# 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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### 1992, Volume 8, Issue 02

**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.**307-307 Simultaneous Equations Bias in Level VAR Estimation***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.**307-309 Partitioned Regression with Rank-Deficient Regressions***by*Phillips, Peter C.B.**306-307 Seemingly Unrelated Regression Equations with No Contemporaneous Observations***by*Farebrother, R. W.

### 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**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**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.**146-146 Limit Theory in Cointegrated Vector Autoregressions***by*Phillips, Peter C.B. & Toda, Hiro Y.**145-146 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R. W.**145-145 Instrumental Variables Estimator and Admissibility***by*Trenkler, Götz

### 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.**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**543-544 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B & Schmidt, P.**543-543 The Moore-Penrose Inverse of a Symmetric Matrix***by*Farebrother, R.W. & Iksoon Im, Eric

### 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**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**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**425-427 A Comparison of Variance Components Estimators Using Balanced Versus Unbalanced Data***by*Koning, Ruud H.**417-418 Skewness and Kurtosis in Bivariate Regression***by*Magee, Lonnie

### 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.

### 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**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.**139-140 A Matrix Invariance Problem***by*Neudecker, Heinz & Satorra, Albert

### 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.**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**490-490 A Best Linear Unbiased Estimator of Rβ with a Scalar Variance Matrix***by*Farebrother, R.W.**494-495 The Limit Distribution of the Generalized Inverse of a Singular Co-variance Matrix Estimate***by*Balestra, Pietro**490-494 The Asymptotic Distribution of the Iterated Gauss-Newton Estimators of an ARIMA Process***by*Dolado, Juan J. & Hidalgo-Moreno, Javier**489-490 The Geometry of the Equivalence of OLS and GLS in the Linear Model***by*Phillips, Peter C.B.**485-485 Convergence to a Stochastic Integral***by*Hansen, Bruce E.

### 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**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.**405-406 The Characteristic Function of a Simple Random Walk Test Statistic***by*Farebrother, R.W.**405-405 Correlation Among Unconstrained Variables in a Pooled Model***by*Dineen, Chris

### 1990, Volume 6, Issue 02

**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**285-285 Property of a Matrix Used in Multidimensional Scaling***by*Boswijk, H.P. & Neudecker, H.**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**285-286 Optimal Structural Estimation of Triangular Systems: I. The Stationary Case***by*Phillips, P.C.B.**283-285 A Comparison of Variance Components Estimators Using Balanced Versus Unbalanced Data***by*Baltagi, Badi H. & Li, Qi**283-283 Conditional and Unconditional Independence***by*Knight, J.L. & Satchell, E.**i-i The Tjalling C. Koopmans Econometric Theory Prize***by*Phillips, Peter C. B.

### 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.**114-114 A Property of the Duplication Matrix***by*Neudecker, Heinz & Setorra, Albert**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**114-117 Identifiability in a Mixed-Sample System***by*Agbeyegbe, Terence D.**114-114 Comparison of t-ratios***by*Holly, Alberto**113-114 Estimation of Type 3 Tobit Model via the EM Algorithm***by*Sapra, S.K.

### 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.**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.**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.**455-456 The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate***by*Phillips, Peter C.B.**453-454 Simultaneous Confidence Ellipsoids***by*Farebrother, R.W.

### 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.**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**328-331 Estimation of an Error in Variable Autoregressive Model***by*Trognon, Alain**326-328 Results on LIML for an Equation Identified by Means of (within equation) Linear Restrictions***by*Holly, Alberto**320-321 Results for a Simple Triangular Simultaneous Equations Model***by*Holly, Alberto

### 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.**174-174 The Singular-Value Decomposition of the First-Order Difference Matrix***by*Farebrother, R. W.**175-175 A Variance Comparison of OLS and Feasible GLS in an Error Components Model***by*Baltagi, Badi H.**177-180 Asymptotic Properties of OLS and GLS***by*Dolado, Juan J.**175-177 Prediction with a Two-Way Error Component Regression Model***by*Konning, Ruud H.**174-175 A Matrix Inequality***by*Neudecker, Heinz**173-173 Optimal Instrumental Variable Estimator of the AR Parameter of an ARMA (1,1) Process***by*Pantula, Sastry G.