ARTICLES

Aguirre-Torres, Víctor, and Manuel Domínguez Toribio Efficient Method of Moments in Misspecified i.i.d. Models

513

Arvanitis, Stelios The Diffusion Limit of a TVP-GQARCH-M(1,1) Model

161

Berkes, István, Edit Gombay, Lajos Horváth, and Piotr Kokoszka Sequential Change-Point Detection in GARCH(p,q) Models

1140

Bravo, Francesco Empirical Likelihood Based Inference with Applications to Some Econometric Models

231

Caner, Mehmet, and Bruce E. Hansen Instrumental Variable Estimation of a Threshold Model

813

Chen, Willa W., and Rohit S. Deo A Generalized Portmanteau Goodness-of-Fit Test for Time Series Models

382

Colby, Gordana, and Paul Rilstone Nonparametric Identification of Latent Competing Risks Models

883

Feng, Yuanhua Simultaneously Modeling Conditional Heteroskedasticity and Scale Change

563

Fermanian, Jean-David, and Bernard Salanié A Nonparametric Simulated Maximum Likelihood Estimation Method

701

Gao, Jiti, and Maxwell King Adaptive Testing in Continuous-Time Diffusion Models

844

Ghysels, Eric, and Alain Guay Testing for Structural Change in the Presence of Auxiliary Models

1168

Gørgens, Tue Average Derivatives for Hazard Functions

437

Härdle, Wolfgang, Sylvie Huet, Enno Mammen, and Stefan Sperlich Bootstrap Inference in Semiparametric Generalized Additive Models

265

He, Changli, and Timo Teräsvirta An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure

904

Jansson, Michael Stationarity Testing with Covariates

56

Jensen, Søren Tolver, and Anders Rahbek Asymptotic Inference for Nonstationary GARCH

1203

Kauppi, Heikki On the Robustness of Hypothesis Testing Based on Fully Modified Vector Autoregression when Some Roots Are Almost One

341

Kim, Woocheol, and Oliver Linton The LIVE Method for Generalized Additive Volatility Models

1094

Koul, Hira L., Richard T. Baillie, and Donatas Surgailis Regression Model Fitting with a Long Memory Covariate Process

485

Lieberman, Offer, and Peter C.B. Phillips Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter

464

Lippi, Marco Issues Concerning the Approximation Underlying the Spectral Representation Theorem

417

Lobato, Ignacio N., and Carlos Velasco A Simple Test of Normality for Time Series

671

Marsh, Patrick Transformations for Multivariate Statistics

963

Nielsen, Morten Ørregaard Efficient Likelihood Inference in Nonstationary Univariate Models

116

Nze, Patrick Ango, and Paul Doukhan Weak Dependence: Models and Applications to Econometrics

995

Pedroni, Peter Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis

597

Pötscher, Benedikt M. Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem

1

Qin, Huaizhen, and Alan T.K. Wan On the Properties of the t- and F-Ratios in Linear Regressions with Nonnormal Errors

690

Rodrigues, Paulo M.M., and A.M. Robert Taylor Asymptotic Distributions for Regression-Based Seasonal Unit Root Test Statistics in a Near-Integrated Model

645

Rodrigues, Paulo M.M., and A.M. Robert Taylor On Tests for Double Differencing: Methods of Demeaning and Detrending and the Role of Initial Values

95

Saikkonen, Pentti, and In Choi Cointegrating Smooth Transition Regressions

301

Sancetta, Alessio, and Stephen Satchell The Bernstein Copula and Its Applications to Modeling and Approximations of Multivariate Distributions

535

Schennach, Susanne M. Nonparametric Regression in the Presence of Measurement Error

1046

Sun, Yixiao A Convergent t-Statistic in Spurious Regressions

943

Sun, Yixiao Estimation of the Long-Run Average Relationship in Nonstationary Panel Time Series

1227

Thompson, Samuel B. Optimal versus Robust Inference in Nearly Integrated Non-Gaussian Models

23

Thompson, Samuel B. Robust Tests of the Unit Root Hypothesis Should Not Be “Modified”

360

Tue Gørgens Average Derivatives for Hazard Functions

437

Vlaar, Peter J.G. On the Asymptotic Distribution of Impulse Response Functions with Long-Run Restrictions

891

Woerner, Jeannette H.C. Estimating the Skewness in Discretely Observed Lévy Processes

927

Yang, Yuhong Combining Forecasting Procedures: Some Theoretical Results

176

Zaffaroni, Paolo Stationarity and Memory of ARCH(∞) Models

147

CORRIGENDUM

Correction to the Solution Number in ET 20(2)

811

EDITORIAL NOTE

Paruolo, Paolo, and Peter C.B. Phillips Notes and Problems: A New Format for the Problems and Solutions Series

643

ET INTERVIEW

Professor David F. Hendry Interviewed by Neil R. Ericsson

743

MEETING REPORT

NZESG Celebrates Professor Clive Granger's Nobel Award

431

MISCELLANEA

de Jong, Robert M. Addendum to “Asymptotics for Nonlinear Transformations of Integrated Time Series”

627

Díaz-Emparanza, Ignacio A Note on the Paper by H.J. Bierens: “Complex Unit Roots and Business Cycles: Are They Real?”

636

Kapetanios, George The Asymptotic Distribution of the Cointegration Rank Estimator under the Akaike Information Criterion

735

PRIZES, AND AWARDS, AND ANNOUNCEMENTS

The A.R. Bergstrom Prize in Econometrics, 2005

1265

The Econometric Theory Awards 2004

641

PROBLEMS

Baltagi, B.H. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares

223

Dhaene, Geert, and Luc Lauwers Characterizations of Hermitian Projectors

427

Paruolo, Paolo An I(2) model for VAR(1) processes

639

Tian, Yongge A Range Equality for Block Matrices with Orthogonal Projectors

427

Wansbeek, T. Correcting for Heteroskedasticity of Unspecified Form

224

SOLUTIONS

Abadir, Karim M., and Jan R. Magnus Normal's Deconvolution and the Independence of Sample Mean and Variance

805

Abadir, Karim, and Jan Magnus The Central Limit Theorem for Student's Distribution

1261

Baltagi, Badi H. A Concise Derivation of the Wallace and Hussain Fixed Effects Transformation

989

Carrasco, M. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression

228

Cavaliere, Giuseppe The Asymptotic Distribution of the Dickey-Fuller Statistic under Nonnegativity Constraint

808

Dhaene, G. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression

227

Jansson, Michael Unbiasedness of the OLS Estimator with Random Regressors

1263

Kristensen, Dennis, and Oliver Linton Consistent Standard Errors for Target Variance Approach to GARCH Estimation

990

Sapra, S.K. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function

225

Wooldridge, Jeffrey M. Fixed Effects Estimation of the Population-Averaged Slopes in a Panel Data Random Coefficient Model

428