# Cambridge University Press

# Econometric Theory

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

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### 1989, Volume 5, Issue 01

### 1988, Volume 4, Issue 03

**365-383 The History of Continuous-Time Econometric Models***by*Bergstrom, A. R.**384-402 Some Exact Formulae for Autoregressive Moving Average Processes***by*Zinde-Walsh, Victoria**403-427 The Estimation of Linear Stochastic Models with Covariance Restrictions***by*Pollock, D.S.G.**428-457 Partially Adaptive Estimation of Regression Models via the Generalized T Distribution***by*McDonald, James B. & Newey, Whitney K.**458-467 Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables***by*Andrews, Donald W.K.**468-497 Statistical Inference in Regressions with Integrated Processes: Part 1***by*Park, Joon Y. & Phillips, Peter C.B.**499-508 A Multiple Decision Theory Analysis of Structural Stability in Regression***by*McCabe, B.P.M.**509-516 Locally Optimal Properties of the Durbin-Watson Test***by*King, Maxwell L. & Evans, Merran A.**517-527 A Comparison of Ordinary Least Squares and Least Absolute Error Estimation***by*Weiss, Andrew A.**528-533 Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations***by*Phillips, P.C.B.**535-535 Pseudo Orthogonality and Granger Causality in Dynamic Data***by*Quah, D.**536-536 The Lower Triangular Matrix Associated with an Autoregressive Process***by*Farebrother, R.W.**537-538 A Hausman Specification Test in a Simultaneous Equations Model***by*Holly, Alberto**538-542 Maximum-Likelihood Estimation of Barten's Demand Equations with a General, Symmetric or Diagonal Matrix of Specific Substitution Effects***by*Neudecker, H.**542-545 Identification and Estimation of a Simple Two-Equation Model***by*Singh, Narendra & Bhat, Avanindra N.**536-537 The Efficiency of OLS in a Seemingly Unrelated Regressions Model***by*Baltagi, Badi H.**535-536 Asymptotic Properties of Restricted Maximum-Likelihood Estimator of Parameters in Censored Regression Model***by*Sapra, S.K.

### 1988, Volume 4, Issue 02

**187-209 Econometric Methodology at the Cowles Commission: Rise and Maturity***by*Malinvaud, E.**210-230 Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes***by*Wooldridge, Jeffrey M. & White, Halbert**231-247 Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data***by*Lo, Andrew W.**248-274 Approximate Distributions and Power of Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations***by*Kunitomo, Naoto**275-299 Higher-Order Approximations to the Null Distributions of Test Statistics for Nonlinear Restrictions on Regression Coefficients***by*Morimune, Kimio**301-327 The Et Interview: Professor Albert Rex Bergstrom***by*Phillips, Peter C. B.**329-335 A Variance Comparison of OLS and Feasible GLS Estimators***by*Grubb, David & Magee, Lonnie**336-340 Asymptotic Equivalence of Closest Moments and GMM Estimators***by*Newey, Whitney K.**341-348 Statistical Foundations of Econometric Modelling Aris Spanos, Cambridge University Press, 1986***by*Hajivassiliou, Vassilis A.**349-349 Testing Linear Restrictions with Unequal Variances***by*Farebrother, R.W.**350-351 Results on LIML for an Equation Identified by Means of (within equation) Linear Restrictions***by*Holly, Alberto**351-352 Estimation of an Error in Variable Autoregressive Model***by*Trognon, Alain**352-352 Effect of an Additional Regressor on R2***by*Gouranga Rao, U.L. & White, Philip M.**354-355 Consistency of OLS***by*Le Breton, Michel**355-356 Efficient Estimation with Serial Correlation and Lagged Dependent Variables***by*Newey, Whitney K.**356-359 Prediction, Extraction, and Estimation in Unobserved Components Model***by*Diebold, Francis X. & Nerlove, Marc**359-361 Asymptotic Properties of One-step Estimator Obtained from an Optimal Step-size***by*Newey, Whitney K.**361-363 A Misspecified Model***by*Dolado, Juan J.**352-354 Simple Versus Multiple Regression Coefficient***by*Bhat, Avanindra N.**349-350 An Alternative Heteroscedastic Error Components Model***by*Baltagi, Badi H.

