# Cambridge University Press

# Econometric Theory

Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK

Web page: http://journals.cambridge.org/jid_ECT

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### 1997, Volume 13, Issue 06

**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.**890-890 A Fundamental Matrix Result on Scaling in Multivariate Analysis***by*Neudecker, Heinz & Satorra, Albert & van de Velden, Michel**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.**890-891 Mahalanobis Distance for Multinomial Data***by*Neudecker, Heinz**889-889 Relationship Between the Forward and Backward Representations of the Stationary VAR Model***by*Kim, Jae H.

### 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.**758-758 Multivariate Regression Subject to Orthogonality Conditions***by*Farebrother, R.W.**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**758-760 Instrument Selection for Consistent IV Estimators—Solution***by*Ryan, David L. & Young, Denise**757-758 Asymptotic Properties of the Least-Squares Estimator of the Variance in a Linear Model***by*Heijmans, Risto

### 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**606-606 Properties of Idempotent Matrix***by*Hartwig, Robert E. & Trenkler, Götz**608-613 Local-to-Spurious Regression—Solution***by*Lubian, Diego**613-614 Multivariate Regression with Unequal Number of Observations—Solution***by*Sentana, Enrique**606-608 Occasional Optimality of T( – 1)***by*Burridge, Peter**606-606 Order Invariability of Idempotent Matrix***by*Han, K. & Im, E. & Snow, M.S.**605-605 Coherency Conditions in a Simultaneous Equations Model with an Interval-Censored Endogenous Variable***by*Sapra, S.K.

### 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**464-464 An Inequality Concerning the Hadamard Matrix Product***by*Neudecker, Heinz**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.**464-465 Kernel Regression with “No” Information***by*Linton, Oliver**464-464 Equivariance of an Instrumental Variable (IV) Estimator in the Linear Regression Model***by*Sapra, S.K.**463-464 Two Matrix Inequalities Involving the Moore-Penrose Inverse***by*Liu, Shuangzhe & Polasek, Wolfgang**463-463 Estimation of a Triangular, Seemingly Unrelated, Regression System by OLS***by*Sentana, Enrique

### 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**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**308-309 Inconsistency of Minimum Variance Quadratic Unbiased Estimators under Non-Gaussian Compound Normal Distribution***by*Rolle, Jean-Daniel

### 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

### 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.**868-868 Roots of an Orthogonal Matrix***by*Abadir, Karim M. & Hadri, Kaddour**869-869 Linear Combinations of Stationary Processes***by*Taylor, A.M. Robert**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.**869-870 Iterative Estimation in Partitioned Regression Models***by*Baltagi, Badi H.**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**867-868 Equivariance of the Maximum Likelihood (ML) Estimator in a Log-Logistic Duration Data Model with Right-Censoring***by*Sapra, S.K.

### 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**744-744 Orthogonal Projector***by*Groβ, Jürgen & Trenkler, Götz**745-745 Ordered-Reversed Stochastic Processes May Be Nonstochastic***by*Farebrother, R.W.**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**745-746 Testing for Random Individual Effects with a Gauss-Newton Regression***by*Baltagi, Badi H.**745-745 The Symmetry of a Moore-Penrose Inverse***by*Farebrother, R.W.**743-744 Reasonable Spurious Regressios***by*Hassler, Uwe

### 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**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.**585-586 Local-to-Spurious Regression***by*Wright, Jonathan

### 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**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.**405-406 SOLUTIONS: Testing for Correlated Effects in Panels***by*Xiong, Weiwen**404-404 SOLUTIONS: A Simple Expression for the Moore-Penrose Inverse of the Duplication Matrix***by*Neudecker, Heinz**393-394 Problems: Generalization of a Matrix Inequality***by*Iksoon, Eric**393-393 Problems: Global Concavity of the Likelihood Functions for Two Binary Choice Models***by*Sapra, S.K.

### 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**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**200-200 An Alternative Representation of the Hadamard Product***by*Farebrother, R.W.

### 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.**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.**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.**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.**1177-1178 The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models***by*Michelis, Leo

### 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**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.**796-797 Derivation of the Fully Modified Estimator***by*Dolado, Juan J.**796-796 The Moore-Penrose Generalized Inverse of a Symmetric Matrix***by*Farebrother, R.W.

### 1995, Volume 11, Issue 03

**403-436 Least Absolute Deviation Estimation of a Shift***by*Bai, Jushan