Efficient Estimation of Distributed Lags with Autocorrelated Errors

DOI10.2307/2525572MaRDI QIDQ5556148zbMATH OpenOpenAlexFDO

Authors Phoebus J. Dhrymes

Publication date 1969

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2525572

zbMATH Keywords

statistics

Cited in

(11)

• Large sample estimation and testing procedures for dynamic equation systems
• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• Effects of misspecification of lag structure in certain two-variable distributed lag models
• A note on an efficient two-step estimator
• The structure of simultaneous equations estimators
• Harmonic alternatives to the Almon polynomial technique
• Inconsistency of the OLS estimator of the partial adjustment-adaptive expectations model
• Estimation and testing for functional form and autocorrelation
• ALTERNATIVE SIGNIFICANCE TESTS FOR 2SLS ESTIMATED PARAMETERS: SOME MONTE CARLO EVIDENCE
• Editorial introduction
• A simple test for the consistency of dynamic linear regression in rational distributed lag models

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