CONDITIONING IN DYNAMIC MODELS

DOI10.1111/J.1467-9892.1985.TB00395.XzbMATH Open0563.62097OpenAlexW2089221632MaRDI QIDQ3677034FDOQ3677034

Jean-Pierre Florens, Michel Mouchart

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

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zbMATH Keywords

transitivityconditional independencedynamic modelsconditioningcutexogeneityancillaritynon-causalityreduction of statistical modelsAdmissibility conditions

Mathematics Subject Classification ID

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

Cites Work

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• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Specification Tests in Econometrics
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Exogeneity
• On the Granger Condition for Non-Causality
• On the Elimination of Nuisance Parameters
• Testing nested or non-nested hypotheses
• Some Tests of Dynamic Specification for a Single Equation
• A Note on Noncausality
• Econometric Implications of the Rational Expectations Hypothesis
• Sufficiency and Statistical Decision Functions
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• Conditional likelihood and unconditional optimum estimating equations
• Models with Several Regimes and Changes in Exogeneity
• The Relationship Between Sufficiency and Invariance with Applications in Sequential Analysis
• On sufficiency and ancillarity in the presence of a nuisance parameter
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (16)

• Conditional Information in Projections of Gaussian Vectors
• Bayesian long-run prediction in time series models
• Testing exogeneity in overidentified models
• Robust Bayesian inference in elliptical regression 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
• Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
• Bayesian marginal equivalence of elliptical regression 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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