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Content
April 2002, Volume 18, Issue 2
- 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
- 541-545 Problems And Solutions
by ,
February 2002, Volume 18, Issue 1
- 1-16 On Stationarity In The Arch(∞) Model
by Kazakevičius, 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, João
- 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
- 193-194 Problems And Solutions
by ,
December 2001, Volume 17, Issue 6
October 2001, Volume 17, Issue 5
- 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
- 1025-1031 Problems And Solutions
by ,
August 2001, Volume 17, Issue 4
- 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 & Pötscher, 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.
- 859-859 Corrigenda
by ,
June 2001, Volume 17, Issue 3
- 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 2
- 283-295 LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS
by Horváth, 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 1
- 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 6
- 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 5
- 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 & Zakoïan, 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, Søren
- 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 4
- 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 3
April 2000, Volume 16, Issue 2
- 151-175 Tests Of Rank
by Robin, Jean-Marc & Smith, Richard J.
- 176-199 Tests Of Common Stochastic Trends
by Nyblom, Jukka & Harvey, Andrew
- 200-230 Asymptotic Distributions For Unit Root Test Statistics In Nearly Integrated Seasonal Autoregressive Models
by Nabeya, Seiji
- 231-248 Small-Sample Likelihood-Based Inference In The Arfima Model
by Lieberman, Offer & Rousseau, Judith & Zucker, David M.
- 249-261 Lm Tests In The Presence Of Non-Normal Error Distributions
by Furno, Marilena
- 262-268 A Strong Consistency Proof For Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimators
by de Jong, Robert M.
- 269-279 Simultaneous Equations With Incomplete Panels
by Baltagi, Badi H. & Chang, Young-Jae
- 280-282 A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution
by Karanasos, Menelaos
- 287-299 Problems And Solutions
by ,
February 2000, Volume 16, Issue 1
- 3-22 Stationary Arch Models: Dependence Structure And Central Limit Theorem
by Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus
- 23-43 Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients
by Yang, Minxian
- 44-79 Non-Gaussian Log-Periodogram Regression
by Velasco, Carlos
- 80-101 Bayesian Regression Analysis With Scale Mixtures Of Normals
by Fernández, Carmen & Steel, Mark F.J.
- 102-111 Cointegration And Distance Between Information Sets
by Triacca, Umberto
- 113-125 The Et Interview: Professor Olav Reiersøl
by Willassen, Yngve
- 127-130 Dynamic Nonlinear Econometric Models—Asymptotic Theory
by de Jong, Robert M.
- 131-138 Simulation-Based Econometric Methods
by Andersen, Torben G.
- 139-142 Econometric Methods
by Tripathi, Gautam
December 1999, Volume 15, Issue 6
October 1999, Volume 15, Issue 5
- 643-663 Deciding Between I(0) And I(1) Via Flil-Based Bounds
by Corradi, Valentina
- 664-703 Cointegrating Regressions With Time Varying Coefficients
by Park, Joon Y. & Hahn, Sang B.
- 704-709 The Local Asymptotic Power Of Certain Tests For Fractional Integration
by Wright, Jonathan H.
- 710-718 Optimality For The Integrated Conditional Moment Test
by Boning, Wm. Brent & Sowell, Fallaw
- 719-752 Research In Econometric Theory: Quantitative And Qualitative Productivity Rankings
by Cribari-Neto, Francisco & Jensen, Mark J. & Novo, Álvaro A.
- 753-776 Et Interview: Professor G.S. Maddala
by Lahiri, Kajal
- 777-788 Problems And Solutions
by ,
August 1999, Volume 15, Issue 4
- 435-468 Multivariate Time Series With Various Hidden Unit Roots, Part I
by Gregoir, Stéphane
- 469-518 Multivariate Time Series With Various Hidden Unit Roots, Part Ii
by Gregoir, Stéphane
- 519-548 Efficient Detrending In Cointegrating Regression
by Xiao, Zhijie & Phillips, Peter C.B.
- 549-582 The Nonstationary Fractional Unit Root
by Tanaka, Katsuto
- 583-621 On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors
by Jeganathan, P.
