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Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...

Persistent link: https://www.econbiz.de/10011411381

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355167

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML … estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the … those for the SLD model in terms of the rate of convergence and the magnitude of bias. Monte Carlo results show that the …

Persistent link: https://www.econbiz.de/10011297624

Higher order bias correcting moment equation for M-estimation and its higher order efficiency

Kim, Kyoo Il - In: Econometrics : open access journal 4 (2016) 4, pp. 1-19

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment … equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias …-step bias correction by using the bias correction of moment equations. This finding suggests that the comparison between the one …

Persistent link: https://www.econbiz.de/10011650483

A conversation with Katarina Juselius

Jusélius, Katarina (interviewee); … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355175

Non-causality due to included variables

Triacca, Umberto - In: Econometrics : open access journal 5 (2017) 4, pp. 1-4

The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = (x, y1, y2)0. We want to study causality relationships between the...

Persistent link: https://www.econbiz.de/10011781854

A comparison of some bayesian and classical procedures for simultaneous equation models with weak instruments

Gao, Chuanming; Lahiri, Kajal - In: Econometrics : open access journal 7 (2019) 3/33, pp. 1-28

We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider Bayesian approaches developed by Chao and Phillips, Geweke, Kleibergen and van Dijk, and...

Persistent link: https://www.econbiz.de/10012161526

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...

Persistent link: https://www.econbiz.de/10011506231

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012295878

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are...

Persistent link: https://www.econbiz.de/10011653607

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