I am delighted to announce the following Econometric Theory Awards for 2002.

Multa Scripsit: Marcus Chambers, Peter M. Robinson, Zhijie Xiao

Plura Scripsit: Karim M. Abadir, John L. Knight, Oliver Linton, Seiji Nabeya, Whitney Newey, Jeffrey M. Wooldridge

Plurima Scripsit: Pentti Saikkonen

There are presently three levels of the Econometric Theory Award: Multa Scripsit, Plura Scripsit, and Plurima Scripsit. The awards are made annually using an automated point system based on an author's cumulative publications in ET. A description of the award system and a copy of the ET Award Certificate are given in the Vol. 13, No. 2 issue of ET and may be viewed on the journal's web site at http://korora.econ.yale.edu/et.htm.

This paper develops the limit law for the least absolute deviation estimator of the threshold parameter in linear regression. In this respect, we extend the literature of threshold models. The existing literature considers only the least squares estimation of the threshold parameter (see Chan, 1993, Annals of Statistics 21, 520–533; Hansen, 2000, Econometrica 68, 575–605). This result is useful because in the case of heavy-tailed errors there is an efficiency loss resulting from the use of least squares. Also, for the first time in the literature, we derive the limit law for the likelihood ratio test for the threshold parameter using the least absolute deviation technique.

There are six factors that can enhance or weaken an econometrics text: coverage, lucidity, speed, independence, examples, and exercises. With clear explanations and a smooth pace, Fumio Hayashi's Econometrics succeeds as a solid first-year graduate text. The ample empirical applications examples reflect the author's research interest—applied econometrics—and make the work best suited for students sharing that interest.

The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using the Monte Carlo method. The Wald test is calculated within the vector error-correction based estimation methods of Bewley, Orden, Yang, and Fisher (1994, Journal of Econometrics 64, 3–27) and of Johansen (1991, Econometrica 59, 1551–1580), the canonical cointegration method of Park (1992, Econometrica 60, 119–143), the dynamic ordinary least squares method of Phillips and Loretan (1991, Review of Economic Studies 58, 407–436), Saikkonen (1991, Econometric Theory 7, 1–21), and Stock and Watson (1993, Econometrica 61, 783–820), the fully modified ordinary least squares method of Phillips and Hansen (1990, Review of Economic Studies 57, 99–125), and the band spectral techniques of Phillips (1991, in W. Barnett, J. Powell, & G. E. Tauchen (eds.), Nonparametric and Semiparametric Methods in Economics and Statistics, pp. 413–435). The Wald test performance is also compared to that of the likelihood ratio test suggested by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics 52, 169–210) and to a Bartlett correction of that test as proposed by Johansen (1998, A Small Sample Test for Tests of Hypotheses on Cointegrating Vectors, European University Institute).

In this paper a novel partitioned inversion formula is obtained in terms of the orthogonal complements of off-diagonal blocks, with the emblematic matrix of unit-root econometrics emerging as the leading diagonal block of the inverse. The result paves the way to a straightforward derivation of a key result of vector autoregressive econometrics.

This paper discusses the stationarity conditions proposed by M. Yang (2000, Econometric Theory 16, 23–43), in the framework of Markov-switching first-order autoregressions. A weaker second-order stationarity assumption is proposed.

In this paper, we first transform a set of moment conditions into a set of transformed moment conditions, based on which the efficient partial generalized method of moments estimation for part of a parameter vector is defined. Given the set of transformed moment conditions, we then show that the conditions for partial redundancy of an additional set of moment conditions given an original set of moment conditions simply become the conditions for full redundancy of the second subset of transformed moment conditions given the first subset of transformed moment conditions. Thus the transformed moment conditions proposed in this paper unify partial redundancy of moment conditions with full redundancy of moment conditions. Using transformed moment conditions, we then straightforwardly derive necessary and sufficient conditions for partial redundancy of one or two subset(s) of moment conditions given the other when the large set of moment conditions consists of three subsets of moment conditions. The paper also provides several easily checkable sufficient conditions for partial redundancy of one set of moment conditions given other sets of moment conditions.