# Cambridge University Press

# Econometric Theory

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### 1994, Volume 10, Issue 05

**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.**967-967 Fully Modified Least Squares in I(2) Regression***by*Phillips, Peter C.B. & Chang, Yoosoon**968-969 The Asymptotic Power of RESET for Detecting Omitted Variables***by*Wooldridge, Jeffrey M.**969-969 A Strong Law of Large Numbers***by*Heijmans, Risto

### 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**813-815 System Identification T. Söderström and P. Stoica Prentice Hall International, 1989***by*Deistler, M.**817-817 The Stationarity Conditions for an AR(2) Process and Shur's Theorem***by*Im, Eric Iksoon**818-819 Spurious Regression in Forecast-Encompassing Tests***by*Phillips, Peter C.B.**819-819 Some Exponential Martingales***by*Phillips, Peter C.B. & Hodgson, Douglas J.**817-818 Unit Root Testing with Intermittent Data***by*Phillips, Peter C.B.**817-817 Differentiation of an Exponential Matrix Function***by*Linton, Oliver

### 1994, Volume 10, Issue 02

**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.**419-433 Professor H.O.A. Wold: 1908–1992***by*Hendry, David F. & Morgan, Mary S.**439-439 The Exact Distribution of the Lagrange Multiplier Test for Heteroskedasticity***by*Farebrother, R.W.**440-440 Underspecified Linear Model and the Best Instrumental Variable Estimator***by*Im, Eric Iksoon**441-442 An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares***by*Boswijk, Peter & Neudecker, Heinz**442-442 Eigenvalues of the Product of Non-negative Definite Matrices***by*Trenkler, Götz**443-448 Deriving Restricted Least Squares without a Lagrangean***by*Vahid, Farshid & Alvarez, Luis J. & Dolado, Juan J. & Paruolo, Paolo & Zheng, John Xu**449-449 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**450-450 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Iksoon Im, Eric**451-451 Erratum***by*Alvarez, L. & Dolado, J.**442-443 The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models***by*Windmeijer, Frank A.G.**442-442 Convergence of a Nonlinear Time Series Model***by*Phillips, Peter C.B.**439-440 A Bias Correction for Token's Correlation Dimension Estimator***by*Satchell, Stephen

### 1994, Volume 10, Issue 01

**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**221-222 E.J. (Ted) Hannan***by*Pagan, Adrian & Terrell, Deane**223-223 Efficient Estimation Under Heteroskedasticity***by*Wooldridge, Jeffrey M.**224-225 Difference Approach to the Adaptive Regression Model***by*Iksoon Im, Eric**226-226 A Nonlinear Measurement Error Model with Fixed Observed X (Berkson Case)***by*Sapra, S.K.**227-228 Variable Addition Test***by*Farebrother, R.W.**228-228 Efficiency as Correlation***by*Zheng, John Xu**228-231 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Bailey, Roy E.**226-227 Bounds on Coefficient Estimates When the Dependent Variable is Grouped***by*Farebrother, R.W.**223-224 The Wald, LR, and LM Inequality***by*Baltagi, Badi H.

### 1993, Volume 9, Issue 04

**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**687-687 Efficient Estimation with Orthogonal Regressors***by*Wooldridge, Jeffrey M.**688-689 Yule-Walker Prediction Error in a Random Walk Model***by*Hisamatsu, Hiroyuki**689-689 Reduced Rank Regression Asymptotics in Multivariate Regression***by*Phillips, Peter C.B.**690-690 Matrix Trace Inequalities Involving Simple Kronecker, and Hadamard Products***by*Neudecker, Heinz & Shuangzhe, Liu**691-691 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Shuangzhe, Liu**692-694 An Approximate Transformation for the Error Component Model with MA(q) Disturbances***by*Baltagi, Badi H. & Li, Qi**694-697 Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors***by*Alvárez, Luis J. & Dolado, Juan J.**697-703 Tabulation of Farebrother's Test for Linear Restriction***by*Dufour, Jean-Marie & Mahseredjian, Sophie**703-703 Moore-Penrose Inverse of a Symmetric Matrix***by*Abdullah, Jalaluddin & Neudecker, Heinz & Shuangzhe, Liu**690-691 Instrumental Variable Estimation of a Simple Simultaneous Equations Model with a Singular Error Variance Matrix***by*Farebrother, R.W.**689-690 Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure***by*Phillips, Peter C.B.**689-689 Characterization of a Projector***by*Farebrother, R.W. & Trenkler, G.**687-688 Nested Effects***by*Baltagi, Badi H.

### 1993, Volume 9, Issue 03

**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**521-521 MINQUE under Heteroskedasticity***by*Baltagi, Badi H.**522-523 Minimization of a Scalar Function Matrix***by*Iksoon Im, Eric & Snow, Marcellus S.**523-523 Inefficiency of the method of moments estimate for noninvertible MA(1) processes***by*Choi, In**524-524 Nonlinear transformations of LUS residuals***by*Farebrother, R.W**525-525 Binary Prediction***by*Koning, Ruud H.**526-527 When are Expectiles Percentiles?***by*Koenker, Roger**527-530 The Asymptotic Variance of the ML Estimator of MA(1) Coefficient***by*Chang, Young-Ho & Im, Eric Iksoon**530-533 Generalized Inverses of Partitioned Matrices***by*Trenkler, Götz & Schipp, Bernhard & Neudecker, Heinz & Shuangzhe, Liu**534-536 Efficiency of Maximum Likelihood***by*Phillips, Peter C.B. & Pötscher, Benedikt M.**524-524 A Kronecker Matrix Inequality with a Statistical Application***by*Neudecker, Heinz & Satorra, Albert**523-524 Characterization of an orthogonal projection matrix***by*Farebrother, R.W. & Pordzik, P. & Trenkler, G.**521-522 ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations***by*Magee, Lonnie

