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Alastair Hall

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Alastair R. Hall & Denise R. Osborn & Nikolaos D. Sakkas, 2012. "Inference on Structural Breaks using Information Criteria," Centre for Growth and Business Cycle Research Discussion Paper Series 173, Economics, The University of Manchester.

    Mentioned in:

    1. My "Must Read" List
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-09-27 06:33:00

Working papers

  1. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2013. "Structural Break Inference using Information Criteria in Models Estimated by Two Stage Least Squares," Economics Discussion Paper Series 1328, Economics, The University of Manchester.

    Cited by:

    1. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series 1504, Economics, The University of Manchester.
    2. Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.

  2. Alastair R. Hall & Yuyi Li & Chris D. Orme, 2012. "Testing for Structural Instability in Moment Restriction Models: an Info?metric Approach," Economics Discussion Paper Series 1205, Economics, The University of Manchester.

    Cited by:

    1. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    2. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
    3. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.

  3. Alastair R. Hall & Denise R. Osborn & Nikolaos D. Sakkas, 2012. "Inference on Structural Breaks using Information Criteria," Centre for Growth and Business Cycle Research Discussion Paper Series 173, Economics, The University of Manchester.

    Cited by:

    1. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
    2. Diebold, Francis X. & Rudebusch, Glenn D., 2022. "Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections," Journal of Econometrics, Elsevier, vol. 231(2), pages 520-534.
    3. Paraskevi Salamaliki, 2015. "Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts," Working Paper Series of the Department of Economics, University of Konstanz 2015-08, Department of Economics, University of Konstanz.
    4. Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2020. "Change point estimation in panel data with time‐varying individual effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 712-727, September.
    5. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
    6. Menezes, Rui & Oliveira, Álvaro & Portela, Sofia, 2019. "Investigating detrended fluctuation analysis with structural breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 331-342.
    7. Chulwoo Han & Abderrahim Taamouti, 2017. "Partial Structural Break Identification," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(2), pages 145-164, April.
    8. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series 1504, Economics, The University of Manchester.
    9. Bataa, Erdenebat & Osborn, Denise R. & Sensier, Marianne, 2018. "China's increasing global influence: Changes in international growth linkages," Economic Modelling, Elsevier, vol. 74(C), pages 194-206.
    10. Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
    11. Christie A Bahlai & Elise F Zipkin, 2020. "The Dynamic Shift Detector: An algorithm to identify changes in parameter values governing populations," PLOS Computational Biology, Public Library of Science, vol. 16(1), pages 1-16, January.
    12. Eduard Baumöhl & Štefan Lyócsa, 2014. "Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 352-373, November.
    13. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
    14. Abdelati Abdelhamid & Nesrin Ozatac & Nigar Taspinar, 2023. "Investigating the Nexus between Energy Consumption and Financial Development via Considering Structural Breaks: Empirical Evidence from Argentina," Sustainability, MDPI, vol. 15(11), pages 1-14, May.

  4. Quattri, Maria A. & Ozanne, Adam & Wang, Xioabing & Hall, Alastair R., 2011. "On The Role Of The Brokerage Institution In The Development Of Ethiopian Agricultural Markets," 85th Annual Conference, April 18-20, 2011, Warwick University, Coventry, UK 108941, Agricultural Economics Society.

    Cited by:

    1. Camilla Andersson & Mintewab Bezabih & Andrea Mannberg, 2015. "The Ethiopian Commodity Exchange and spatial price dispersion," GRI Working Papers 204, Grantham Research Institute on Climate Change and the Environment.
    2. Andersson, Camilla & Bezabih, Mintewab & Mannberg, Andrea, 2015. "The Ethiopian Commodity Exchange and spatial price dispersion," GlobalFood Discussion Papers 209963, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
    3. Andersson, Camilla & Bezabih, Mintewab & Mannberg, Andrea, 2017. "The Ethiopian Commodity Exchange and spatial price dispersion," Food Policy, Elsevier, vol. 66(C), pages 1-11.

  5. Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009. "Inference regarding multiple structural changes in linear models with endogenous regressors," Centre for Growth and Business Cycle Research Discussion Paper Series 125, Economics, The University of Manchester.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
    3. Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
    4. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    5. Merih Uctum & Remzi Uctum & Chu-Ping C Vijverberg, 2021. "The European growth synchronization through crises and structural changes," Post-Print hal-03319011, HAL.
    6. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    7. Alessandro Casini & Pierre Perron, 2018. "Generalized Laplace Inference in Multiple Change-Points Models," Papers 1803.10871, arXiv.org, revised Jan 2021.
    8. Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
    9. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
    10. Elliott, Graham & Müller, Ulrich K, 2014. "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series qt4j733246, Department of Economics, UC San Diego.
    11. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    12. De Lipsis, Vincenzo & Agnolucci, Paolo, 2024. "Climate change and the US wheat commodity market," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
    13. Remzi Uctum & Merih Uctum & Chu-Ping C. Vijverberg, 2017. "The Eurozone convergence through crises and structural changes," Post-Print hal-01589231, HAL.
    14. Adriana Cornea‐Madeira & João Madeira, 2022. "Econometric Analysis of Switching Expectations in UK Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 651-673, June.
    15. Yunfeng Sun & Hao Yang & Chongyang Qian & Yifeng Jiang & Xiaowei Luo & Xiang Wu, 2022. "Voice Endorsement and Employee Safety Voice Behavior in Construction Projects: The Mediating Role of Leader-Member Exchange," IJERPH, MDPI, vol. 19(6), pages 1-17, March.
    16. Lajos Horváth & William Pouliot & Shixuan Wang, 2017. "Detecting at-Most-m Changes in Linear Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 552-590, July.
    17. Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022. "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers 2022-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
    19. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series 1504, Economics, The University of Manchester.
    20. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.
    21. Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
    22. Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
    23. Alessandro Casini & Pierre Perron, 2020. "Continuous Record Asymptotics for Change-Point Models," Boston University - Department of Economics - Working Papers Series WP2020-013, Boston University - Department of Economics.
    24. Qian, Junhui & Su, Liangjun, 2014. "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, vol. 125(3), pages 415-421.
    25. Hao, Shiming, 2021. "True structure change, spurious treatment effect? A novel approach to disentangle treatment effects from structure changes," MPRA Paper 108679, University Library of Munich, Germany.
    26. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    27. Cornea, A. & Hommes, C.H. & Massaro, D., 2012. "Behavioral Heterogeneity in U.S. Inflation Dynamics," CeNDEF Working Papers 12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    28. Somayeh Kokabisaghi & Eric J. Pauwels & Katrien Van Meulder & André B. Dorsman, 2018. "Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes," IJFS, MDPI, vol. 6(3), pages 1-12, September.
    29. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    30. Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
    31. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    32. Fu, Zhonghao & Hong, Yongmiao, 2019. "A model-free consistent test for structural change in regression possibly with endogeneity," Journal of Econometrics, Elsevier, vol. 211(1), pages 206-242.
    33. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
    34. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    35. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    36. Hall Alastair & Sakkas Nikolaos, 2013. "Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 53-67, July.
    37. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.
    38. Feng, Qu, 2020. "Common factors and common breaks in panels: An empirical investigation," Economics Letters, Elsevier, vol. 187(C).
    39. Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
    40. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.

