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Citations for "Partially Identified Econometric Models"

by Phillips, P.C.B.

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  1. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. van Dijk, H.K., 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Research Papers EI 2002-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Ploberger, Werner & Phillips, Peter C.B., 2012. "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, vol. 169(2), pages 258-265.
  4. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Chirok Han & Peter C. B. Phillips, 2006. "GMM with Many Moment Conditions," Econometrica, Econometric Society, vol. 74(1), pages 147-192, 01.
  6. Phillips, Garry D. A., 2000. "An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 97(2), pages 345-364, August.
  7. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Chi-Young Choi; Ling Hu; Masao Ogaki, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society.
  10. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(01), pages 201-251, February.
  11. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
  12. Jan F. Kiviet, 2012. "Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes," Tinbergen Institute Discussion Papers 12-128/III, Tinbergen Institute.
  13. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April.
  14. DUFOUR, Jean-Marie, 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Universite de Montreal, Departement de sciences economiques.
  15. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
  16. Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
  17. Luca Anderlini & Daniele Terlizzese, 2009. "Equilibrium Trust," EIEF Working Papers Series 0913, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2009.
  18. repec:dgr:uvatin:2098025 is not listed on IDEAS
  19. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation for Research in Economics, Yale University.
  20. Phillips, Peter C.B., 2006. "A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation," Econometric Theory, Cambridge University Press, vol. 22(05), pages 947-960, October.
  21. Cooley, Thomas F. & Dwyer, Mark, 1998. "Business cycle analysis without much theory A look at structural VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 57-88.
  22. Giovanni Forchini, 2006. "Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations," Monash Econometrics and Business Statistics Working Papers 20/06, Monash University, Department of Econometrics and Business Statistics.
  23. Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, School of Economics and Finance.
  24. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  25. Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
  26. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, 09.
  27. Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute.
  28. D. S. Poskitt & C. L. Skeels, 2004. "Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small," Monash Econometrics and Business Statistics Working Papers 19/04, Monash University, Department of Econometrics and Business Statistics.
  29. John Chao & Norman R. Swanson, 2003. "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Papers 1418, Cowles Foundation for Research in Economics, Yale University.
  30. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
  31. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  32. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
  33. Norah Al-Ballaa, 2005. "Test for cointegration based on two-stage least squares," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 707-713.
  34. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, EconWPA.
  35. Aviv Nevo & Adam M. Rosen, 2008. "Identification with Imperfect Instruments," NBER Working Papers 14434, National Bureau of Economic Research, Inc.
  36. Marcus J. Chambers, 2001. "Cointegration and Sampling Frequency," Economics Discussion Papers 531, University of Essex, Department of Economics.
  37. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  38. Chao, J. C. & Phillips, P. C. B., 1998. "Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior," Journal of Econometrics, Elsevier, vol. 87(1), pages 49-86, August.
  39. Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.
  40. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  41. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
  42. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
  43. Giovanni Forchini, 2006. "The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation," Monash Econometrics and Business Statistics Working Papers 1/06, Monash University, Department of Econometrics and Business Statistics.
  44. In Choi & Peter C.B. Phillips, 1997. "Regressions for Partially Identified, Cointegrated Simultaneous Equations," Cowles Foundation Discussion Papers 1162, Cowles Foundation for Research in Economics, Yale University.
  45. Moon, Hyungsik R., 1999. "A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors," Economics Letters, Elsevier, vol. 65(1), pages 25-31, October.
  46. Vijverberg, Chu-Ping C., 2004. "An empirical financial accelerator model: Small firms' investment and credit rationing," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 101-129, March.
  47. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
  48. Pierre-Daniel G. Sarte, 1997. "On the identification of structural vector autoregressions," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 45-68.
  49. Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
  50. Davis, George C. & Kim, Sung-Yong, 2002. "Measuring instrument relevance in the single endogenous regressor-multiple instrument case: a simplifying procedure," Economics Letters, Elsevier, vol. 74(3), pages 321-325, February.
  51. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation for Research in Economics, Yale University.
  52. repec:dgr:uvatin:2097006 is not listed on IDEAS
  53. Komunjer, Ivana, 2007. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt8dk0n386, Department of Economics, UC San Diego.
  54. Chao, John C. & Phillips, Peter C. B., 2002. "Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables," Journal of Econometrics, Elsevier, vol. 111(2), pages 251-283, December.
  55. Poskitt, D.S. & Skeels, C.L., 2007. "Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small," Journal of Econometrics, Elsevier, vol. 139(1), pages 217-236, July.
  56. Doko Tchatoka, Firmin, 2012. "Testing for partial exogeneity with weak identification," Working Papers 14565, University of Tasmania, School of Economics and Finance, revised 31 May 2012.
  57. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824, Cowles Foundation for Research in Economics, Yale University.
  58. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
  59. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society.
  60. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics.
  61. repec:wyi:journl:002096 is not listed on IDEAS
  62. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
  63. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.
  64. Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
  65. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
  66. Martin, G.M., 1998. "U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks," Monash Econometrics and Business Statistics Working Papers 1/98, Monash University, Department of Econometrics and Business Statistics.
  67. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  68. Kyungchul Song, 2009. "Point Decisions for Interval-Identified Parameters," PIER Working Paper Archive 09-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  69. Jan F. Kiviet, 2012. "Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes," Tinbergen Institute Discussion Papers 12-128/III, Tinbergen Institute.
  70. Peter C.B. Phillips & Zhipeng Liao, 2012. "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications," Cowles Foundation Discussion Papers 1871, Cowles Foundation for Research in Economics, Yale University.
  71. Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2005. "Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects," Boston University - Department of Economics - Working Papers Series WP2005-024, Boston University - Department of Economics.
  72. Benoit Perron, 2003. "Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 424-443, May.
  73. Giovanni Forchini, 2012. "Structural  Equations  and  Invariance," School of Economics Discussion Papers 0312, School of Economics, University of Surrey.
  74. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
  75. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
  76. Kichian, Maral, 1999. "Measuring Potential Output within a State-Space Framework," Working Papers 99-9, Bank of Canada.
  77. Peter C.B. Phillips, 1992. "Hyper-Consistent Estimation of a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 1040, Cowles Foundation for Research in Economics, Yale University.
  78. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages C26-C52, March.
  79. Forchini, Giovanni, 2008. "A characterization of invariant tests for identification in linear structural equations," Economics Letters, Elsevier, vol. 98(2), pages 185-193, February.
  80. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation for Research in Economics, Yale University.
  81. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
  82. Ramdan Dridi & Eric Renault, 2000. "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series /2000/392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  83. Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
  84. Moon, Hyungsik Roger, 2004. "Maximum score estimation of a nonstationary binary choice model," Journal of Econometrics, Elsevier, vol. 122(2), pages 385-403, October.
  85. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
  86. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  87. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
  88. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
  89. Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April.