CONDITIONING IN DYNAMIC MODELS

DOI10.1111/J.1467-9892.1985.TB00395.XMaRDI QIDQ3677034zbMATH OpenOpenAlexFDO

Authors Michel Mouchart, Jean-Pierre Florens

Publication date 1985

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1985.tb00395.x

zbMATH Keywords

transitivityconditional independencedynamic modelsconditioningcutexogeneityancillaritynon-causalityreduction of statistical modelsAdmissibility conditions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Sufficiency and information (62B99)

Recommendations

• Bayesian evaluation of non-admissible conditioning
• EFFECTIVE CONDITIONING
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Cites work

• scientific article; zbMATH DE number 3174866 (Why is no real title available?)
• scientific article; zbMATH DE number 3694348 (Why is no real title available?)
• scientific article; zbMATH DE number 3742440 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 3602484 (Why is no real title available?)
• A Note on Noncausality
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Conditional likelihood and unconditional optimum estimating equations
• Econometric Implications of the Rational Expectations Hypothesis
• Exogeneity
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Models with Several Regimes and Changes in Exogeneity
• On sufficiency and ancillarity in the presence of a nuisance parameter
• On the Elimination of Nuisance Parameters
• On the Granger Condition for Non-Causality
• Some Tests of Dynamic Specification for a Single Equation
• Specification Tests in Econometrics
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• Sufficiency and Statistical Decision Functions
• Testing nested or non-nested hypotheses
• The Relationship Between Sufficiency and Invariance with Applications in Sequential Analysis

Cited in

(17)

• Conditional Information in Projections of Gaussian Vectors
• Bayesian long-run prediction in time series models
• The role of the exogenous randomness in the identification of conditional models
• Robust Bayesian inference in elliptical regression models
• Testing exogeneity in overidentified models
• A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
• Bayesian evaluation of non-admissible conditioning
• Jacobian Conditioning Analysis for Model Validation
• Editorial: Causality and exogeneity in econometrics
• Nonresponse in dynamic panel data models
• A survey of exogeneity in vector error correction models
• Bayesian marginal equivalence of elliptical regression models
• Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
• On the formulation of empirical models in dynamic econometrics
• J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
• Inferring causal relations by modelling structures
• Structural time series modeling: A Bayesian approach

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