  6. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The University of Manchester.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
    3. Val鲩e Chouard & Daniel Fuentes Castro & Delphine Irac & Matthieu Lemoine, 2014. "Assessing the losses in euro area potential productivity due to the financial crisis," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2711-2720, August.
    4. KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
    5. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    6. Gabriela Ciuperca & Zahraa Salloum, 2015. "Empirical likelihood test in a posteriori change-point nonlinear model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 919-952, November.
    7. Čížek, Pavel & Koo, Chao Hui, 2021. "Jump-preserving varying-coefficient models for nonlinear time series," Econometrics and Statistics, Elsevier, vol. 19(C), pages 58-96.
    8. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series 1504, Economics, The University of Manchester.
    9. Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
    10. Hall Alastair & Sakkas Nikolaos, 2013. "Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 53-67, July.
    11. Pavel Yaskov, 2010. "Testing for predictive ability in the presence of structural breaks (in Russian)," Quantile, Quantile, issue 8, pages 127-135, July.

  7. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    3. KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
    4. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
    5. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
    6. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    7. Pierre Perron & Yohei Yamamoto, 2011. "A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS," Boston University - Department of Economics - Working Papers Series WP2011-054, Boston University - Department of Economics.
    8. Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022. "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers 2022-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series 1504, Economics, The University of Manchester.
    10. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.
    11. Qian, Junhui & Su, Liangjun, 2014. "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, vol. 125(3), pages 415-421.
    12. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    13. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
    14. Mahjus Ekananda, 2022. "The Nonlinear Impact of Payment System Innovation on Financial System Stability in the ASEAN-4 Countries," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 68, pages 114-131, Desember.
    15. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
    16. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    17. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.

  8. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008.

    Cited by:

    1. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.
    2. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.

  9. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.

    Cited by:

    1. Müller, Gernot & Wolf, Martin & Hettig, Thomas, 2019. "Exchange Rate Undershooting: Evidence and Theory," CEPR Discussion Papers 13597, C.E.P.R. Discussion Papers.
    2. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    3. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare‐maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
    4. Karel Mertens & Morten Overgaard Ravn, 2010. "Online Appendix to "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy Shocks"," Online Appendices 09-221, Review of Economic Dynamics.
    5. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
    6. Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2017. "Impulse response matching estimators for DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 144-155.
    7. James Cloyne, 2014. "Government spending shocks, wealth effects and distortionary taxes," Discussion Papers 1413, Centre for Macroeconomics (CFM).
    8. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    9. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    10. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
    11. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    12. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    13. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    14. Poghosyan, Karen & Boldea, Otilia, 2013. "Structural versus matching estimation: Transmission mechanisms in Armenia," Economic Modelling, Elsevier, vol. 30(C), pages 136-148.
    15. Lucy Minford & David Meenagh, 2020. "Supply-Side Policy and Economic Growth: A Case Study of the UK," Open Economies Review, Springer, vol. 31(1), pages 159-193, February.
    16. Anna Kormilitsina, 2009. "Oil Price Shocks and the Optimality of Monetary Policy," Departmental Working Papers 0901, Southern Methodist University, Department of Economics.
    17. Morten O. Ravn & Stephanie Schmitt-Grohė & Martín Uribe & Lenno Uusküla, 2010. "Deep Habits and the Dynamic Effects of Monetary Policy Shocks," NBER Chapters, in: Sticky Prices and Inflation Dynamics (NBER-TCER-CEPR), pages 236-258, National Bureau of Economic Research, Inc.
    18. Rui Faustino, 2019. "Endogenous Quality and Firm Entry," Working Papers REM 2019/0107, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    19. Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
    20. Minford, Patrick & Wickens, Michael R. & Meenagh, David, 2012. "Testing macroeconomic models by indirect inference on unfiltered data," CEPR Discussion Papers 9058, C.E.P.R. Discussion Papers.
    21. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
    22. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    23. Karel Mertens & Morten O. Ravn, 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," Economics Working Papers ECO2008/05, European University Institute.
    24. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," Melbourne Institute Working Paper Series wp2018n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    25. Ronayne, David, 2011. "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    26. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
    27. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    28. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
    29. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512, Edward Elgar Publishing.
    30. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    31. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers E2018/7, Cardiff University, Cardiff Business School, Economics Section.
    32. Michiru Sakane, 2010. "News-Driven International Business Cycles: Effects of the US News Shock on the Canadian Economy," Global COE Hi-Stat Discussion Paper Series gd09-129, Institute of Economic Research, Hitotsubashi University.
    33. Davidson, James & Meenagh, David & Minford, Patrick & Wickens, Michael, 2010. "Why crises happen - nonstationary macroeconomics," Cardiff Economics Working Papers E2010/13, Cardiff University, Cardiff Business School, Economics Section.
    34. Morten O. Ravn & Karel Mertens, 2009. "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy shocks," 2009 Meeting Papers 480, Society for Economic Dynamics.
    35. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," CAMA Working Papers 2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    36. Daniil Lomonosov, 2023. "Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 44-79, December.
    37. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011. "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2078-2104.
    38. Ruge-Murcia, Francisco, 2020. "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, vol. 197(C).
    39. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
    40. Luca Brugnolini, 2018. "About Local Projection Impulse Response Function Reliability," CEIS Research Paper 440, Tor Vergata University, CEIS, revised 09 Jun 2018.
    41. Michael Creel & Dennis Kristensen, 2015. "On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments," UFAE and IAE Working Papers 950.15, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 27 Feb 2015.
    42. Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    43. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.
    44. Tayebeh Sadat Tabatabaei & Pedram Asef, 2021. "Evaluation of Energy Price Liberalization in Electricity Industry: A Data-Driven Study on Energy Economics," Energies, MDPI, vol. 14(22), pages 1-19, November.
    45. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    46. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
    47. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    48. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    49. Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024. "Generalized Optimization Algorithms for Complex Models," LEM Papers Series 2024/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    50. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    51. Giraitis, Liudas & Kapetanios, George & Theodoridis, Konstantinos & Yates, Tony, 2014. "Estimating time-varying DSGE models using minimum distance methods," Bank of England working papers 507, Bank of England.
    52. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
    53. Cengiz Tunc & Denis Pelletier, 2013. "Endogenous Life-Cycle Housing Investment and Portfolio Allocation," Working Papers 1345, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    54. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    55. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    56. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.

  10. Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007.

