Multiple optima and asymptotic approximations in the partial adjustment model

DOI10.1016/0304-4076(94)90018-3zbMath0800.62814OpenAlexW2113344507MaRDI QIDQ1329126

John C. Nankervis, Douglas A. McManus, N. E. Savin

Publication date: 29 June 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90018-3

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (4)

Papers with John ⋮ Maximal invariant likelihood based testing of semi-linear models ⋮ Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis ⋮ Bias Reduction for Linearized Nonlinear Regression Models by Simulation Estimations

Uses Software

• SHAZAM
• nlmdl

Cites Work

• On the bootstrap and confidence intervals
• Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• The Danger of Extrapolating Asymptotic Local Power
• ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Lagged Endogenous Variables and the Cochrane-Orcutt Procedure
• The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
• Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
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