Econometric Theory Vol. 20 Issue 05

Econometric Theory

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Table of Contents - Volume 20 - Issue 05 - 2004

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Research Articles

INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL

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Mehmet Caner and Bruce E. Hansen

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 813 - 843

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205011 (About DOI), Published online: 01 October 2004

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ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS

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Jiti Gao and Maxwell King

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 844 - 882

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205023 (About DOI), Published online: 01 October 2004

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NONPARAMETRIC IDENTIFICATION OF LATENT COMPETING RISKS MODELS NONPARAMETRIC IDENTIFICATION OF LATENT COMPETING RISKS MODELS

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Gordana Colby and Paul Rilstone

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 883 - 890

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205035 (About DOI), Published online: 01 October 2004

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ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

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Peter J.G. Vlaar

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 891 - 903

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205047 (About DOI), Published online: 01 October 2004

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AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

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Changli He and Timo Teräsvirta

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 904 - 926

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205059 (About DOI), Published online: 01 October 2004

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ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

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Jeannette H.C. Woerner

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 927 - 942

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205060 (About DOI), Published online: 01 October 2004

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A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS

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Yixiao Sun

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 943 - 962

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205072 (About DOI), Published online: 01 October 2004

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TRANSFORMATIONS FOR MULTIVARIATE STATISTICS TRANSFORMATIONS FOR MULTIVARIATE STATISTICS

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Patrick Marsh

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 963 - 987

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604205084 (About DOI), Published online: 01 October 2004

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PROBLEMS AND SOLUTIONS

03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation—Solution 03.5.1. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation—Solution

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Badi H. Baltagi

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 989 - 989

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604215092 (About DOI), Published online: 01 October 2004

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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution

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Dennis Kristensen and Oliver Linton

Econometric Theory / Volume 20 / Issue 05 / October 2004, pp 990 - 993

2004 Cambridge University Press

DOI: http://dx.doi.org/10.1017/S0266466604225099 (About DOI), Published online: 01 October 2004

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