- 622-628 Spurious Regression Between I(1) Processes With Infinite Variance Errors
by Tsay, Wen-Jen
- 629-637 Problems And Solutions
by ,
June 1999, Volume 15, Issue 3
April 1999, Volume 15, Issue 2
February 1999, Volume 15, Issue 1
- 1-23 Unit Root Tests Based On Adaptive Maximum Likelihood Estimation
by Shin, Dong Wan & So, Beong Soo
- 24-49 Asymptotics Of Ml Estimator For Regression Models With A Stochastic Trend Component
by Kuo, Biing-Shen
- 50-78 Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process
by Saikkonen, Pentti & Lütkepohl, Helmut
- 79-98 Semiparametric Estimation Of A Location Parameter In The Binary Choice Model
by Chen, Songnian
- 99-113 Analytical Power Comparisons Of Nested And Nonnested Tests For Linear And Loglinear Regression Models
by Kobayashi, Masahito & McAleer, Michael
- 114-138 Constrained Smoothing Splines
by Póo, Juan M. Rodriguez
- 139-149 Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case
by Nabeya, Seiji
- 151-160 Problems And Solutions
by ,
December 1998, Volume 14, Issue 6
- 701-743 Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures
by Kleibergen, Frank & van Dijk, Herman K.
- 744-769 Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes
by Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar
- 770-782 Moment Generating Functions And Further Exact Results For Seasonal Autoregressions
by Pitarakis, Jean-Yves
- 783-793 A Note On The Convergence Of Nonparametric Dea Estimators For Production Efficiency Scores
by Kneip, Alois & Park, Byeong U. & Simar, Léopold
- 795-798 An Introduction To Econometric Theory
by Linton, Oliver B.
October 1998, Volume 14, Issue 5
August 1998, Volume 14, Issue 4
June 1998, Volume 14, Issue 3
- 295-325 Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative
by Stinchcombe, Maxwell B. & White, Halbert
- 326-338 On Estimating An Arma Model With An Ma Unit Root
by McCabe, B.P.M. & Leybourne, S.J.
- 339-354 Chi-Square-Type Distributions For Heavy-Tailed Variates
by Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol
- 355-363 Effect Of A Shift In The Trend Function On Dickey–Fuller Unit Root Tests
by Montañés, Antonio & Reyes, Marcelo
- 365-368 Financial Calculus: An Introduction To Derivative Pricing
by Sørenson, Bent E.
- 369-374 Topics In Advanced Econometrics: Estimation, Testing, And Specification Of Cross-Section And Time Series Models
by Whang, Yoon-Jae
- 375-378 Time-Series-Based Econometrics
by Choi, In
- 379-380 Handbook Of Matrices
by Magnus, Jan R.
- 381-386 Problems And Solutions
by ,
April 1998, Volume 14, Issue 2
- 161-186 Quasi-Indirect Inference For Diffusion Processes
by Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel
- 187-199 A Parametric Characterization Of Integrated Vector Autoregressive (Var) Processes
by la Cour, Lisbeth
- 200-221 On Phillips–Perron-Type Tests For Seasonal Unit Roots
by Breitung, Jörg & Franses, Philip Hans
- 222-259 Tests For Structural Change In Cointegrated Systems
by Seo, Byeongseon
- 260-284 Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications
by Chen, Xiaohong & White, Halbert
- 285-292 Problems And Solutions
by ,
February 1998, Volume 14, Issue 1
December 1997, Volume 13, Issue 6
- 771-790 Curved Exponential Models in Econometrics
by van Garderen, Kees Jan
- 791-807 Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios
by Knight, John L & Satchell, Stephen E.
- 808-817 Optimal Prediction Under Asymmetric Loss
by Christoffersen, Peter F. & Diebold, Francis X.
- 818-848 Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
by Vogelsang, Timothy J.
- 850-876 Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
by Choi, In & Park, Joon Y. & Yu, Byungchul
- 877-888 Multivariate Linear Rational Expectations Models
by Binder, Michael & Pesaran, M. Hashem
October 1997, Volume 13, Issue 5
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