UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

Badi H. Baltagi and Ping X. Wu

Econometric Theory, Volume 15, Issue 06, Dec 1999, pp 814-823

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STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS

Thierry Jeantheau

Econometric Theory, Volume 14, Issue 01, Feb 1998, pp 70-86

doi: 10.1017/S0266466698141038 (About doi),

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AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

Michael McAleer

Econometric Theory, Volume 21, Issue 01, Feb 2005, pp 232-261

doi: 10.1017/S0266466605050140 (About doi), Published online by Cambridge University Press 08 Feb 2005

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A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES

Alois Kneip, Byeong U. Park and Léopold Simar

Econometric Theory, Volume 14, Issue 06, Dec 1998, pp 783-793

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PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Peter Pedroni

Econometric Theory, Volume 20, Issue 03, Jun 2004, pp 597-625

doi: 10.1017/S0266466604203073 (About doi), Published online by Cambridge University Press 08 Jun 2004

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STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus

Econometric Theory, Volume 16, Issue 01, Feb 2000, pp 3-22

doi: 10.1017/S0266466600161018 (About doi),

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CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE

Maxwell B. Stinchcombe and Halbert White

Econometric Theory, Volume 14, Issue 03, Jun 1998, pp 295-325

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NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

Shiqing Ling and Michael McAleer

Econometric Theory, Volume 18, Issue 03, Jun 2002, pp 722-729

doi: 10.1017/S0266466602183071 (About doi), Published online by Cambridge University Press 15 May 2002

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ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

Shiqing Ling and Michael McAleer

Econometric Theory, Volume 19, Issue 02, Apr 2003, pp 280-310

doi: 10.1017/S0266466603192092 (About doi), Published online by Cambridge University Press 31 Jan 2003

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TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

Pentti Saikkonen and Helmut Lütkepohl

Econometric Theory, Volume 16, Issue 03, Jun 2000, pp 373-406

doi: 10.1017/S0266466600163042 (About doi),

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