### 1988, Volume 4, Issue 01

**1-34 Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986***by*Phillips, P.C.B. & Choi, I. & Schochet, P.Z.**35-59 ARMA Memory Index Modeling of Economic Time Series***by*Bierens, Herman J.**60-69 Comment***by*Ploberger, W. & Deistler, M. & Rissanen, J. & Sims, Christopher A.**70-76 Reply***by*Bierens, Herman J.**77-85 Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process***by*Lütkepohl, Helmut**86-96 Estimation of a Single Structural Equation with Structural Change***by*Hodoshima, Jiro**97-107 On Point-Optimal Cox Tests***by*Dastoor, Naorayex K. & Fisher, Gordon**108-124 Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies***by*Zadrozny, Peter**125-157 The ET Interview: Professor James Durbin***by*Phillips, Peter C. B.**159-170 Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations***by*Durbin, James**171-171 Prediction with a Two-Way Error Component Regression Model***by*Baltagi, Badi H.**172-173 Structural Estimation Under Partial Identification***by*Phillips, P.C.B.**173-176 Instrumental Variables Bivariate Exogeneity Test***by*Richard, Jean-François**176-177 Single Equation Estimation***by*Morimune, Kimio**177-179 Estimation of a Structural Equation when Reduced-Form Coefficients Are Known***by*Hsiao, Cheng & Morimune, Kimio**179-181 An Integral over a Matrix Space***by*Hansen, Bruce E.**183-186 Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986***by*Pötscher, B.M.**171-172 Asymptotic Properties of OLS and GLS***by*Phillips, P.C.B.

### 1987, Volume 3, Issue 03

**313-347 Asymptotic Normality of a Class of Nonparametric Statistics***by*Seoh, Munsup & Puri, Madan L.**348-358 Asymptotic Results for Generalized Wald Tests***by*Andrews, Donald W. K.**359-370 Finite Sample Properties of Several Predictors From an Autoregressive Model***by*Maekawa, Koichi**371-386 Bias in Regressions With a Lagged Dependent Variable***by*Grubb, David & Symons, James**387-408 Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable***by*Nankervis, J.C. & Savin, N.E.**461-461 Parameter Estimates which Minimize the Sum of Functions of the Differences between the Residuals***by*Farebrother, R. W.**463-463 Identification and Estimation of a Simple Two-Equation Model***by*Holly, Alberto**464-464 Mutual Independence off Test Statistics–Solution***by*Monfort, Alain**466-466 Estimation of ARCH Models–Solution***by*Kiefer, Nicholas M.**467-469 An Eigenvalue Problem – Solution***by*Magnus, Jan R.**469-470 The Distribution of LIML in the Leading Case – Solution***by*Phillips, Peter C.B.**464-466 Contrast in Inferences Based on Sampling Distributions and Posterior Distributions–Solution***by*Poirier, Dale J.**461-463 Maximum Likelihood Estimation of Barten's Demand Equations with a General, Symmetric or Diagonal Matrix of Specific Substitution Effects***by*Neudecker, Heinz

### 1987, Volume 3, Issue 02

**169-169 Editorial***by*Phillips, Peter C. B.**171-194 Worldwide Rankings of Research Activity in Econometrics: 1980–1985***by*Hall, A. D.**195-207 Methods for Constructing Top Order Invariant Polynomials***by*Chikuse, Yasuko**208-222 Implications of Aggregation with Common Factors***by*Granger, C. W. J.**223-246 Full Information Estimations of a System of Simultaneous Equations with Error Component Structure***by*Balestra, Pietro & Varadharajan-Krishnakumar, Jayalakshmi**247-271 Approximating the Approximate Slopes of LR, W, and LM Test Statistics***by*Magee, Lonnie**297-298 A Remark on Magdalinos's k-Class Instrumental Variable Estimator***by*Farebrother, R. W.**299-304 Preliminary-Test Estimation of the Error Variance in Linear Regression***by*Clarke, Judith A. & Giles, David E. A. & Wallace, T. Dudley**305-305 Prediction, Extraction, and Estimation in Unobserved Components Models***by*Diebold, Francis X. & Nerlove, Marc**306-306 A Misspecified Model***by*White, Halbert**309-311 The Identification and Estimation of a Simple Demand and Supply Model***by*Farebrother, R. W.**306-309 Application of Kalman Filter***by*Pereira, Pedro L. Valls**305-306 Asymptotic Properties of One-Step Estimator Obtained from an Optimal Step Size***by*Newey, Whitney K.

