# 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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### September 1991, Volume 7, Issue 03

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

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

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

### June 1990, Volume 6, Issue 02

**1-1 The Tjalling C. Koopmans Econometric Theory Prize***by*Phillips, Peter C. B.**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**283-283 Conditional and Unconditional Independence***by*Knight, J.L. & Satchell, E.**283-285 A Comparison of Variance Components Estimators Using Balanced Versus Unbalanced Data***by*Baltagi, Badi H. & Li, Qi**285-285 Property of a Matrix Used in Multidimensional Scaling***by*Boswijk, H.P. & Neudecker, H.**285-286 Optimal Structural Estimation of Triangular Systems: I. The Stationary Case***by*Phillips, P.C.B.**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

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

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

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

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

### December 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.**535-536 Asymptotic Properties of Restricted Maximum-Likelihood Estimator of Parameters in Censored Regression Model***by*Sapra, S.K.**536-536 The Lower Triangular Matrix Associated with an Autoregressive Process***by*Farebrother, R.W.**536-537 The Efficiency of OLS in a Seemingly Unrelated Regressions Model***by*Baltagi, Badi H.**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.

### August 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.**349-350 An Alternative Heteroscedastic Error Components Model***by*Baltagi, Badi H.**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.**352-354 Simple Versus Multiple Regression Coefficient***by*Bhat, Avanindra N.**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.

### April 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.**171-172 Asymptotic Properties of OLS and GLS***by*Phillips, P.C.B.**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.

### June 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.