# 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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### 1995, Volume 11, Issue 01

**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**192-193 A Mixed-Error Component Model***by*Baltagi, Badi H. & Krämer, Walter**191-192 An Approximation to GARCH***by*Knight, John L. & Satchel, Stephen E.**191-191 Derivation of the OLS Estimator Without Using Calculus***by*Sefton, Martin

### 1994, Volume 10, Issue 05

**967-968 Spurious Regression and Generalized Least Squares***by*Phillips, Peter C.B. & Hodgson, Douglas J.**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**968-969 The Asymptotic Power of RESET for Detecting Omitted Variables***by*Wooldridge, Jeffrey M.**969-969 A Strong Law of Large Numbers***by*Heijmans, Risto

### 1994, Volume 10, Issue 3-4

**453-460 Bayes Methods and Unit Roots***by*Phillips, Peter C.B. & Van Dijk, Herman K.**461-482 Noninformative Priors and Bayesian Testing for the AR(1) Model***by*Berger, James O. & Yang, Ruo-Yong**483-513 Bayesian Forecasting of Economic Time Series***by*Hill, Bruce M.**514-551 On the Shape of the Likelihood/Posterior in Cointegration Models***by*Kleibergen, Frank & van Dijk, Herman K.**552-578 A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model***by*Zivot, Eric**579-595 Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations***by*Schotman, Peter C.**596-608 Bayesian Inference of Trend and Difference-Stationarity***by*McCulloch, Robert E. & Tsay, Ruey S.**609-632 Priors for Macroeconomic Time Series and Their Application***by*Geweke, John**633-644 On Jeffreys Prior when Using the Exact Likelihood Function***by*Uhlig, Harald**645-671 What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective***by*Uhlig, Harald**672-700 Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown***by*Elliott, Graham & Stock, James H.**701-719 Modeling Stock Prices without Knowing How to Induce Stationarity***by*DeJong, David N. & Whiteman, Charles H.**720-746 Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series***by*Choi, In**747-763 Bayesian Encompassing Tests of a Unit Root Hypothesis***by*Florens, Jean-Pierre & Larribeau, Sophie & Mouchart, Michel**764-773 Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process***by*Kim, Jae-Young**774-808 Posterior Odds Testing for a Unit Root with Data-Based Model Selection***by*Phillips, Peter C.B. & Ploberger, Werner**813-815 System Identification T. Söderström and P. Stoica Prentice Hall International, 1989***by*Deistler, M.**817-817 The Stationarity Conditions for an AR(2) Process and Shur's Theorem***by*Im, Eric Iksoon**818-819 Spurious Regression in Forecast-Encompassing Tests***by*Phillips, Peter C.B.**819-819 Some Exponential Martingales***by*Phillips, Peter C.B. & Hodgson, Douglas J.**817-818 Unit Root Testing with Intermittent Data***by*Phillips, Peter C.B.**817-817 Differentiation of an Exponential Matrix Function***by*Linton, Oliver

### 1994, Volume 10, Issue 02

**1-21 Kernel Estimation of Partial Means and a General Variance Estimator***by*Newey, Whitney K.**254-285 Autoregressive Errors in Singular Systems of Equations***by*Dhrymes, Phoebus J.**286-315 On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models***by*Spanos, Aris**316-356 Testing the Goodness of Fit of a Parametric Density Function by Kernel Method***by*Fan, Yanqin**357-371 Power of Tests for Nonlinear Transformation in Regression Analysis***by*Kobayashi, Masahito**372-395 U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator***by*Sherman, Robert P.**396-408 Estimating Error Component Models With General MA(q) Disturbances***by*Baltagi, Badi H. & Li, Qi**409-418 On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi***by*Wooldridge, Jeffrey M.**419-433 Professor H.O.A. Wold: 1908–1992***by*Hendry, David F. & Morgan, Mary S.**439-439 The Exact Distribution of the Lagrange Multiplier Test for Heteroskedasticity***by*Farebrother, R.W.**440-440 Underspecified Linear Model and the Best Instrumental Variable Estimator***by*Im, Eric Iksoon**441-442 An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares***by*Boswijk, Peter & Neudecker, Heinz**442-442 Eigenvalues of the Product of Non-negative Definite Matrices***by*Trenkler, Götz**443-448 Deriving Restricted Least Squares without a Lagrangean***by*Vahid, Farshid & Alvarez, Luis J. & Dolado, Juan J. & Paruolo, Paolo & Zheng, John Xu**449-449 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**450-450 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Iksoon Im, Eric**451-451 Erratum***by*Alvarez, L. & Dolado, J.**442-443 The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models***by*Windmeijer, Frank A.G.**442-442 Convergence of a Nonlinear Time Series Model***by*Phillips, Peter C.B.**439-440 A Bias Correction for Token's Correlation Dimension Estimator***by*Satchell, Stephen

