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The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables

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  • Espasa, Antoni
  • Sargan, J Denis

Abstract

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  • Espasa, Antoni & Sargan, J Denis, 1977. "The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(3), pages 583-605, October.
    • Handle: RePEc:ier:iecrev:v:18:y:1977:i:3:p:583-605
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    Citations

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    Cited by:

    1. Robinson, Peter M., 2002. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 2263, London School of Economics and Political Science, LSE Library.
    2. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-479, June.
    3. Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
    4. J. Campos, 1986. "Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 125-138.
    5. Peter M Robinson, 2002. "Denis Sargan: Some Perspectives," STICERD - Econometrics Paper Series 437, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Phillips, Peter C.B., 2003. "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, vol. 19(3), pages 495-511, June.
    7. Robert F. Engle, 1980. "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters, in: Evaluation of Econometric Models, pages 309-321, National Bureau of Economic Research, Inc.
    8. Robinson, Peter M., 2003. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 292, London School of Economics and Political Science, LSE Library.
    9. Peter C.B. Phillips & In Choi, 1989. "Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains," Cowles Foundation Discussion Papers CFP 899, Cowles Foundation for Research in Economics, Yale University.
    10. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    11. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    12. Hall, Anthony David & Pagan, Adrian Rodney, 1981. "The LIML and Related Estimators of an Equation with Moving Average Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 719-730, October.

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