The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

Hendry, David F.; Srba, Frank

doi:10.2307/1912685

Cited by 83 publications

(7 citation statements)

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“…Early econometric studies that employ response. surface analysis include Hendry (1979), Hendry and Harrison (1974), and Hendry and Srba (1977). Recently, MacKinnon (1991) uses response surface analysis to provide finite-sample critical values for the Engle-Granger (1987) two-step cointegration tests.…”

Section: Jomentioning

confidence: 99%

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

1993

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Section: Jomentioning

confidence: 99%

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

1993

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“…For a more detailed description of this variance reduction technique, the reader is referred to e.g. Hendry and Srba (1977) and the references therein. In short, the basic idea can be presented as follows.…”

Section: The Results Of the Simulationsmentioning

confidence: 99%

Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties

Palm¹,

Vogelvang²,

Kodde³

1984

International Economic Review

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“…He came to my office an hour later, suggesting a general computable asymptotic approximation for the control variate that guaranteed an efficiency gain as the sample size increased. That exchange resulted in [16] and [27]. Denis was inclined to suggest a solution and leave you to complete the analysis.…”

Section: The London School Of Economicsmentioning

confidence: 99%

The ET Interview: Professor David F. Hendry

Ericsson

2004

internationalfinance

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This interview for Econometric Theory explores David Hendry's research. Issues discussed include estimation and inference for nonstationary time series; econometric methodology; strategies, concepts, and criteria for empirical modeling; the general-to-specific approach, as implemented in the computer packages PcGive and PcGets; computer-automated model selection procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets; economic forecasting and policy analysis; the history of econometric thought; and the use of computers for live empirical and Monte Carlo econometrics.

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The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

Cited by 83 publications

References 0 publications

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties

The ET Interview: Professor David F. Hendry

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