Estimator Choice and Fisher's Paradox: A Monte Carlo Study

DOI10.1081/ETC-120028835zbMath1082.62551OpenAlexW1964377531MaRDI QIDQ4451550

Guglielmo Maria Caporale, Nikitas Pittis

Publication date: 26 February 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120028835

Mathematics Subject Classification ID

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

Related Items (1)

The Fisher effect in the presence of time-varying coefficients

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• Least Squares Regression When the Independent Variable Follows an ARIMA Process
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Automatic Lag Selection in Covariance Matrix Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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