## Content

### February 2007, Volume 23, Issue 01

**37-70 Local Linear Fitting Under Near Epoch Dependence***by*Lu, Zudi & Linton, Oliver**71-88 Wiener Kolmogorov Filtering, Frequency-Selective Filtering, And Polynomial Regression***by*Pollock, D.S.G.**89-105 Common Stochastic Trends And Aggregation In Heterogeneous Panels***by*Lazarov , tep na & Trapani, Lorenzo & Urga, Giovanni**106-154 An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With Conditional Heteroskedasticity Of Unknown Form***by*Hong, Yongmiao & Lee, Yoon-Jin**155-181 THE ET INTERVIEW: TAKESHI AMEMIYA: Interviewed by James L. Powell***by*Powell, James L.**183-189 Permanent-Transitory Decompositions Under Weak Exogeneity***by*Fisher, Lance A. & Huh, Hyeon-seung**190-199 Minimax Regret Treatment Choice With Incomplete Data And Many Treatments***by*Stoye, J rg

### December 2006, Volume 22, Issue 06

**989-1029 A Test For Stationarity Versus Trends And Unit Roots For A Wide Class Of Dependent Errors***by*Giraitis, Liudas & Leipus, Remigijus & Philippe, Anne**1030-1051 A Consistent Diagnostic Test For Regression Models Using Projections***by*Escanciano, J. Carlos**1052-1090 Stochastic Unit Root Models***by*Gourieroux, Christian & Robert, Christian Y.**1091-1111 A Residual-Based Lm-Type Test Against Fractional Cointegration***by*Hassler, Uwe & Breitung, J rg**1112-1137 Asymptotic Distributions For Two Estimators Of The Single-Index Model***by*Xia, Yingcun**1138-1175 On The Identification And Estimation Of Nonstationary And Cointegrated Armax Systems***by*Poskitt, D.S.**1177-1178 Acknowledgment Of Related Prior Work***by*Wooldridge, Jeffrey M.**1179-1190 On The Breitung Test For Panel Unit Roots And Local Asymptotic Power***by*Moon, H.R. & Perron, B. & Phillips, P.C.B.**1191-1194 An Alternative Derivation Of Mundlak'S Fixed Effects Results Using System Estimation***by*Baltagi, Badi H.

### October 2006, Volume 22, Issue 05

**765-814 Unbalanced Cointegration***by*Hualde, Javier**815-834 Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process***by*Francq, Christian & Zako an, Jean-Michel**835-851 A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models***by*Inoue, Atsushi & Solon, Gary**852-862 On The Tail Behaviors Of A Family Of Garch Processes***by*Liu, Ji-Chun**863-912 Bias-Reduced Log-Periodogram And Whittle Estimation Of The Long-Memory Parameter Without Variance Inflation***by*Guggenberger, Patrik & Sun, Yixiao**913-931 Yet More On The Exact Properties Of Iv Estimators***by*Hillier, Grant**932-946 On The Bimodality Of The Exact Distribution Of The Tsls Estimator***by*Forchini, G.**947-960 A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation***by*Phillips, Peter C.B.**961-967 NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005***by*Kilian, Lutz**968-972 MATRIX ALGEBRA, by Karim M. Abadir and Jan R. Magnus, Cambridge University Press, 2005***by*Otsu, Taisuke**973-984 Random Effects And Spatial Autocorrelation With Equal Weights***by*Baltagi, Badi H.**985-988 A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes***by*Meitz, Mika

### August 2006, Volume 22, Issue 04

**543-586 A Data-Driven Nonparametric Specification Test For Dynamic Regression Models***by*Guay, Alain & Guerre, Emmanuel**587-613 A Nonparametric Bootstrap Test Of Conditional Distributions***by*Fan, Yanqin & Li, Qi & Min, Insik**614-632 A Consistent Nonparametric Equality Test Of Conditional Quantile Functions***by*Sun, Yiguo**633-676 On Testing For Serial Correlation With A Wavelet-Based Spectral Density Estimator In Multivariate Time Series***by*Duchesne, Pierre**677-719 Limit Theorems For Bipower Variation In Financial Econometrics***by*Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil**721-742 A Study Of A Semiparametric Binary Choice Model With Integrated Covariates***by*Guerre, Emmanuel & Moon, Hyungsik Roger**743-755 FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS***by*Bunzel, Helle**756-761 A Generalization Of The Burridge Guerre Nonparametric Unit Root Test***by*Garc a, Ana & Sans , Andreu**763-764 The 2003 2005 Tjalling C. Koopmans Econometric Theory Prize***by*Phillips, Peter C. B.

### June 2006, Volume 22, Issue 03

**347-372 On The Alternative Long-Run Variance Ratio Test For A Unit Root***by*Cai, Ye & Shintani, Mototsugu**373-402 Monitoring Constancy Of Variance In Conditionally Heteroskedastic Time Series***by*Horv th, Lajos & Kokoszka, Piotr & Zhang, Aonan**403-428 Empirical Likelihood For Garch Models***by*Chan, Ngai Hang & Ling, Shiqing**429-456 A Residual-Based Test For Stochastic Cointegration***by*McCabe, Brendan & Leybourne, Stephen & Harris, David**457-482 Testing Goodness Of Fit Based On Densities Of Garch Innovations***by*Horv th, Lajos & Zitikis, Ricardas**483-498 Estimation Of Differential-Difference Equation Systems With Unknown Lag Parameters***by*Ercolani, Joanne S. & Chambers, Marcus J.**499-512 Reducing Bias Of Mle In A Dynamic Panel Model***by*Hahn, Jinyong & Moon, Hyungsik Roger**513-527 Generalized Empirical Likelihood Inference For Nonlinear And Time Series Models Under Weak Identification***by*Otsu, Taisuke**529-536 Partially Superfluous Observations***by*Qian, Hailong & Tian, Yongge**537-541 A Note On Identification With Averaged Data***by*Machado, Jos A.F. & Santos Silva, J.M.C.

### April 2006, Volume 22, Issue 02

**173-205 Smoothed Empirical Likelihood Methods For Quantile Regression Models***by*Whang, Yoon-Jae**206-234 The Variance Ratio Statistic At Large Horizons***by*Chen, Willa W. & Deo, Rohit S.**235-257 Identification Of Covariance Structures***by*Lucchetti, Riccardo**258-278 Some Identification Issues In Nonparametric Linear Models With Endogenous Regressors***by*Severini, Thomas A. & Tripathi, Gautam**279-303 Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models***by*Kapetanios, George & Shin, Yongcheol & Snell, Andy**304-322 Convergence Of Integral Functionals Of Stochastic Processes***by*Berkes, Istv n & Horv th, Lajos**323-337 A Closed-Form Estimator For The Garch(1,1) Model***by*Kristensen, Dennis & Linton, Oliver**338-344 On The Product And Ratio Of Gamma And Weibull Random Variables***by*Nadarajah, Saralees & Kotz, Samuel**345-345 The Econometric Theory Awards 2006***by*Phillips, Peter C.B.

### February 2006, Volume 22, Issue 01

**1-14 Unit Root Testing For Functionals Of Linear Processes***by*Wu, Wei Biao**15-68 Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing***by*Saikkonen, Pentti & L tkepohl, Helmut & Trenkler, Carsten**69-97 Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results***by*Leeb, Hannes & P tscher, Benedikt M.**98-126 More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors***by*Su, Liangjun & Ullah, Aman**127-157 Nonparametric Study Of Solutions Of Differential Equations***by*Vanhems, Anne**159-163 Generalization Of A Result On***by*Molinari, Francesca & Peski, Marcin**164-168 Stationarity Condition For Ar Index Process***by*Im, Eric Iksoon & Hammes, David L. & Wills, Douglas T.**169-170 The A.R. Bergstrom Prize In Econometrics: 2005***by*Hall, V.B. & Phillips, P.C.B.

### December 2005, Volume 21, Issue 06

**1031-1057 Exact Mean Integrated Squared Error Of Higher Order Kernel Estimators***by*Hansen, Bruce E.**1058-1086 Bivariate Arch Models: Finite-Sample Properties Of Qml Estimators And An Application To An Lm-Type Test***by*Iglesias, Emma M. & Phillips, Garry D.A.**1087-1111 Validity Of The Sampling Window Method For Long-Range Dependent Linear Processes***by*Nordman, Daniel J. & Lahiri, Soumendra N.**1112-1129 Stationarity Tests Under Time-Varying Second Moments***by*Cavaliere, Giuseppe & Taylor, A.M. Robert**1130-1164 A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests***by*Kiefer, Nicholas M. & Vogelsang, Timothy J.**1165-1171 A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size***by*Francq, Christian & Zako an, Jean-Michel**1172-1176 A Proof Of The Power Of Kim'S Test Against Stationary Processes With Structural Breaks***by*Belaire-Franch, Jorge

### October 2005, Volume 21, Issue 05

**877-906 Partially Linear Models With Unit Roots***by*Juhl, Ted & Xiao, Zhijie**907-945 Limited Time Series With A Unit Root***by*Cavaliere, Giuseppe**946-961 ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS***by*Kristensen, Dennis & Rahbek, Anders**962-990 Optimal Tests For Nested Model Selection With Underlying Parameter Instability***by*Rossi, Barbara**991-1016 A Test For Comparing Multiple Misspecified Conditional Interval Models***by*Corradi, Valentina & Swanson, Norman R.**1017-1025 The Uniqueness Of Cross-Validation Selected Smoothing Parameters In Kernel Estimation Of Nonparametric Models***by*Li, Qi & Zhou, Jianxin**1026-1028 Violating Ignorability Of Treatment By Controlling For Too Many Factors***by*Wooldridge, Jeffrey M.

### August 2005, Volume 21, Issue 04

**667-709 Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification***by*Guggenberger, Patrik & Smith, Richard J.**710-734 Valid Edgeworth Expansions For The Whittle Maximum Likelihood Estimator For Stationary Long-Memory Gaussian Time Series***by*Andrews, Donald W.K. & Lieberman, Offer**735-756 Estimation Of Cointegrating Vectors With Time Series Measured At Different Periodicity***by*Pons, Gabriel & Sans , Andreu**757-794 Stationarity Tests For Irregularly Spaced Observations And The Effects Of Sampling Frequency On Power***by*Busetti, Fabio & Taylor, A.M. Robert**795-837 Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration***by*Binder, Michael & Hsiao, Cheng & Pesaran, M. Hashem**838-863 Some Convergence Theory For Iterative Estimation Procedures With An Application To Semiparametric Estimation***by*Dominitz, Jeff & Sherman, Robert P.**865-869 Instrumental Variables Estimation With Panel Data***by*Wooldridge, Jeffrey M.**870-875 Equivalence Of Two Expressions Of The Impact Matrix***by*Kurozumi, Eiji & Chigira, Hiroaki & Yamamoto, Taku

### June 2005, Volume 21, Issue 03

**491-533 Frisch'S Econometric Laboratory And The Rise Of Trygve Haavelmo'S Probability Approach***by*Bjerkholt, Olav**534-561 Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms***by*Nielsen, Bent**562-592 The Variance Ratio Test: An Analysis Of Size And Power Based On A Continuous-Time Asymptotic Framework***by*Perron, Pierre & Vodounou, Cosme**593-620 A Monte Carlo Study On The Selection Of Cointegrating Rank Using Information Criteria***by*Wang, Zijun & Bessler, David A.**621-645 The Et Interview: Professor Jan Kmenta***by*Lodewijks, John**647-652 Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon, Oxford University Press, 2004***by*Startz, Richard**653-658 A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables***by*Johansen, S ren & L tkepohl, Helmut**659-663 Three Rank Formulas Associated With The Covariance Matrices Of The Blue And The Olse In The General Linear Model***by*Puntanen, Simo & Styan, George P.H. & Tian, Yongge**665-666 Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes Solution***by*Paruolo, Paolo

### April 2005, Volume 21, Issue 02

**299-325 The Rank Of A Submatrix Of Cointegration***by*Kurozumi, Eiji**326-357 Bayesian Reference Analysis Of Cointegration***by*Villani, Mattias**358-389 Nonparametric Frontier Estimation: A Conditional Quantile-Based Approach***by*Aragon, Y. & Daouia, A. & Thomas-Agnan, C.**390-412 Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data***by*Bouezmarni, Taoufik & Scaillet, Olivier**413-430 Further Results On The Asymptotics For Nonlinear Transformations Of Integrated Time Series***by*de Jong, Robert & Wang, Chien-Ho**431-454 On Plug-In Estimation Of Long Memory Models***by*Lieberman, Offer**455-469 Time-Invariant Regressor In Nonlinear Panel Model With Fixed Effects***by*Hahn, Jinyong & Meinecke, Juergen**472-476 An Alternative To Maximum Likelihood Based On Spacings***by*Anatolyev, Stanislav & Kosenok, Grigory**477-482 The Mean-Median-Mode Inequality: Counterexamples***by*Abadir, Karim M.**483-484 Solutions to Problems Posed in Volume 20(1) and 20(2): 04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares Solution***by*Baltagi, B.H.**485-487 Solutions to Problems Posed in Volume 20(1) and 20(2): 04.2.1. A Range Equality for Block Matrices with Orthogonal Projectors Solution***by*Werner, Hans Joachim**487-488 Solutions to Problems Posed in Volume 20(1) and 20(2): 04.2.2. Characterizations of Hermitian Projectors***by*Lauwers, Luc**489-489 The Econometric Theory Awards 2005***by*Phillips, Peter C. B.

### February 2005, Volume 21, Issue 01

**1-2 AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary***by*Phillips, Peter C.B.**3-20 Automated Discovery In Econometrics***by*Phillips, Peter C.B.**21-59 Model Selection And Inference: Facts And Fiction***by*Leeb, Hannes & P tscher, Benedikt M.**60-68 Challenges For Econometric Model Selection***by*Hansen, Bruce E.**69-77 Automatic Inference Of The Contemporaneous Causal Order Of A System Of Equations***by*Hoover, Kevin D.**78-84 Automated Inference And The Future Of Econometrics: A Comment***by*Paruolo, Paolo**85-115 Automatic Inference For Infinite Order Vector Autoregressions***by*Kuersteiner, Guido M.**116-142 Hac Estimation By Automated Regression***by*Phillips, Peter C.B.**143-157 Nonparametric Inference For Unbalanced Time Series Data***by*Linton, Oliver**158-170 Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation***by*Smith, Richard J.**171-180 Robust Covariance Matrix Estimation: Hac Estimates With Long Memory/Antipersistence Correction***by*Robinson, P.M.**181-211 Estimating Linear Dynamical Systems Using Subspace Methods***by*Bauer, Dietmar**212-231 Real-Time Econometrics***by*Pesaran, Hashem & Timmermann, Allan**232-261 Automated Inference And Learning In Modeling Financial Volatility***by*McAleer, Michael**262-277 A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets***by*Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert**278-297 A Dialogue Concerning A New Instrument For Econometric Modeling***by*Granger, Clive W.J. & Hendry, David F.**298-298 COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY***by*Granger, Clive W.J.

### December 2004, Volume 20, Issue 06

**995-1045 Weak Dependence: Models And Applications To Econometrics***by*Nze, Patrick Ango & Doukhan, Paul**1046-1093 Nonparametric Regression In The Presence Of Measurement Error***by*Schennach, Susanne M.**1094-1139 The Live Method For Generalized Additive Volatility Models***by*Kim, Woocheol & Linton, Oliver**1140-1167 SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS***by*Berkes, Istv n & Gombay, Edit & Horv th, Lajos & Kokoszka, Piotr**1168-1202 Testing For Structural Change In The Presence Of Auxiliary Models***by*Ghysels, Eric & Guay, Alain**1203-1226 Asymptotic Inference For Nonstationary Garch***by*Jensen, S ren Tolver & Rahbek, Anders**1227-1260 Estimation Of The Long-Run Average Relationship In Nonstationary Panel Time Series***by*Sun, Yixiao**1261-1263 03.6.1 The Central Limit Theorem for Student's Distribution Solution***by*Abadir, Karim & Magnus, Jan**1263-1264 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors Solution***by*Jansson, Michael

### October 2004, Volume 20, Issue 05

**813-843 Instrumental Variable Estimation Of A Threshold Model***by*Caner, Mehmet & Hansen, Bruce E.**844-882 Adaptive Testing In Continuous-Time Diffusion Models***by*Gao, Jiti & King, Maxwell**883-890 Nonparametric Identification Of Latent Competing Risks Models***by*Colby, Gordana & Rilstone, Paul**891-903 On The Asymptotic Distribution Of Impulse Response Functions With Long-Run Restrictions***by*Vlaar, Peter J.G.**904-926 An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure***by*He, Changli & Ter svirta, Timo**927-942 Estimating The Skewness In Discretely Observed L Vy Processes***by*Woerner, Jeannette H.C.**943-962 A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS***by*Sun, Yixiao**963-987 Transformations For Multivariate Statistics***by*Marsh, Patrick**989-989 03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation Solution***by*Baltagi, Badi H.**990-993 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution***by*Kristensen, Dennis & Linton, Oliver

### August 2004, Volume 20, Issue 04

**643-644 NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES***by*Paruolo, Paolo & Phillips, Peter C.B.**645-670 Asymptotic Distributions For Regression-Based Seasonal Unit Root Test Statistics In A Near-Integrated Model***by*Rodrigues, Paulo M.M. & Taylor, A.M. Robert**671-689 A Simple Test Of Normality For Time Series***by*Lobato, Ignacio N. & Velasco, Carlos**690-700 ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS***by*Qin, Huaizhen & Wan, Alan T.K.**701-734 A Nonparametric Simulated Maximum Likelihood Estimation Method***by*Fermanian, Jean-David & Salani , Bernard**735-742 The Asymptotic Distribution Of The Cointegration Rank Estimator Under The Akaike Information Criterion***by*Kapetanios, George**743-804 THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson***by*Ericsson, Neil R.**805-807 03.3.1. Normal's Deconvolution and the Independence of Sample Mean and Variance Solution***by*Abadir, Karim M. & Magnus, Jan R.**808-810 03.3.2. The Asymptotic Distribution of the Dickey Solution***by*Cavaliere, Giuseppe

### June 2004, Volume 20, Issue 03

**437-463 Average Derivatives For Hazard Functions***by*G rgens, Tue**464-484 Expansions For The Distribution Of The Maximum Likelihood Estimator Of The Fractional Difference Parameter***by*Lieberman, Offer & Phillips, Peter C.B.**485-512 Regression Model Fitting With A Long Memory Covariate Process***by*Koul, Hira L. & Baillie, Richard T. & Surgailis, Donatas**513-534 Efficient Method Of Moments In Misspecified I.I.D. Models***by*Aguirre-Torres, V ctor & Toribio, Manuel Dom nguez**535-562 The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions***by*Sancetta, Alessio & Satchell, Stephen**563-596 Simultaneously Modeling Conditional Heteroskedasticity And Scale Change***by*Feng, Yuanhua**597-625 Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis***by*Pedroni, Peter**627-635 Addendum To***by*de Jong, Robert M.**636-637 A Note On The Paper By H.J. Bierens:***by*D az-Emparanza, Ignacio**639-640 04.3.1 An I(2) Model for VAR(1) Processes***by*Paruolo, Paolo**641-641 The Econometric Theory Awards 2004***by*Phillips, Peter C. B.

### April 2004, Volume 20, Issue 02

**231-264 Empirical Likelihood Based Inference With Applications To Some Econometric Models***by*Bravo, Francesco**265-300 Bootstrap Inference In Semiparametric Generalized Additive Models***by*H rdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan**301-340 Cointegrating Smooth Transition Regressions***by*Saikkonen, Pentti & Choi, In**341-359 On The Robustness Of Hypothesis Testing Based On Fully Modified Vector Autoregression When Some Roots Are Almost One***by*Kauppi, Heikki**360-381 Robust Tests Of The Unit Root Hypothesis Should Not Be***by*Thompson, Samuel B.**382-416 A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models***by*Chen, Willa W. & Deo, Rohit S.**417-426 Issues Concerning The Approximation Underlying The Spectral Representation Theorem***by*Lippi, Marco**427-427 04.2.1. A Range Equality for Block Matrices with Orthogonal Projectors***by*Tian, Yongge**427-427 04.2.2. Characterizations of Hermitian Projectors***by*Dhaene, Geert & Lauwers, Luc**428-429 03.2.1. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model Solution***by*Wooldridge, Jeffrey M.**431-435 NZESG CELEBRATES PROFESSOR CLIVE GRANGER'S NOBEL AWARD: Report of the 12th New Zealand Econometrics Study Group meeting Wellington, New Zealand 17 18 October 2003***by*Hall, Viv & Han, Chirok & Plantier, Christopher & Thomson, Peter

### February 2004, Volume 20, Issue 01

**1-22 Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem***by*P tscher, Benedikt M.**23-55 Optimal Versus Robust Inference In Nearly Integrated Non-Gaussian Models***by*Thompson, Samuel B.**56-94 Stationarity Testing With Covariates***by*Jansson, Michael**95-115 On Tests For Double Differencing: Methods Of Demeaning And Detrending And The Role Of Initial Values***by*Rodrigues, Paulo M.M. & Taylor, A.M. Robert**116-146 Efficient Likelihood Inference In Nonstationary Univariate Models***by*Nielsen, Morten rregaard**147-160 STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS***by*Zaffaroni, Paolo**161-175 The Diffusion Limit Of A Tvp-Gqarch-M(1,1) Model***by*Arvanitis, Stelios**176-222 Combining Forecasting Procedures: Some Theoretical Results***by*Yang, Yuhong**223-224 04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares***by*Baltagi, Badi H.**224-224 Correcting for Heteroskedasticity of Unspecified Form***by*Wansbeek, Tom**225-226 03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function Solution***by*Sapra, S.K.**227-227 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution***by*Dhaene, G.**228-229 03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution***by*Carrasco, Marine

### December 2003, Volume 19, Issue 06

**885-922 Ar(1) Models, Unit Roots, And Adjusted Profile Likelihood***by*Pere, Pekka**923-943 Generalized Empirical Likelihood Based Model Selection Criteria For Moment Condition Models***by*Hong, Han & Preston, Bruce & Shum, Matthew**944-961 The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap***by*Inoue, Atsushi & Kilian, Lutz**962-983 Covariance Matrix Estimation And The Limiting Behavior Of The Overidentifying Restrictions Test In The Presence Of Neglected Structural Instability***by*Hall, Alastair R. & Inoue, Atsushi & Peixe, Fernanda P.M.**984-1007 Higher Order Asymptotic Theory For Minimum Contrast Estimators Of Spectral Parameters Of Stationary Processes***by*Taniguchi, Masanobu & van Garderen, Kees Jan & Puri, Madan L.**1008-1039 Semiparametric Estimation Of Separable Models With Possibly Limited Dependent Variables***by*Rodr guez-P o, Juan M. & Sperlich, Stefan & Vieu, Philippe**1040-1064 Semiparametric Estimation Of A Heteroskedastic Sample Selection Model***by*Chen, Songnian & Khan, Shakeeb**1065-1121 Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models***by*Hong, Yongmiao & Lee, Tae-Hwy**1123-1127 An Equivalence Result For Vc Classes Of Sets***by*Joslin, Scott & Sherman, Robert P.**1128-1143 Critical Values And P Values Of Bessel Process Distributions: Computation And Application To Structural Break Tests***by*Estrella, Arturo**1159-1193 The Et Interview: Professor Robert F. Engle, January 2003***by*Diebold, Francis X.**1195-1195 03.6.1. The Central Limit Theorem for Student's Distribution***by*Abadir, Karim & Magnus, Jan**1195-1195 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors***by*Jansson, Michael**1195-1196 02.6.1. Oblique ProjectorsSolution***by*Trenkler, Gtz**1196-1197 02.6.1. Oblique ProjectorsSolution***by*Werner, Hans Joachim**1197-1198 02.6.2. Autoregression and Redundant InstrumentsSolution***by*Anatolyev, Stanislav**1199-1200 The A.R. Bergstrom Prize In Econometrics: 2003***by*Hall, V.B. & Phillips, P.C.B.**1201-1202 The 2000 2002 Tjalling C. Koopmans Econometric Theory Prize***by*Phillips, Peter C.B.

### October 2003, Volume 19, Issue 05

**707-743 Conditional Inference For Possibly Unidentified Structural Equations***by*Forchini, Giovanni & Hillier, Grant**744-753 Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic***by*Bekker, Paul & Kleibergen, Frank**754-777 Bias Reduction In Nonparametric Diffusion Coefficient Estimation***by*Nicolau, Joo**778-811 Density Functionals, With An Option-Pricing Application***by*Abadir, Karim M. & Rockinger, Michael**812-828 Identifiability Of Recurrent Neural Networks***by*Al-Falou, A.A. & Trummer, D.**829-864 Some Limit Theory For Autocovariances Whose Order Depends On Sample Size***by*Harris, David & McCabe, Brendan & Leybourne, Stephen**865-877 The Dickeyfuller Test For Exponential Random Walks***by*Davies, P.L. & Krmer, W.**879-879 03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation***by*Baltagi, Badi H.**879-880 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation***by*Kristensen, Dennis & Linton, Oliver**880-881 02.5.1. A Mixingale Inequality Using an Exponential Moment***by*de Jong, Robert M.**882-883 02.5.2. Durbin Watson Statistic and Random Individual Effects***by*Anatolyev, Stanislav

### August 2003, Volume 19, Issue 04

**515-540 Asymptotics For Garch Squared Residual Correlations***by*Berkes, Istv n & Horv th, Lajos & Kokoszka, Piotr**541-564 Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors***by*Ling, Shiqing & Li, W.K.**565-586 Estimation Of The Maximal Moment Exponent Of A Garch(1,1) Sequence***by*Berkes, Istv n & Horv th, Lajos & Kokoszka, Piotr**587-601 Asymptotic Estimation Of The E-Gini Index***by*Zitikis, Ricardas**602-609 The Form Of The Optimal Nonlinear Instrument For Multiperiod Conditional Moment Restrictions***by*Anatolyev, Stanislav**610-619 On The Construction Of Bounds Confidence Regions***by*Kemp, Gordon C.R.**620-639 Inference On Segmented Cointegration***by*Kim, Jae-Young**640-663 Nonparametric Estimation Of Homogeneous Functions***by*Tripathi, Gautam & Kim, Woocheol**665-674 ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000***by*Maynard, Alex**675-685 CAUSALITY: MODELS, REASONING, AND INFERENCE, by Judea Pearl, Cambridge University Press, 2000***by*Neuberg, Leland Gerson**686-689 Comments On Neuberg'S Review Of Causality***by*Pearl, Judea**691-691 03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance***by*Abadir, Karim M. & Magnus, Jan R.**691-692 03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint***by*Cavaliere, Giuseppe**692-701 02.3.1. Regression with an Evaporating Logarithmic Trend Solution***by*Phillips, Peter C.B. & Sun, Yixiao**701-703 02.3.2. Badly Weighted Least Squares Solution***by*Wiens, Douglas P.**703-704 02.4.1. On Hadamard Product of Square Roots of Correlation Matrices Solution***by*Liu, Shuangzhe**704-705 02.4.2. On the Rank of a Matrix Useful in Goodness-of-Fit Testing of Structural Equation Models Solution***by*Puntanen, Simo & Styan, George P.H. & Werner, Hans Joachim

### June 2003, Volume 19, Issue 03

**417-422 In Memory Of John Denis Sargan***by*Phillips, Peter C.B.**423-428 CURRENT PROBLEMS IN ECONOMETRICS A PERSONAL VIEW: Address on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa of the University Carlos III, 2 February 1993***by*Sargan, John Denis**429-438 The Development Of Econometrics At Lse In The Last 30 Years***by*Sargan, John Denis**439-450 LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993***by*Espasa, Antoni**457-480 J. Denis Sargan And The Origins Of Lse Econometric Methodology***by*Hendry, David F.**481-494 Denis Sargan: Some Perspectives***by*Robinson, P.M.**495-511 Vision And Influence In Econometrics: John Denis Sargan***by*Phillips, Peter C.B.

