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A Survey of Some Recent Econometric Methods

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  • Pagan, Adrian R
  • Wickens, M R

Abstract

This survey is written mainly for the applied economist though we hope that the specialist econometrician will find something of interest too. Our aim has been to try to bring the applied worker as up to date as possible, and in the process to improve the quality of applied work, by providing access to the latest ideas in econometrics. We have tried to describe and explain in a relatively non-technical way the main developments that have taken place in the last ten years. Partly for reasons of space the survey is by no means exhaustive but it does cover a wide range of topics in both time-series and cross-section analysis. Among the subjects covered are the followoing: the nature of data (including integrated and fractionally integrated data), four estimation methods (maximum likelihood, method of moments, M-estimators and non-parametric estimation), inference (with stationary and integrated regressors), a comparison of various model evaluation principles, the formulation of models (including dynamic specification, cointegration and conditional expectations in mean and variance). Copyright 1989 by Royal Economic Society.

Suggested Citation

  • Pagan, Adrian R & Wickens, M R, 1989. "A Survey of Some Recent Econometric Methods," Economic Journal, Royal Economic Society, vol. 99(398), pages 962-1025, December.
  • Handle: RePEc:ecj:econjl:v:99:y:1989:i:398:p:962-1025
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    Cited by:

    1. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
    2. Gruen, David W R & Wilkinson, Jenny, 1994. "Australia's Real Exchange Rate--Is It Explained by the Terms of Trade or by Real Interest Differentials?," The Economic Record, The Economic Society of Australia, vol. 70(209), pages 204-219, June.
    3. Garcés Díaz Daniel, 2017. "Explaining Inflation with a Classical Dichotomy Model and Switching Monetary Regimes: Mexico 1932-2013," Working Papers 2017-20, Banco de México.
    4. David G. Lenze, 1997. "Dynamic and Spatial Impact of Hurricane Andrew on Florida'S Taxable Sales: An Intervention Analysis," The Review of Regional Studies, Southern Regional Science Association, vol. 27(2), pages 163-183, Fall.
    5. Abdullahi D. Ahmed, 2010. "Financial liberalization, financial development and growth linkages in Sub-Saharan African countries: An empirical investigation," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(4), pages 314-339, October.
    6. Crompton, Paul, 2015. "Explaining variation in steel consumption in the OECD," Resources Policy, Elsevier, vol. 45(C), pages 239-246.
    7. Patel, Urjit R. & Srivastava, Pradeep, 1996. "Macroeconomic policy and output comovement: The formal and informal sectors in India," World Development, Elsevier, vol. 24(12), pages 1915-1923, December.
    8. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    9. Garcés Díaz Daniel, 2016. "Changes in Inflation Predictability in Major Latin American Countries," Working Papers 2016-20, Banco de México.
    10. Paola Profeta & Simona Scabrosetti & Stanley Winer, 2014. "Wealth transfer taxation: an empirical investigation," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 21(4), pages 720-767, August.
    11. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    12. Alexiou, Constantinos & Tsaliki, Persefoni & Tsoulfidis, Lefteris, 2014. "Classical Theory of Investment. Panel Cointegration Evidence from Thirteen EU Countries," MPRA Paper 60598, University Library of Munich, Germany.
    13. Jaime VallÈs GimÈnez & Anabel Z·rate Marco, "undated". "Influyen las ayudas p˙blicas por descendientes la fecundidad?. Un estudio para Espana por tramos de edad," Studies on the Spanish Economy 148, FEDEA.
    14. Kopsch, Fredrik, 2012. "A demand model for domestic air travel in Sweden," Journal of Air Transport Management, Elsevier, vol. 20(C), pages 46-48.

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