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Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 1984

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10012477826

Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

Stock, James H. - 2018

An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach - the use of external instruments - is the time series counterpart of the highly successful strategy...

Persistent link: https://www.econbiz.de/10012453497

Inference with Weak Instruments

Andrews, Donald W.K. - 2005

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

Persistent link: https://www.econbiz.de/10012467097

The interpolation of time series by related series

Friedman, Milton - 1962

Persistent link: https://www.econbiz.de/10000668516

Impulse Response Functions for Self-Exciting Nonlinear Models

Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023

We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...

Persistent link: https://www.econbiz.de/10014372466

On Optimal Instrumental Variables Estimation of Stationary Time Series Models

West, Kenneth D. - 2000

In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use of such moments in a parametric model. I also illustrate application of the condition in...

Persistent link: https://www.econbiz.de/10012471323

The Econometrics of Ultra-High Frequency Data

Engle, Robert F. - 1996

Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

Persistent link: https://www.econbiz.de/10012473012

Further Investigation of the Uncertain Unit Root in GNP

Cheung, Yin-Wong - 1996

A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of...

Persistent link: https://www.econbiz.de/10012473018

The Comovements Between Real Activity and Prices at Different Business Cycle Frequencies

Haan, Wouter J. Den - 1996

In this paper, I present two different methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The statistics are easy to interpret and capture important information about the dynamics in the system that would be lost if one focused only on the...

Persistent link: https://www.econbiz.de/10012473303

Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again

Diebold, Francis X. - 1996

A sleepy consensus has emerged that U.S. GNP data are uninformative as to whether trend is better described as deterministic or stochastic. Although the distinction is not critical in some contexts, it is important for point forecasting, because the two models imply very different long-run...

Persistent link: https://www.econbiz.de/10012473378

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