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Citations for "Monte carlo experimentation in econometrics"

by Hendry, David F.

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  1. Clarida, Richard H. & Mark P. Taylor, 2002. "Nonlinear Permanent -Temporary Decompositions in Macroeconomics and Finance," Royal Economic Society Annual Conference 2002 51, Royal Economic Society.
  2. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
  3. Sarno, Lucio & Taylor, Mark P, 1997. "The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period," CEPR Discussion Papers 1730, C.E.P.R. Discussion Papers.
  4. Vassilis A. Hajivassiliou & Paul A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Cowles Foundation Discussion Papers 1051, Cowles Foundation for Research in Economics, Yale University.
  5. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
  6. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
  7. 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.
  8. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.
  9. 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.
  10. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
  11. 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.
  12. 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).
  13. 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.
  14. 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.
  15. 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.
  16. Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  17. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  18. 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.
  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. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  21. 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.
  22. 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.).
  23. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(i02).
  24. 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.).
  25. 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.
  26. Auld, M. Christopher & Grootendorst, Paul, 2004. "An empirical analysis of milk addiction," Journal of Health Economics, Elsevier, vol. 23(6), pages 1117-1133, November.
  27. 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.
  28. repec:ebl:ecbull:v:3:y:2002:i:23:p:1-10 is not listed on IDEAS
  29. Alessandro Rebucci, 2003. "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications," IMF Working Papers 03/73, International Monetary Fund.
  30. 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.).
  31. 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.
  32. 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.
  33. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics.
  34. 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.
  35. 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.
  36. 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.).
  37. 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).
  38. 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.
  39. Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
  40. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  41. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
  42. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.