Estimator Choice and Fisher's Paradox: A Monte Carlo Study

DOI10.1081/ETC-120028835MaRDI QIDQ4451550zbMATHOpenAlexFDO

Authors Guglielmo Maria Caporale, Nikitas Pittis

Publication date 26 February 2004

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/etc-120028835

Mathematics Subject Classification ID

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

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Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Automatic Lag Selection in Covariance Matrix Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Estimating Long-Run Economic Equilibria
• Estimating long-run relationships in economics. A comparison of different approaches
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Least Squares Regression When the Independent Variable Follows an ARIMA Process
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors

Cited in

(3)

• The Fisher effect in the presence of time-varying coefficients
• Parametric inference using nomination sampling with an application to Mercury contamination in fish
• Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics

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