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Citations for "Monte carlo experimentation in econometrics"

by Hendry, David F.

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  1. Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
  2. Neil R. Ericsson & Esfandiar Maasoumi & Grayham E. Mizon, 2001. "A retrospective on J. Denis Sargan and his contributions to econometrics," International Finance Discussion Papers 700, Board of Governors of the Federal Reserve System (U.S.).
  3. Ericsson, Neil R. & Maasoumi, Esfandiar & Mizon, Grayham E., 2001. "A retrospective on J.D. Sargan and his contribution to Econometrics," Discussion Paper Series In Economics And Econometrics 0108, Economics Division, School of Social Sciences, University of Southampton.
  4. Hajivassiliou, Vassilis A & Ruud, Paul A., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Department of Economics, Working Paper Series qt3cg196fr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  5. Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper Series 13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  6. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December.
  7. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
  8. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
  9. Hans-Martin Krolzig & David Hendry, 1999. "Computer Automation of General-to-Specific Model Selection Procedures," Computing in Economics and Finance 1999 314, Society for Computational Economics.
  10. David N. DeJong & Roman Liesenfeld & Jean-Francois Richard, 2006. "Timing structural change: a conditional probabilistic approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 175-190.
  11. Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
  12. Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
  13. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(i02).
  14. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages C125-C139, March.
  15. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  16. Christopher Auld & Paul Grootendorst, 2001. "An Empirical Analysis of Milk Addiction," Working Papers 2001-17, Department of Economics, University of Calgary, revised 05 Dec 2001.
  17. Kuosmanen, Timo & Kuosmanen, Natalia, 2009. "How not to measure sustainable value (and how one might)," Ecological Economics, Elsevier, vol. 69(2), pages 235-243, December.
  18. Fernandes, Marcelo & Preumont, Pierre-Yves, 2014. "The finite-sample size of the BDS test for GARCH standardized residuals," Textos para discussão 361, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  19. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Paper 61, National Institute of Economic Research.
  20. Campbell, Randall C. & Hill, R. Carter, 2005. "A Monte Carlo study of the effect of design characteristics on the inequality restricted maximum entropy estimator," Review of Applied Economics, Review of Applied Economics, vol. 1(1).
  21. Vassilis A. Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Cowles Foundation Discussion Papers 1049, Cowles Foundation for Research in Economics, Yale University.
  22. Krüger, Jens J., 2012. "A Monte Carlo study of old and new frontier methods for efficiency measurement," European Journal of Operational Research, Elsevier, vol. 222(1), pages 137-148.
  23. A. Geraci & D. Fabbri & C. Monfardini, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Working Papers wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
  24. repec:ebl:ecbull:v:3:y:2002:i:23:p:1-10 is not listed on IDEAS
  25. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
  26. Jaime Marquez & Neil R. Ericsson, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
  27. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
  28. Rebucci, Alessandro, 2010. "Estimating VARs with long stationary heterogeneous panels: A comparison of the fixed effect and the mean group estimators," Economic Modelling, Elsevier, vol. 27(5), pages 1183-1198, September.
  29. Chowdhury, Ibrahim & Sarno, Lucio & Taylor, Mark P, 2002. "Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study," CEPR Discussion Papers 3377, C.E.P.R. Discussion Papers.
  30. Bertocco Giancarlo, 2006. "Are banks special? A note on Tobin’s theory of financial intermediaries," Economics and Quantitative Methods qf0605, Department of Economics, University of Insubria.
  31. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Forecast variance in simultaneous equation models: analytic and Monte Carlo methods," MPRA Paper 24541, University Library of Munich, Germany.
  32. Kwak, Seung-Jun & Yoo, Seung-Hoon & Kim, Tai-Yoo, 2001. "A constructive approach to air-quality valuation in Korea," Ecological Economics, Elsevier, vol. 38(3), pages 327-344, September.
  33. Krzysztof Rybinski, 1997. "Testing Integration of Macroeconomic Time Series in Transitional Socialist Economies. A Modification of Perron Test," Economic Change and Restructuring, Springer, vol. 30(2), pages 127-179, May.
  34. Ching-Sheng Mao, 1990. "Hypothesis testing and finite sample properties of generalized method of moments estimators: a Monte Carlo study," Working Paper 90-12, Federal Reserve Bank of Richmond.
  35. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
  36. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
  37. Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Papers 781, Queen's University, Department of Economics.
  38. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  39. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
  40. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
  41. Alessandro Rebucci, 2003. "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications," IMF Working Papers 03/73, International Monetary Fund.
  42. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.