    Cited by:

    1. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
    2. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    3. Senay Sokullu & Christine Valente, 2022. "Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 286-304, March.
    4. Parente, Paulo M D C & Santos Silva, Joao M C, 2011. "A cautionary note on tests for overidentifying restrictions," Economics Discussion Papers 3532, University of Essex, Department of Economics.
    5. Nikolov, Boris & Schmid, Lukas & Steri, Roberto, 2021. "The Sources of Financing Constraints," Journal of Financial Economics, Elsevier, vol. 139(2), pages 478-501.
    6. Marco Duarte & Lorenzo Magnolfi & Mikkel S{o}lvsten & Christopher Sullivan, 2023. "Testing Firm Conduct," Papers 2301.06720, arXiv.org, revised Jan 2024.
    7. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    8. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
    9. Wei-Min Hu & Junji Xiao & Xiaolan Zhou, 2014. "Collusion or Competition? Interfirm Relationships in the Chinese Auto Industry," Journal of Industrial Economics, Wiley Blackwell, vol. 62(1), pages 1-40, March.
    10. Matthew Backus & Christopher Conlon & Michael Sinkinson, 2021. "Common Ownership and Competition in the Ready-to-Eat Cereal Industry," NBER Working Papers 28350, National Bureau of Economic Research, Inc.
    11. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    12. Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021. "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers 21-062/III, Tinbergen Institute.
    13. Junpei Komiyama & Hajime Shimao, 2018. "Cross Validation Based Model Selection via Generalized Method of Moments," Papers 1807.06993, arXiv.org.

  11. Jim Nason & Barbara Rossi & Atsushi Inoue & Alastair Hall, 2007. "Information Criteria for Impulse Response Function Matching Estimation," 2007 Meeting Papers 293, Society for Economic Dynamics.

    Cited by:

    1. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    2. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare‐maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
    3. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    4. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    5. Anna Kormilitsina, 2009. "Oil Price Shocks and the Optimality of Monetary Policy," Departmental Working Papers 0901, Southern Methodist University, Department of Economics.
    6. Morten O. Ravn & Stephanie Schmitt-Grohė & Martín Uribe & Lenno Uusküla, 2010. "Deep Habits and the Dynamic Effects of Monetary Policy Shocks," NBER Chapters, in: Sticky Prices and Inflation Dynamics (NBER-TCER-CEPR), pages 236-258, National Bureau of Economic Research, Inc.
    7. Karel Mertens & Morten Overgaard Ravn, 2011. "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 27-54, January.
    8. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
    9. Karel Mertens & Morten O. Ravn, 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," Economics Working Papers ECO2008/05, European University Institute.
    10. Ronayne, David, 2011. "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    11. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
    12. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    13. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    14. Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    15. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.

  12. Ooms, Daan L. & Hall, Alastair R., 2005. "On- and Off-Farm Labour Supply of Dutch Dairy Farmers: Estimation and Policy Simulations," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24506, European Association of Agricultural Economists.

    Cited by:

    1. Wang, Xiaobing & Herzfeld, Thomas & Glauben, Thomas, 2007. "Labor allocation in transition: Evidence from Chinese rural households," China Economic Review, Elsevier, vol. 18(3), pages 287-308.
    2. Wang, Xiaobing, 2007. "Labor market behavior of Chinese rural households during transition," Studies on the Agricultural and Food Sector in Transition Economies, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), volume 42, number 92321.
    3. Azzarri, Carlo & Carletto, Calogero & Davis, Benjamin & Zezza, Alberto, 2006. "Choosing to Migrate or Migrating to Choose: Migration and Labor Choice in Albania," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25538, International Association of Agricultural Economists.
    4. Fragoso, R. & Marques, C. & Lucas, M.R. & Martins, M.B. & Jorge, R., 2011. "The economic effects of common agricultural policy on Mediterranean montado/dehesa ecosystem," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 311-327, March.
    5. Rui Fragoso & Carlos Marques & Maria Raquel Lucas & Maria Belém Martins & Raúl Fernandes Jorge, 2009. "The Economic Effects of Common Agricultural Policy Trends on Montado Ecosystem in Southern Portugal," CEFAGE-UE Working Papers 2009_12, University of Evora, CEFAGE-UE (Portugal).
    6. Dries, Liesbeth & Ciaian, Pavel & Kancs, d’Artis, 2012. "Job creation and job destruction in EU agriculture," Food Policy, Elsevier, vol. 37(6), pages 600-608.

