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  • Note: Abstract, PDF and HTML open in a new window

  • Editor(s):
  • Peter C. B. Phillips, Cowles Foundation for Research in Economics, Yale University, USA

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Table of Contents - Volume 24 - Issue 05  

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Research Article

 
 

SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS

Songnian Chen and Shakeeb Khan

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1149-1173
doi:10.1017/S0266466608080468 (About doi), Published Online by Cambridge University Press 14 May 2008
 

NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

Roberto Renò

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1174-1206
doi:10.1017/S026646660808047X (About doi), Published Online by Cambridge University Press 14 May 2008
 

FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

Afonso Gonçalves da Silva and Peter M. Robinson

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1207-1253
doi:10.1017/S0266466608080481 (About doi), Published Online by Cambridge University Press 11 Jun 2008
 

ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA

Sokbae Lee

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1254-1276
doi:10.1017/S0266466608080493 (About doi), Published Online by Cambridge University Press 11 Jun 2008
 

WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL

Giovanni Forchini

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1277-1290
doi:10.1017/S026646660808050X (About doi), Published Online by Cambridge University Press 14 May 2008
 

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Mika Meitz and Pentti Saikkonen

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1291-1320
doi:10.1017/S0266466608080511 (About doi), Published Online by Cambridge University Press 11 Jun 2008
 

NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

Zongwu Cai and Qi Li

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1321-1342
doi:10.1017/S0266466608080523 (About doi), Published Online by Cambridge University Press 23 Jun 2008
 

NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Alexander Aue

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1343-1372
doi:10.1017/S0266466608080535 (About doi), Published Online by Cambridge University Press 23 Jun 2008
 

DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

Ioannis Kasparis

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1373-1403
doi:10.1017/S0266466608080547 (About doi), Published Online by Cambridge University Press 09 Jul 2008
 

ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

Feng Gao and Fengming Song

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1404-1424
doi:10.1017/S0266466608080559 (About doi), Published Online by Cambridge University Press 23 Jun 2008
 

DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION

Mohitosh Kejriwal and Pierre Perron

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1425-1441
doi:10.1017/S0266466608080560 (About doi), Published Online by Cambridge University Press 09 Jul 2008
 

NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC

James Davidson, Jan R. Magnus and Jan Wiegerinck

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1443-1455
doi:10.1017/S0266466608080675 (About doi), Published Online by Cambridge University Press 09 Jul 2008
 

REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS

Hailong Qian

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1456-1460
doi:10.1017/S0266466608080687 (About doi), Published Online by Cambridge University Press 09 Jul 2008
 

Miscellaneous

 
 

THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007

V.B. Hall and P.C.B. Phillips

Econometric Theory, Volume 24, Issue 05, October 2008, pp 1461-1462
doi:10.1017/S0266466608080705 (About doi), Published Online by Cambridge University Press 09 Jul 2008
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