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Content
June 2000, Volume 16, Issue 3
April 2000, Volume 16, Issue 2
- 151-175 Tests Of Rank
by Robin, Jean-Marc & Smith, Richard J.
- 176-199 Tests Of Common Stochastic Trends
by Nyblom, Jukka & Harvey, Andrew
- 200-230 Asymptotic Distributions For Unit Root Test Statistics In Nearly Integrated Seasonal Autoregressive Models
by Nabeya, Seiji
- 231-248 Small-Sample Likelihood-Based Inference In The Arfima Model
by Lieberman, Offer & Rousseau, Judith & Zucker, David M.
- 249-261 Lm Tests In The Presence Of Non-Normal Error Distributions
by Furno, Marilena
- 262-268 A Strong Consistency Proof For Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimators
by de Jong, Robert M.
- 269-279 Simultaneous Equations With Incomplete Panels
by Baltagi, Badi H. & Chang, Young-Jae
- 280-282 A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution
by Karanasos, Menelaos
- 287-299 Problems And Solutions
by ,
February 2000, Volume 16, Issue 1
- 3-22 Stationary Arch Models: Dependence Structure And Central Limit Theorem
by Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus
- 23-43 Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients
by Yang, Minxian
- 44-79 Non-Gaussian Log-Periodogram Regression
by Velasco, Carlos
- 80-101 Bayesian Regression Analysis With Scale Mixtures Of Normals
by Fernández, Carmen & Steel, Mark F.J.
- 102-111 Cointegration And Distance Between Information Sets
by Triacca, Umberto
- 113-125 The Et Interview: Professor Olav Reiersøl
by Willassen, Yngve
- 127-130 Dynamic Nonlinear Econometric Models—Asymptotic Theory
by de Jong, Robert M.
- 131-138 Simulation-Based Econometric Methods
by Andersen, Torben G.
- 139-142 Econometric Methods
by Tripathi, Gautam
December 1999, Volume 15, Issue 6
October 1999, Volume 15, Issue 5
- 643-663 Deciding Between I(0) And I(1) Via Flil-Based Bounds
by Corradi, Valentina
- 664-703 Cointegrating Regressions With Time Varying Coefficients
by Park, Joon Y. & Hahn, Sang B.
- 704-709 The Local Asymptotic Power Of Certain Tests For Fractional Integration
by Wright, Jonathan H.
- 710-718 Optimality For The Integrated Conditional Moment Test
by Boning, Wm. Brent & Sowell, Fallaw
- 719-752 Research In Econometric Theory: Quantitative And Qualitative Productivity Rankings
by Cribari-Neto, Francisco & Jensen, Mark J. & Novo, Álvaro A.
- 753-776 Et Interview: Professor G.S. Maddala
by Lahiri, Kajal
- 777-788 Problems And Solutions
by ,
August 1999, Volume 15, Issue 4
- 435-468 Multivariate Time Series With Various Hidden Unit Roots, Part I
by Gregoir, Stéphane
- 469-518 Multivariate Time Series With Various Hidden Unit Roots, Part Ii
by Gregoir, Stéphane
- 519-548 Efficient Detrending In Cointegrating Regression
by Xiao, Zhijie & Phillips, Peter C.B.
- 549-582 The Nonstationary Fractional Unit Root
by Tanaka, Katsuto
- 583-621 On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors
by Jeganathan, P.
- 622-628 Spurious Regression Between I(1) Processes With Infinite Variance Errors
by Tsay, Wen-Jen
- 629-637 Problems And Solutions
by ,
June 1999, Volume 15, Issue 3
April 1999, Volume 15, Issue 2
February 1999, Volume 15, Issue 1
- 1-23 Unit Root Tests Based On Adaptive Maximum Likelihood Estimation
by Shin, Dong Wan & So, Beong Soo
- 24-49 Asymptotics Of Ml Estimator For Regression Models With A Stochastic Trend Component
by Kuo, Biing-Shen
- 50-78 Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process
by Saikkonen, Pentti & Lütkepohl, Helmut
- 79-98 Semiparametric Estimation Of A Location Parameter In The Binary Choice Model
by Chen, Songnian
- 99-113 Analytical Power Comparisons Of Nested And Nonnested Tests For Linear And Loglinear Regression Models
by Kobayashi, Masahito & McAleer, Michael
- 114-138 Constrained Smoothing Splines
by Póo, Juan M. Rodriguez
- 139-149 Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case
by Nabeya, Seiji
- 151-160 Problems And Solutions
by ,
December 1998, Volume 14, Issue 6
- 701-743 Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures
by Kleibergen, Frank & van Dijk, Herman K.
