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Citations for "Nearly Efficient Estimation of Time Series Models with Predetermined, but Not Exogenous, Instruments"

by Hayashi, Fumio & Sims, Christopher A

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  1. David Demery & Nigel W. Duck, 2000. "Incomplete information and the time series behaviour of consumption," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 355-366.
  2. Shachmurove, Yochanan, 1999. "The Premium in Black Foreign Exchange Markets: Evidence from Developing Economies," Journal of Policy Modeling, Elsevier, vol. 21(1), pages 1-39, January.
  3. Kenneth D. West, 1995. "Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," NBER Technical Working Papers 0183, National Bureau of Economic Research, Inc.
  4. Fair, Ray C., 1989. "The production-smoothing model is alive and well," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 353-370, November.
  5. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
  6. Ray C. Fair, 1984. "The Use of Expected Future Variables in Macroeconometric Models," NBER Working Papers 1445, National Bureau of Economic Research, Inc.
  7. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  8. Reinhart, Carmen & Vegh, Carlos, 1994. "Inflation stabilization in chronic inflation countries: The empirical evidence," MPRA Paper 13689, University Library of Munich, Germany.
  9. Ray C. Fair & Kathryn M. Dominguez, 1987. "Effects of the Changing U.S. Age Distribution on Macroeconomic Equations," NBER Working Papers 2280, National Bureau of Economic Research, Inc.
  10. Reis, Ricardo, 2005. "Inattentive Consumers," CEPR Discussion Papers 5053, C.E.P.R. Discussion Papers.
  11. Funke, Michael, 2005. "Inflation in mainland China – modelling a roller coaster ride," BOFIT Discussion Papers 6/2005, Bank of Finland, Institute for Economies in Transition.
  12. Hahm, Joon-Ho, 1998. "Consumption adjustment to real interest rates: Intertemporal substitution revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 293-320, February.
  13. Robert J. Shiller, 1985. "Conventional Valuation and the Term Structure of Interest Rates," NBER Working Papers 1610, National Bureau of Economic Research, Inc.
  14. Kv, Bhanu Murthy & Deb, Ashis Taru, 2008. "Operationalizing and Measuring Competition: Determinants of Competition in Private Banking Industry in India," MPRA Paper 7463, University Library of Munich, Germany.
  15. Charles Evans & Kenneth Kuttner, 1998. "Can VARs describe monetary policy?," Research Paper 9812, Federal Reserve Bank of New York.
  16. Yochanan Shachmurove, . "The Premium in Black Dollar Markets," Penn CARESS Working Papers 548187587176633874d82ee38, Penn Economics Department.
  17. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 1-25, January.
  18. Orazio P. Attanasio & Guglielmo Weber, 1994. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," NBER Working Papers 4795, National Bureau of Economic Research, Inc.
  19. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
  20. Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Cowles Foundation Discussion Papers 1731, Cowles Foundation for Research in Economics, Yale University.
  21. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
  22. Nijman, T.E. & Palm, F.C., 1986. "Consistent estimation of rational expectation models," Research Memorandum FEW 216, Tilburg University, School of Economics and Management.
  23. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
  24. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  25. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset holding and consumption volatility," IFS Working Papers W98/08, Institute for Fiscal Studies.
  26. Kenneth D. West, 1986. "Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons," NBER Technical Working Papers 0054, National Bureau of Economic Research, Inc.
  27. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, . "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
  28. Kathryn M. Dominguez, 1986. "Are foreign exchange forecasts rational? New evidence from survey data," International Finance Discussion Papers 281, Board of Governors of the Federal Reserve System (U.S.).
  29. Felix FitzRoy & Michael Funke, 1994. "Real wages, investment and employment: New evidence from West German sectoral data," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 258-272, June.
  30. Mark Cassidy & Eric Strobl & Robert Thornton, 2002. "Gender Pay Differentials and Equality Legislation in the Republic of Ireland," Canadian Public Policy, University of Toronto Press, vol. 28(s1), pages 149-169, May.
  31. Kocagil, Ahmet E, 1997. "Portfolio choice of government incentives: the case of commercialization of a new coal-based technology," Energy Policy, Elsevier, vol. 25(10), pages 887-896, August.
  32. Mario Padula, 1999. "Euler Equations and Durable Goods," CSEF Working Papers 30, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  33. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 461-475, September.
  34. Kuersteiner, Guido M., 2001. "Optimal instrumental variables estimation for ARMA models," Journal of Econometrics, Elsevier, vol. 104(2), pages 359-405, September.
  35. Reinhart, Carmen & Ostry, Jonathan, 1991. "Private Saving and Terms of Trade Shocks," MPRA Paper 13716, University Library of Munich, Germany.
  36. Strazicich, Mark C., 1997. "Does Tax Smoothing Differ by the Level of Government? Time Series Evidence from Canada and the United States," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 305-326, April.
  37. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
  38. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  39. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  40. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
  41. Reinhart, Carmen & Vegh, Carlos, 1994. "Intertemporal consumption substitution and inflation stabilization:An empirical investigation," MPRA Paper 13427, University Library of Munich, Germany.
  42. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," The School of Economics Discussion Paper Series 1505, Economics, The University of Manchester.
  43. Jonathan Skinner & Daniel Feenberg, 1990. "The Impact of the 1986 Tax Reform Act on Personal Saving," NBER Working Papers 3257, National Bureau of Economic Research, Inc.
  44. Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
  45. Ray C. Fair, 1984. "Effect of Expected Future Government Deficits on Current Economic Activity," NBER Working Papers 1293, National Bureau of Economic Research, Inc.
  46. Manuel Arellano, 1992. "On exogeneity and identifiability," Investigaciones Economicas, Fundación SEPI, vol. 16(3), pages 401-409, September.
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