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The Sensitivity of Estimates, Inferences and Forecasts of Linear Models

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Author Info

  • Banerjee, A.N.

    (Tilburg University)

Abstract

This thesis contains my study of sensitivity analysis of econometric models, within such framework.

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File URL: http://arno.uvt.nl/show.cgi?fid=125727
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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-74329.

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Length: 110
Date of creation: 1997
Date of revision:
Publication status: Published
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-74329

Note: Dissertation
Contact details of provider:
Web page: http://www.tilburguniversity.edu/

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References

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  1. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April.
  2. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  3. Granger, Clive W. J. & Uhlig, Harald F., 1990. "Reasonable extreme-bounds analysis," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 159-170.
  4. Griffiths, W.E. & Beesley, P.A.A., 1984. "The small-sample properties of some preliminary test estimators in a linear model with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 49-61.
  5. Keuzenkamp, H.A. & Magnus, J.R., 1995. "The significance of testing in econometrics," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153235, Tilburg University.
  6. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
  7. Bartels, Robert, 1992. "On the power function of the Durbin-Watson test," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 101-112.
  8. Sharma, Subhash C., 1985. "The effects of autocorrelation among errors on the consistency property of OLS variance estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 335-361, March.
  9. King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
  10. Tillman, John A, 1975. "The Power of the Durbin-Watson Test," Econometrica, Econometric Society, vol. 43(5-6), pages 959-74, Sept.-Nov.
  11. Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
  12. King, M. L., 1981. "The alternative Durbin-Watson test : An assessment of Durbin and Watson's choice of test statistic," Journal of Econometrics, Elsevier, vol. 17(1), pages 51-66, September.
  13. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, January.
  14. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995. "Editors' introduction : The significance of testing in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 1-3, May.
  15. Nakamura, Alice & Nakamura, Masao, 1978. "On the impact of the tests for serial correlation upon the test of significance for the regression coefficient," Journal of Econometrics, Elsevier, vol. 7(2), pages 199-210, June.
  16. Kramer, W., 1985. "The power of the Durbin-Watson test for regressions without an intercept," Journal of Econometrics, Elsevier, vol. 28(3), pages 363-370, June.
  17. King, Maxwell L. & Evans, Merran A., 1988. "Locally Optimal Properties of the Durbin-Watson Test," Econometric Theory, Cambridge University Press, vol. 4(03), pages 509-516, December.
  18. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
  19. Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August.
  20. Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-97, June.
  21. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
  22. Magnus, J.R. & Pesaran, B., 1991. "The bias of forecasts from a first-order autoregression," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153230, Tilburg University.
  23. Magnus, Jan R. & Pesaran, Bahram, 1991. "The Bias of Forecasts from a First-Order Autoregression," Econometric Theory, Cambridge University Press, vol. 7(02), pages 222-235, June.
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