### 1994, Volume 10, Issue 01

**1-28 Series Estimation of Regression Functionals***by*Newey, Whitney K.**29-52 Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator***by*Lee, Sang-Won & Hansen, Bruce E.**53-69 Asymptotically Optimal Tests Using Limited Information and Testing for Exogeneity***by*Smith, Richard J.**70-90 On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity***by*de Jong, R.M. & Bierens, H.J.**91-115 A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration***by*Shin, Yongcheol**116-129 Symmetry, Regression Design, and Sampling Distributions***by*Chesher, Andrew & Peters, Simon**130-139 Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component***by*Wyhowski, Donald J.**140-171 Some Exact Distribution Results for the Partially Restricted Reduced form Estimator***by*Kinal, Terrence W. & Knight, John L.**172-197 Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation***by*Koenker, Roger & Machado, José A.F. & Skeels, Christopher L. & Welsh, Alan H.**198-219 Haavelmo's Identification Theory***by*Aldrich, John**221-222 E.J. (Ted) Hannan***by*Pagan, Adrian & Terrell, Deane**223-223 Efficient Estimation Under Heteroskedasticity***by*Wooldridge, Jeffrey M.**224-225 Difference Approach to the Adaptive Regression Model***by*Iksoon Im, Eric**226-226 A Nonlinear Measurement Error Model with Fixed Observed X (Berkson Case)***by*Sapra, S.K.**227-228 Variable Addition Test***by*Farebrother, R.W.**228-228 Efficiency as Correlation***by*Zheng, John Xu**228-231 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Bailey, Roy E.**226-227 Bounds on Coefficient Estimates When the Dependent Variable is Grouped***by*Farebrother, R.W.**223-224 The Wald, LR, and LM Inequality***by*Baltagi, Badi H.

### 1993, Volume 9, Issue 04

**539-569 Adaptive Estimation in ARCH Models***by*Linton, Oliver**570-588 Estimation in Dynamic Linear Regression Models with Infinite Variance Errors***by*Knight, Keith**589-601 A Consistent Test of Stationary-Ergodicity***by*Domowitz, Ian & El-Gamal, Mahmoud A.**602-632 Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models***by*Burnside, Craig**633-648 Determination of Estimators with Minimum Asymptotic Covariance Matrices***by*Bates, Charles E. & White, Halbert**649-658 Specification Testing with Locally Misspecified Alternatives***by*Bera, Anil K. & Yoon, Mann J.**659-667 A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series***by*Swensen, Anders Rygh**668-679 A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model***by*Ohtani, Kazuhiro**680-685 On the Noninvertible Moving Average Time Series with Infinite Variance***by*Chan, Ngai Hang**687-687 Efficient Estimation with Orthogonal Regressors***by*Wooldridge, Jeffrey M.**688-689 Yule-Walker Prediction Error in a Random Walk Model***by*Hisamatsu, Hiroyuki**689-689 Reduced Rank Regression Asymptotics in Multivariate Regression***by*Phillips, Peter C.B.**690-690 Matrix Trace Inequalities Involving Simple Kronecker, and Hadamard Products***by*Neudecker, Heinz & Shuangzhe, Liu**691-691 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Shuangzhe, Liu**692-694 An Approximate Transformation for the Error Component Model with MA(q) Disturbances***by*Baltagi, Badi H. & Li, Qi**694-697 Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors***by*Alvárez, Luis J. & Dolado, Juan J.**697-703 Tabulation of Farebrother's Test for Linear Restriction***by*Dufour, Jean-Marie & Mahseredjian, Sophie**703-703 Moore-Penrose Inverse of a Symmetric Matrix***by*Abdullah, Jalaluddin & Neudecker, Heinz & Shuangzhe, Liu**690-691 Instrumental Variable Estimation of a Simple Simultaneous Equations Model with a Singular Error Variance Matrix***by*Farebrother, R.W.**689-690 Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure***by*Phillips, Peter C.B.**689-689 Characterization of a Projector***by*Farebrother, R.W. & Trenkler, G.**687-688 Nested Effects***by*Baltagi, Badi H.