- 744-769 Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes
by Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar
- 770-782 Moment Generating Functions And Further Exact Results For Seasonal Autoregressions
by Pitarakis, Jean-Yves
- 783-793 A Note On The Convergence Of Nonparametric Dea Estimators For Production Efficiency Scores
by Kneip, Alois & Park, Byeong U. & Simar, Léopold
- 795-798 An Introduction To Econometric Theory
by Linton, Oliver B.
October 1998, Volume 14, Issue 5
August 1998, Volume 14, Issue 4
June 1998, Volume 14, Issue 3
- 295-325 Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative
by Stinchcombe, Maxwell B. & White, Halbert
- 326-338 On Estimating An Arma Model With An Ma Unit Root
by McCabe, B.P.M. & Leybourne, S.J.
- 339-354 Chi-Square-Type Distributions For Heavy-Tailed Variates
by Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol
- 355-363 Effect Of A Shift In The Trend Function On Dickey–Fuller Unit Root Tests
by Montañés, Antonio & Reyes, Marcelo
- 365-368 Financial Calculus: An Introduction To Derivative Pricing
by Sørenson, Bent E.
- 369-374 Topics In Advanced Econometrics: Estimation, Testing, And Specification Of Cross-Section And Time Series Models
by Whang, Yoon-Jae
- 375-378 Time-Series-Based Econometrics
by Choi, In
- 379-380 Handbook Of Matrices
by Magnus, Jan R.
- 381-386 Problems And Solutions
by ,
April 1998, Volume 14, Issue 2
- 161-186 Quasi-Indirect Inference For Diffusion Processes
by Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel
- 187-199 A Parametric Characterization Of Integrated Vector Autoregressive (Var) Processes
by la Cour, Lisbeth
- 200-221 On Phillips–Perron-Type Tests For Seasonal Unit Roots
by Breitung, Jörg & Franses, Philip Hans
- 222-259 Tests For Structural Change In Cointegrated Systems
by Seo, Byeongseon
- 260-284 Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications
by Chen, Xiaohong & White, Halbert
- 285-292 Problems And Solutions
by ,
February 1998, Volume 14, Issue 1
December 1997, Volume 13, Issue 6
- 771-790 Curved Exponential Models in Econometrics
by van Garderen, Kees Jan
- 791-807 Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios
by Knight, John L & Satchell, Stephen E.
- 808-817 Optimal Prediction Under Asymmetric Loss
by Christoffersen, Peter F. & Diebold, Francis X.
- 818-848 Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
by Vogelsang, Timothy J.
- 850-876 Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
by Choi, In & Park, Joon Y. & Yu, Byungchul
- 877-888 Multivariate Linear Rational Expectations Models
by Binder, Michael & Pesaran, M. Hashem
October 1997, Volume 13, Issue 5
- 615-645 A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model
by Jiang, George J. & Knight, John L.
- 646-666 Comovements Between Diffusion Processes
by Corradi, Valentina
- 667-678 Multiplicative Panel Data Models Without the Strict Exogeneity Assumption
by Wooldridge, Jeffrey M.
- 679-691 Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
by Cheung, Yin-Wong & Lai, Kon S.
- 692-745 On Asymptotic Inference in Linear Cointegrated Time Series Systems
by Jeganathan, P.
- 747-754 Econometric Analysis of Panel DataBadi H. Baltagi Wiley, 1995
by Boozer, Michael A.
February 1997, Volume 13, Issue 4
June 1997, Volume 13, Issue 3
- 315-352 Estimating Multiple Breaks One at a Time
by Bai, Jushan
- 353-367 Central Limit Theorems for Dependent Heterogeneous Random Variables
by de Jong, Robert M.
- 368-391 Comparison of Deterministic and Stochastic Predictors in Nonlinear Systems When the Disturbances Are Small
by Arvin-Rad, Hassan
- 392-405 Approximate Solutions to Stochastic Dynamic Programs
by Stern, Steven
- 406-429 Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances
by Chaturvedi, Anoop & Hasegawa, Hikaru & Chaturvedi, Ajit & Shukla, Govind
- 430-461 Estimation in the Cox-Ingersoll-Ross Model
by Overbeck, Ludger & Rydén, Tobias
April 1997, Volume 13, Issue 2
February 1997, Volume 13, Issue 1
- 3-31 Semiparametric Estimation of a Single-Index Model with Nonparametrically Generated Regressors
by Ahn, Hyungtaik
- 32-51 Semiparametric Estimation of Location and Other Discrete Choice Moments
by Lewbel, Arthur
- 52-78 The Effect of Nonnormality
by Lieberman, Offer
- 79-118 Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems
by Paruolo, Paolo
- 119-132 Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994
by Hansen, Bruce E. & Horowitz, Joel L.
