scientific article

zbMath0432.62079MaRDI QIDQ3870200

Peter C. B. Phillips, Michael Wickens

Publication date: 1978

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

aggregationcausalitygrouped databest linear unbiased estimationspecificationgeneralized least squaresidentifiabilityexercisesmulticollinearitytwo-stage least squaresdynamic econometric modelsautoregressive moving average modelslinear regression modelsserially correlated errorsdistributed lagsdisequilibrium systemserror component modelsdeseasonalisationlimited information maximum likelihood methods of estimationlinear simultaneous equation systemssingle equation nonlinear regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation ⋮ On the behavior of inconsistent instrumental variable estimators ⋮ The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations ⋮ The Durbin-Watson ratio under infinite-variance errors ⋮ Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician ⋮ Reduced forms and weak instrumentation ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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