  13. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, University Library of Munich, Germany.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers 2014-02, School of Economics, The University of New South Wales.
    3. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    4. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
    5. Michael Jansson & Demian Pouzo, 2019. "Towards a general large sample theory for regularized estimators," CeMMAP working papers CWP63/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2018. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
    7. George Hall & John Rust, 2002. "Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market," Cowles Foundation Discussion Papers 1376, Cowles Foundation for Research in Economics, Yale University.
    8. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
    9. Jondeau, E. & Le Bihan, H., 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers 103, Banque de France.
    10. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," FRB Atlanta Working Paper 2006-10, Federal Reserve Bank of Atlanta.
    11. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    12. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    13. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
    14. Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
    15. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    16. Jean-Jacques Forneron & Liang Zhong, 2023. "Convexity Not Required: Estimation of Smooth Moment Condition Models," Papers 2304.14386, arXiv.org.
    17. Andrews, Isaiah, 2019. "On the structure of IV estimands," Journal of Econometrics, Elsevier, vol. 211(1), pages 294-307.
    18. Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
    19. Huigang Chen & Mr. Alin T Mirestean & Mr. Charalambos G Tsangarides, 2011. "Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model," IMF Working Papers 2011/230, International Monetary Fund.
    20. Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Discussion Papers 2019-08, School of Economics, The University of New South Wales.
    21. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2023. "Optimal minimax rates of specification testing with data-driven bandwidth," Econometric Reviews, Taylor & Francis Journals, vol. 42(6), pages 487-512, June.
    22. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    23. Tao Chen & Gautam Tripathi, 2013. "Testing conditional symmetry without smoothing," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 273-313, June.
    24. Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
    25. Jiti Gao & Han Hong, 2014. "A Computational Implementation of GMM," Monash Econometrics and Business Statistics Working Papers 24/14, Monash University, Department of Econometrics and Business Statistics.
    26. Kirill S. Evdokimov & Michal Kolesár, 2018. "Inference in Instrumental Variable Regression Analysis with Heterogeneous Treatment Effects," Working Papers 2018-16, Princeton University. Economics Department..
    27. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
    28. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
    29. Fuhrer, Jeffrey C. & Rudebusch, Glenn D., 2004. "Estimating the Euler equation for output," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1133-1153, September.
    30. Timothy B. Armstrong & Michal Kolesár, 2020. "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers 2020-28, Princeton University. Economics Department..
    31. Yaroslav Mukhin, 2018. "Sensitivity of Regular Estimators," Papers 1805.08883, arXiv.org.
    32. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    33. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.
    34. Sueishi, Naoya, 2013. "Identification problem of the exponential tilting estimator under misspecification," Economics Letters, Elsevier, vol. 118(3), pages 509-511.
    35. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
    36. Magnolfi, Lorenzo & Sullivan, Christopher, 2022. "A comparison of testing and estimation of firm conduct," Economics Letters, Elsevier, vol. 212(C).
    37. Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
    38. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," LSE Research Online Documents on Economics 107522, London School of Economics and Political Science, LSE Library.
    39. Bruce E. Hansen & Seojeong Lee, 2021. "Inference for Iterated GMM Under Misspecification," Econometrica, Econometric Society, vol. 89(3), pages 1419-1447, May.
    40. Richard Ashley & Christopher Parmeter, 2015. "Sensitivity analysis for inference in 2SLS/GMM estimation with possibly flawed instruments," Empirical Economics, Springer, vol. 49(4), pages 1153-1171, December.
    41. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," FRB Atlanta Working Paper 2009-11, Federal Reserve Bank of Atlanta.
    42. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    43. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers 55/13, Institute for Fiscal Studies.
    44. Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2012. "Limited Participation in International Business Cycle Models: A Formal Evaluation," Microeconomics.ca working papers vadim_marmer-2012-1, Vancouver School of Economics, revised 21 Dec 2013.
    45. Francesco Bravo, 2022. "Misspecified semiparametric model selection with weakly dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 558-586, July.
    46. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.).
    47. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth Centre Working Paper Series 1311, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    48. Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. Valentin Verdier, 2020. "Average treatment effects for stayers with correlated random coefficient models of panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 917-939, November.
    50. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
    51. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," Economics Letters, Elsevier, vol. 198(C).
    52. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, University Library of Munich, Germany.
    53. Seojeong Lee, 2015. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Discussion Papers 2015-01, School of Economics, The University of New South Wales.
    54. Bruce E. Hansen & Seojeong Lee, 2019. "Asymptotic Theory for Clustered Samples," Papers 1902.01497, arXiv.org.
    55. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
    56. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    57. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    58. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012. "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, vol. 169(1), pages 131-138.
    59. Mihai Giurcanu & Brett Presnell, 2018. "Bootstrap inference for misspecified moment condition models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 605-630, June.
    60. Morris Davis & Robert F. Martin, 2005. "Housing, House Prices, and the Equity Premium Revisited," 2005 Meeting Papers 753, Society for Economic Dynamics.
    61. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    62. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
    63. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2018. "Rate Optimal Specification Test When the Number of Instruments is Large," KIER Working Papers 986, Kyoto University, Institute of Economic Research.
    64. Ying Fang, 2013. "GMM with Weak Identification and Near Exogenneity," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    65. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013. "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive 15-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Mar 2015.
    66. Ida Wolden Bache & Øistein Røislanda & Kjersti Næss Torstensen, 2011. "Interest Rate Smoothing and "Calvo-Type" Interest Rate Rules: A Comment on Levine, McAdam, and Pearlman (2007)," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 79-90, September.
    67. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    68. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    69. Bruce E. Hansen & Seojeong Jay Lee, 2018. "Inference for Iterated GMM Under Misspecification and Clustering," Discussion Papers 2018-07, School of Economics, The University of New South Wales.
    70. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
    71. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2009. "Supplement to "Comparison of Misspecified Calibrated Models"," Microeconomics.ca working papers vadim_marmer-2009-58, Vancouver School of Economics, revised 03 Feb 2011.
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    74. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.
    75. Guo, Yingwen & Zhou Z.F., Sherry, 2011. "Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(1), pages 1-11, June.
    76. Bhardwaj, Geetesh & Corradi, Valentina & Swanson, Norman R., 2008. "A Simulation-Based Specification Test for Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 176-193, April.
    77. A. Felipe & N. Martín & P. Miranda & L. Pardo, 2018. "Testing with Exponentially Tilted Empirical Likelihood," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1319-1358, December.
    78. Junpei Komiyama & Hajime Shimao, 2018. "Cross Validation Based Model Selection via Generalized Method of Moments," Papers 1807.06993, arXiv.org.
    79. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.

  14. Alastair Hall & Fernanda P. M. Peixe, 2000. "A Consistent Method for the Selection of Relevant Instruments," Econometric Society World Congress 2000 Contributed Papers 0790, Econometric Society.

    Cited by:

