Издательство Taylor&Francis по журналам "Econometric Reviews"
Отображаемые элементы 120 из 366

(Marcel Dekker, Inc, 19940101)In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that ...

(Marcel Dekker, Inc., 19920101)

(Marcel Dekker, Inc., 19920101)There has been significant new work published recently on the subject of model selection. Notably Rissanen (1986, 1987, 1988) has introduced new criteria based on the notion of stochastic complexity and Hurvich and Tsai(1989) ...

(Marcel Dekker, Inc., 19930101)Numerous estimation techniques for regression models have been proposed. These procedures differ in how sample information is used in the estimation procedure. The efficiency of least squares (OLS) estimators implicity ...

(Marcel Dekker, Inc., 19930101)An extensive synthesis is provided of the concepts, measures and techniques of Information Theory (IT). After an axiomatic description of the basic definitions of “information functions”, “entropy” or uncertainty and the ...

(Marcel Dekker, Inc., 19950101)This paper considers a modified CUSUM test, suggested by Dufour (1982) for parameter instability and structural change with an unknown change point in a linear model with serially correlated disturbances, in which a ...

(Marcel Dekker, Inc., 19840101)This paper summarizes from an econometric perspective recent work by statisticians on adaptive estimation. It also presents new findings concerning the adaptive estimability of nonlinear regression models.

(Marcel Dekker, Inc., 19950101)This paper proposes and applies a test procedure for misspecification in a dynamic regression model with moving average errors. The test statistics are based on testing for unit roots in the moving average process when the ...

(Marcel Dekker, Inc., 19980101)In this paper we argue that a simultaneous test for ARCH and bilinearity should be used to test for the possible nonlinearity of the error process in the regression model. We suggest such a joint test statistic. An empirical ...

(Marcel Dekker, Inc., 19900101)This Paper extends the Breusch and Pagan(1980) lagrange Multiplier test for the random effects model to the incomplete panel data case. It is shown that this test retains the simple additive structure observed in the ...

Aliternative methods for estimating longrun responses with applications to australian import demand(Marcel Dekker, Inc, 19940101)This paper compares and contrasts a number of singleequation and systems estimators of longrun responses with application to a threevariable import demand model. Two variants of Box and Tiao's (1977) canonical estimator ...

(Marcel Dekker, Inc., 19950101)In a panel data model with fixed individual effects, a number of alternative transformations are available to eliminate these effects such that the slope parameters can be estimated from ordinary least squares on transformed ...

(Marcel Dekker, Inc., 19920101)Amemiya's generalized least squares method for the estimation of simultaneous equation modeis with qualitative or limited dependent variables is known to be efficient relative to many popular two stage estimators. This ...

(Marcel Dekker, Inc., 19950101)This paper examines the sampling properties of a number of serial correlation tests in dynamic linear models which include one or two lags of the dependent variable. Among the tests considered are the DurbinWatson (DW) ...

(Marcel Dekker, Inc., 19950101)Econometric techniques to estimate output supply systems, factor demand systems and consumer demand systems have often required estimating a nonlinear system of equations that have an additive error structure when written ...

(Marcel Dekker, Inc., 19950101)Many economic duration variables are often available only up to intervals, and not up to exact points. However, continuous time duration models are conceptually superior to discrete ones. Hence, in duration analyses, one ...

(Marcel Dekker, Inc., 19930101)In this paper we present a generalized functional form estimator, recently developed by jeffrey Wooldridge; and then we compare it empirically to the popular BoxCox (BC) estimator using three data sets. We begin by briefly ...

(Marcel Dekker, Inc, 19940101)Chaotic deterministics systems are characterised by the instability of orbits on an attractor. The largest Lyapunov exponent measures on average the exponential growth rate of small deviations along an orbit and gives as ...

(Marcel Dekker, Inc., 19980101)Gorman's (1981) characterization of Engel curves includes the possibility of demand systems that are, linear in trigonometric functions of income, but the actual existence of such systems has been questioned. This paper ...

(Marcel Dekker, Inc., 19860101)
Отображаемые элементы 120 из 366