### April 2003, Volume 19, Issue 02

**231-239 On The Asymptotic Power Of The Variance Ratio Test***by*Deo, Rohit S. & Richardson, Matthew**240-253 Power Functions And Envelopes For Unit Root Tests***by*Juhl, Ted & Xiao, Zhijie**254-279 Multistep Prediction In Autoregressive Processes***by*Ing, Ching-Kang**280-310 Asymptotic Theory For A Vector Arma-Garch Model***by*Ling, Shiqing & McAleer, Michael**311-321 On The Asymptotic Properties Of Some Seasonal Unit Root Tests***by*Taylor, A.M. Robert**322-330 Detecting Lack Of Identification In Gmm***by*Wright, Jonathan H.**331-400 THE ET INTERVIEW: PROFESSOR C.R. RAO: Interviewed by Anil K. Bera University of Illinois at Urbana-Champaign***by*Bera, Anil K.**401-409 FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001***by*Schorfheide, Frank**411-412 03.2.1. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model***by*Wooldridge, Jeffrey M.**412-413 01.2.1. ARMA Representation of Squared Markov Switching Heteroskedastic Models Solution***by*Distaso, Walter

### February 2003, Volume 19, Issue 01

**1-31 Efficient Semiparametric Estimation Of A Partially Linear Quantile Regression Model***by*Lee, Sokbae**32-48 A Note On The Power Of Bootstrap Unit Root Tests***by*Swensen, Anders Rygh**49-77 The Asymptotic Efficiency Of Cointegration Estimators Under Temporal Aggregation***by*Chambers, Marcus J.**78-99 The Rise And Fall Of Extraneous Estimation: Lessons From Econometric History?***by*Buse, A.**100-142 The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations***by*Leeb, Hannes & P tscher, Benedikt M.**143-164 Asymptotics For General Fractionally Integrated Processes With Applications To Unit Root Tests***by*Wang, Qiying & Lin, Yan-Xia & Gulati, Chandra M.**165-224 Worldwide Institutional And Individual Rankings In Econometrics Over The Period 1989 1999: An Update***by*Baltagi, Badi H.**225-225 03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function***by*Sapra, S.K.**225-226 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression***by*Anatolyev, Stanislav**226-227 02.1.1. LS and BLUE Are Algebraically Identical Solution***by*Farebrother, Richard William**227-228 02.1.2. A Particular Symmetric Idempotent Matrix Solution***by*Styan, George P.H. & Werner, Hans Joachim

### December 2002, Volume 18, Issue 06

**1291-1308 Testing For Long Memory In Volatility***by*Hurvich, Clifford M. & Soulier, Philippe**1309-1335 Regression Theory For Nearly Cointegrated Time Series***by*Jansson, Michael & Haldrup, Niels**1336-1349 On The Properties Of Some Tests For Common Stochastic Trends***by*Breitung, J rg & Trenkler, Carsten**1350-1366 Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size***by*Kiefer, Nicholas M. & Vogelsang, Timothy J.**1367-1384 The Bootstrap Of The Mean For Dependent Heterogeneous Arrays***by*Gon alves, S lvia & White, Halbert**1385-1407 Minimum Distance Estimation Of Nonstationary Time Series Models***by*Moon, Hyungsik Roger & Schorfheide, Frank**1408-1448 Non- And Semiparametric Identification Of Seasonal Nonlinear Autoregression Models***by*Yang, Lijian & Tschernig, Rolf**1449-1459 Consistent Covariance Matrix Estimation For Linear Processes***by*Jansson, Michael

### October 2002, Volume 18, Issue 05

**1019-1039 Robust Inference For The Mean In The Presence Of Serial Correlation And Heavy-Tailed Distributions***by*McElroy, Tucker & Politis, Dimitris N.**1040-1085 EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS***by*Andrews, Donald W.K.**1086-1098 Pmse Performance Of The Biased Estimators In A Linear Regression Model When Relevant Regressors Are Omitted***by*Namba, Akio**1099-1120 Rank Estimators For A Transformation Model***by*Asparouhova, Elena & Golanski, Robert & Kasprzyk, Krzysztof & Sherman, Robert P. & Asparouhov, Tihomir**1121-1138 Asymptotic Efficiency Of The Ordinary Least Squares Estimator For Regressions With Unstable Regressors***by*Shin, Dong Wan & Oh, Man Suk**1139-1171 Optimal Minimax Rates For Nonparametric Specification Testing In Regression Models***by*Guerre, Emmanuel & Lavergne, Pascal**1172-1196 Asymptotic Theory For Some High Breakdown Point Estimators***by*Zinde-Walsh, Victoria**1197-1220 The Limiting Properties Of The Canova And Hansen Test Under Local Alternatives***by*Kurozumi, Eiji

### August 2002, Volume 18, Issue 04

**823-852 The Exact Cumulative Distribution Function Of A Ratio Of Quadratic Forms In Normal Variables, With Application To The Ar(1) Model***by*Forchini, G.**853-867 Optimal Similar Tests For Structural Change For The Linear Regression Model***by*Forchini, G.**868-885 Moment Structure Of A Family Of First-Order Exponential Garch Models***by*He, Changli & Ter svirta, Timo & Malmsten, Hans**886-912 Estimation In An Additive Model When The Components Are Linked Parametrically***by*Carroll, Raymond J. & H rdle, Wolfgang & Mammen, Enno**913-925 On Variable Selection In Linear Regression***by*Kabaila, Paul**926-947 Selecting The Rank Of The Cointegration Space And The Form Of The Intercept Using An Information Criterion***by*Aznar, Antonio & Salvador, Manuel**948-961 Kernel And Bandwidth Selection, Prewhitening, And The Performance Of The Fully Modified Least Squares Estimation Method***by*Christou, Christina & Pittis, Nikitas**962-984 ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS***by*Andrews, Donald W.K. & Buchinsky, Moshe**985-991 Nonparametric Estimation Of Volatility Functions: The Local Exponential Estimator***by*Ziegelmann, Flavio A.**993-999 Asymptotic Theory Of Statistical Inference For Time Series***by*Lieberman, Offer**1000-1006 Econometrics***by*Choi, In

### June 2002, Volume 18, Issue 03

**547-583 Efficient Iv Estimation For Autoregressive Models With Conditional Heteroskedasticity***by*Kuersteiner, Guido M.**584-624 Prediction And Signal Extraction Of Strongly Dependent Processes In The Frequency Domain***by*Hidalgo, J. & Yajima, Y.**625-645 Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors***by*Li, Qi & Wooldridge, Jeffrey M.**646-672 Instrumental Variable Interpretation Of Cointegration With Inference Results For Fractional Cointegration***by*Marmol, Francesc & Escribano, Alvaro & Aparicio, Felipe M.**673-690 Asymptotic Inference On The Moving Average Impact Matrix In Cointegrated I (2) Var Systems***by*Paruolo, Paolo**691-721 Empirical Characteristic Function In Time Series Estimation***by*Knight, John L. & Yu, Jun**722-729 NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS***by*Ling, Shiqing & McAleer, Michael**730-743 Testing For Zero Autocorrelation In The Presence Of Statistical Dependence***by*Lobato, I.N. & Nankervis, John C. & Savin, N.E.**744-775 Structural Changes And Seemingly Unidentified Structural Equations***by*Choi, In**776-799 Two-Step Gmm Estimation Of The Errors-In-Variables Model Using High-Order Moments***by*Erickson, Timothy & Whited, Toni M.**800-814 A Note On Least Absolute Deviation Estimation Of A Threshold Model***by*Caner, Mehmet**815-818 Comments On The Paper By Minxian Yang:***by*Francq, Christian & Zako an, Jean-Michel

### April 2002, Volume 18, Issue 02

**197-251 Nonparametric Estimation And Testing Of Interaction In Additive Models***by*Sperlich, Stefan & Tj stheim, Dag & Yang, Lijian**252-277 Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models***by*Lee, Lung-Fei**278-296 A Unified Approach To The Measurement Error Problem In Time Series Models***by*Tanaka, Katsuto**297-312 Asymptotic Robustness In Multiple Group Linear-Latent Variable Models***by*Satorra, Albert**313-348 Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time***by*Saikkonen, Pentti & L tkepohl, Helmut**349-386 Robust Estimation Of Structural Break Points***by*Fiteni, Inmaculada**387-419 Modeling Cyclical Behavior With Differential-Difference Equations In An Unobserved Components Framework***by*Chambers, Marcus J. & McGarry, Joanne S.**420-468 Nonparametric Estimation With Aggregated Data***by*Linton, Oliver & Whang, Yoon-Jae**469-490 An Invariance Principle For Sieve Bootstrap In Time Series***by*Park, Joon Y.**491-504 THE PROPERTIES OF Lp-GMM ESTIMATORS***by*de Jong, Robert & Han, Chirok**505-524 Testing Linear Restrictions On Cointegrating Vectors: Sizes And Powers Of Wald And Likelihood Ratio Tests In Finite Samples***by*Haug, Alfred A.**525-530 On A Partitioned Inversion Formula Having Useful Applications In Econometrics***by*Faliva, Mario & Zoia, Maria Grazia**531-539 Partial Redundancy Of Moment Conditions***by*Qian, Hailong

### February 2002, Volume 18, Issue 01

**1-16 ON STATIONARITY IN THE ARCH([infty infinity]) MODEL***by*Kazakevicius, Vytautas & Leipus, Remigijus**17-39 Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models***by*Carrasco, Marine & Chen, Xiaohong**40-50 On Intercept Estimation In The Sample Selection Model***by*Schafgans, Marcia M.A. & Zinde-Walsh, Victoria**51-78 Sample Means, Sample Autocovariances, And Linear Regression Of Stationary Multivariate Long Memory Processes***by*Chung, Ching-Fan**79-98 On The Jackknife-After-Bootstrap Method For Dependent Data And Its Consistency Properties***by*Lahiri, S.N.**99-118 Stationary Processes That Look Like Random Walks The Bounded Random Walk Process In Discrete And Continuous Time***by*Nicolau, Jo o**119-139 The Invariance Principle For Linear Processes With Applications***by*Wang, Qiying & Lin, Yan-Xia & Gulati, Chandra M.**140-168 Optimal Inference With Many Instruments***by*Hahn, Jinyong**169-192 Regression Quantiles For Time Series***by*Cai, Zongwu**195-195 The 2002 Econometric Theory Awards***by*Phillips, Peter C. B.

### December 2001, Volume 17, Issue 06

**1037-1050 ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY***by*Linton, Oliver**1051-1081 One-Sided Testing For Arch Effects Using Wavelets***by*Hong, Yongmiao & Lee, Jin**1082-1112 Likelihood-Based Inference In Trending Time Series With A Root Near Unity***by*Xiao, Zhijie**1113-1141 The Generalized Dynamic Factor Model: Representation Theory***by*Forni, Mario & Lippi, Marco**1143-1155 Independence Of Double Wiener Integrals***by*Nabeya, Seiji**1161-1163 Econometric Society Intensive Workshop For Young Scholars***by*Oxley, Les & Phillips, Peter C. B.

### October 2001, Volume 17, Issue 05

**863-888 Conditional Moment Restrictions In Censored And Truncated Regression Models***by*Newey, Whitney K.**889-912 Identification And Dichotomization Of Long- And Short-Run Relations Of Cointegrated Vector Autoregressive Models***by*Hsiao, Cheng**913-932 The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects***by*Hahn, Jinyong**933-961 Interpolation, Quadrature, And Stochastic Integration***by*Lee, Lung-fei**962-983 Complex Unit Roots And Business Cycles: Are They Real?***by*Bierens, Herman J.**984-1024 Second-Order Approximation For Adaptive Regression Estimators***by*Linton, Oliver & Xiao, Zhijie

### August 2001, Volume 17, Issue 04

**671-685 The Variance Of An Integrated Process Need Not Diverge To Infinity, And Related Results On Partial Sums Of Stationary Processes***by*Leeb, Hannes & P tscher, Benedikt M.**686-710 On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models***by*Deo, Rohit S. & Hurvich, Clifford M.**711-737 APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS***by*Nabeya, Seiji**738-764 Asymptotic Inference For Nonstationary Fractionally Integrated Autoregressive Moving-Average Models***by*Ling, Shiqing & Li, W.K.**765-784 Asymptotically Efficient Median Regression In The Presence Of Heteroskedasticity Of Unknown Form***by*Zhao, Quanshui**785-819 Estimation Of Excess Returns From Derivative Prices And Testing For Risk Neutral Pricing***by*Pandher, Gurupdesh S.**820-852 Least Absolute Deviations Regression Under Nonstandard Conditions***by*Rogers, Alan J.

