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Citations for "Nearly Efficient Estimation of Time Series Models with Predetermined, but Not Exogenous, Instruments"

by Hayashi, Fumio & Sims, Christopher A

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  1. Charles L. Evans & Kenneth N. Kuttner, 1998. "Can VAR's describe monetary policy?," Working Paper Series WP-98-19, Federal Reserve Bank of Chicago.
  2. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, 02.
  3. Attanasio, Orazio P & Weber, Guglielmo, 1995. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," Journal of Political Economy, University of Chicago Press, vol. 103(6), pages 1121-57, December.
  4. 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.
  5. Strazicich, Mark C., 1997. "Does Tax Smoothing Differ by the Level of Government? Time Series Evidence from Canada and the United States," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 305-326, April.
  6. Jonathan David Ostry & Carmen Reinhart, 1991. "Private Saving and Terms of Trade Shocks," IMF Working Papers 91/100, International Monetary Fund.
  7. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  8. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
  9. Ray C. Fair, 1984. "The Use of Expected Future Variables in Macroeconometric Models," NBER Working Papers 1445, National Bureau of Economic Research, Inc.
  10. Ray C. Fair & Kathryn M. Dominguez, 1987. "Effects of the Changing U.S. Age Distribution on Macroeconomic Equations," NBER Working Papers 2280, National Bureau of Economic Research, Inc.
  11. Reinhart, Carmen & Vegh, Carlos, 1994. "Inflation stabilization in chronic inflation countries: The empirical evidence," MPRA Paper 13689, University Library of Munich, Germany.
  12. Mario Padula, 1999. "Euler Equations and Durable Goods," CSEF Working Papers 30, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  13. Ray C. Fair, 1990. "The Production Smoothing Model is Alive and Well," NBER Working Papers 2877, National Bureau of Economic Research, Inc.
  14. Michael Funke, 2005. "Inflation in Mainland China - Modelling a Roller Coaster Ride," Working Papers 152005, Hong Kong Institute for Monetary Research.
  15. Kv, Bhanu Murthy & Deb, Ashis Taru, 2008. "Operationalizing and Measuring Competition: Determinants of Competition in Private Banking Industry in India," MPRA Paper 7463, University Library of Munich, Germany.
  16. Felix Fitzroy & Michael Funke, 1993. "Real Wages, Investment and Employment - New Evidence From West German Sectoral Data," CRIEFF Discussion Papers 9305, Centre for Research into Industry, Enterprise, Finance and the Firm.
  17. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
  18. West, Kenneth D., 1997. "Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 171-191.
  19. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset Holding and Consumption Volatility," NBER Working Papers 6567, National Bureau of Economic Research, Inc.
  20. Kocagil, Ahmet E, 1997. "Portfolio choice of government incentives: the case of commercialization of a new coal-based technology," Energy Policy, Elsevier, vol. 25(10), pages 887-896, August.
  21. Guido M. Kuersteiner, 1999. "Optimal Instrumental Variables Estimation for ARMA Models," Working papers 99-07, Massachusetts Institute of Technology (MIT), Department of Economics.
  22. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  23. Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Cowles Foundation Discussion Papers 1731, Cowles Foundation for Research in Economics, Yale University.
  24. Ray C. Fair, 1984. "Effects of Expected Future Government Deficits on Current Economic Activity," Cowles Foundation Discussion Papers 693, Cowles Foundation for Research in Economics, Yale University.
  25. Jonathan Skinner & Daniel Feenberg, 1990. "The Impact of the 1986 Tax Reform Act on Personal Saving," NBER Working Papers 3257, National Bureau of Economic Research, Inc.
  26. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  27. Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
  28. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
  29. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 1-25, January.
  30. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
  31. Lee, M.J., 1996. "Instrumental Variable Estimation for Linear Panel Data Models," Discussion Paper 1996-41, Tilburg University, Center for Economic Research.
  32. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
  33. Hahm, Joon-Ho, 1998. "Consumption adjustment to real interest rates: Intertemporal substitution revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 293-320, February.
  34. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
  35. Manuel Arellano, 1992. "On exogeneity and identifiability," Investigaciones Economicas, Fundación SEPI, vol. 16(3), pages 401-409, September.
  36. Ricardo Reis, 2004. "Inattentive Consumers," NBER Working Papers 10883, National Bureau of Economic Research, Inc.
  37. Kathryn M. Dominguez, 1986. "Are foreign exchange forecasts rational? New evidence from survey data," International Finance Discussion Papers 281, Board of Governors of the Federal Reserve System (U.S.).
  38. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 461-475, September.
  39. Yochanan Shachmurove, . ""The Premium in Black Dollar Markets''," CARESS Working Papres 97-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  40. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-88, March.
  41. Reinhart, Carmen & Vegh, Carlos, 1994. "Intertemporal consumption substitution and inflation stabilization:An empirical investigation," MPRA Paper 13427, University Library of Munich, Germany.
  42. Shachmurove, Yochanan, 1999. "The Premium in Black Foreign Exchange Markets: Evidence from Developing Economies," Journal of Policy Modeling, Elsevier, vol. 21(1), pages 1-39, January.
  43. David Demery & Nigel W. Duck, 2000. "Incomplete information and the time series behaviour of consumption," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 355-366.
  44. Robert J. Shiller, 1985. "Conventional Valuation and the Term Structure of Interest Rates," NBER Working Papers 1610, National Bureau of Economic Research, Inc.
  45. Mark Cassidy & Eric Strobl & Robert Thornton, 2002. "Gender Pay Differentials and Equality Legislation in the Republic of Ireland," Canadian Public Policy, University of Toronto Press, vol. 28(s1), pages 149-169, May.