### 1987, Volume 3, Issue 01

**1-44 Classes of Similar Regions and Their Power Properties for Some Econometric Testing Problems***by*Hillier, Grant H.**45-68 Asymptotic Expansions in Nonstationary Vector Autoregressions***by*Phillips, P. C. B.**69-97 Global and Partial Non-Nested Hypotheses and Asymptotic Local Power***by*Pesaran, M. Hashem**98-116 Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions***by*Andrews, Donald W. K.**143-149 An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample***by*Agbeyegbe, Terence D.**150-152 Predictive Consequences of Using Conditioning or Causal Variables***by*Granger, C.W.J. & Thomson, P. J.**153-158 Advanced Econometrics By Takeshi Amemiya, Harvard University Press, 1986***by*Newey, Whitney K.**159-159 Simple Versus Multiple Regression Coefficient***by*Baltagi, Badi H.**160-160 Efficient Estimation With Serial Correlation and Lagged Dependent Variables***by*Newey, Whitney K.**162-162 The Exact Bias of Wald's Estimation***by*Farebrother, R. W.**163-167 Unanticipated Macro Model Estimation***by*Ullah, A.**160-161 Unobservable Variable Model Estimation***by*Ullah, Aman**159-160 Consistency of OLS***by*White, Halbert

### 1986, Volume 2, Issue 03

**305-330 On Consistency and Inconsistency of Estimating Equations***by*Crowder, Martin**331-349 Time Series Analysis in Pooled Cross-Sections***by*Beggs, John J.**350-373 The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data***by*Bergstrom, A. R.**374-412 Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations***by*Heijmans, Risto D. H. & Magnus, Jan R.**413-428 An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables***by*Inder, Brett**429-440 Pooling Under Misspecification: Some Monte Carlo Evidence on the Kmenta and the Error Components Techniques***by*Baltagi, Badi H.**441-442 Effect of an Additional Regressor on R2***by*Nieswiadomy, Michael**442-444 Single Equation Estimation***by*Morimune, Kimio**445-446 Estimation of a Structural Equation when Reduced Form Coefficients are Known***by*Hsiao, Cheng & Morimune, Kimio**446-447 An Integral Over a Matrix Space***by*Phillips, Peter C. B.**448-449 Efficient Reduced Form Estimation via OLS***by*Knight, John L.**449-452 Distribution of F-Ratio***by*Ullah, A. & Phillips, P.C.B.**452-454 Prediction Error Variances under Heteroscedasticity***by*Tremayne, A. R.**454-454 Estimation of a Constrained Equation System***by*Cramer, J. S.

### 1986, Volume 2, Issue 02

**157-190 Symmetry, 0-1 Matrices and Jacobians: A Review***by*Magnus, Jan R. & Neudecker, H.**191-201 Strong Consistency of Regression Quantiles and Related Empirical Processes***by*Bassett, Gilbert W. & Koenker, Roger W.**202-219 The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances***by*Knight, John. L.**220-231 A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity***by*Ohtani, Kazuhiro & Kobayashi, Masahito**232-248 A Survey on the Invariant Polynomials with Matrix Arguments in Relation to Econometric Distribution Theory***by*Chikuse, Yasuko & Davis, A. W.**249-288 Proffessor T.W. Anderson***by*Phillips, Peter C. B.**289-289 Contrast in Inferences Based on Sampling Distributions and Posterior Distributions***by*Poirier, Dale J.**290-290 Theil's Minimum MSE Estimator for the Standard Linear Model***by*Neudecker, Heinz**291-293 Moments of OLS and 2SLS via Fractional Calculus***by*Knight, John L.**294-297 Limited Information Estimation Solution***by*Hillier, Grant H.**297-300 Non-Linear Estimation***by*Holly, Alberto & Magnus, Jan. R.**300-303 A Non-normal Limiting Distribution***by*Knight, John L.**290-291 The Distribution of LIML in the Leading Case***by*Farebrother, R. W.**290-290 An Eigenvalue Problem***by*Magnus, Jan R.**289-289 Estimation of ARCH Models***by*Kiefer, Nicholas M.