### 1993, Volume 9, Issue 02

**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**311-311 Two New Co-Editors of Econometric Theory***by*Horowitz, Joel & Tanaka, Katsuto**313-313 The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models***by*Windmeijer, Frank A.G.**314-314 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**315-316 A Derivation of the Limited Information Maximum Likelihood Estimator***by*Morimune, Kimio**316-322 The Three-Choice Multinomial Probit with Selectivity Corrections***by*Glewwe, Paul**322-323 Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity***by*Iksoon Im, Eric & Snow, Marcellus S.**323-324 Characterization of a Positive Semidefinite Matrix***by*Farebrother, R.W.**324-325 The Maximally Concentrated Unbiased Linear Estimator of β***by*Farebrother, R.W.**325-326 Seemingly Unrelated Regression Equations with No Contemporaneous Observations***by*Farebrother, R.W.**326-328 Simultaneous Equations Bias in Level VAR Estimation***by*Phillips, P.C.B.**314-315 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Baltagi, Badi H. & Savin, Berndt**313-314 Deriving Restricted Least Squares Estimator without a Lagrangean***by*Paruolo, Paolo

### 1993, Volume 9, Issue 01

**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.**117-143 Professor Marc Nerlove***by*Ghysels, Eric**145-145 Bounds on Coefficient Estimates When the Dependent Variable is Grouped***by*Fiebig, Denzil G.**146-146 Efficiency as Correlation***by*Oksanen, E.H.**147-148 Can More Information Make You Worse Off??***by*Leamer, Ed**148-148 Instrumental Variables Estimator and Admissibility***by*Trenkler, Göetz**149-150 The Bias of the Standard Errors of OLS Process with an Arbitrary Variance on the Initial Observations***by*Koning, Ruud H.**150-153 Limit Theory in Cointegrated Vector Autoregressions***by*Phillips, Peter C.B. & Toda, Hiro Y.**148-149 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R.W.**146-147 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Rilstone, Paul**145-146 Variable Addition Test***by*Wu, Ping

### 1992, Volume 8, Issue 04

**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 Modelling A.R. Bergstrom Oxford University Press, 1991***by*Robinson, Peter M.**581-581 Instrumental Variable Estimation of a Simple Simultaneous Equations Model with a Singular Error Variance Matrix***by*Farebrother, R. W.**582-583 An Approximate Transformation for the Error Component Model with MA(q) Disturbances***by*Baltagi, Badi H. & Li, Qi**583-583 Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors***by*Choi, In**584-584 Moore-Penrose Inverse of a Matrix Product***by*Neudecker, Heinz & Shuangzhe, Liu**585-585 An Inequality for the Block-Partitioned Inverse***by*Neudecker, Heinz**586-591 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P.**585-586 The Moore-Penrose Inverse of a Symmetric Matrix***by*Trenkler, G. & Magnus, Jan R.**583-584 Tabulation of Farebrother's Test for Linear Restrictions***by*Shephard, Neil**581-582 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Satorra, Albert & Neudecker, Heinz

### 1992, Volume 8, Issue 03

**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 Econometrics Arthur Goldberger Harvard University Press, 1991***by*Steigerwald, Douglas G.**413-419 Applied Nonparametric Regression W. Härdle Cambridge University Press, 1990***by*Delgado, Miguel A.**423-423 Binary Prediction***by*Koenker, Roger**424-426 The Asymptotic Variance of ML Estimator of MA(l) Coefficient***by*Chang, Young-ho & Im, Eric Iksoon**426-427 Generalized Inverses of Partitioned Matrices***by*Phillips, Peter C.B.**427-427 Efficiency of Maximum Likelihood***by*Phillips, Peter C.B.**428-429 Skewness and Kurtosis in Bivariate Regression***by*Iksoon Im, Eric**430-433 Variance Component Estimation Under Misspecification***by*Baltagi, Badi H & Li, Qi**433-434 The Equivalence of Two Test Statistics for Testing the Constancy of Regression Coefficient***by*Buse, A.**427-428 Exogenous and Endogenous Sampling***by*Monfort, Alain**423-424 When Are Expectiles Percentiles?***by*Koenker, Roger

### 1992, Volume 8, Issue 02

**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 Filter Adrew C. Harvey Cambridge University Press, 1989***by*Diebold, Francis X.**301-302 A Derivation of the Limited Information Maximum Likelihood Estimator***by*Morimune, Kimio**302-304 The Three-Choice Multinomial Probit with Selectivity Corrections***by*Glewwe, Paul**304-305 Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity***by*Baltagi, Badi H.**305-306 Characterization of a Positive Semidefinite Matrix***by*Farebrother, R. W.**306-306 The Maximally Concentrated Unbiased Linear Estimator of β***by*Farebrother, R. W.**307-307 Simultaneous Equations Bias in Level VAR Estimation***by*Phillips, Peter C.B.**309-309 Global Power of White's Test for Heteroskedasticity***by*Magee, Lonnie

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