Econometric Issues in the Analysis of Regressions with Generated Regressors
From MaRDI portal
Publication:3339150
DOI10.2307/2648877zbMath0547.62078OpenAlexW2064360179MaRDI QIDQ3339150
Publication date: 1984
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2648877
consistencylimiting distributionresidualsgenerated regressorsEfficiencystandard errorstwo-step estimatorrational expectation modelseconometric testssingle-step maximum likelihood estimators
Related Items
Price collusion and deregulation in the Japanese retail gasoline market, Nonparametric two-step regression estimation when regressors and error are dependent, Computation of the GLS estimator of a model with anticipated and unanticipated effects, A joint process model of consensus and longitudinal dynamics, A note on non-parametric estimation with predicted variables, Two-step series estimation and specification testing of (partially) linear models with generated regressors, Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity, When are two step estimators efficient?, GMM redundancy results for general missing data problems, Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure, The significance of testing empirical non-nested models, The relationship between inventory investment and total factor productivity growth, Selection corrections for panel data models under conditional mean independence assumptions, Estimation of some partially specified nonlinear models, Inference on conditional moment restriction models with generated variables, A new approach to risk-return trade-off dynamics via decomposition, Consistent estimation of equations with composite moving average disturbance terms, The reduced form of recursive models: Small sample properties, Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model, Endogeneity bias modeling using observables, Global trade flows: revisiting the exchange rate elasticities, Cointegration and direct tests of the rational expectations hypothesis, A separability result for gmm estimation, with applications to gls prediction and conditional moment tests, Spatial dynamic models with intertemporal optimization: specification and estimation, A flexible predictive density combination for large financial data sets in regular and crisis periods, Two-step estimation in linear regressions with adaptive learning, Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators, Error covariance matrix correction based approach to functional coefficient regression models with generated covariates, Yet another look at the omitted variable bias, Estimation and inference in adaptive learning models with slowly decreasing gains, A generalized ARFIMA model with smooth transition fractional integration parameter, Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil, A direction of bias result for the standard errors of a sequential least squares single equation rational expectations estimator, Time-varying persistence of inflation: evidence from a wavelet-based approach, Dynamic links between unexpected exchange rate variation, prices, and international trade, LIKELIHOOD INFERENCE ON SEMIPARAMETRIC MODELS WITH GENERATED REGRESSORS, Consistent estimation of linear regression models using matched~data, Kolmogorov-Smirnov type test for generated variables, SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES, Nonparametric regression with nonparametrically generated covariates, Defining and estimating intervention effects for groups that will develop an auxiliary outcome, Tests for serial correlation and overdispersion in a count data regression model∗, Realized Volatility: A Review, Are forecast updates progressive?, Addressing endogeneity in aggregate logit models with time-varying parameters for optimal retail-pricing, ARCH modeling in finance. A review of the theory and empirical evidence, Forecasting with factor-augmented regression: a frequentist model averaging approach, Recursive estimation and generated regressors, Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy, Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures, Tests of equal accuracy for nested models with estimated factors, Estimation of market power in the presence of firm level inefficiencies, Properties of ordinary least squares estimators in regression models with nonspherical disturbances, Calculating the (local) semiparametric efficiency bounds for the generated regressors problem, A note on modeling the impact of economic announcements on interest rates, Exclusion restrictions in instrumental variables equations, A finite sample correction for the variance of linear efficient two-step GMM estimators, A note on the parametric three step estimator in structural labor supply models, The stock return--inflation puzzle revisited, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing, A cognitive latent variable model for the simultaneous analysis of behavioral and personality data, Statistical inference for semiparametric varying-coefficient partially linear models with error-prone linear covariates, A unified approach to estimation and orthogonality tests in linear single-equation econometric models, Analysis of cointegrated models with measurement errors, Panel data regression for counts, Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence, Foreign direct investment in R\&D and exchange rate uncertainty, Central bank independence and output variability, Inference in dynamic models containing 'surprise' variables, A simple solution for spurious regressions, Pooling forecasts in linear rational expectations models, ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS, Bias correction for within-group estimation of panel data models with fixed effects and sample selection, Spatial econometrics for misaligned data
