The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors

DOI10.1016/0304-4076(79)90076-9zbMath0445.62116MaRDI QIDQ1145463

David F. Hendry

Publication date: 1979

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(79)90076-9

zbMATH Keywords

autocorrelated errors; simultaneous equation model; inconsistent instrumental variables estimators; mis-specification

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

65C05: Monte Carlo methods

Related Items

Linear fixed-effects estimation with nonrepeated outcomes, Optimal comparison of misspecified moment restriction models under a chosen measure of fit, Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances, Misspecified models with dependent observations, AUTOREG: A computer program library for dynamic econometric models with autoregressive errors, On the behavior of inconsistent instrumental variable estimators, A reply to Professors Maasoumi and Phillips, Monte Carlo response surfaces: A comparative approach, On the formulation of empirical models in dynamic econometrics, Model selection in under-specified equations facing breaks

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