### June 2001, Volume 17, Issue 03

**497-539 Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean***by*Velasco, Carlos & Robinson, Peter M.**540-566 A Markovian Local Resampling Scheme For Nonparametric Estimators In Time Series Analysis***by*Paparoditis, Efstathios & Politis, Dimitris N.**567-590 Semiparametric Estimation Of A Partially Linear Censored Regression Model***by*Chen, Songnian & Khan, Shakeeb**591-607 Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems***by*Chambers, Marcus J.**608-631 Whittle Estimation Of Arch Models***by*Giraitis, Liudas & Robinson, Peter M.**633-668 The Et Interview: Professor Joseph B. Kadane***by*Chan, Ngai Hang

### April 2001, Volume 17, Issue 02

**283-295 LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS***by*Horv th, Lajos & Kokoszka, Piotr**296-326 Consistent Estimation In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations***by*Saikkonen, Pentti**327-356 Statistical Inference In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations***by*Saikkonen, Pentti**357-385 Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree***by*Nabeya, Seiji**386-423 Testing For Serial Correlation Of Unknown Form Using Wavelet Methods***by*Lee, Jin & Hong, Yongmiao**424-450 The Error Term In The History Of Time Series Econometrics***by*Qin, Duo & Gilbert, Christopher L.**451-470 Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples***by*Wooldridge, Jeffrey M.**471-474 An Integral Inequality On C([0,1]) And Dispersion Of Ols Under Near-Integration***by*Bailey, Ralph W. & Burridge, Peter & Nandeibam, Shasikanta**475-482 A Note On Bayesian Inference In Asset Pricing***by*Knight, J.L. & Satchell, S.E.

### February 2001, Volume 17, Issue 01

**1-28 THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE***by*Hillier, Grant**29-69 How To Estimate Autoregressive Roots Near Unity***by*Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie**70-86 Near Seasonal Integration***by*Rodrigues, Paulo M.M.**87-155 Structural Change In Ar(1) Models***by*Chong, Terence Tai-Leung**156-187 Testing For Distributional Change In Time Series***by*Inoue, Atsushi**188-221 A Consistent Test For Conditional Heteroskedasticity In Time-Series Regression Models***by*Hsiao, Cheng & Li, Qi**222-246 The Joint Moment Generating Function Of Quadratic Forms In Multivariate Autoregressive Series***by*Abadir, Karim M. & Larsson, Rolf**247-256 On The Range Of Correlation Coefficients Of Bivariate Ordered Discrete Random Variables***by*Lee, Lung-fei**257-275 Valid Edgeworth Expansion For The Sample Autocorrelation Function Under Long Range Dependence***by*Lieberman, Offer & Rousseau, Judith & Zucker, David M.

### December 2000, Volume 16, Issue 06

**797-834 Generalization Of Gmm To A Continuum Of Moment Conditions***by*Carrasco, Marine & Florens, Jean-Pierre**835-854 Monitoring Structural Changes With The Generalized Fluctuation Test***by*Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming**855-877 The Fdh Estimator For Productivity Efficiency Scores***by*Park, B.U. & Simar, L. & Weiner, Ch.**878-904 Mixed Normality And Ancillarity In I(2) Systems***by*Boswijk, H. Peter**905-926 Vector Autoregressions With Unknown Mixtures Of I(0), I(1), And I(2) Components***by*Chang, Yoosoon**927-997 Estimation Of Autoregressive Roots Near Unity Using Panel Data***by*Moon, Hyungsik R. & Phillips, Peter C.B.**998-1015 Deriving The Exact Discrete Analog Of A Continuous Time System***by*McCrorie, J. Roderick**1016-1041 Consistent Model Specification Tests***by*Fan, Yanqin & Li, Qi

### October 2000, Volume 16, Issue 05

**621-642 The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I***by*de Jong, Robert M. & Davidson, James**643-666 The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals Ii***by*Davidson, James & de Jong, Robert M.**667-691 A Consistent Test Of Conditional Parametric Distributions***by*Zheng, John Xu**692-728 Estimating Weak Garch Representations***by*Francq, Christian & Zako an, Jean-Michel**729-739 Local Semiparametric Efficiency Bounds Under Shape Restrictions***by*Tripathi, Gautam**740-778 A Bartlett Correction Factor For Tests On The Cointegrating Relations***by*Johansen, S ren**779-789 BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS***by*Leybourne, Stephen J. & Newbold, Paul

### August 2000, Volume 16, Issue 04

**465-501 Nonparametric Estimation Of Additive Nonlinear Arx Time Series: Local Linear Fitting And Projections***by*Cai, Zongwu & Masry, Elias**502-523 Efficient Estimation Of Generalized Additive Nonparametric Regression Models***by*Linton, Oliver B.**524-550 Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems***by*Paruolo, Paolo**551-575 Semiparametric Estimation Of Multiple Equation Models***by*Picone, Gabriel A. & Butler, J.S.**576-601 Nonparametric Significance Testing***by*Lavergne, Pascal & Vuong, Quang**603-609 Identification Of The Binary Choice Model With Misclassification***by*Lewbel, Arthur**611-617 Semiparametric Methods In Econometrics***by*Li, Qi

### June 2000, Volume 16, Issue 03

**301-323 Linearization Of Randomly Weighted Empiricals Under Long Range Dependence With Applications To Nonlinear Regression Quantiles***by*Mukherjee, Kanchan**324-346 Estimating Trending Variables In The Presence Of Fractionally Integrated Errors***by*Tsay, Wen-Jen**347-372 The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties***by*Hwang, Soosung**373-406 Testing For The Cointegrating Rank Of A Var Process With An Intercept***by*Saikkonen, Pentti & L tkepohl, Helmut**407-439 The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified***by*Zivot, Eric**441-450 Forecasting Economic Time Series***by*Schorfheide, Frank

### April 2000, Volume 16, Issue 02

**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**283-285 Meeting Of The New Zealand Econometric Study Group (Nzesg)***by*Oxley, Les & Phillips, Peter C.B.

### February 2000, Volume 16, Issue 01

**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*Fern ndez, Carmen & Steel, Mark F.J.**102-111 Cointegration And Distance Between Information Sets***by*Triacca, Umberto**113-125 The Et Interview: Professor Olav Reiers L***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 06

**789-813 Approximation Of The Asymptotic Distribution Of The Log Likelihood Ratio Test For Cointegration***by*Larsson, Rolf**814-823 Unequally Spaced Panel Data Regressions With Ar(1) Disturbances***by*Baltagi, Badi H. & Wu, Ping X.**824-846 FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS***by*He, Changli & Ter svirta, Timo**847-866 Asymptotic Theory For The Durbin Watson Statistic Under Long-Memory Dependence***by*Nakamura, Shisei & Taniguchi, Masanobu**867-900 The Et Interview: Professor James Tobin***by*Shiller, Robert J.

### October 1999, Volume 15, Issue 05

**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, lvaro A.**753-776 Et Interview: Professor G.S. Maddala***by*Lahiri, Kajal

### August 1999, Volume 15, Issue 04

**435-468 Multivariate Time Series With Various Hidden Unit Roots, Part I***by*Gregoir, St phane**469-518 Multivariate Time Series With Various Hidden Unit Roots, Part Ii***by*Gregoir, St phane**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**639-641 Obituary***by*Lahiri, Kajal & Phillips, Peter C.B.

### June 1999, Volume 15, Issue 03

**269-298 Asymptotics For Nonlinear Transformations Of Integrated Time Series***by*Park, Joon Y. & Phillips, Peter C.B.**299-336 Long And Short Memory Conditional Heteroskedasticity In Estimating The Memory Parameter Of Levels***by*Robinson, P.M. & Henry, M.**337-360 Statistical Inference With Simulated Likelihood Functions***by*Lee, Lung-fei**361-376 The Size Distortion Of Bootstrap Tests***by*Davidson, Russell & MacKinnon, James G.**377-387 Improved Estimation Of The Expected Kullback Leibler Discrepancy In Case Of Misspecification***by*Reschenhofer, Erhard**389-424 The Et Interview: Professor George C. Tiao***by*Chan, Ngai Hang

### April 1999, Volume 15, Issue 02

**165-176 Cauchy Estimators For Autoregressive Processes With Applications To Unit Root Tests And Confidence Intervals***by*So, Beong Soo & Shin, Dong Wan**177-183 Testing For Zero Autocorrelation When The Innovations Belong To The Normal Domain Of Attraction Of A Cauchy Law***by*Runde, Ralf**184-217 ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES***by*van der Meer, Tjacco & Pap, Gyula & van Zuijlen, Martien C.A.**218-227 A Correction Factor For Unit Root Test Statistics***by*Bravo, Francesco**228-237 A General Method To Estimate Correlated Discrete Random Variables***by*van Ophem, Hans**238-256 The Behavior Of Forecast Errors From A Nearly Integrated Ar(1) Model As Both Sample Size And Forecast Horizon Become Large***by*Kemp, Gordon C.R.

### February 1999, Volume 15, Issue 01

**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 & L tkepohl, 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*P o, Juan M. Rodriguez**139-149 Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case***by*Nabeya, Seiji

### December 1998, Volume 14, Issue 06

**699-699 The Tjalling C. Koopmans Econometric Theory Prize: 1994 1996***by*Phillips, Peter C.B.**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, L opold**795-798 An Introduction To Econometric Theory***by*Linton, Oliver B.**800-801 Econometric Society Australasian Meetings 1997 (ESAM97)***by*Martin, Vance L.

### October 1998, Volume 14, Issue 05

**539-559 Saddlepoint Approximations For Noncentral Quadratic Forms***by*Marsh, Patrick W.N.**560-603 An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests***by*Perron, Pierre & Ng, Serena**604-621 Goodness-Of-Fit Tests Based On Kernel Density Estimators With Fixed Smoothing Parameters***by*Fan, Yanqin**622-640 A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution***by*Karanasos, M.**641-662 Asymptotics Of Nonstationary Fractional Integrated Series***by*Liu, Ming**663-669 A Note On Spurious Break***by*Bai, Jushan**671-685 The Econometrics Of Financial Markets***by*Andersen, Torben G.

### August 1998, Volume 14, Issue 04

**387-422 Asymptotic Theory For M-Estimators Over A Convex Kernel***by*Arcones, Miguel A.**423-462 Efficient Semiparametric Scoring Estimation Of Sample Selection Models***by*Chen, Songnian & Lee, Lung-Fei**463-482 Valid Confidence Intervals In Regression After Variable Selection***by*Kabaila, Paul**483-509 Revising Beliefs In Nonidentified Models***by*Poirier, Dale J.**511-516 Time Series Analysis: Nonstationary And Noninvertible Distribution Theory***by*Elliott, Graham**517-524 Likelihood-Based Inference In Cointegrated Vector Autoregressive Models***by*Kitamura, Yuichi

### June 1998, Volume 14, Issue 03

**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*Monta s, Antonio & Reyes, Marcelo**365-368 Financial Calculus: An Introduction To Derivative Pricing***by*S renson, 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.

### April 1998, Volume 14, Issue 02

**161-186 Quasi-Indirect Inference For Diffusion Processes***by*Broze, Laurence & Scaillet, Olivier & Zako an, 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, J rg & 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**293-294 Editor'S Tribute***by*Phillips, Peter C.B.

### February 1998, Volume 14, Issue 01

**1-43 Worldwide Institutional Rankings In Econometrics: 1989 1995***by*Baltagi, Badi H.**44-69 Adaptive Estimation Of Error Correction Models***by*Hodgson, Douglas J.**70-86 Strong Consistency Of Estimators For Multivariate Arch Models***by*Jeantheau, Thierry**87-122 A Test Of Autocorrelation In The Presence Of Heteroskedasticity Of Unknown Form***by*Whang, Yoon-Jae**123-138 A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions***by*Zheng, John Xu**139-149 Consistent Specification Testing For Conditional Symmetry***by*Zheng, John Xu

### December 1997, Volume 13, Issue 06

**769-769 New Heraldry for ET***by*Phillips, Peter C.B.**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**889-889 Estimation of Time-Series Regressions with Autoregressive Disturbances and Missing Observations***by*Baltagi, Badi H. & Wu, Ping X.**889-889 Relationship Between the Forward and Backward Representations of the Stationary VAR Model***by*Kim, Jae H.**890-890 A Fundamental Matrix Result on Scaling in Multivariate Analysis***by*Neudecker, Heinz & Satorra, Albert & van de Velden, Michel**890-891 Mahalanobis Distance for Multinomial Data***by*Neudecker, Heinz**891-893 Heteroskedastic Fixed Effects Models—Solution***by*Kleiber, Christian**893-894 Equivariance of the Maximum Likelihood (ML) Estimator in a Log-Logistic Duration Data Model with Right-Censoring—Solution***by*Canals, José & Gurmu, Shiferaw**894-895 Roots of an Orthogonal Matrix—Solution***by*Boswijk, H. Peter & Lu, Maozo**895-896 On the Bias of Standard Errors of the LS Residual under Nonnormal Errors***by*Lu, Maozo**896-897 On the Bias of Standard Errors of the LS Residual under Nonnormal Errors—Solution***by*Lieberman, Offer & Ullah, Aman & Breunig, Robert**897-898 Linear Combinations of Stationary Processes—Solution***by*Kemp, Gordon C.R.

