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Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function
DeJong, David N. - In: Journal of Econometrics 52 (1992) 3, pp. 347-370
Persistent link: https://www.econbiz.de/10005052865
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The power problems of unit root test in time series with autoregressive errors
DeJong, David N.; Nankervis, John C.; Savin, N. E.; … - In: Journal of Econometrics 53 (1992) 1-3, pp. 323-343
Persistent link: https://www.econbiz.de/10005228581
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A Bayesian approach to dynamic macroeconomics
DeJong, David N.; Ingram, Beth F.; Whiteman, Charles H. - In: Journal of Econometrics 98 (2000) 2, pp. 203-223
Persistent link: https://www.econbiz.de/10005122779
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The validity of instruments revisited
Berkowitz, Daniel; Caner, Mehmet; Fang, Ying - In: Journal of Econometrics 166 (2012) 2, pp. 255-266
This paper shows how valid inferences can be made when an instrumental variable does not perfectly satisfy the orthogonality condition. When there is a mild violation of the orthogonality condition, the Anderson and Rubin (1949) test is oversized. In order to correct this problem, the...
Persistent link: https://www.econbiz.de/10010577525