### 1993, Volume 9, Issue 03

**329-342 Multivariate Time Series: A Polynomial Error Correction Representation Theorem***by*Gregoir, Stéphane & Laroque, Guy**343-362 Point Optimal Tests for Testing the Order of Differencing in ARIMA Models***by*Saikkonen, Pentti & Luukkonen, Ritva**363-376 Asymptotic Expansions for Random Walks with Normal Errors***by*Knight, J.L. & Satchell, S.E.**377-401 Distribution of the ML Estimator of an MA(1) and a local level model***by*Shephard, Neil**402-412 The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case***by*Davidson, James**413-430 Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix***by*Lee, Lung-Fei**431-450 The VPRT: A Sequential Testing Procedure Dominating the SPRT***by*Cressie, Noel & Morgan, Peter B.**451-477 A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models***by*Gozalo, Pedro L.**478-493 Robust Model Selection and M-Estimation***by*Machado, José A.F.**494-498 A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root***by*Saikkonen, Pentti**499-503 Median Unbiasedness of Estimators of Panel Data Censored Regression Models***by*Campbell, Jeffrey R. & Honoré, Bo E.**504-515 On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables***by*Ohtani, Kazuhiro & Hasegawa, Hikaru**521-521 MINQUE under Heteroskedasticity***by*Baltagi, Badi H.**522-523 Minimization of a Scalar Function Matrix***by*Iksoon Im, Eric & Snow, Marcellus S.**523-523 Inefficiency of the method of moments estimate for noninvertible MA(1) processes***by*Choi, In**524-524 Nonlinear transformations of LUS residuals***by*Farebrother, R.W**525-525 Binary Prediction***by*Koning, Ruud H.**526-527 When are Expectiles Percentiles?***by*Koenker, Roger**527-530 The Asymptotic Variance of the ML Estimator of MA(1) Coefficient***by*Chang, Young-Ho & Im, Eric Iksoon**530-533 Generalized Inverses of Partitioned Matrices***by*Trenkler, Götz & Schipp, Bernhard & Neudecker, Heinz & Shuangzhe, Liu**534-536 Efficiency of Maximum Likelihood***by*Phillips, Peter C.B. & Pötscher, Benedikt M.**524-524 A Kronecker Matrix Inequality with a Statistical Application***by*Neudecker, Heinz & Satorra, Albert**523-524 Characterization of an orthogonal projection matrix***by*Farebrother, R.W. & Pordzik, P. & Trenkler, G.**521-522 ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations***by*Magee, Lonnie

### 1993, Volume 9, Issue 02

**155-188 Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model***by*Saikkonen, Pentti**189-221 On the Asymptotic Power of Unit Root Tests***by*Abadir, Karim M.**222-240 Testing Identifiability and Specification in Instrumental Variable Models***by*Cragg, John G. & Donald, Stephen G.**241-262 Noncausality and Marginalization of Markov Processes***by*Florens, J.P. & Mouchart, M. & Rolin, J.M.**263-282 Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications***by*Choi, In**283-295 Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data***by*Hamerle, Alfred & Singer, Hermann & Nagl, Willi**296-309 A Curious Result on Exact FIML and Instrumental Variables***by*Calzolari, Giorgio & Sampoli, Letizia**311-311 Two New Co-Editors of Econometric Theory***by*Horowitz, Joel & Tanaka, Katsuto**313-313 The Maximum Rank Correlation Estimator and the Rank Estimator in Binary Choice Models***by*Windmeijer, Frank A.G.**314-314 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**315-316 A Derivation of the Limited Information Maximum Likelihood Estimator***by*Morimune, Kimio**316-322 The Three-Choice Multinomial Probit with Selectivity Corrections***by*Glewwe, Paul**322-323 Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity***by*Iksoon Im, Eric & Snow, Marcellus S.**323-324 Characterization of a Positive Semidefinite Matrix***by*Farebrother, R.W.**324-325 The Maximally Concentrated Unbiased Linear Estimator of β***by*Farebrother, R.W.**325-326 Seemingly Unrelated Regression Equations with No Contemporaneous Observations***by*Farebrother, R.W.**326-328 Simultaneous Equations Bias in Level VAR Estimation***by*Phillips, P.C.B.**314-315 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Baltagi, Badi H. & Savin, Berndt**313-314 Deriving Restricted Least Squares Estimator without a Lagrangean***by*Paruolo, Paolo