### 1986, Volume 2, Issue 01

**1-32 Comparing Single-Equation Estimators in a Simultaneous Equation System***by*Anderson, T. W. & Kunitomo, Naoto & Morimune, Kimio**33-65 Aproximate Distributions of the Periodogram and Related Statistics under Normality***by*Nabeya, Seiji & Tanaka, Katsuto**66-74 Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model***by*Hillier, G. H. & Satchell, S. E.**75-106 Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators***by*Knight, John L.**107-131 Asymptotic Theory for ARCH Models: Estimation and Testing***by*Weiss, Andrew A.**132-150 Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach***by*Welsh, A. H. & Nicholls, D. F.**151-152 Comment on a Paper by Singh and Ullah***by*Robinson, P. M.**153-156 Instrumental Variables Bivariate Exogeneity Test***by*Richard, Jean-François**156-156 Mutual Independence of F Test Statistics***by*Monfort, Alain**156-156 The Identification and Estimation of a Simple Demand and Supply Model***by*Farebrother, R. W.

### 1985, Volume 1, Issue 03

**295-313 New Ways to Prove Central Limit Theorems***by*Pollard, David**315-340 A General Approach to Serial Correlation***by*Gourieroux, C. & Monfort, A. & Trognon, A.**341-368 Solutions of Linear Rational Expectations Models***by*Broze, L. & Gourieroux, C. & Szafarz, A.**369-385 The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models***by*Bergstrom, A. R.**387-402 Unbiasedness of Predictions from Etimated Vector Autoregressions***by*Dufour, Jean-Marie**403-408 Hypothesis Testing in Demand Systems: Some Examples of Size Corrections Using Edgeworth Approximations***by*Byron, Ray & Rosalsky, Mercedes C.**409-417 Minimax Estimators for the Location Vectors of Spherically Symmetric Densities***by*Judge, George & Miyazaki, Shigetaka & Yancey, Thomas

### 1985, Volume 1, Issue 02

**151-178 A Unified Theory of Consistent Estimation for Parametric Models***by*Bates, Charles & White, Halbert**179-191 On Differentiating Eigenvalues and Eigenvectors***by*Magnus, Jan R.**192-210 A Theory of Serial Correlation of Stochastic Taste Changers in Direct Utility Functions***by*Basmann, Robert L.**211-222 A Point Optimal Test for Moving Average Regression Disturbances***by*King, Maxwell L.**223-239 Edgeworth Expansion for the OLS Estimator in a Time Series Regression Model***by*Maekawa, Koichi**240-262 Improving Some Instrumental Variables Test Procedures***by*Magdalinos, Michael A.**263-290 Proffessor E. J. Hannnan***by*Pagan, Adrian

### 1985, Volume 1, Issue 01

**1-5 Editorial***by*Phillips, Peter C.B.**7-26 The Estimation of Nonparametric Functions in a Hilbert Space***by*Bergstrom, A. R.**27-52 Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression***by*Singh, Radhey S. & Ullah, Aman**53-72 On the Joint and Marginal Densities of Instrumental Variable Estimators in a General Structural Equation***by*Hillier, Grant H.**73-84 An Asymptotic Expansion for the Distribution of the Likelihood Radio Criterion for a Gaussian Autoregressive Moving Average Process Under a Local Alternative***by*Taniguchi, Masanobu**85-96 A Zero-One Result for the Least Squares Estimator***by*Andrews, Donald W. K.**97-117 The Estimation of Higher-Order Continuous Time Autoregressive Models***by*Harvey, A. C. & Stock, James H.**119-139 Professor J. D. Sargan***by*Phillips, Peter C.B.**141-142 Editorial Note***by*Holly, Alberto & Phillips, Peter C.B.**147-149 Abstracts of Working Papers in Economics: A Computer Searchable On-line Data Base***by*White, Halbert