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Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks

  • Joseph, Agnes S.
  • Kiviet, Jan F.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4D138BV-1/2/f7a7ee6a9676e217f286c53aa306b680
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 49 (2005)
Issue (Month): 2 (April)
Pages: 417-444

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Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:417-444
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
  2. West, Kenneth D & Wilcox, David W, 1996. "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 281-93, July.
  3. John Shea, 1996. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," NBER Technical Working Papers 0193, National Bureau of Economic Research, Inc.
  4. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
  5. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  6. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
  7. Jiahui Wang & Eric Zivot, 1998. "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 66(6), pages 1389-1404, November.
  8. Belsley, David A., 1982. "Assessing the presence of harmful collinearity and other forms of weak data through a test for signal-to-noise," Journal of Econometrics, Elsevier, vol. 20(2), pages 211-253, November.
  9. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
  10. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. Ferson, Wayne E. & Foerster, Stephen R., 1994. "Finite sample properties of the generalized method of moments in tests of conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 36(1), pages 29-55, August.
  12. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1.
  13. Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850, March.
  14. 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.
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