Monte carlo experimentation in econometrics
In: Handbook of Econometrics
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- Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
- Robert Summers, 1959. "A Capital-Intensive Approach to the Small Sample Properties of Various Simultaneous Equation Estimators," Cowles Foundation Discussion Papers 64, Cowles Foundation for Research in Economics, Yale University.
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- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 36765, University Library of Munich, Germany.
- Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-36, October.
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"On the behavior of inconsistent instrumental variable estimators,"
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- Esfandier Maasoumi & Peter C.B. Phillips, 1980. "On the Behavior of Inconsistent Instrumental Variable Estimators," Cowles Foundation Discussion Papers 568, Cowles Foundation for Research in Economics, Yale University.
- Hendry, David F., 1979. "The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 9(3), pages 295-314, February.
- Hendry, David F., 1982. "A reply to Professors Maasoumi and Phillips," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 203-213, August.
- Sowey, Eric R., 1973. "A classified bibliography of Monte Carlo studies in econometrics," Journal of Econometrics, Elsevier, vol. 1(4), pages 377-395, December.
- Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- Hendry, David F. & Harrison, Robin W., 1974. "Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares," Journal of Econometrics, Elsevier, vol. 2(2), pages 151-174, July.
- Mariano, Roberto S, 1982. "Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 503-33, October.
- Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
- van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
- Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
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