennedy, Peter E.
- 135-143 The Statistical Theory of Linear SystemsE. J. Hannan and Manfred Deistler John Wiley & Sons, 1988
by Solo, Victor
December 1991, Volume 7, Issue 4
September 1991, Volume 7, Issue 3
- 269-306 On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle
by Jeganathan, P.
- 307-340 Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality
by Eastwood, Brian J. & Gallant, A. Ronald
- 341-368 Test Consistency with Varying Sampling Frequency
by Perron, Pierre
- 369-384 On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models
by Deschamps, Philippe J.
- 385-395 On Limited Dependent Variable Models: Maximum Likelihood Estimation and Test of One-sided Hypothesis
by Silvapulle, Mervyn J.
- 397-403 The Concentration Ellipsoid of a Random Vector Revisited
by Nordström, Kenneth
- 404-408 Open Higher Order Continuous-Time Dynamic Model with Mixed Stock and Flow Data and Derivatives of Exogenous Variables
by Nowman, K. Ben
- 409-411 The Limits of Econometrics by Adrian C. Darnell and J. Lynne Evans, Edward Elgar Publishing Limited, 1990
by Poirier, Dale J.
June 1991, Volume 7, Issue 2
- 163-185 Effects of Model Selection on Inference
by Pötscher, B.M.
- 186-199 Asymptotics for Least Absolute Deviation Regression Estimators
by Pollard, David
- 200-212 Limit Theory for M-Estimates in an Integrated Infinite Variance
by Knight, Keith
- 213-221 Strong Laws for Dependent Heterogeneous Processes
by Hansen, Bruce E.
- 222-235 The Bias of Forecasts from a First-Order Autoregression
by Magnus, Jan R. & Pesaran, Bahram
- 236-252 A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
by Perron, Pierre
- 253-263 Nonuniform Bounds for Nonparametric t-Tests
by Dufour, Jean-Marie & Hallin, Marc
- 265-268 Who Invented Local Power Analysis?
by McManus, Douglas A.
March 1991, Volume 7, Issue 1
- 1-21 Asymptotically Efficient Estimation of Cointegration Regressions
by Saikkonen, Pentti
- 22-45 Estimation of the Covariance Matrix of the Least-Squares Regression Coefficients When the Disturbance Covariance Matrix Is of Unknown Form
by Keener, Robert W. & Kmenta, Jan & Weber, Neville C.
- 46-68 Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation
by Weiss, Andrew A.
- 69-84 Robust M-Tests
by Peracchi, Franco
- 125-131 Topics in Advanced Econometrics: Probability FoundationsPhoebus J. Dhrymes, Springer-Verlag, 1989
by El-Gamal, Mahmoud
- 132-138 Econometric AnalysisWilliam H. Greene, Macmillan, 1990
by Trivedi, Pravin K.
December 1990, Volume 6, Issue 4
September 1990, Volume 6, Issue 3
June 1990, Volume 6, Issue 2
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