IDEAS home Printed from https://ideas.repec.org/h/eee/ecochp/2-16.html
   My bibliography  Save this book chapter

Monte carlo experimentation in econometrics

In: Handbook of Econometrics

Author

Listed:
  • Hendry, David F.

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ecochp:2-16
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/B7GX7-4DXJCWR-W/2/1db5a3152ef7cbc0c238c927dd313519
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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 503-533, October.
    2. 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.
    3. P. C. B. Phillips, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 183-224.
    4. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
    5. D. F. Hendry & P. K. Trivedi, 1972. "Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study," Review of Economic Studies, Oxford University Press, vol. 39(2), pages 117-145.
    6. Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August.
    7. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
    8. Maasoumi, Esfandiar & Phillips, Peter C. B., 1982. "On the behavior of inconsistent instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 183-201, August.
    9. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-448, May.
    10. Hylleberg, Svend, 1977. "A comparative study of finite sample properties of band spectrum regression estimators," Journal of Econometrics, Elsevier, vol. 5(2), pages 167-182, March.
    11. Hendry, David F., 1982. "A reply to Professors Maasoumi and Phillips," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 203-213, August.
    12. Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. van Dijk, H. K. & Kloek, T., 1980. "Further Experience In Bayesian Analysis Using Monte Carlo Integration," Econometric Institute Archives 272261, Erasmus University Rotterdam.
    18. 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 523-536, October.
    19. 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.
    20. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
    21. Sowey, Eric R., 1973. "A classified bibliography of Monte Carlo studies in econometrics," Journal of Econometrics, Elsevier, vol. 1(4), pages 377-395, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecochp:2-16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.