# 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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### August 1993, Volume 9, Issue 04

**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.**687-688 Nested Effects***by*Baltagi, Badi H.**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.**689-689 Characterization of a Projector***by*Farebrother, R.W. & Trenkler, G.**689-690 Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure***by*Phillips, Peter C.B.**690-690 Matrix Trace Inequalities Involving Simple Kronecker, and Hadamard Products***by*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.**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

### June 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.**521-522 ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations***by*Magee, Lonnie**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**523-524 Characterization of an orthogonal projection matrix***by*Farebrother, R.W. & Pordzik, P. & Trenkler, G.**524-524 Nonlinear transformations of LUS residuals***by*Farebrother, R.W**524-524 The Singular Value Decomposition of the Square Roots of the Identity Matrix***by*Farebrother, R.W**524-524 Moore-Penrose Inverse of a Matrix Product with Normal Matrix***by*Neudecker, Heinz & Shuangzhe, Liu**524-524 A Kronecker Matrix Inequality with a Statistical Application***by*Neudecker, Heinz & Satorra, Albert**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.

### April 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.**313-314 Deriving Restricted Least Squares Estimator without a Lagrangean***by*Paruolo, Paolo**314-314 The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix***by*Paruolo, Paolo**314-315 Trace Minimization of Singular Systems with Cross-Equation Restrictions***by*Baltagi, Badi H. & Savin, Berndt**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.

### January 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.**145-146 Variable Addition Test***by*Wu, Ping**146-146 Efficiency as Correlation***by*Oksanen, E.H.**146-147 An Alternative Derivation of the Likelihood Function for Heckman's Endogenous Dummy Variable Model***by*Rilstone, Paul**147-148 Can More Information Make You Worse Off??***by*Leamer, Ed**148-148 Instrumental Variables Estimator and Admissibility***by*Trenkler, Göetz**148-149 A Class of Bivariate Density Functions with Common Marginals***by*Farebrother, R.W.**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.

### December 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.**581-582 A Matrix Equality Applicable in the Analysis of Mean-and-Covariance Structures***by*Satorra, Albert & Neudecker, Heinz**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**583-584 Tabulation of Farebrother's Test for Linear Restrictions***by*Shephard, Neil**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**585-586 The Moore-Penrose Inverse of a Symmetric Matrix***by*Trenkler, G. & Magnus, Jan R.**586-591 Testing for Stationarity in the Components Representation of a Time Series***by*Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P.

### September 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**423-424 When Are Expectiles Percentiles?***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.**427-428 Exogenous and Endogenous Sampling***by*Monfort, Alain**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.

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

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

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

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

### June 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.

### March 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