Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties
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Volume (Year): 25 (1984)
Issue (Month): 3 (October)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Morrison, J Lawton, Jr, 1970. "Small Sample Properties of Selected Distributed Lag Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 13-23, February.
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
- Dhrymes, Phoebus J., 1974. "A note on an efficient two-step estimator," Journal of Econometrics, Elsevier, vol. 2(3), pages 301-304, September.
- 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.
- Dhrymes, Phoebus J & Taylor, John B, 1976. "On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 362-376, June.
- Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
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