Exogeneity
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(only showing first 100 items - show all)- Using divide-and-conquer to improve tax collection
- Varying coefficient models revisited: an econometric view
- Testing for structural change in conditional models
- Semiparametric efficiency bound in time-series models for conditional quantiles
- CONDITIONING IN DYNAMIC MODELS
- TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS
- Testing weak exogeneity in multiplicative error models
- Prediction tests in limited dependent variable models
- Testing nonnested Euler conditions with quadrature-based methods of approximation
- Cointegration in partial systems and the efficiency of single-equation analysis
- Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status. (With commentaries and responses)
- Bayesian long-run prediction in time series models
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- Identifiability analysis of the fixed-effects one-parameter logistic positive exponent model
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- The failure of orthogonality under nonstationarity: should we care about it?
- Stability between cryptocurrency prices and the term structure
- Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- Multi-step estimation and forecasting in dynamic models
- Parametric and nonparametric regression in the presence of endogenous control variables
- Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
- A new marked point process model for the federal funds rate target: methodology and forecast evaluation
- Integer-valued Lévy processes and low latency financial econometrics
- Nonlinearity and Endogeneity in Macro-Asset Pricing
- Structural econometric modeling and time series analysis
- Tests of overidentification and predeterminedness in simultaneous equation models
- Testing exogeneity in overidentified models
- A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
- Asymptotic robustness of tests of overidentification and predeterminedness
- Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- A multiplicative model for volume and volatility
- Geometric and long run aspects of Granger causality
- Endogeneity in high dimensions
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
- Choice as an alternative to control in observational studies. (With comments and a rejoinder).
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors
- Editorial: Causality and exogeneity in econometrics
- Exogeneity in structural equation models
- Non-causality in bivariate binary time series
- Nonresponse in dynamic panel data models
- A spectral EM algorithm for dynamic factor models
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
- Bayesian efficiency analysis through individual effects: Hospital cost frontiers
- Clive W. J. Granger and cointegration
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- An alternative bootstrap to moving blocks for time series regression models
- The structure of US food demand
- Probabilities and experiments
- An analogue model of phase-averaging procedures
- On the properties of the likelihood function of Spanos' conditional t heteroskedastic model
- A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
- Lagrance-multiplier tersts for weak exogeneity: a synthesis
- Combining a regression model with a multivariate Markov chain in a forecasting problem
- A note on weak exogeneity in VAR cointegrated models
- Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
- Conditional and structural error correction models
- On the statistical identification of DSGE models
- The role of beliefs in inference for rational expectations models
- Confounder selection via iterative graph expansion
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Estimation of cointegrated models with exogenous variables
- Exclusion restrictions in instrumental variables equations
- A multicointegration model of global climate change
- Weak exogeneity in \(I(2)\) VAR systems
- The relation of different concepts of causality used in time series and microeconometrics
- A note on endogenous control variables in causal studies
- Stochastic ceteris paribus simulations
- Efficient inference on cointegration parameters in structural error correction models
- Cointegration tests in the presence of structural breaks
- A low-dimension portmanteau test for non-linearity
- Estimation of an autoregressive semiparametric model with exogenous variables
- Simulated minimum distance estimation of dynamic models with errors-in-variables
- A survey of exogeneity in vector error correction models
- The econometric consequences of the ceteris paribus condition in economic theory
- Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
- On the unidentifiability of the fixed-effects 3PL model
- The in-principle inconclusiveness of causal evidence in macroeconomics
- Typologies of linear dynamic systems and models
- Improving the prediction of Norwegian household consumption by adjusting for temporary fluctuations in dividend income
- The ability to correct the bias in the stable AD(1,1) model with a feedback effect
- Weak exogeneity and dynamic stability in cointegrated VARs
- Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
- A numerical filtering method for linear state-space models with Markov switching
- Haavelmo's probability approach and the cointegrated VAR
- Efficient estimation and stratified sampling
- Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
- On the formulation of empirical models in dynamic econometrics
- Causal models for longitudinal and panel data: a survey
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Granger causality
- Bootstrap inference in systems of single equation error correction models
- A note on super exogeneity in linear regression models
- Modeling US housing prices by spatial dynamic structural equation models
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- A simple message for autocorrelation correctors: Don't
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
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