    1. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
    2. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
    3. Sambit Bhattacharyya, 2009. "Root Causes of African Underdevelopment," Journal of African Economies, Centre for the Study of African Economies, vol. 18(5), pages 745-780, November.
    4. John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
    5. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    6. Nikolaj Malchow-Møller & Jakob R. Munch & Jan Rose Skaksen, 2012. "Do Immigrants Affect Firm-Specific Wages?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(4), pages 1267-1295, December.
    7. Mari Rege & Kjetil Telle & Mark Votruba, 2007. "Social Interaction Effects in Disability Pension Participation. Evidence from Plant Downsizing," Discussion Papers 496, Statistics Norway, Research Department.
    8. De Lipsis, Vincenzo, 2021. "Is time preference different across incomes and countries?," Economics Letters, Elsevier, vol. 201(C).
    9. Terrence M. Clauretie & Nasser Daneshvary, 2009. "Estimating the House Foreclosure Discount Corrected for Spatial Price Interdependence and Endogeneity of Marketing Time," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 43-67, March.
    10. Yuriy Gorodnichenko & Jan Svejnar & Katherine Terrell, 2010. "Globalization and Innovation in Emerging Markets," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(2), pages 194-226, April.
    11. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    12. Munch, Jakob Roland & Skaksen, Jan Rose, 2006. "Specialization, Outsourcing and Wages," Working Papers 19-2005, Copenhagen Business School, Department of Economics.
    13. Bontempi, Maria Elena & Mammi, Irene, 2012. "A strategy to reduce the count of moment conditions in panel data GMM," MPRA Paper 40720, University Library of Munich, Germany.
    14. Bergman, U. Michael & Hutchison, Michael M. & Hougaard Jensen, Svend E., 2019. "European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?," European Journal of Political Economy, Elsevier, vol. 57(C), pages 3-21.
    15. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
    16. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    17. Lina Zhang & David T. Frazier & D. S. Poskitt & Xueyan Zhao, 2020. "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Papers 2009.02642, arXiv.org, revised Sep 2022.
    18. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    19. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.
    20. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.
    21. Munch, Jakob Roland & Rose Skaksen, Jan, 2009. "Human Capital and Wages in Exporting Firms," Working Papers 09-2006, Copenhagen Business School, Department of Economics.
    22. John Chao & Norman R. Swanson, 2003. "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Papers 1418, Cowles Foundation for Research in Economics, Yale University.
    23. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/generalized method of moments estimation and testing," Stata Journal, StataCorp LP, vol. 7(4), pages 465-506, December.
    24. Sambit Bhattacharyya, 2011. "Growth Miracles and Growth Debacles," Books, Edward Elgar Publishing, number 13609.
    25. Shantanu Gupta & Zachary C. Lipton & David Childers, 2021. "Efficient Online Estimation of Causal Effects by Deciding What to Observe," Papers 2108.09265, arXiv.org, revised Oct 2021.
    26. Schaffer, Mark & Kleck, Gary & Kovandzic, Tomislav, 2005. "Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias," CEPR Discussion Papers 5357, C.E.P.R. Discussion Papers.
    27. Yoon, Jangho, 2011. "Effect of increased private share of inpatient psychiatric resources on jail population growth: Evidence from the United States," Social Science & Medicine, Elsevier, vol. 72(4), pages 447-455, February.
    28. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
    29. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    30. Müller, Elisabeth, 2005. "How Does Owners' Exposure to Idiosyncratic Risk Influence the Capital Structure of Private Companies?," ZEW Discussion Papers 05-14, ZEW - Leibniz Centre for European Economic Research.
    31. Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
    32. U. Michael Bergman & Michael Hutchison, 2020. "Fiscal procyclicality in emerging markets: The role of institutions and economic conditions," International Finance, Wiley Blackwell, vol. 23(2), pages 196-214, August.
    33. Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
    34. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    35. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
    36. Palmquist, Raymond B., 2006. "Property Value Models," Handbook of Environmental Economics, in: K. G. Mäler & J. R. Vincent (ed.), Handbook of Environmental Economics, edition 1, volume 2, chapter 16, pages 763-819, Elsevier.
    37. Nasser Daneshvary & Terrence M. Clauretie, 2007. "Gender Differences In The Valuation Of Employer‐Provided Health Insurance," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 800-816, October.
    38. Okui, Ryo, 2011. "Instrumental variable estimation in the presence of many moment conditions," Journal of Econometrics, Elsevier, vol. 165(1), pages 70-86.
    39. Devlin, Rose Anne & Sarma, Sisira, 2008. "Do physician remuneration schemes matter? The case of Canadian family physicians," Journal of Health Economics, Elsevier, vol. 27(5), pages 1168-1181, September.
    40. Cavalcanti, Marco Antonio F.H., 2010. "Credit market imperfections and the power of the financial accelerator: A theoretical and empirical investigation," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 118-144, March.
    41. Surach Tanboon, 2005. "On the Validity and Refinement of the Use of Rainfall as Instrument for Transitory Income," Working Papers 2005-10, Monetary Policy Group, Bank of Thailand.
    42. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "A comparative study of three data-based methods of instrument selection," Economics Letters, Elsevier, vol. 105(3), pages 280-283, December.
    43. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
    44. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    45. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    46. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
    47. Guo, Zijian & Kang, Hyunseung & Cai, T. Tony & Small, Dylan S., 2018. "Testing endogeneity with high dimensional covariates," Journal of Econometrics, Elsevier, vol. 207(1), pages 175-187.
    48. Keswani, Aneel & Medhat, Mamdouh & Miguel, Antonio F. & Ramos, Sofia B., 2020. "Uncertainty avoidance and mutual funds," Journal of Corporate Finance, Elsevier, vol. 65(C).
    49. Fernanda Peixe & Alastair Hall & Kostas Kyriakoulis, 2006. "The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 117-138.
    50. Eric Gautier & Alexandre Tsybakov, 2011. "High-Dimensional Instrumental Variables Regression and Confidence Sets," Working Papers 2011-13, Center for Research in Economics and Statistics.
    51. Victor Ginsburgh & Juan Prieto, 2007. "Returns to foreign languages of native workers in the EU," ULB Institutional Repository 2013/151573, ULB -- Universite Libre de Bruxelles.
    52. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
    53. GINSBURGH, Victor A. & PRIETO-RODRIGUEZ, Juan, 2011. "Returns to foreign languages of native workers in the European Union," LIDAM Reprints CORE 2316, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    54. Iman Parsa & Mahyar Eftekhar & Charles J Corbett, 2022. "Does governance ease the overhead squeeze experienced by nonprofits?," Production and Operations Management, Production and Operations Management Society, vol. 31(8), pages 3288-3303, August.
    55. DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 08-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    56. Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January.
    57. Nguyen Viet Cuong & Minh Thu Pham & Nguyet Pham Minh & Vu Thieu & Duong Toan, 2007. "Poverty Targeting and Impact of a Governmental Micro-credit Program in Vietnam," Working Papers PMMA 2007-29, PEP-PMMA.
    58. Ng Serena & Bai Jushan, 2009. "Selecting Instrumental Variables in a Data Rich Environment," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-34, April.
    59. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    60. Niron Hashai, 2015. "Within-industry diversification and firm performance—an S-shaped hypothesis," Strategic Management Journal, Wiley Blackwell, vol. 36(9), pages 1378-1400, September.
    61. Bergman, U. Michael & Hutchison, Michael, 2015. "Economic stabilization in the post-crisis world: Are fiscal rules the answer?," Journal of International Money and Finance, Elsevier, vol. 52(C), pages 82-101.
    62. Weshah A. Razzak, 2003. "Wage-Price Dynamics, the Labour Market and Deflation in Hong Kong," Working Papers 242003, Hong Kong Institute for Monetary Research.
    63. Bohl, Martin T. & Siklos, Pierre L., 2005. "The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank," Working Paper Series 2005,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    64. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    65. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection," Economics Letters, Elsevier, vol. 105(1), pages 83-85, October.
    66. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007.
    67. Alastair Hall & Fernanda Peixe, 2001. "Data mining and the selection of instruments," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 265-277.
    68. Ben Dkhil, Inès, 2014. "Investment in Fixed Broadband Networks and Access Regulation in Developed and Developing countries: Panel Data Applications," MPRA Paper 59337, University Library of Munich, Germany.
    69. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    70. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
    71. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    72. Siklos, Pierre L., 2006. "Hungary's entry into the euro area: Lessons for prospective members from a monetary policy perspective," Economic Systems, Elsevier, vol. 30(4), pages 366-384, December.
    73. Aniket A. Kawatkar & Joel W. Hay & William Stohl & Michael B. Nichol, 2013. "Incremental Expenditure Of Biologic Disease Modifying Antirheumatic Treatment Using Instrumental Variables In Panel Data," Health Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 807-823, July.
    74. Bergman, U. Michael & Hutchison, Michael M. & Jensen, Svend E. Hougaard, 2016. "Promoting sustainable public finances in the European Union: The role of fiscal rules and government efficiency," European Journal of Political Economy, Elsevier, vol. 44(C), pages 1-19.

