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Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments

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  • Fuhrer, Jeffrey C.
  • Moore, George R.
  • Schuh, Scott D.

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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 35 (1995)
Issue (Month): 1 (February)
Pages: 115-157

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Handle: RePEc:eee:moneco:v:35:y:1995:i:1:p:115-157

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  3. Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
  4. Olivier J. Blanchard, 1982. "The Production and Inventory Behavior of the American Automobile Industry," NBER Working Papers 0891, National Bureau of Economic Research, Inc.
  5. Krane, Spencer D & Braun, Stephen N, 1991. "Production Smoothing Evidence from Physical-Product Data," Journal of Political Economy, University of Chicago Press, vol. 99(3), pages 558-81, June.
  6. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 88-06, Department of Economics at the University of Washington.
  7. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
  8. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  9. Haltiwanger, John C. & Maccini, Louis J., 1989. "Inventories, orders, temporary and permanent layoffs: An econometric analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 30(1), pages 301-366, January.
  10. Ray C. Fair, 1989. "The Production Smoothing Model Is Alive and Well," Cowles Foundation Discussion Papers 896, Cowles Foundation for Research in Economics, Yale University.
  11. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  12. Kenneth D. West, 1985. "A Variance Bounds Test of the Linear Quardractic Inventory Model," NBER Working Papers 1581, National Bureau of Economic Research, Inc.
  13. Blanchard, Olivier J. & Melino, Angelo, 1986. "The cyclical behavior of prices and quantities: The case of the automobile market," Journal of Monetary Economics, Elsevier, vol. 17(3), pages 379-407, May.
  14. West, Kenneth D., 1986. "Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons," Journal of Econometrics, Elsevier, vol. 33(3), pages 367-385, December.
  15. Martin S. Eichenbaum, 1988. "Some Empirical Evidence on the Production Level and Production Cost Smoothing Models of Inventory Investment," NBER Working Papers 2523, National Bureau of Economic Research, Inc.
  16. Kashyap, Anil K & Wilcox, David W, 1993. "Production and Inventory Control at the General Motors Corporation during the 1920's and 1930's," American Economic Review, American Economic Association, vol. 83(3), pages 383-401, June.
  17. Kenneth D. West, 1989. "The Sources of Fluctuations in Aggregate Inventories and GNP," NBER Working Papers 2992, National Bureau of Economic Research, Inc.
  18. Shea, J., 1993. "Instrument Relevance in Linear Models: A Simple Measure," Working papers 9312, Wisconsin Madison - Social Systems.
  19. Ramey, Valerie A, 1991. "Nonconvex Costs and the Behavior of Inventories," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 306-34, April.
  20. Charles R. Nelson & Richard Startz, 1988. "The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One," NBER Technical Working Papers 0069, National Bureau of Economic Research, Inc.
  21. Alan S. Blinder & Louis J. Maccini, 1991. "Taking Stock: A Critical Assessment of Recent Research on Inventories," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 73-96, Winter.
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