The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

DOI10.2307/1912685zbMath0358.62089OpenAlexW2106723394MaRDI QIDQ4130830

Frank Srba, David F. Hendry

Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912685

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (6)

Multiple optima and asymptotic approximations in the partial adjustment model ⋮ Some results on the finite sample significance levels of instrumental variable tests for non-nested models ⋮ AUTOREG: A computer program library for dynamic econometric models with autoregressive errors ⋮ The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^† ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances

This page was built for publication: The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems