Journal article


Richard J Smith

Econometric Theory | CAMBRIDGE UNIV PRESS | Published : 2011

University of Melbourne Researchers


Awarded by ESRC

Funding Acknowledgements

I am grateful for the constructive comments and criticisms by a co-Editor and referee on previous drafts. Earlier versions of this paper were presented at the London School of Economics, Seminaire Malinvaud, CREST-INSEE, Montreal Econometrics Seminar, Tinbergen Seminar, University of Amsterdam, and Cowles Foundation Conference on "New Developments in Time Series Econometrics," Yale University, for which Y. Kitamura was discussant. This paper has also benefited from collaboration with W.K. Newey on joint work and comments by P. Guggenberger, Y. Li, P.M.D.C. Parente, and C.D. Orme. Of course, the aforementioned are not culpable for any remaining errors. I am also grateful for financial support of this research from the ESRC (grant no. R000237386) and a 2002 Leverhulme Major Research Fellowship. Address correspondence to Richard J. Smith, Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Ave., Cambridge CB3 900, U.K.; email: