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New Directions in Non-linear Estimation with Dependent Observations

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  • Ian Domowitz

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  • Ian Domowitz, 1985. "New Directions in Non-linear Estimation with Dependent Observations," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 1-27, February.
  • Handle: RePEc:cje:issued:v:18:y:1985:i:1:p:1-27
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    References listed on IDEAS

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    1. Martin Feldstein, 1983. "Inflation, Tax Rules, and Investment: Some Econometric Evidence," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 243-286, National Bureau of Economic Research, Inc.
    2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    3. Szroeter, Jerzy, 1983. "Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions," Econometrica, Econometric Society, vol. 51(2), pages 335-353, March.
    4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    5. Davidson, Russell & MacKinnon, James G, 1987. "Implicit Alternatives and the Local Power of Test Statistics," Econometrica, Econometric Society, vol. 55(6), pages 1305-1329, November.
    6. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    7. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
    8. Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-319, March.
    9. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
    10. James G. MacKinnon & Halbert White & Russell Davidson, 1982. "Some Further Results on Tests for Model Specification in the Presence of Alternative Hypotheses," Working Paper 491, Economics Department, Queen's University.
    11. White, Halbert, 1983. "Corrigendum [Maximum Likelihood Estimation of Misspecified Models]," Econometrica, Econometric Society, vol. 51(2), pages 513-513, March.
    12. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
    13. MaCurdy, Thomas E, 1983. "A Simple Scheme for Estimating an Intertemporal Model of Labor Supply and Consumption in the Presence of Taxes and Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 265-289, June.
    14. White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-499, March.
    15. Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October.
    16. Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
    17. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    18. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
    19. Bates, Charles & White, Halbert, 1985. "A Unified Theory of Consistent Estimation for Parametric Models," Econometric Theory, Cambridge University Press, vol. 1(2), pages 151-178, August.
    20. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    21. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Ian Domowitz & Lars Muus, 1985. "Inference in the Explosive First-Order Linear Dynamic Regression Model," Discussion Papers 672, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.

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