### 1993, Volume 9, Issue 01

**1-18 Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions***by*Horowitz, Joel L.**19-35 Estimation of Cointegration Vectors with Linear Restrictions***by*Saikkonen, Pentti**36-61 An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration***by*Tanaka, Katsuto**62-80 Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable***by*Kiviet, Jan F. & Phillips, Garry D.A.**81-93 Ols Bias in a Nonstationary Autoregression***by*Abadir, Karim M.**94-113 Variable Augmentation Specification Tests in the Exponential Family***by*Gurmu, Shiferaw & Trivedi, Pravin K.**117-143 Professor Marc Nerlove***by*Ghysels, Eric**145-145 Bounds on Coefficient Estimates When the Dependent Variable is Grouped***by*Fiebig, Denzil G.**146-146 Efficiency as Correlation***by*Oksanen, E.H.**147-148 Can More Information Make You Worse Off??***by*Leamer, Ed**148-148 Instrumental Variables Estimator and Admissibility***by*Trenkler, Göetz**149-150 The Bias of the Standard Errors of OLS Process with an Arbitrary Variance on the Initial Observations***by*Koning, Ruud H.**150-153 Limit Theory in Cointegrated Vector Autoregressions***by*Phillips, Peter C.B. & Toda, Hiro Y.**148-149 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R.W.**146-147 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Rilstone, Paul**145-146 Variable Addition Test***by*Wu, Ping

### 1992, Volume 8, Issue 04

**435-451 Nonparametric Regression Tests Based on Least Squares***by*Yatchew, Adonis John**452-475 A Test for Functional Form Against Nonparametric Alternatives***by*Wooldridge, Jeffrey M.**476-488 Simultaneous Density Estimation of Several Income Distributions***by*Marron, J.S. & Schmitz, H.-P.**489-500 Convergence to Stochastic Integrals for Dependent Heterogeneous Processes***by*Hansen, Bruce E.**501-517 On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives***by*Jandhyala, V.K. & MacNeill, I.B.**518-552 On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models***by*Lee, Lung-Fei**553-569 The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses***by*Szroeter, Jerzy**571-579 Continuous Time Econometric Modelling A.R. Bergstrom Oxford University Press, 1991***by*Robinson, Peter M.**581-581 Instrumental Variable Estimation of a Simple Simultaneous Equations Model with a Singular Error Variance Matrix***by*Farebrother, R. W.**582-583 An Approximate Transformation for the Error Component Model with MA(q) Disturbances***by*Baltagi, Badi H. & Li, Qi**583-583 Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors***by*Choi, In**584-584 Moore-Penrose Inverse of a Matrix Product***by*Neudecker, Heinz & Shuangzhe, Liu**585-585 An Inequality for the Block-Partitioned Inverse***by*Neudecker, Heinz**586-591 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P.**585-586 The Moore-Penrose Inverse of a Symmetric Matrix***by*Trenkler, G. & Magnus, Jan R.**583-584 Tabulation of Farebrother's Test for Linear Restrictions***by*Shephard, Neil**581-582 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Satorra, Albert & Neudecker, Heinz

### 1992, Volume 8, Issue 03

**313-329 A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes***by*Davidson, James**330-342 On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics***by*Hesse, C. H.**343-367 Stochastic Expansions and Asymptotic Approximations***by*Magdalinos, Michael A.**368-382 Winsorized Mean Estimator for Censored Regression***by*Lee, Myoung-Jae**383-401 The Cowles Commission, the Brookings Project, and the Econometric Services Industry: Successes and Possible New Directions: A Personal View***by*McCarthy, Michael D.**403-406 Semiparametric IV Estimation with Parameter Dependent Instruments***by*Rilstone, Paul**407-412 A Course in Econometrics Arthur Goldberger Harvard University Press, 1991***by*Steigerwald, Douglas G.**413-419 Applied Nonparametric Regression W. Härdle Cambridge University Press, 1990***by*Delgado, Miguel A.**423-423 Binary Prediction***by*Koenker, Roger**424-426 The Asymptotic Variance of ML Estimator of MA(l) Coefficient***by*Chang, Young-ho & Im, Eric Iksoon**426-427 Generalized Inverses of Partitioned Matrices***by*Phillips, Peter C.B.**427-427 Efficiency of Maximum Likelihood***by*Phillips, Peter C.B.**428-429 Skewness and Kurtosis in Bivariate Regression***by*Iksoon Im, Eric**430-433 Variance Component Estimation Under Misspecification***by*Baltagi, Badi H & Li, Qi**433-434 The Equivalence of Two Test Statistics for Testing the Constancy of Regression Coefficient***by*Buse, A.**427-428 Exogenous and Endogenous Sampling***by*Monfort, Alain**423-424 When Are Expectiles Percentiles?***by*Koenker, Roger

### 1992, Volume 8, Issue 02

**161-187 Adaptive Estimation in Time Serise Regression Models With Heteroskedasticity of Unknown Form***by*Hidalgo, Javier**188-202 A Representation of Vector Autoregressive Processes Integrated of Order 2***by*Johansen, Søren**203-222 Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model***by*Delgado, Miguel A.