### October 1997, Volume 13, Issue 05

**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 Data Badi H. Baltagi Wiley, 1995***by*Boozer, Michael A.**757-757 Hausman's Specification Test as a Gauss-Newton Regression***by*Baltagi, Badi H.**757-758 Asymptotic Properties of the Least-Squares Estimator of the Variance in a Linear Model***by*Heijmans, Risto**758-758 Multivariate Regression Subject to Orthogonality Conditions***by*Farebrother, R.W.**758-760 Instrument Selection for Consistent IV Estimators—Solution***by*Ryan, David L. & Young, Denise**760-764 Reasonable Spurious Regressions—Solution***by*Montañes, Antonio**764-765 Orthogonal Projectors—Solution***by*Puntanen, Simo & Styan, George P.H.**765-766 Ordered-Reversed Stochastic Processes May Be Nonstochastic—Solution***by*Dhaene, Geert**766-767 The Symmetry of a Moore-Penrose Inverse—Solution***by*Goerlich, Francisco

### August 1997, Volume 13, Issue 04

**467-505 Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data***by*Bergstrom, A.R.**506-528 Weak Convergence to a Matrix Stochastic Integral with Stable Processes***by*Caner, Mehmet**529-557 Principal Components Analysis of Cointegrated Time Series***by*Harris, David**558-581 An Asymptotic Expansion in the GARCH(l, 1) Model***by*Linton, Oliver**583-588 A Note on the Efficient Semiparametric Estimation of Some Exponential Panel Models***by*Hahn, Jinyong**589-603 The Formation of Econometrics: A Historical Perspective Duo Qin Oxford University Press, 1993***by*Neuberg, Leland Gerson**605-605 A Consistent Estimator for Truncated Poisson Models with Specification Error***by*Silva, Joao Santos**605-605 Coherency Conditions in a Simultaneous Equations Model with an Interval-Censored Endogenous Variable***by*Sapra, S.K.**606-606 Properties of Idempotent Matrix***by*Hartwig, Robert E. & Trenkler, Götz**606-606 Order Invariability of Idempotent Matrix***by*Han, K. & Im, E. & Snow, M.S.**606-608 Occasional Optimality of T( – 1)***by*Burridge, Peter**608-613 Local-to-Spurious Regression—Solution***by*Lubian, Diego**613-614 Multivariate Regression with Unequal Number of Observations—Solution***by*Sentana, Enrique

### June 1997, Volume 13, Issue 03

**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**463-463 A Simple Linear Trend Model with Error Components***by*Baltagi, Badi H. & Krämer, Walter**463-463 Estimation of a Triangular, Seemingly Unrelated, Regression System by OLS***by*Sentana, Enrique**463-464 Two Matrix Inequalities Involving the Moore-Penrose Inverse***by*Liu, Shuangzhe & Polasek, Wolfgang**464-464 An Inequality Concerning the Hadamard Matrix Product***by*Neudecker, Heinz**464-464 Equivariance of an Instrumental Variable (IV) Estimator in the Linear Regression Model***by*Sapra, S.K.**464-465 Kernel Regression with “No” Information***by*Linton, Oliver**465-466 Global Concavity of the Likelihood Functions for Two Binary Choice Models***by*McCrorie, J. Roderick**466-466 Generalization of a Matrix Inequality***by*Anderson, T.W.

### April 1997, Volume 13, Issue 02

**145-147 The Econometric Theory Awards***by*Phillips, Peter C.B.**148-148 The A.R. Bergstrom Prize in Econometrics, 1996***by*Hall, V.B. & Phillips, P.C.B.**149-169 Cointegration Testing Using Pseudolikelihood Ratio Tests***by*Lucas, André**170-184 The Cumulant Generating Function Estimation Method***by*Knight, John L. & Satchell, Stephen E.**185-213 Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity***by*Cardell, N. Scott**214-252 Additive Nonlinear ARX Time Series and Projection Estimates***by*Masry, Elias & Tjøstheim, Dag**253-303 The ET Interview: Professor Clive Granger***by*Granger, Clive W.J.**305-306 Standard Errors for the Long-Run Variance Matrix***by*Paruolo, Paolo**306-307 Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic***by*Linton, Oliver**307-308 A Joint Test for Functional Form and Random Individual Effects***by*Baltagi, Badi H.**308-308 Least-Squares Approximation of Off-Diagonal Elements of a Variance Matrix in the Context of Factor Analysis***by*Satorra, Albert & Neudecker, Heinz**308-309 Inconsistency of Minimum Variance Quadratic Unbiased Estimators under Non-Gaussian Compound Normal Distribution***by*Rolle, Jean-Daniel**310-312 Approximating the Finite Sample Bias for Maximum Likelihood Estimators Using the Score–Solution***by*Lambrecht, Bert & Perraudin, William & Satchell, Stephen**312-313 Properties of Functions of a Real Symmetric Matrix–Solution***by*Neudecker, Heinz**313-314 An Alternative Representation of the Hadamard Product–Solution***by*McCrorie, J. Roderick

### February 1997, Volume 13, Issue 01

**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. 4 Robert 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 Processes Gennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994***by*Knight, Keith

### December 1996, Volume 12, Issue 05

**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 Econometricians James Davidson, Oxford University Press, 1994***by*Gregoir, Stéphane**867-867 Heteroskedastic Fixed Effects Models***by*Baltagi, Badi H.**867-868 Equivariance of the Maximum Likelihood (ML) Estimator in a Log-Logistic Duration Data Model with Right-Censoring***by*Sapra, S.K.**868-868 Roots of an Orthogonal Matrix***by*Abadir, Karim M. & Hadri, Kaddour**868-868 On the Bias of Standard Errors of the LS Residual and the Regression Coefficients under the Nonnormal Errors***by*Ullah, Aman & Breuning, Robert**869-869 Linear Combinations of Stationary Processes***by*Taylor, A.M. Robert**869-870 Iterative Estimation in Partitioned Regression Models***by*Baltagi, Badi H.**870-871 The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models***by*Michelis, Leo**871-872 The Moore-Penrose Inverse of a Sum of Three Matrices***by*Neudecker, Heinz**872-874 Testing for Fixed Effects in Logit and Probit Models Using an Artificial Regression***by*Gurmu, Shiferaw**874-876 Proving the Gauss–Markov Theorem without Using the Explicit Functional Form of the OLS Estimator in the CLR Model***by*Farebrother, R.W.

### October 1996, Volume 12, Issue 04

**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.**743-743 Instrument Selection for Consistent IV Estimator***by*Ryan, David L. & Young, Denise**743-744 Reasonable Spurious Regressios***by*Hassler, Uwe**744-744 Orthogonal Projector***by*Groβ, Jürgen & Trenkler, Götz**745-745 Ordered-Reversed Stochastic Processes May Be Nonstochastic***by*Farebrother, R.W.**745-745 The Symmetry of a Moore-Penrose Inverse***by*Farebrother, R.W.**745-746 Testing for Random Individual Effects with a Gauss-Newton Regression***by*Baltagi, Badi H.**746-748 Ordering of Covariance Matrice***by*Cappuccio, Nunzio & Lubian, Diego**748-749 The Moore-Penrose Generalized Inverse of a Symmetric Matrix***by*Puntanen, Simo & Styan, George P.H.**749-751 Derivation of a Fully Modified Estimator***by*Lubian, Diego

### August 1996, Volume 12, Issue 03

**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 Analysis H. White, Cambridge University Press, 1994***by*Linton, Oliver B.**585-585 Occasional Optimality of T( – 1)***by*Burridge, Peter**585-586 Local-to-Spurious Regression***by*Wright, Jonathan**586-587 Multivariate Regression with Unequal Number of Observations***by*Sentana, Enrique**587-589 Optimal Weighting of Unbiased Estimators–Solution***by*Trenkler, Götz**589-590 Estimation of a Product of Two Regression Lines***by*Hadi, Ali S. & Mulugetta, Yugo**590-592 An Equivalence Relation for Two Symmetric Idempotent Matrices***by*Puntanen, Simo & Styan, George P.H. & Zhang, Fuzhen**592-593 Aitken Generalization of the Gauss-Markov Theorem without Calculus***by*Vahid, Farshid**593-595 Matrix Results Associated with Aitken's Generalization of the Gauss-Markov Theorem***by*Puntaner, Simo & Styan, George P.H.

### June 1996, Volume 12, Issue 02

**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.**393-393 Problems: Kernel Regression with “No” Information***by*Linton, Oliver**393-393 Problems: Global Concavity of the Likelihood Functions for Two Binary Choice Models***by*Sapra, S.K.**393-394 Problems: Generalization of a Matrix Inequality***by*Iksoon, Eric**394-395 Solutions: An Inequality Involving Submatrices***by*Goeree, Jacob & Shuangzhe, Liu & Heinz, Neudecker**395-396 Solutions: Derivation of the OLS Estimator Without Using Calculus***by*Pizer, William & Sefton, Martin**396-401 Solutions: An Approximation to GARCH***by*Lieberman, Offer**401-402 Solutions: A Mixed-Error Component Model***by*Xiong, Weiwen**402-403 Solutions: Asymptotic Properties of Tests for Heteroskedasticity under Measurement Error***by*Wooldridge, Jeffrey M.**403-404 SOLUTIONS: Asymptotic Local Power of Wald Tests in Untransformed and Transformed Autoregressive Model***by*Choi, In**404-404 SOLUTIONS: Equivalence between OLS and GLS Estimators for Linear Regression Models with AR(1) and MA(1) Errors***by*Sapra, S.K.**404-404 SOLUTIONS: A Simple Expression for the Moore-Penrose Inverse of the Duplication Matrix***by*Neudecker, Heinz**405-406 SOLUTIONS: Testing for Correlated Effects in Panels***by*Xiong, Weiwen

### March 1996, Volume 12, Issue 01

**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.**155-185 Interviewed by Grant H. Hillier and Christopher L. Skeels***by*James, A.T.**187-197 A Note on Bootstrapping Generalized Method of Moments Estimators***by*Hahn, Jinyong**199-199 Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score***by*Lambrech, Bart & Perraudin, William & Satchell, Stephen**200-200 Properties of Functions of a Real Symmetric Matrix***by*Neudecker, Heinz**200-200 An Alternative Representation of the Hadamard Product***by*Farebrother, R.W.**201-204 Fully Modified Least Squares in 1(2) Regression***by*Harris, David**204-209 Spurious Regression and Generalized Least Square***by*Lubian, Diego**209-210 The Asymptotic Power of RESET for Detecting Omitted Variables***by*Wooldridge, Jeffrey**210-214 A Strong Law of Large Numbers***by*de Jong, Robert M. & Gordon, C.R. Kemp & John, Xu Zheng

### October 1995, Volume 11, Issue 05

**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.**1177-1177 Iterative Estimation in Partitioned Regression Models***by*Fiebig, Denzil G.**1177-1178 The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models***by*Michelis, Leo**1178-1178 The Moore-Penrose Inverse of a Sum of Three Matrices***by*Liu, Shuangzhe & Ma, Yue**1179-1179 Testing for Fixed Effects in Logit and Probit Models Using an Artificial Regression***by*Baltagi, Badi H.**1179-1180 Proving the Gauss-Markov Theorem Without Using the Explicit Functional Form of the OLS Estimator in the CLR Model***by*Kemp, Gordon C.R.**1180-1182 The Stationarity Conditions for an AR(2) Process and Schur's Theorem***by*Marmol, Francesc**1182-1185 Differentiation of an Exponential Matrix Function***by*Linton, Oliver & McCrorie, J. Roderick**1185-1188 Unit Root Testing with Intermittent Data***by*Herce, Miguel A.**1188-1190 Spurious Regression in Forecast-Encompassing Tests***by*Phillips, Peter C.B.**1190-1191 Some Exponential Martingales***by*Herce, Miguel A.

### August 1995, Volume 11, Issue 04

**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.**795-795 Testing for Random Individual Effects with a Gauss-Newton Regression***by*Baltagi, Badi H.**796-796 Ordering of Covariance Matrices***by*Trenkler, Götz**796-796 The Moore-Penrose Generalized Inverse of a Symmetric Matrix***by*Farebrother, R.W.**796-797 Derivation of the Fully Modified Estimator***by*Dolado, Juan J.**797-798 Efficient Estimation under Heteroskedasticity***by*Wooldridge, Jeffrey M.**798-800 The Wald, LR, and LM Inequality***by*Baltagi, Badi H.**800-802 Difference Approach to the Adaptive Regression Model***by*Im, Erik Iksoon**802-803 A Nonlinear Measurement Error Model with Fixed Observed X (Berkson Case)***by*Sapra, S.K.**803-804 The Exact Distribution of the Lagrange Multiplier Test for Heteroskedasticity***by*Farebrother, R.W.**804-804 A Bias Correction for Taken's Correlation Dimension Estimator***by*Satchell, Stephen**805-807 Underspecified Linear Model and the Best Instrumental Variable Estimator***by*Goerlich, Francisco**807-808 An Inequality between Perpendicular Least Squares and Ordinary Least Squares***by*Farebrother, R.W.**808-808 Eigenvalues of the Product of Nonnegative Definite Matrices***by*Trenkler, Götz**808-809 Convergence of a Nonlinear Time Series Model***by*Phillips, C.B.

