PAST
TJALLING C. KOOPMANS PRIZES 
2012–2014
Ivana Komunjer “Global Identification in Nonlinear Models with Moment Restrictions,” Econometric Theory, Vol. 28, No. 4, August 2012, pages 719729.
The paper derives sufficient conditions for global identifiability in nonlinear model classes. Themodels are characterized by a finite number of unconditional moment restrictions. A set of assumptions is given which guarantee that the moment conditions uniquely determine the underlying true parameter. The main findings are based on a homeomorphism result. The assumptions given in the paper provide an alternative to the sufficient conditions for global identifiability of nonlinear systems given by F.M. Fisher (1966) and T.J. Rothenberg (1971). Earlier, conditions for identifiability in systems which are linear in the variables, but where the parameters satisfy nonlinear restrictions, had been obtained by L. Wegge (1965).
20092011
Dimitris N. Politis, “HigherOrder Accurate, Positive SemiDefinite Estimation of LargeSample Covariance and Spectral Density Matrices,” Econometric Theory, Vol. 27, No. 4, August 2011, pages 703744.
A new class of HAC largesample covariance and spectral density estimators is proposed based on the notion of flattop kernels. These estimators are shown to be higherorder accurate when higherorder accuracy is possible. It is shown how a flattop estimator can be modified to become positive semidefinite while retaining its higherorder accuracy. In addition, a consistent procedure for optimal bandwidth choice is described.
2006–2008
Wei Biao Wu and Xiaofeng Shao, "A
Limit Theorem for Quadratic Forms and its Applications," Econometric Theory,
Vol. 23, No. 5, October 2007, pages 930951.
The paper derives a central limit theorem for quadratic
forms of martingale differences. Particular emphasis is laid on the
application of this result to estimation of the spectral density of a
stationary process by the smoothed periodogram. For this case
asymptotic normality is obtained from the result on general quadratic
forms by approximating the Fourier transforms of the underlying
stationary process by martingales. Such limiting results are
important, for instance for hypothesis testing and construction of
confidence intervals in frequency domain.
For both, the general case and for the special
case of estimation of spectra, there exists a substantial body of
preceding literature. A special feature of this paper is that the
results are derived under assumptions which are very general and
easily verifiable. For spectral estimation the main assumptions are
that the underlying stationary process is obtained from a – in general
nonlinear – causal transformation of an i.i.d. sequence and a very
weak assumption of short range dependence. By the first
assumption the stationary process can be interpreted as the output of
a general, possibly nonlinear, system with iid inputs. The class of
such processes is very large. The second assumption avoids the
classical strong mixing conditions or summability conditions on the
joint cumulants.
2002–2005
Yongmiao Hong and TaeHwy Lee, "Diagnostic
Checking for the Adequacy of Nonlinear Time Series Models," Econometric Theory,
Vol. 19, No. 6, December 2003, pages 1065–1121.
This paper proposes a diagnostic test for the adequacy of time series models, allowing
for rather general model classes, involving possibly nonlinear parametric functions of
past information that include both conditional heterogeneity and conditional duration
specifications. The test is based on the estimated noise process, relying on the joint and
marginal characteristic functions of pairs of noise variables at different time distances
to test for pairwise independence. The test employs the (generalized) spectrum of these
quantities and therefore does not require moment conditions, and applies under a suitable
mixing condition. Under the null of correct specification the generalized spectrum is
constant and the test measures departures from this null using a standardized L_{2}
distance. Asymptotic properties of the test are derived, data driven choices of the
bandwidth for estimation of the generalized spectrum and their asymptotic properties are
discussed, Monte Carlo studies are presented and an empirical application to daily stock
prices is given.
2000–2002
Stefan Sperlich, Dag Tjøstheim and Lijian Yang,
"Nonparametric Estimation and Testing of Interaction in Additive Models," Econometric
Theory, Vol. 18, No. 2, April 2002, pp 197–251.
The article was selected by the journal’s Advisory Board from papers published in Econometric
Theory over the period 20002002 inclusive. The citation accompanying the award is as
follows:
A large and useful class of nonlinear models, obtained by generalizing additive models
through adding second order interaction terms, is analyzed using nonparametric techniques.
This is a wideopen area for research and it is very useful to have available a firm
foundation for empirical research in the area. The authors develop asymptotics for
marginal integration and backfitting estimation techniques. They propose procedures for
testing interaction effects and suggest bootstrap methods. Finally, they provide
simulation evidence and give an empirical implementation to a livestock production
function.
