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Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares

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  • Hendry, David F.
  • Harrison, Robin W.

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  • Hendry, David F. & Harrison, Robin W., 1974. "Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares," Journal of Econometrics, Elsevier, vol. 2(2), pages 151-174, July.
    • Handle: RePEc:eee:econom:v:2:y:1974:i:2:p:151-174
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    Citations

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    Cited by:

    1. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. Streibel, Mariane & Harvey, Andrew, 1993. "Estimation of simultaneous equation models with stochastic trend components," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 263-287.
    3. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
    4. David F. Hendry, 1975. "The Limiting Distribution of Inconsistent Instrumental Variables Estimators in a Class of Stationary Stochastic Systems," Cowles Foundation Discussion Papers 399, Cowles Foundation for Research in Economics, Yale University.
    5. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 100-112.
    6. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    7. repec:ebl:ecbull:v:3:y:2002:i:23:p:1-10 is not listed on IDEAS
    8. 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.
    9. 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.).
    10. 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.).
    11. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.

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