### June 1995, Volume 11, Issue 03

**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.**597-624 Gregory C. Chow***by*Pagan, Adrian**625-630 TIME SERIES ANALYSIS James D. Hamilton Princeton University Press, 1994***by*Hansen, Bruce E.**631-635 ESTIMATION AND INFERENCE IN ECONOMETRICS Russell Davidson and James G. MacKinnon Oxford University Press, 1993***by*Zinde-Walsh, Victoria**637-637 Optimal Weighting of Unbiased Estimators***by*Baltagi, Badi H.**637-638 Estimation of a Product of Two Regression Lines***by*Hadi, Ali S. & Mulugetta, Yugo**638-638 An Equivalence Relation for Two Symmetric Idempotent Matrices***by*Liu, Shuangzhe & Polasek, Wolfgang**638-639 Aitken's Generalization of the Gauss-Markov Theorem***by*Farebrother, R.W.**639-639 Matrix Results Associated with Aitken's Generalization of the Gauss-Markov Theorem***by*Farebrother, R.W.**639-641 MINQUE Under Heteroskedasticity—Solution***by*Baltagi, Badi H.**641-642 ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations***by*Baltagi, Badi H. & Li, Qi**642-646 Minimization of a Scalar Function of Matrix***by*Iksoon Im, Eric & Snow, Marcellus S.**646-646 Inefficiency of the Method of Moments Estimate for Noninvertible MA(1) Processes***by*Choi, In**646-647 Characterization of an Orthogonal Projection Matrix***by*Farebrother, R.W. & Neudecker, Heinz & Liu, Shuangzhe**647-648 Nonlinear Transformations of LUS Residuals***by*Farebrother, R.W.**648-653 The Singular Value Decomposition of the Square Roots of the Identity Matrix***by*Goeree, Jacob & Neudecker, Heinz & Drury, S.W. & Styan, George P.H.**653-654 Moore-Penrose Inverse of a Matrix Product with Normal Matrix***by*Trenkler, Götz**654-655 A Kronecker Matrix Inequality with a Statistical Application***by*Neudecker, Heinz & Satorra, Albert & Trenkler, Götz & Liu, Shuangzhe**655-657 Efficient Estimation with Orthogonal Regressors***by*Goerlich, Francisco**658-659 Nested Effects***by*Xiong, Weiwen**659-661 Yule–Walker Prediction Error in a Random Walk Model***by*Hisamatsu, Hiroyuki**661-666 Reduced Rank Regression Asymptotics in Multivariate Regression – Solution***by*Phillips, Peter C.B.**666-668 Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure***by*Phillips, Peter C.B.**668-669 Characterization of a Projector***by*Neudecker, Heinz & Liu, Shuangzhe**669-670 Matrix Trace Inequalities Involving Simple, Kronecker, and Hadamard Product***by*Neudecker, Heinz & Liu, Shuangzhe

### February 1995, Volume 11, Issue 02

**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.**399-400 Asymptotic Properties of Tests for Heteroskedasticity***by*Wooldridge, Jeffrey M.**400-400 Asymptotic Local Power of Wald Tests in Untransformed and Transformed Autoregressive Models***by*Choi, In**401-401 Equivalence Between OLS and GLS Estimators for Linear Regression Models with AR(1) and MA(1) Errors***by*Sapra, S.K**401-401 A Simple Expression for the Moore-Penrose Inverse of the Duplication Matrix***by*Neudecker, Heinz**401-402 Testing for Correlated Effects in Panels***by*Baltagi, Badi H.**402-402 Errata***by*Paruolo, Paolo

### February 1995, Volume 11, Issue 01

**1-24 Estimation of Cointegrated Systems with I(2) Processes***by*Kitamura, Yuichi**25-59 A Stastistical Analysis of Cointegration for I(2) Variables***by*Johansen, Søren**60-80 Errors in Variables and Cointegration***by*Solo, Victor**81-104 A New Test for Nonstationarity Against the Stable Alternative***by*Abadir, Karim M.**105-121 Bootstrapping Quantile Regression Estimators***by*Hahn, Jinyong**122-150 Multivariate Simultaneous Generalized ARCH***by*Engle, Robert F. & Kroner, Kenneth F.**151-189 The Econometrics of Learning in Financial Markets***by*Bossaerts, Peter**191-191 An Inequality Involving Submatrices***by*Liu, Shuangzhe**191-191 Derivation of the OLS Estimator Without Using Calculus***by*Sefton, Martin**191-192 An Approximation to GARCH***by*Knight, John L. & Satchel, Stephen E.**192-193 A Mixed-Error Component Model***by*Baltagi, Badi H. & Krämer, Walter

### December 1994, Volume 10, Issue 05

**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.**967-967 Fully Modified Least Squares in I(2) Regression***by*Phillips, Peter C.B. & Chang, Yoosoon**967-968 Spurious Regression and Generalized Least Squares***by*Phillips, Peter C.B. & Hodgson, Douglas J.**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

### 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**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**817-817 Differentiation of an Exponential Matrix Function***by*Linton, Oliver**817-818 Unit Root Testing with Intermittent Data***by*Phillips, Peter C.B.**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.

### June 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.**439-440 A Bias Correction for Token's Correlation Dimension Estimator***by*Satchell, Stephen**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**442-442 Convergence of a Nonlinear Time Series Model***by*Phillips, Peter C.B.**442-443 The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models***by*Windmeijer, Frank A.G.**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.

### March 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.**223-224 The Wald, LR, and LM Inequality***by*Baltagi, Badi H.**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.**226-227 Bounds on Coefficient Estimates When the Dependent Variable is Grouped***by*Farebrother, R.W.**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.

### August 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.**687-688 Nested Effects***by*Baltagi, Badi H.**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.**689-689 Characterization of a Projector***by*Farebrother, R.W. & Trenkler, G.**689-690 Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure***by*Phillips, Peter C.B.**690-690 Matrix Trace Inequalities Involving Simple Kronecker, and Hadamard Products***by*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.**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

### June 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.**521-522 ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations***by*Magee, Lonnie**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**523-524 Characterization of an orthogonal projection matrix***by*Farebrother, R.W. & Pordzik, P. & Trenkler, G.**524-524 Nonlinear transformations of LUS residuals***by*Farebrother, R.W**524-524 The Singular Value Decomposition of the Square Roots of the Identity Matrix***by*Farebrother, R.W**524-524 Moore-Penrose Inverse of a Matrix Product with Normal Matrix***by*Neudecker, Heinz & Shuangzhe, Liu**524-524 A Kronecker Matrix Inequality with a Statistical Application***by*Neudecker, Heinz & Satorra, Albert**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.

### April 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.**313-314 Deriving Restricted Least Squares Estimator without a Lagrangean***by*Paruolo, Paolo**314-314 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**314-315 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Baltagi, Badi H. & Savin, Berndt**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.

### January 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.**145-146 Variable Addition Test***by*Wu, Ping**146-146 Efficiency as Correlation***by*Oksanen, E.H.**146-147 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Rilstone, Paul**147-148 Can More Information Make You Worse Off??***by*Leamer, Ed**148-148 Instrumental Variables Estimator and Admissibility***by*Trenkler, Göetz**148-149 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R.W.**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.

### December 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.**581-582 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Satorra, Albert & Neudecker, Heinz**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**583-584 Tabulation of Farebrother's Test for Linear Restrictions***by*Shephard, Neil**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**585-586 The Moore-Penrose Inverse of a Symmetric Matrix***by*Trenkler, G. & Magnus, Jan R.**586-591 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P.

### September 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**423-424 When Are Expectiles Percentiles?***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.**427-428 Exogenous and Endogenous Sampling***by*Monfort, Alain**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.

### June 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.**306-307 Seemingly Unrelated Regression Equations with No Contemporaneous Observations***by*Farebrother, R. W.**307-307 Simultaneous Equations Bias in Level VAR Estimation***by*Phillips, Peter C.B.**307-309 Partitioned Regression with Rank-Deficient Regressions***by*Phillips, Peter C.B.**309-309 Global Power of White's Test for Heteroskedasticity***by*Magee, Lonnie**310-311 A Matrix Invariance Problem***by*Neudecker, H. & Satorra, A.

### March 1992, Volume 8, Issue 01

**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 Systems E. J. Hannan and Manfred Deistler John Wiley & Sons, 1988***by*Solo, Victor**145-145 Can More Information Make You Worse Off??***by*Learner, Ed**145-145 Instrumental Variables Estimator and Admissibility***by*Trenkler, Götz**145-146 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R. W.**146-146 The Bias of the Standard Errors of OLS for an AR(1) Process with an Arbitrary Variance on the Initial Observations***by*Baltagi, Badi H. & Li, Qi**146-146 Limit Theory in Cointegrated Vector Autoregressions***by*Phillips, Peter C.B. & Toda, Hiro Y.**147-148 Perpendicular Least Squares***by*Goerlich, Francisco**148-150 Convergence to a Stochastic Integral***by*Dolado, Juan J.**150-152 The Limit Variance of g***by*Im, Eric Iksoon**152-155 Random Variable Generation via Double Sampling***by*Knight, John L. & Satchell, S.E.**155-156 The Differencing Test in a Regression with Equicorrelated Disturbances***by*Koning, Ruud H.**156-158 Testing Causality in an Autoregression with Cointegrated Regressors***by*Choi, In**158-159 Geometry of the Equivalence of OLS and GLS in the Linear Model***by*Phillips, Peter C.B.**159-160 A Best Linear Unbiased Estimator of Rβ with α Scalar Variance Matrix***by*Neudecker, H. & Satorra, A.

### December 1991, Volume 7, Issue 04

**435-449 Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models***by*Pötscher, B.M.**450-463 A Shortcut to LAD Estimator Asymptotics***by*Phillips, P.C.B.**464-486 The Exact Likelihood Function for an Empirical Job Search Model***by*Christensen, Bent Jesper & Kiefer, Nicholas M.**487-496 Estimating Orthogonal Impulse Responses via Vector Autoregressive Models***by*Lütkepohl, Helmut & Poskitt, D.S.**497-518 The Joint Distribution of Forecast Errors in the AR(1) Model***by*Kemp, Gordon C.R.**519-529 From Characteristic Function to Distribution Function: A Simple Framework for the Theory***by*Shephard, N.G.**531-542 Discrete Models for Estimating General Linear Continuous Time Systems***by*Chambers, Marcus J.**543-543 An Inequality for the Block-Partitioned Inverse***by*Harvey, A.C. & Neudecker, N. & Streibel, M.**543-543 The Moore-Penrose Inverse of a Symmetric Matrix***by*Farebrother, R.W. & Iksoon Im, Eric**543-544 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B & Schmidt, P.**544-545 The Heteroskedastic Consequences of an Arbitrary Variance for Initial Disturbance of an AR(1) Model***by*Kim, Jae Hoon**545-546 Correlation Among Unconstrained Variables in a Pooled Model***by*Hadi, Ali S. & Wells, Martin T.**546-548 The Characteristic Function of a Simple Random Walk Test Statistic***by*Farebrother, R.W.**548-549 A Metric Inequality for a Dissimilarity Coefficient in Multidimensional Scaling***by*Pötzelberger, Klaus & Neudecker, Heinz**549-558 Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case***by*Phillips, Peter C.B. & Dolado, Juan J. & Boswijk, H. Peter

### September 1991, Volume 7, Issue 03

**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.**417-417 Exogenous and Endogenous Sampling***by*Monfort, Alain**417-418 Skewness and Kurtosis in Bivariate Regression***by*Magee, Lonnie**418-419 Variance Component Estimation Under Misspecification***by*Baltagi, Badi H. & Li, Qi**419-420 The Equivalence of Two Test Statistics for Testing the Constancy of Regression Coefficient***by*Snow, Marcellus S. & Iksoon, Eric**425-425 Conditional and Unconditional Independence***by*Pötzelberger, Klaus**425-427 A Comparison of Variance Components Estimators Using Balanced Versus Unbalanced Data***by*Koning, Ruud H.**427-428 Property of a Matrix Used in Multidimensional Scaling***by*Farebrother, R.W.**428-431 Optimal Structural Estimation of Triangular Systems: I. The Stationary Case***by*Boswijk, H. Peter

### June 1991, Volume 7, Issue 02

**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 01

**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**85-123 The Et Interview: Professor Sir Richard Stone***by*Pesaran, M. Hashem**125-131 Topics in Advanced Econometrics: Probability Foundations Phoebus J. Dhrymes, Springer-Verlag, 1989***by*El-Gamal, Mahmoud**132-138 Econometric Analysis William H. Greene, Macmillan, 1990***by*Trivedi, Pravin K.**139-139 Global Power of White's Test for Heteroskedasticity***by*Magee, Lonnie**139-140 A Matrix Invariance Problem***by*Neudecker, Heinz & Satorra, Albert**140-141 A Simple Bayesian Estimation Problem with Laplace Disturbances and Absolute-Error Loss Function–Solution***by*Farebrother, R.W.**142-144 Estimation of Type 3 Tobit Model via the EM Algorithm***by*Sapra, S.K.**144-145 A Property of the Duplication Matrix***by*Neudecker, Heinz & Satorra, Albert**145-146 Comparison of t-Ratios***by*Farebrother, R.W.**146-153 Parameter Estimates Which Minimize the Sum of Functions of the Differences Between the Residuals***by*Bhat, Avanindra N. & Singh, Narendra**153-162 Estimation and Testing in Linear Models with Singular Covariance Matrices***by*Phillips, Peter C.B.

