The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

DOI10.2307/1912685MaRDI QIDQ4130830zbMATH OpenOpenAlexFDO

Authors Frank Srba, David F. Hendry

Publication date 1977

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912685

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited in

(6)

• AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
• Multiple optima and asymptotic approximations in the partial adjustment model
• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
• The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^†
• Checks of model adequacy for univariate time series models and their application to econometric relationships

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