A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING

DOI10.1017/S0266466605050164zbMATH1161.62453MaRDI QIDQ5697635FDOQ5697635

Authors Clive W. J. Granger, David F. Hendry

Publication date 18 October 2005

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Discussion on: Instrumented Difference-in-Differences, by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy and Dylan S. Small
• Discussion on “Instrumented Difference-in-Differences” by Ye, Ertefaie, Flory, Hennessy, Small
• Discussion on “Instrumented Difference-in-Differences” by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy, and Dylan S. Small
• Discussion on “Instrumented Difference-in-Differences” by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy & Dylan S. Small
• Some Recent Developments in Econometric Inference
• An Instrumental Variable Approach to Dynamic Models
• scientific article; zbMATH DE number 1867323
• Instrumental variables: an econometrician's perspective

Cites work

• Dangers of data mining: The case of calendar effects in stock returns
• Econometric Model Determination
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference in Linear Time Series Models with some Unit Roots
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• The Focused Information Criterion

Cited in

(7)

• Achievements and challenges in econometric methodology
• Model selection in under-specified equations facing breaks
• Review of PcGets 1 for Windows
• Testing regression coefficients after model selection through sign restrictions
• Sir Clive W. J. Granger memorial special issue on econometrics: an introduction
• A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
• Sir Clive W. J. Granger model selection

Describes a project that uses

Uses Software

• PcGets
• PcGive

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