### December 1990, Volume 6, Issue 04

**411-432 The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models***by*Tanaka, Katsuto**433-444 Testing for a Moving Average Unit Root***by*Tanaka, Katsuto**445-458 Functional Forms of Characteristic Functions and Characterizations of Multivariate Distributions***by*Chikuse, Yasuko**459-565 Strong Consistency in Nonlinear Regression***by*Richardson, G.D. & Bhattacharyya, B.B.**466-479 Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality***by*Andrews, Donald W.K. & Whang, Yoon-Jae**481-483 Lectures on Advanced Econometric Theory by Denis Sargan Edited by Meghnad Desai Basil Blackwell, 1988***by*Holly, Alberto**485-485 Perpendicular Least Squares***by*Hansen, Bruce E.**485-485 Convergence to a Stochastic Integral***by*Hansen, Bruce E.**486-487 The Limit Variance of g***by*Im, Eric Iksoon**487-488 Random Variable Generation via Double Sampling***by*Knight, J.L. & Satchell, S.E.**488-488 The Differencing Test in a Regression with Equicorrelated Disturbances***by*Baltagi, Badi H.**489-489 Testing Causality in an Autoregression with Cointegrated Regressors***by*Phillips, Peter C.B. & Toda, Hiro**489-490 The Geometry of the Equivalence of OLS and GLS in the Linear Model***by*Phillips, Peter C.B.**490-490 A Best Linear Unbiased Estimator of Rβ with a Scalar Variance Matrix***by*Farebrother, R.W.**490-494 The Asymptotic Distribution of the Iterated Gauss-Newton Estimators of an ARIMA Process***by*Dolado, Juan J. & Hidalgo-Moreno, Javier**494-495 The Limit Distribution of the Generalized Inverse of a Singular Co-variance Matrix Estimate***by*Balestra, Pietro

### September 1990, Volume 6, Issue 03

**295-317 Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions***by*Newey, Whitney K. & Powell, James L.**318-334 Stationarity and Persistence in the GARCH(1,1) Model***by*Nelson, Daniel B.**335-347 The Local Power of the CUSUM and CUSUM of Squares Tests***by*Ploberger, Werner & Krämer;, Walter**348-383 Model-free Asymptotically Best Forecasting of Stationary Economic Time Series***by*Bierens, Herman J.**385-402 Professor Michio Hatanaka***by*Maekawa, Koichi & Tanaka, Katsuto**403-403 Anthony Clement (Tony) Rayner 1938–1990***by*Giles, D.E.A.**405-405 The Heteroskedastic Consequences of an Arbitrary Variance for the Initial Disturbance of an AR(1) Model***by*Baltagi, Badi H. & Li, Qi**405-405 Correlation Among Unconstrained Variables in a Pooled Model***by*Dineen, Chris**405-406 The Characteristic Function of a Simple Random Walk Test Statistic***by*Farebrother, R.W.**406-407 A Metric Inequality for a Dissimilarity Coefficient in Multidimensional Scaling***by*Neudecker, H.**407-408 Optimal Structural Estimation of Triangular Systems: II. The Non-stationary Case***by*Phillips, Peter C.B.**408-409 Simultaneous Confidence Ellipsoids***by*Hadi, Ali S. & Wells, Martin T.**409-410 The Equivalence of the Boothe-MacKinnon and the Hausman Specification Tests in the Context of Panel Data***by*Koning, Ruud H.

### June 1990, Volume 6, Issue 02

**1-1 The Tjalling C. Koopmans Econometric Theory Prize***by*Phillips, Peter C. B.**123-150 Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models***by*Hall, Peter & Horowitz, Joel L.**151-164 Perspectives in the History of Econometrics: A Review Essay of R. J. Epstein: A History of Econometrics***by*Morgan, Mary S.**165-169 On the Sensitivity of a Regression Coefficient to Monotonic Transformations***by*Yitzhaki, Shlomo**171-261 A Conversation on Econometric Methodology***by*Hendry, David F. & Learmer, Edward E. & Poirier, Dale J.**263-267 State Space Modeling of Time Series Masanao Aoki Springer-Verlag, 1987***by*Deistler, M.**268-272 Analog Estimation Methods in Econometrics Charles F. Manski New York: Chapman and Hall, 1988, 150pp., $45.00***by*Horowitz, Joel L.**273-281 Evaluating Models: A Review of L.G. Godfrey Misspecification Tests in Econometrics Econometric Society Monographs No. 16 Cambridge University Press, 1988, pp. 252+xii, $49.50***by*Pagan, A.R.**283-283 A Matrix Equation***by*Im, Eric Iksoon**283-283 Conditional and Unconditional Independence***by*Knight, J.L. & Satchell, E.**283-285 A Comparison of Variance Components Estimators Using Balanced Versus Unbalanced Data***by*Baltagi, Badi H. & Li, Qi**285-285 Property of a Matrix Used in Multidimensional Scaling***by*Boswijk, H.P. & Neudecker, H.**285-286 Optimal Structural Estimation of Triangular Systems: I. The Stationary Case***by*Phillips, P.C.B.**286-286 Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics***by*Phillips, P.C.B.**287-288 A Switching Regression Model with Imperfect Sample Separation and Several Regimes***by*Farebrother, R.W.**288-289 Unbiased Prediction in a Simple Simultaneous Equations Model***by*Farebrother, R.W.**289-290 Results for a Simple Triangular Simultaneous Equations Model***by*Holly, Alberto**291-292 Comment***by*Pötscher, Benedikt M.**293-293 Errata***by*Zinde-Walsh, Victoria

### March 1990, Volume 6, Issue 01

**1-16 Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988***by*Hall, A. D.**17-43 A Unified Approach to Robust, Regression-Based Specification Tests***by*Wooldridge, Jeffrey M.**44-62 Time Series Regression With a Unit Root and Infinite-Variance Errors***by*Phillips, P.C.B.**63-74 Unbiased Estimation of the MSE Matrix of Stein-Rule Estimators, Confidence Ellipsoids, and Hypothesis Testing***by*Carter, R.A.L. & Srivastava, M.S. & Srivastava, V.K. & Ullah, A.**75-96 Asymptotic Expansions of the Distributions of Statistics Related to the Spectral Density Matrix in Multivariate Time Series and Their Applications***by*Taniguchi, Masanobu & Maekawa, Koichi**97-102 Interpretation of Graphs that Compare the Distribution Functions of Estimators***by*Moulton, Brent R.**103-106 The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987***by*Wickens, M.R.**107-112 Search Models and Applied Labor Economics by Nicholas M. Kiefer and George R. Neumann Cambridge University Press, Cambridge, 1989 297 pages, $47.50***by*Stern, Steven**113-113 A Simple Bayesian Estimation Problem with Laplace Disturbances and Absolute-Error Loss Function***by*Farebrother, R.W.**113-114 Estimation of Type 3 Tobit Model via the EM Algorithm***by*Sapra, S.K.**114-114 A Property of the Duplication Matrix***by*Neudecker, Heinz & Setorra, Albert**114-114 Comparison of t-ratios***by*Holly, Alberto**114-117 Identifiability in a Mixed-Sample System***by*Agbeyegbe, Terence D.**117-119 Optimal Instrumental Variable Estimator of the AR Parameter of an ARMA(1.1)***by*Dolado, Juan J.**119-120 The Singular-Value Decomposition of the First-Order Difference Matrix***by*Shepard, N.G.**120-121 A Matrix Inequality***by*Whang, Yoon-Jae**121-122 A Variance Comparison of OLS and Feasible GLS in an Error Components Model***by*Khanti-Akom, Sophon

### December 1989, Volume 5, Issue 03

**333-353 Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models***by*Tanaka, Katsuto & Satchell, S.E.**354-362 On the First-Order Autoregressive Process with Infinite Variance***by*Chan, Ngai Hang & Tran, Lanh Tat**363-384 Testing for Consistency using Artificial Regressions***by*Davidson, Russell & MacKinnon, James G.**385-404 Ancillarity and the Limited Information Maximum-Likelihood Estimation of a Structural Equation in a Simultaneous Equation System***by*Hosoya, Yuzo & Tsukuda, Yoshihiko & Terui, Nobuhiko**405-429 On Rereading Haavelmo: A Retrospective View of Econometric Modeling***by*Spanos, Aris**430-452 Predictors in Dynamic Nonlinear Models: Large-Sample Behavior***by*Brown, Bryan W. & Mariano, Roberto S.**453-453 The Asymptotic Distribution of the Iterated Gauss-Newton Estimators of an ARIMA Process***by*Pantula, Sastry G.**453-454 Simultaneous Confidence Ellipsoids***by*Farebrother, R.W.**454-454 The Equivalence of the Boothe-MacKinnon and the Hausman Specification Tests in the Context of Panel Data***by*Baltagi, Badi H.**455-455 Estimation and Testing in Linear Models with Singular Covariance Matrices***by*Phillips, Peter C.B.**455-456 The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate***by*Phillips, Peter C.B.**456-459 Pseudo Orthogonality and Granger Causality in Dynamic Data***by*Pötscher, B.M.**459-461 Asymptotic Properties of Restricted Maximum-Likelihood Estimator of Parameters in Censored Regression Model***by*Sapra, S.K.**461-463 The Lower Triangular Matrix Associated with an Autoregressive Process***by*Baltagi, Badi H.**463-465 The Efficiency of OLS in a Seemingly Unrelated Regressions Model***by*Baksalary, Jerzy K. & Trenkler, Götz**465-467 A Hausman Specification Test in a Simultaneous Equations Model***by*Baltagi, Badi H.

### August 1989, Volume 5, Issue 02

**181-240 Partially Identified Econometric Models***by*Phillips, P.C.B.**241-255 The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model***by*Perron, Pierre**256-271 Testing for Unit Roots in Time Series Data***by*Pantula, Sastry G.**272-286 Consistency Via Type 2 Inequalities: A Generalization of Wu's Theorem***by*Zaman, Asad**287-317 Interviewed by Peter E. Rossi***by*Zellner, Arnold**319-319 A Switching Regression Model with Imperfect Sample Separation and Several Regimes***by*Sapra, S.K.**320-320 Unbiased Prediction in a Simple Simultaneous Equations Model***by*Farebrother, R.W.**320-321 Results for a Simple Triangular Simultaneous Equations Model***by*Holly, Alberto**321-324 Structural Estimation under Partial Identification***by*Phillips, Peter C.B.**324-326 Testing Linear Restrictions with Unequal Variances***by*Farebrother, R.W.**326-326 An Alternative Heteroscedastic Error Components Model***by*Wansbeek, Tom**326-328 Results on LIML for an Equation Identified by Means of (within equation) Linear Restrictions***by*Holly, Alberto**328-331 Estimation of an Error in Variable Autoregressive Model***by*Trognon, Alain

### April 1989, Volume 5, Issue 01

**1-35 Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models***by*Wolak, Frank A.**36-52 Mirror-Image and Invariant Distributions in ARMA Models***by*Cryer, Jonathan D. & Nankervis, John C. & Savin, N.E.**53-62 Effect of Nonnormality on the Estimation of a Single Structural Equation with Structural Change***by*Hodoshima, Jiro**63-82 A General Framework for Testing a Null Hypothesis in a “Mixed” Form***by*Gourieroux, C. & Monfort, A.**83-94 Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses***by*Dastoor, Naorayex K. & McAleer, Michael**95-131 Statistical Inference in Regressions with Integrated Processes: Part 2***by*Park, Joon Y. & Phillips, Peter C.B.**133-160 Interviewed by Nicholas M. Kiefer***by*Goldberger, Arthur S.**161-165 Matrix Differential Calculus Jan R. Magnus and Heinz Neudecker John Wiley and Sons, 1988Linear Structures Jan R. Magnus Charles Griffin and Co., 1988***by*Pollock, D.S.G.**166-171 A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models A.R. Gallant and H. White***by*Andrews, Donald W.K.**173-173 Identifiability in a Mixed-Sample System***by*Agbeyegbe, Terence D.**173-173 Optimal Instrumental Variable Estimator of the AR Parameter of an ARMA (1,1) Process***by*Pantula, Sastry G.**174-174 The Singular-Value Decomposition of the First-Order Difference Matrix***by*Farebrother, R. W.**174-175 A Matrix Inequality***by*Neudecker, Heinz**175-175 A Variance Comparison of OLS and Feasible GLS in an Error Components Model***by*Baltagi, Badi H.**175-177 Prediction with a Two-Way Error Component Regression Model***by*Konning, Ruud H.**177-180 Asymptotic Properties of OLS and GLS***by*Dolado, Juan J.

### December 1988, Volume 4, Issue 03

**365-383 The History of Continuous-Time Econometric Models***by*Bergstrom, A. R.**384-402 Some Exact Formulae for Autoregressive Moving Average Processes***by*Zinde-Walsh, Victoria**403-427 The Estimation of Linear Stochastic Models with Covariance Restrictions***by*Pollock, D.S.G.**428-457 Partially Adaptive Estimation of Regression Models via the Generalized T Distribution***by*McDonald, James B. & Newey, Whitney K.**458-467 Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables***by*Andrews, Donald W.K.**468-497 Statistical Inference in Regressions with Integrated Processes: Part 1***by*Park, Joon Y. & Phillips, Peter C.B.**499-508 A Multiple Decision Theory Analysis of Structural Stability in Regression***by*McCabe, B.P.M.**509-516 Locally Optimal Properties of the Durbin-Watson Test***by*King, Maxwell L. & Evans, Merran A.**517-527 A Comparison of Ordinary Least Squares and Least Absolute Error Estimation***by*Weiss, Andrew A.**528-533 Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations***by*Phillips, P.C.B.**535-535 Pseudo Orthogonality and Granger Causality in Dynamic Data***by*Quah, D.**535-536 Asymptotic Properties of Restricted Maximum-Likelihood Estimator of Parameters in Censored Regression Model***by*Sapra, S.K.**536-536 The Lower Triangular Matrix Associated with an Autoregressive Process***by*Farebrother, R.W.**536-537 The Efficiency of OLS in a Seemingly Unrelated Regressions Model***by*Baltagi, Badi H.**537-538 A Hausman Specification Test in a Simultaneous Equations Model***by*Holly, Alberto**538-542 Maximum-Likelihood Estimation of Barten's Demand Equations with a General, Symmetric or Diagonal Matrix of Specific Substitution Effects***by*Neudecker, H.**542-545 Identification and Estimation of a Simple Two-Equation Model***by*Singh, Narendra & Bhat, Avanindra N.