  15. Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    3. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    4. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
    5. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    6. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    7. Luis F. Céspedes & Claudio Soto, 2007. "Credibility and Inflation Targeting in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 14, pages 547-578, Central Bank of Chile.
    8. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    9. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    10. Robert W. Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, vol. 13(Dec), pages 19-38.
    11. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    12. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
    13. Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York.
    14. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    15. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    16. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
    17. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    18. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    19. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    20. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
    21. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    22. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    23. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    24. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
    25. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    26. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    27. Masafumi Kozuka, 2014. "Policy Duration Effects, Quantitative Monetary Easing Policy and Economic Growth: Evidence from Japanese Time Series Data," Discussion Papers 1410, Graduate School of Economics, Kobe University.
    28. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, vol. 7(3), pages 261-278, September.
    29. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    30. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    31. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
    32. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    33. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    34. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, New Economic School (NES).
    35. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(2), pages 467-488, April.
    36. Albert N. Link & David Paton & Donald S. Siegel, 2005. "An econometric analysis of trends in research joint venture activity," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 149-158.
    37. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    38. Steland, Ansgar, 2004. "Random walks with drift : a sequential approach," Technical Reports 2004,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    39. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra.
    40. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
    41. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    42. Robert W. Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York.
    43. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  16. Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," CIRANO Working Papers 95s-21, CIRANO.

    Cited by:

    1. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    3. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
    4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    5. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    6. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
    7. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.

  17. Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. MacDonald, Ronald & Vieira, Flávio & Damasceno, Aderbal, 2010. "The Role of Institutions in Cross-Section Income and Panel Data Growth Models: A Deeper Investigation on the Weakness and Proliferation of Instruments," SIRE Discussion Papers 2010-50, Scottish Institute for Research in Economics (SIRE).
    2. Benno Torgler & Friedrich Schneider & Christoph A. Schaltegger, 2007. "With or Against the People? The Impact of a Bottom-Up Approach on Tax Morale and the Shadow Economy," CREMA Working Paper Series 2007-04, Center for Research in Economics, Management and the Arts (CREMA).
    3. Paul A. Bekker & Jan van der Ploeg, 2000. "Instrumental Variable Estimation Based on Grouped Data," Econometric Society World Congress 2000 Contributed Papers 1862, Econometric Society.
    4. Zivot, Eric & Startz, Richard & Nelson, Charles R, 1998. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1119-1146, November.
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  18. Ghysels, E. & Hall, A., 1993. "The Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9325, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.

  19. Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    3. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    4. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
    5. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," IHEID Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies.
    6. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Konjunktur verliert wieder an Fahrt," Open Access Publications from Kiel Institute for the World Economy 3371, Kiel Institute for the World Economy (IfW Kiel).
    7. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    8. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    9. Rossi, Barbara & Giacomini, Raffaella, 2005. "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers 05-08, Duke University, Department of Economics.
    10. Pauwels Laurent L. & Chan Felix & Mancini Griffoli Tommaso, 2012. "Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
    11. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
    12. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," Economics Discussion Paper Series 0305, Economics, The University of Manchester.
    13. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    14. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Recovery will slow down," Kiel Discussion Papers 415, Kiel Institute for the World Economy (IfW Kiel).
    15. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    16. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    17. KUROZUMI, Eiji & 黒住, 英司, 2017. "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers 2017-06, Graduate School of Economics, Hitotsubashi University.
    18. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    19. Eiji Kurozumi, 2018. "Confidence Sets for the Date of a Structural Change at the End of a Sample," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 850-862, November.
    20. Boot, Tom & Pick, Andreas, 2020. "Does modeling a structural break improve forecast accuracy?," Journal of Econometrics, Elsevier, vol. 215(1), pages 35-59.
    21. Colavecchio, Roberta & Carstensen, Kai, 2004. "Did the Revision of the ECB Monetary Policy Strategy Affect the Reaction Function?," Kiel Working Papers 1221, Kiel Institute for the World Economy (IfW Kiel).

  20. Ghysels, E & Hall, A., 1988. "A Test For Structural Stability Of Euler Conditions Parameters Estimated Via The Generalized Methods Of Moments Estimators," Cahiers de recherche 8837, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    3. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    4. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    5. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    6. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    7. Luis F. Céspedes & Claudio Soto, 2007. "Credibility and Inflation Targeting in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 14, pages 547-578, Central Bank of Chile.
    8. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
    9. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    10. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
    11. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    12. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    13. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    14. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    15. Patrick Fève & François Langot, 1995. "La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie," Économie et Prévision, Programme National Persée, vol. 119(3), pages 139-170.
    16. Joseph E. Gagnon, 1989. "A forward-looking multicountry model: MX3," International Finance Discussion Papers 359, Board of Governors of the Federal Reserve System (U.S.).
    17. Groenewold, Nicolaas & Fraser, Patricia, 2001. "Tests of asset-pricing models: how important is the iid-normal assumption?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 427-449, September.
    18. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
    19. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
    20. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    21. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    22. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    23. Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers 17213, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    24. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
    25. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile.
    26. Don H. Kim & Marcel A. Priebsch, 2020. "Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?," Finance and Economics Discussion Series 2020-061, Board of Governors of the Federal Reserve System (U.S.).
    27. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
    28. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
    29. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
    30. Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
    31. Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
    32. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
    33. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    34. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    35. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    36. Dinesh Gajurel & Mardi Dungey, 2023. "Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets," JRFM, MDPI, vol. 16(3), pages 1-20, March.
    37. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    38. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    39. Raffella Giacomini & Barbara Rossi, 2005. "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers 845, UCLA Department of Economics.
    40. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    41. Kim Nummelin, 1994. "Risk aversion, multivariate proxies and the behavior of asset returns," Finnish Economic Papers, Finnish Economic Association, vol. 7(2), pages 94-107, Autumn.
    42. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    43. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    44. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008.
    45. N. Groenewold & P. Fraser, 1998. "Tests of Asset-pricing Models: How important is the IID-normal assumptions?," Economics Discussion / Working Papers 98-20, The University of Western Australia, Department of Economics.
    46. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
    47. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
    48. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94.
    49. Arturo Estrella & Jeffrey C. Fuhrer, 2003. "Monetary Policy Shifts and the Stability of Monetary Policy Models," The Review of Economics and Statistics, MIT Press, vol. 85(1), pages 94-104, February.
    50. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    51. Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
    52. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    53. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    54. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
    55. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

  21. Ghysels, E. & Hall, A., 1987. "Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation," Cahiers de recherche 8703, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    2. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation for Research in Economics, Yale University.
    3. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
    4. Ramalho, Joaquim J. S. & Smith, Richard J., 2002. "Generalized empirical likelihood non-nested tests," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 99-125, March.

  22. Hall, A.R., 1984. "The Information Matrix Test for the Linear Model," The Warwick Economics Research Paper Series (TWERPS) 250, University of Warwick, Department of Economics.

    Cited by:

    1. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.

Articles

  1. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2013. "Inference on Structural Breaks using Information Criteria," Manchester School, University of Manchester, vol. 81, pages 54-81, October.
    See citations under working paper version above.
  2. Hall Alastair & Sakkas Nikolaos, 2013. "Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 53-67, July.

