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The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

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  • Hendry, David F
  • Srba, Frank

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  • Hendry, David F & Srba, Frank, 1977. "The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems," Econometrica, Econometric Society, vol. 45(4), pages 969-990, May.
    • Handle: RePEc:ecm:emetrp:v:45:y:1977:i:4:p:969-90
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    Cited by:

    1. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
    2. Palm, Franz C & Vogelvang, Engbert & Kodde, David A, 1984. "Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 579-601, October.
    3. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    4. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

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