Exogeneity
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(only showing first 100 items - show all)- Score tests for zero covariances in recursive linear models for grouped or censored data
- Identification of linear stochastic models with covariance restrictions
- Empirical modeling in dynamic econometrics
- Testing strategies for model specification
- Structural time series modeling: A Bayesian approach
- Prediction tests in limited dependent variable models
- Cointegration in partial systems and the efficiency of single-equation analysis
- Tests of overidentification and predeterminedness in simultaneous equation models
- A note on weak exogeneity in VAR cointegrated models
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Estimation of an autoregressive semiparametric model with exogenous variables
- Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
- Weak exogeneity and dynamic stability in cointegrated VARs
- Asymptotic robustness of tests of overidentification and predeterminedness
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Encompassing in stationary linear dynamic models
- Bayesian efficiency analysis through individual effects: Hospital cost frontiers
- An alternative bootstrap to moving blocks for time series regression models
- Choice as an alternative to control in observational studies. (With comments and a rejoinder).
- The econometric consequences of the ceteris paribus condition in economic theory
- Testing for structural change in conditional models
- The ability to correct the bias in the stable AD(1,1) model with a feedback effect
- A spectral EM algorithm for dynamic factor models
- Weak exogeneity in \(I(2)\) VAR systems
- Structural econometric modeling and time series analysis
- Causal relationships and replicability
- On the formulation of empirical models in dynamic econometrics
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status. (With commentaries and responses)
- Probabilities and experiments
- Bayesian long-run prediction in time series models
- Efficient inference on cointegration parameters in structural error correction models
- Conditional and structural error correction models
- A simple message for autocorrelation correctors: Don't
- Cointegration tests in the presence of structural breaks
- Typologies of linear dynamic systems and models
- A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
- Design-based analysis in difference-in-differences settings with staggered adoption
- A survey of exogeneity in vector error correction models
- Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
- A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
- A multicointegration model of global climate change
- The in-principle inconclusiveness of causal evidence in macroeconomics
- Tests of additional conditional moment restrictions
- Simulated minimum distance estimation of dynamic models with errors-in-variables
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
- Modeling US housing prices by spatial dynamic structural equation models
- School system evaluation by value added analysis under endogeneity
- Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood
- Combining a regression model with a multivariate Markov chain in a forecasting problem
- Stochastic ceteris paribus simulations
- A note on endogenous control variables in causal studies
- Endogeneity in high dimensions
- Granger causality, exogeneity, cointegration, and economic policy analysis
- Geometric and long run aspects of Granger causality
- Interpreting cointegrating vectors and common stochastic trends
- Efficient estimation and stratified sampling
- Bootstrap inference in systems of single equation error correction models
- On the properties of the likelihood function of Spanos' conditional t heteroskedastic model
- Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
- Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
- Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis
- Integer-valued Lévy processes and low latency financial econometrics
- Editorial: Causality and exogeneity in econometrics
- Non-causality in bivariate binary time series
- Nonresponse in dynamic panel data models
- Exogeneity in structural equation models
- Granger causality
- Clive W. J. Granger and cointegration
- The structure of US food demand
- On the statistical identification of DSGE models
- The role of beliefs in inference for rational expectations models
- Dynamic modelling and causality
- The relation of different concepts of causality used in time series and microeconometrics
- If Nonlinear Models Cannot Forecast, What Use Are They?
- Nonlinearity and Endogeneity in Macro-Asset Pricing
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- Semiparametric efficiency bound in time-series models for conditional quantiles
- Testing exogeneity in overidentified models
- CONDITIONING IN DYNAMIC MODELS
- Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
- Modelling the persistence of conditional variances
- Lagrance-multiplier tersts for weak exogeneity: a synthesis
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- Testing weak exogeneity in multiplicative error models
- J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
- QML inference for volatility models with covariates
- A note on super exogeneity in linear regression models
- On the interactions of unit roots and exogeneity
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- A multiplicative model for volume and volatility
- A numerical filtering method for linear state-space models with Markov switching
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- Inferring causal relations by modelling structures
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
- TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS
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