    Cited by:

    1. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
    2. Bataa, Erdenebat & Wohar, Mark & Vivian, Andrew, 2015. "Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014," MPRA Paper 72422, University Library of Munich, Germany.
    3. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    4. Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George J. & Osborn, Denise R., 2017. "What is the Globalisation of Inflation?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 74, pages 1-27.
    5. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2013. "Inference on Structural Breaks using Information Criteria," Manchester School, University of Manchester, vol. 81, pages 54-81, October.
    6. Gantungalag Altansukh & Ralf Becker & George Bratsiotis & Denise R. Osborn, 2018. "Structural Breaks in International Inflation Linkages for OECD Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 240, Economics, The University of Manchester.

  3. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    See citations under working paper version above.
  4. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
    See citations under working paper version above.
  5. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    See citations under working paper version above.
  6. Prosper Dovonon & Alastair R. Hall & Kalidas Jana, 2012. "Inference about long run canonical correlations," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(4), pages 665-683, July.

    Cited by:

    1. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.

  7. Hall, Alastair R. & Pelletier, Denis, 2011. "Nonnested Testing In Models Estimated Via Generalized Method Of Moments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 443-456, April.
    See citations under working paper version above.
  8. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "A comparative study of three data-based methods of instrument selection," Economics Letters, Elsevier, vol. 105(3), pages 280-283, December.

    Cited by:

    1. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.

  9. Hall, Alastair R. & Inoue, Atsushi & Jana, Kalidas & Shin, Changmock, 2007. "Information in generalized method of moments estimation and entropy-based moment selection," Journal of Econometrics, Elsevier, vol. 138(2), pages 488-512, June.

    Cited by:

    1. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
    2. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    3. De Lipsis, Vincenzo, 2021. "Is time preference different across incomes and countries?," Economics Letters, Elsevier, vol. 201(C).
    4. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    5. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, September.
    6. Poghosyan, Karen & Boldea, Otilia, 2013. "Structural versus matching estimation: Transmission mechanisms in Armenia," Economic Modelling, Elsevier, vol. 30(C), pages 136-148.
    7. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
    8. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
    9. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
    10. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    11. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    12. Lina Zhang & David T. Frazier & D. S. Poskitt & Xueyan Zhao, 2020. "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Papers 2009.02642, arXiv.org, revised Sep 2022.
    13. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    14. Tae-Hwy Lee & Tao Wang, 2023. "Estimation and Testing of Forecast Rationality with Many Moments," Working Papers 202307, University of California at Riverside, Department of Economics.
    15. Cizek, P. & Aquaro, M., 2015. "Robust Estimation and Moment Selection in Dynamic Fixed-effects Panel Data Models," Other publications TiSEM 39d0f613-007f-4d21-b1e2-b, Tilburg University, School of Economics and Management.
    16. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    17. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
    18. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
    19. Carlos Medel, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," Working Papers Central Bank of Chile 769, Central Bank of Chile.
    20. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
    21. Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
    22. Tobias Rühl, 2015. "Taylor rules revisited: ECB and Bundesbank in comparison," Empirical Economics, Springer, vol. 48(3), pages 951-967, May.
    23. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "A comparative study of three data-based methods of instrument selection," Economics Letters, Elsevier, vol. 105(3), pages 280-283, December.
    24. Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton, 2017. "Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 23-41, March.
    25. Tchatoka, Firmin Doko, 2015. "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
    26. Rolando Einar Paz Rodriguez, 2019. "La función de emparejamiento agregada del mercado laboral chileno," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 34(1), pages 85-110, April.
    27. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    28. Ng Serena & Bai Jushan, 2009. "Selecting Instrumental Variables in a Data Rich Environment," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-34, April.
    29. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    30. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    31. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
    32. Yiying Cheng & Yaozhong Hu & Hongwei Long, 2020. "Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 53-81, April.
    33. Yanli Ma & Jieyu Zhu & Gaofeng Gu & Ke Chen, 2020. "Freight Transportation and Economic Growth for Zones: Sustainability and Development Strategy in China," Sustainability, MDPI, vol. 12(24), pages 1-17, December.
    34. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection," Economics Letters, Elsevier, vol. 105(1), pages 83-85, October.
    35. Chen, Weihao & Cizek, Pavel, 2023. "Bias-Corrected Instrumental Variable Estimation in Linear Dynamic Panel Data Models," Other publications TiSEM 9bf2c16c-522f-4223-8037-c, Tilburg University, School of Economics and Management.
    36. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    37. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
    38. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    39. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.

  10. Fernanda Peixe & Alastair Hall & Kostas Kyriakoulis, 2006. "The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 117-138.

    Cited by:

    1. Alastair R. Hall & Fernanda P. M. Peixe, 2003. "A Consistent Method for the Selection of Relevant Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
    2. Alastair Hall & Fernanda Peixe, 2001. "Data mining and the selection of instruments," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 265-277.

  11. Hall, Alastair R. & Inoue, Atsushi & Peixe, Fernanda P.M., 2003. "Covariance Matrix Estimation And The Limiting Behavior Of The Overidentifying Restrictions Test In The Presence Of Neglected Structural Instability," Econometric Theory, Cambridge University Press, vol. 19(6), pages 962-983, December.

    Cited by:

    1. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    2. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    3. Shin-Kun Peng & Takatoshi Tabuchi, 2005. "Spatial Competition in Variety and Number of Stores," CIRJE F-Series CIRJE-F-360, CIRJE, Faculty of Economics, University of Tokyo.
    4. Wei-Ming Lee & Chung-Ming Kuan, 2006. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 06-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.

  12. Alastair R. Hall & Fernanda P. M. Peixe, 2003. "A Consistent Method for the Selection of Relevant Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
    See citations under working paper version above.
  13. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
    See citations under working paper version above.
  14. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Christopher A. Sims," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 448-449, October.

    Cited by:

    1. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
    2. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.

  15. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Lars Peter Hansen," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 442-447, October.

    Cited by:

    1. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    2. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    4. Wang, Xuexin, 2016. "A New Class of Tests for Overidentifying Restrictions in Moment Condition Models," MPRA Paper 69004, University Library of Munich, Germany.
    5. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    6. Carrillo, Julio A. & Fève, Patrick, 2004. "Some Perils of Policy Rule Regression," IDEI Working Papers 301, Institut d'Économie Industrielle (IDEI), Toulouse.
    7. Alastair R. Hall, 2013. "Generalized Method of Moments," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 14, pages 313-333, Edward Elgar Publishing.

  16. Fleissig, Adrian R. & Hall, Alastair R. & Seater, John J., 2000. "Garp, Separability, And The Representative Agent," Macroeconomic Dynamics, Cambridge University Press, vol. 4(3), pages 324-342, September.

