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Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances

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  • Emma M. Iglesias
  • Garry D. A. Phillips

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  • Emma M. Iglesias & Garry D. A. Phillips, 2012. "Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 474-499, April.
    • Handle: RePEc:wly:japmet:v:27:y:2012:i:3:p:474-499
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    Cited by:

    1. Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
    2. Hartwell, Christopher A., 2016. "The institutional basis of efficiency in resource-rich countries," Economic Systems, Elsevier, vol. 40(4), pages 519-538.
    3. Jan F. Kiviet & Qu Feng, 2014. "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," UvA-Econometrics Working Papers 14-06, Universiteit van Amsterdam, Dept. of Econometrics.
    4. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    5. Cameron McIntosh, 2014. "The presence of an error term does not preclude causal inference in regression: a comment on Krause (2012)," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(1), pages 243-250, January.

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