- 133-142 Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994
by Knight, Keith
December 1996, Volume 12, Issue 5
- 753-772 Sobolev Estimation of Approximate Regressions
by Florens, Jean-Pierre & Ivaldi, Marc & Larribeau, Sophie
- 773-792 Spectral Analysis for Bivariate Time Series with Long Memory
by Hidalgo, J.
- 793-813 Conditional Quantile Estimation and Inference for Arch Models
by Koenker, Roger & Zhao, Quanshui
- 814-844 Infinite-Order Cointegrated Vector Autoregressive Processes
by Saikkonen, Pentti & Lütkepohl, HELMUT
- 845-858 The Encompassing Principle and Hypothesis Testing
by Lu, Maozu & Mizon, Grayham E.
- 859-865 Stochastic Limit Theory: An Introduction for EconometriciansJames Davidson, Oxford University Press, 1994
by Gregoir, Stéphane
October 1996, Volume 12, Issue 4
- 597-619 A Reappraisal of Misspecified Econometric Models
by Monfort, Alain
- 620-656 Encompassing and Specificity
by Florens, Jean-Pierre & Hendry, David F. & Richard, Jean-François
- 657-681 Which Moments to Match?
by Gallant, A. Ronald & Tauchen, George
- 682-704 The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series
by Abadir, Karim M. & Larsson, Rolf
- 705-723 The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test
by Burridge, Peter & Guerre, Emmanuel
- 724-731 Near Observational Equivalence and Theoretical size Problems with Unit Root Tests
by Faust, Jon
- 733-738 The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients
by McCall, Brian P.
- 739-740 Modeling Stock Prices without Knowing How to Induce Stationarity
by Dejong, David N. & Whiteman, Charles H.
- 752-752 Erratum
by Anonymous
August 1996, Volume 12, Issue 3
- 409-431 Markov Chain Monte Carlo Simulation Methods in Econometrics
by Chib, Siddhartha & Greenberg, Edward
- 432-457 Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples
by Ghysels, Eric & Lieberman, Offer
- 458-480 Calculating the Distribution of the Serial Correlation Estimator by Saddlepoint Integration
by Helstrom, Carl W.
- 481-499 Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value
by Vinod, H.D. & Shenton, L.R.
- 500-516 BAYESIAN ECONOMETRICS: The First Twenty Years
by QIN, Duo
- 517-567 Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm
by Donald, Stephen G. & Paarsch, Harry J.
- 569-580 Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations
by Rilstone, Paul & Veall, Michael
- 581-583 Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994
by Linton, Oliver B.
June 1996, Volume 12, Issue 2
- 215-256 Noncausality in Continuous Time Models
by Comte, F. & Renault, E.
- 257-283 The Bahadur-Kiefer Representation of Lp Regression Estimators
by Arcones, Miguel A.
- 284-304 Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
by Chen, Xiaohong & White, Halbert
- 305-330 Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors
by Lee, Myoung-Jae
- 331-346 Valid Edgeworth Expansions of M-Estimators in Regression Models with Weakly Dependent Resfduals
by Taniguchi, Masanobu & Puri, Madan L.
- 347-359 Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
by Hansen, Bruce E.
- 361-373 Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends
by Simos, Theodore
- 374-390 The Estimation of Continuous Parameter Long-Memory Time Series Models
by Chambers, Marcus J.
- 407-408 Erratum
by Anonymous
March 1996, Volume 12, Issue 1
- 1-29 Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle
by Davis, Richard A. & Dunsmuir, William T.M.
- 30-60 Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
by Linton, Oliver
- 61-87 Testing for Causation Using Infinite Order Vector Autoregressive Processes
by Lütkepohl, Helmut & POSKITT, D.S.
- 88-112 Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
by Bentarzi, Mohamed & Hallin, Marc
- 113-128 A Note on the Normalized Errors in ARCH and Stochastic Volatility Models
by Nelson, Daniel B.
- 129-153 Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors
by Herce, Miguel A.
- 187-197 A Note on Bootstrapping Generalized Method of Moments Estimators
by Hahn, Jinyong
October 1995, Volume 11, Issue 5
- 811-817 Trending Multiple Time Series: Editor's Introduction
by Phillips, Peter C.B.
- 818-887 Some Aspects of Asymptotic Theory with Applications to Time Series Models
by Jeganathan, P.
- 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
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