# Cambridge University Press

# Econometric Theory

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

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Arthur Lewbel
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### August 1996, Volume 12, Issue 03

**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