### August 1988, Volume 4, Issue 02

**187-209 Econometric Methodology at the Cowles Commission: Rise and Maturity***by*Malinvaud, E.**210-230 Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes***by*Wooldridge, Jeffrey M. & White, Halbert**231-247 Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data***by*Lo, Andrew W.**248-274 Approximate Distributions and Power of Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations***by*Kunitomo, Naoto**275-299 Higher-Order Approximations to the Null Distributions of Test Statistics for Nonlinear Restrictions on Regression Coefficients***by*Morimune, Kimio**301-327 The Et Interview: Professor Albert Rex Bergstrom***by*Phillips, Peter C. B.**329-335 A Variance Comparison of OLS and Feasible GLS Estimators***by*Grubb, David & Magee, Lonnie**336-340 Asymptotic Equivalence of Closest Moments and GMM Estimators***by*Newey, Whitney K.**341-348 Statistical Foundations of Econometric Modelling Aris Spanos, Cambridge University Press, 1986***by*Hajivassiliou, Vassilis A.**349-349 Testing Linear Restrictions with Unequal Variances***by*Farebrother, R.W.**349-350 An Alternative Heteroscedastic Error Components Model***by*Baltagi, Badi H.**350-351 Results on LIML for an Equation Identified by Means of (within equation) Linear Restrictions***by*Holly, Alberto**351-352 Estimation of an Error in Variable Autoregressive Model***by*Trognon, Alain**352-352 Effect of an Additional Regressor on R2***by*Gouranga Rao, U.L. & White, Philip M.**352-354 Simple Versus Multiple Regression Coefficient***by*Bhat, Avanindra N.**354-355 Consistency of OLS***by*Le Breton, Michel**355-356 Efficient Estimation with Serial Correlation and Lagged Dependent Variables***by*Newey, Whitney K.**356-359 Prediction, Extraction, and Estimation in Unobserved Components Model***by*Diebold, Francis X. & Nerlove, Marc**359-361 Asymptotic Properties of One-step Estimator Obtained from an Optimal Step-size***by*Newey, Whitney K.**361-363 A Misspecified Model***by*Dolado, Juan J.

### April 1988, Volume 4, Issue 01

**1-34 Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986***by*Phillips, P.C.B. & Choi, I. & Schochet, P.Z.**35-59 ARMA Memory Index Modeling of Economic Time Series***by*Bierens, Herman J.**60-69 Comment***by*Ploberger, W. & Deistler, M. & Rissanen, J. & Sims, Christopher A.**70-76 Reply***by*Bierens, Herman J.**77-85 Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process***by*Lütkepohl, Helmut**86-96 Estimation of a Single Structural Equation with Structural Change***by*Hodoshima, Jiro**97-107 On Point-Optimal Cox Tests***by*Dastoor, Naorayex K. & Fisher, Gordon**108-124 Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies***by*Zadrozny, Peter**125-157 The ET Interview: Professor James Durbin***by*Phillips, Peter C. B.**159-170 Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations***by*Durbin, James**171-171 Prediction with a Two-Way Error Component Regression Model***by*Baltagi, Badi H.**171-172 Asymptotic Properties of OLS and GLS***by*Phillips, P.C.B.**172-173 Structural Estimation Under Partial Identification***by*Phillips, P.C.B.**173-176 Instrumental Variables Bivariate Exogeneity Test***by*Richard, Jean-François**176-177 Single Equation Estimation***by*Morimune, Kimio**177-179 Estimation of a Structural Equation when Reduced-Form Coefficients Are Known***by*Hsiao, Cheng & Morimune, Kimio**179-181 An Integral over a Matrix Space***by*Hansen, Bruce E.**183-186 Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986***by*Pötscher, B.M.

### June 1987, Volume 3, Issue 03

**313-347 Asymptotic Normality of a Class of Nonparametric Statistics***by*Seoh, Munsup & Puri, Madan L.**348-358 Asymptotic Results for Generalized Wald Tests***by*Andrews, Donald W. K.**359-370 Finite Sample Properties of Several Predictors From an Autoregressive Model***by*Maekawa, Koichi**371-386 Bias in Regressions With a Lagged Dependent Variable***by*Grubb, David & Symons, James**387-408 Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable***by*Nankervis, J.C. & Savin, N.E.**461-461 Parameter Estimates which Minimize the Sum of Functions of the Differences between the Residuals***by*Farebrother, R. W.**461-463 Maximum Likelihood Estimation of Barten's Demand Equations with a General, Symmetric or Diagonal Matrix of Specific Substitution Effects***by*Neudecker, Heinz**463-463 Identification and Estimation of a Simple Two-Equation Model***by*Holly, Alberto**464-464 Mutual Independence off Test Statistics–Solution***by*Monfort, Alain**464-466 Contrast in Inferences Based on Sampling Distributions and Posterior Distributions–Solution***by*Poirier, Dale J.**466-466 Estimation of ARCH Models–Solution***by*Kiefer, Nicholas M.**467-469 An Eigenvalue Problem – Solution***by*Magnus, Jan R.**469-470 The Distribution of LIML in the Leading Case – Solution***by*Phillips, Peter C.B.

### April 1987, Volume 3, Issue 02

**169-169 Editorial***by*Phillips, Peter C. B.**171-194 Worldwide Rankings of Research Activity in Econometrics: 1980–1985***by*Hall, A. D.**195-207 Methods for Constructing Top Order Invariant Polynomials***by*Chikuse, Yasuko**208-222 Implications of Aggregation with Common Factors***by*Granger, C. W. J.**223-246 Full Information Estimations of a System of Simultaneous Equations with Error Component Structure***by*Balestra, Pietro & Varadharajan-Krishnakumar, Jayalakshmi**247-271 Approximating the Approximate Slopes of LR, W, and LM Test Statistics***by*Magee, Lonnie**297-298 A Remark on Magdalinos's k-Class Instrumental Variable Estimator***by*Farebrother, R. W.**299-304 Preliminary-Test Estimation of the Error Variance in Linear Regression***by*Clarke, Judith A. & Giles, David E. A. & Wallace, T. Dudley**305-305 Prediction, Extraction, and Estimation in Unobserved Components Models***by*Diebold, Francis X. & Nerlove, Marc**305-306 Asymptotic Properties of One-Step Estimator Obtained from an Optimal Step Size***by*Newey, Whitney K.**306-306 A Misspecified Model***by*White, Halbert**306-309 Application of Kalman Filter***by*Pereira, Pedro L. Valls**309-311 The Identification and Estimation of a Simple Demand and Supply Model***by*Farebrother, R. W.

### February 1987, Volume 3, Issue 01

**1-44 Classes of Similar Regions and Their Power Properties for Some Econometric Testing Problems***by*Hillier, Grant H.**45-68 Asymptotic Expansions in Nonstationary Vector Autoregressions***by*Phillips, P. C. B.**69-97 Global and Partial Non-Nested Hypotheses and Asymptotic Local Power***by*Pesaran, M. Hashem**98-116 Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions***by*Andrews, Donald W. K.**143-149 An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample***by*Agbeyegbe, Terence D.**150-152 Predictive Consequences of Using Conditioning or Causal Variables***by*Granger, C.W.J. & Thomson, P. J.**153-158 Advanced Econometrics By Takeshi Amemiya, Harvard University Press, 1986***by*Newey, Whitney K.**159-159 Simple Versus Multiple Regression Coefficient***by*Baltagi, Badi H.**159-160 Consistency of OLS***by*White, Halbert**160-160 Efficient Estimation With Serial Correlation and Lagged Dependent Variables***by*Newey, Whitney K.**160-161 Unobservable Variable Model Estimation***by*Ullah, Aman**162-162 The Exact Bias of Wald's Estimation***by*Farebrother, R. W.**163-167 Unanticipated Macro Model Estimation***by*Ullah, A.

### December 1986, Volume 2, Issue 03

**305-330 On Consistency and Inconsistency of Estimating Equations***by*Crowder, Martin**331-349 Time Series Analysis in Pooled Cross-Sections***by*Beggs, John J.**350-373 The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data***by*Bergstrom, A. R.**374-412 Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations***by*Heijmans, Risto D. H. & Magnus, Jan R.**413-428 An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables***by*Inder, Brett**429-440 Pooling Under Misspecification: Some Monte Carlo Evidence on the Kmenta and the Error Components Techniques***by*Baltagi, Badi H.**441-442 Effect of an Additional Regressor on R2***by*Nieswiadomy, Michael**442-444 Single Equation Estimation***by*Morimune, Kimio**445-446 Estimation of a Structural Equation when Reduced Form Coefficients are Known***by*Hsiao, Cheng & Morimune, Kimio**446-447 An Integral Over a Matrix Space***by*Phillips, Peter C. B.**448-449 Efficient Reduced Form Estimation via OLS***by*Knight, John L.**449-452 Distribution of F-Ratio***by*Ullah, A. & Phillips, P.C.B.**452-454 Prediction Error Variances under Heteroscedasticity***by*Tremayne, A. R.**454-454 Estimation of a Constrained Equation System***by*Cramer, J. S.

### August 1986, Volume 2, Issue 02

**157-190 Symmetry, 0-1 Matrices and Jacobians: A Review***by*Magnus, Jan R. & Neudecker, H.**191-201 Strong Consistency of Regression Quantiles and Related Empirical Processes***by*Bassett, Gilbert W. & Koenker, Roger W.**202-219 The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances***by*Knight, John. L.**220-231 A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity***by*Ohtani, Kazuhiro & Kobayashi, Masahito**232-248 A Survey on the Invariant Polynomials with Matrix Arguments in Relation to Econometric Distribution Theory***by*Chikuse, Yasuko & Davis, A. W.**249-288 Proffessor T.W. Anderson***by*Phillips, Peter C. B.**289-289 Contrast in Inferences Based on Sampling Distributions and Posterior Distributions***by*Poirier, Dale J.**289-289 Estimation of ARCH Models***by*Kiefer, Nicholas M.**290-290 Theil's Minimum MSE Estimator for the Standard Linear Model***by*Neudecker, Heinz**290-290 An Eigenvalue Problem***by*Magnus, Jan R.**290-291 The Distribution of LIML in the Leading Case***by*Farebrother, R. W.**291-293 Moments of OLS and 2SLS via Fractional Calculus***by*Knight, John L.**294-297 Limited Information Estimation Solution***by*Hillier, Grant H.**297-300 Non-Linear Estimation***by*Holly, Alberto & Magnus, Jan. R.**300-303 A Non-normal Limiting Distribution***by*Knight, John L.

### April 1986, Volume 2, Issue 01

**1-32 Comparing Single-Equation Estimators in a Simultaneous Equation System***by*Anderson, T. W. & Kunitomo, Naoto & Morimune, Kimio**33-65 Aproximate Distributions of the Periodogram and Related Statistics under Normality***by*Nabeya, Seiji & Tanaka, Katsuto**66-74 Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model***by*Hillier, G. H. & Satchell, S. E.**75-106 Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators***by*Knight, John L.**107-131 Asymptotic Theory for ARCH Models: Estimation and Testing***by*Weiss, Andrew A.**132-150 Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach***by*Welsh, A. H. & Nicholls, D. F.**151-152 Comment on a Paper by Singh and Ullah***by*Robinson, P. M.**153-156 Instrumental Variables Bivariate Exogeneity Test***by*Richard, Jean-François**156-156 Mutual Independence of F Test Statistics***by*Monfort, Alain**156-156 The Identification and Estimation of a Simple Demand and Supply Model***by*Farebrother, R. W.

### December 1985, Volume 1, Issue 03

**295-313 New Ways to Prove Central Limit Theorems***by*Pollard, David**315-340 A General Approach to Serial Correlation***by*Gourieroux, C. & Monfort, A. & Trognon, A.**341-368 Solutions of Linear Rational Expectations Models***by*Broze, L. & Gourieroux, C. & Szafarz, A.**369-385 The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models***by*Bergstrom, A. R.**387-402 Unbiasedness of Predictions from Etimated Vector Autoregressions***by*Dufour, Jean-Marie**403-408 Hypothesis Testing in Demand Systems: Some Examples of Size Corrections Using Edgeworth Approximations***by*Byron, Ray & Rosalsky, Mercedes C.**409-417 Minimax Estimators for the Location Vectors of Spherically Symmetric Densities***by*Judge, George & Miyazaki, Shigetaka & Yancey, Thomas

### August 1985, Volume 1, Issue 02

**151-178 A Unified Theory of Consistent Estimation for Parametric Models***by*Bates, Charles & White, Halbert**179-191 On Differentiating Eigenvalues and Eigenvectors***by*Magnus, Jan R.**192-210 A Theory of Serial Correlation of Stochastic Taste Changers in Direct Utility Functions***by*Basmann, Robert L.**211-222 A Point Optimal Test for Moving Average Regression Disturbances***by*King, Maxwell L.**223-239 Edgeworth Expansion for the OLS Estimator in a Time Series Regression Model***by*Maekawa, Koichi**240-262 Improving Some Instrumental Variables Test Procedures***by*Magdalinos, Michael A.**263-290 Proffessor E. J. Hannnan***by*Pagan, Adrian

### April 1985, Volume 1, Issue 01

**1-5 Editorial***by*Phillips, Peter C.B.**7-26 The Estimation of Nonparametric Functions in a Hilbert Space***by*Bergstrom, A. R.**27-52 Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression***by*Singh, Radhey S. & Ullah, Aman**53-72 On the Joint and Marginal Densities of Instrumental Variable Estimators in a General Structural Equation***by*Hillier, Grant H.**73-84 An Asymptotic Expansion for the Distribution of the Likelihood Radio Criterion for a Gaussian Autoregressive Moving Average Process Under a Local Alternative***by*Taniguchi, Masanobu**85-96 A Zero-One Result for the Least Squares Estimator***by*Andrews, Donald W. K.**97-117 The Estimation of Higher-Order Continuous Time Autoregressive Models***by*Harvey, A. C. & Stock, James H.**119-139 Professor J. D. Sargan***by*Phillips, Peter C.B.**141-142 Editorial Note***by*Holly, Alberto & Phillips, Peter C.B.**147-149 Abstracts of Working Papers in Economics: A Computer Searchable On-line Data Base***by*White, Halbert