1997–1999
Stéphane Gregoir, "Multivariate Time Series with Various Hidden
Unit Roots, Part I: Integral Operator Algebra and Representation," Econometric
Theory, Vol. 15, 1999, pp. 435–468.
Stéphane Gregoir is awarded the Tjalling Koopmans Econometric Theory Prize
for a pair of related high quality papers. The first considers a vector of time series,
each of which may contain several unit roots of various frequencies. There may also exist
several linear combinations, or generalized cointegrations, which produce series with less
unit roots. A general representation theorem is stated, with an associated vector error
correction model. The theory includes as special cases the standard cointegration model
with I(1) series, multicointegration with I(2) series and seasonal unit root
cointegration. This representation theorem is a substantial and useful addition to the
available theory.
The second paper develops estimation and test strategies for models with possible multiple
unit roots at the zero and seasonal frequencies, together with polynomial (in lags)
errorcorrection terms, possibly with deterministic terms. Although the situation
considered is rather complicated the empirical techniques use simple procedures such as
principal components.
1994–1996
Richard A. Davis and William T.M. Dunsmuir,
"Maximum Likelihood Estimation for MA(1) Processes With A Root on or Near the Unit
Circle," Econometric Theory, Vol. 12, 1996, pp. 1–29.
The paper solves one of the last open questions in the asymptotic theory of likelihood
estimation for ARMA models, concerning the properties of estimates of parameter estimates
for MA(1) models on and near the unit circle. The results are both of theoretical and of
practical interest, as it is found, for example, that estimates are surprisingly accurate
even for small sample sizes.
Because of the quality of the theoretical analysis, of the importance of the question
considered, and of the practical relevance of the results, it is thought that this paper
deserves the Koopmans Prize.
1991–1993
Pentti Saikkonen, "Estimation of Cointegration Vectors with Linear
Restrictions," Econometric Theory, Vol. 9, 1993, pp 19–35.
This paper develops a general method of estimating and testing cointegration vectors
with linear restrictions. In the case of zero restrictions the cointegration relations are
formally similar to the structural equations of a traditional simultaneous equations
model, and the paper provides an important link between the literature on statistical
inference in simultaneous equations models and the more recent literature on cointegration
analysis. The asymptotic distribution of the estimators are shown to be mixed normal, so
that Wald tests with asymptotic chisquare distributions under the null hypothesis are
obtained in the usual way. Convenient test procedures for checking the validity of
overidentifying restrictions are also provided.
and
Katsuto Tanaka, "An Alternative Approach to the Asymptotic Theory of
Spurious Regression, Cointegration, and Near Cointegration," Econometric Theory,
Vol. 9, 1993, pp 36–61.
This paper uses the Fredholm approach in order to derive new expressions for the
asymptotic sampling distributions of estimators and test statistics in cointegration
models. It is shown that, in some cases, these expressions provide a basis for the
accurate computation of the limiting distributions. The paper also introduces a definition
of near cointegration, for which asymptotic properties are studied. It then devises tests
which take cointegration as the null hypothesis and discusses the limiting local power of
these tests under the alternative of near cointegration.
1988–1990
Yuzo Hosoya, Yoshihiko Tsukuda and Nobuhiko Terui, "Ancillarity and the
Limited Information MaximumLikelihood Estimation of a Structural Equation in a
Simultaneous Equation System," Econometric Theory, Vol. 5, 1989, pp
385–404.
In this paper three concepts in current research are focused on the now classical
econometric methodology of limited information maximum likelihood estimation in
simultaneous equation models. The model under the assumption of normality constitutes a
curved exponential family of distributions. The effect of conditioning on the ancillary
statistic of the smallest root of the usual determinantal equation is analyzed by means of
secondorder asymptotics. This study gives new insight into a familiar subject and
suggests promising approaches to other econometric problems.
1985–1987
Christian Gourieroux, Alan Monfort and Alain Trognon, "A General Approach
to Serial Correlation," Econometric Theory, Vol. 1, 1985, pp 315–340.
This paper is a fundamental contribution to econometric theory. It provides a general
framework for analyzing systematically a variety of autoregressive models with latent
variables, including nonlinear simultaneous equation models, qualitative response models,
and disequilibrium models. The authors show how diverse testing and estimation problems
can be handled by this approach. It can be expected that this paper, which organizes the
statistical analysis of data with time dependence, will also stimulate the development of
new methodology.