    Cited by:

    1. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," MPRA Paper 8413, University Library of Munich, Germany.
    2. Apostolos Serletis & Libo Xu, "undated". "Consumption, Leisure, and Money," Working Papers 2019-08, Department of Economics, University of Calgary, revised 06 Jul 2019.
    3. Monia Landolsi & Kamel Bel Hadj Miled, 2024. "Semi-Nonparametric Estimation of Energy Demand in Tunisia," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 254-263, January.
    4. Fleissig, Adrian R. & Whitney, Gerald A., 2008. "A nonparametric test of weak separability and consumer preferences," Journal of Econometrics, Elsevier, vol. 147(2), pages 275-281, December.
    5. Douglas Fisher & Adrian R. Fleissig & Apostolos Serletis, 2001. "An empirical comparison of flexible demand system functional forms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 59-80.
    6. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2005. "Microeconometrics and measurement matters: Some results from monetary economics for Canada," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 307-330, June.
    7. Sarwar, haroon & Hussian, zakir & Awan, masood sarwar, 2011. "Money Demand Functions for Pakistan (Divisia Approach)," MPRA Paper 34361, University Library of Munich, Germany.

  17. Alastair R. Hall, 2000. "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Econometric Society, vol. 68(6), pages 1517-1528, November.

    Cited by:

    1. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
    2. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    3. Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Discussion Papers 2019-08, School of Economics, The University of New South Wales.
    4. Xiaohong Chen & Zhipeng Liao, 2015. "Sieve Semiparametric Two-Step GMM under Weak Dependence," Cowles Foundation Discussion Papers 2012, Cowles Foundation for Research in Economics, Yale University.
    5. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    6. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.
    7. Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
    8. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, University Library of Munich, Germany.
    9. Hayakawa, Kazuhiko, 2019. "Alternative over-identifying restriction test in the GMM estimation of panel data models," Econometrics and Statistics, Elsevier, vol. 10(C), pages 71-95.
    10. Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
    11. Sheng-Kai Chang, 2005. "The approximate slopes and the power of the GMM overidentifying restrictions test," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 845-848.
    12. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," LSE Research Online Documents on Economics 107522, London School of Economics and Political Science, LSE Library.
    13. Shin-Kun Peng & Takatoshi Tabuchi, 2005. "Spatial Competition in Variety and Number of Stores," CIRJE F-Series CIRJE-F-360, CIRJE, Faculty of Economics, University of Tokyo.
    14. Wei-Ming Lee & Chung-Ming Kuan, 2006. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 06-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    15. Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
    16. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
    17. YAMAMOTO, Yohei & 山本, 庸平 & TANAKA, Shinya & 田中, 晋也, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
    18. Arthur Korteweg & Stefan Nagel, 2016. "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
    19. Xuexin Wang & Yixiao Sun, 2020. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 536-550, July.
    20. Chernov, Mikhail, 2003. "Empirical reverse engineering of the pricing kernel," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 329-364.
    21. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," Economics Letters, Elsevier, vol. 198(C).
    22. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
    23. Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
    24. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    25. Allan Gregory & Jean-Francois Lamarche & Gregor W. Smith, 2001. "Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence," Working Paper 1249, Economics Department, Queen's University.
    26. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-6.
    27. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
    28. Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood," Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
    29. Bruce E. Hansen & Seojeong Jay Lee, 2018. "Inference for Iterated GMM Under Misspecification and Clustering," Discussion Papers 2018-07, School of Economics, The University of New South Wales.
    30. A. Felipe & N. Martín & P. Miranda & L. Pardo, 2018. "Testing with Exponentially Tilted Empirical Likelihood," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1319-1358, December.
    31. Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
    32. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
    33. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

  18. Hall, Alastair R & Sen, Amit, 1999. "Structural Stability Testing in Models Estimated by Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 335-348, July.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    3. Jonathan Lecznar & Thomas A. Lubik, 2017. "Real Rates and Consumption Smoothing in a Low Interest Rate Environment: The Case of Japan," Working Paper 17-8, Federal Reserve Bank of Richmond.
    4. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
    5. Hassan B. Ghassan & Hassan R. Alhajhoj, 2016. "Long-Run Dynamic Relationship between FDI and Domestic Investment in GCC Countries," EERI Research Paper Series EERI RP 2016/16, Economics and Econometrics Research Institute (EERI), Brussels.
    6. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, vol. 162(2), pages 248-267, June.
    7. Jonathan McCarthy & Egon Zakrajšek, 2002. "Inventory dynamics and business cycles: what has changed?," Staff Reports 156, Federal Reserve Bank of New York.
    8. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    9. João Alcobia & Ricardo Barradas, 2022. "Falling Labour Share and the Anaemic Growth in Portugal: a Post-Keynesian Econometric Analysis," Working Papers REM 2022/0247, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    10. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    11. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    12. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    13. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    14. Gardebroek, Cornelis, 2001. "The Impact Of Manure Production Rights On Capital Investment In The Dutch Pig Sector," 2001 Annual meeting, August 5-8, Chicago, IL 20490, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    15. Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
    16. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.
    17. Claudia Kwapil & Johann Scharler, 2009. "Expected Monetary Policy and the Dynamics of Bank Lending Rates," Working Papers 149, Oesterreichische Nationalbank (Austrian Central Bank).
    18. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    19. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    20. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "Long Run Relationship between IFDI and Domestic Investment in GCC Countries," MPRA Paper 62544, University Library of Munich, Germany, revised Jul 2013.
    21. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    22. Michael T. Kiley, 2014. "The Response of Equity Prices to Movements in Long‐Term Interest Rates Associated with Monetary Policy Statements: Before and After the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 1057-1071, August.
    23. Ranjan Kumar Dash, 2020. "Impact of Remittances on Domestic Investment: A Panel Study of Six South Asian Countries," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 21(1), pages 7-30, March.
    24. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    25. Bertrand Candelon & Jan Piplack & Stefan Straetmans, 2009. "Multivariate Business Cycle Synchronization in Small Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 715-737, October.
    26. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008.
    27. Esther Barros-Campello & Carlos Pateiro-Rodríguez & J. Venancio Salcines-Cristal & Carlos Pateiro-López, 2017. "El esquema de objetivos de inflación: Evidencia para América Latina (1999-2015)," Estudios de Economia, University of Chile, Department of Economics, vol. 44(2 Year 20), pages 223-250, December.
    28. Diogo Correia & Ricardo Barradas, 2021. "Financialisation and the slowdown of labour productivity in Portugal: A Post-Keynesian approach," PSL Quarterly Review, Economia civile, vol. 74(299), pages 325-346.
    29. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
    30. Michael T. Kiley, 2013. "Monetary policy statements, Treasury yields, and private yields: before and after the zero lower bound," Finance and Economics Discussion Series 2013-16, Board of Governors of the Federal Reserve System (U.S.).
    31. Ricardo Barradas & Rishi Lakhani, 2024. "The finance–inequality nexus in the era of financialisation: Evidence for Portugal," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3510-3544, July.
    32. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.

  19. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.

    Cited by:

    1. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    2. Hall Alastair & Sakkas Nikolaos, 2013. "Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 53-67, July.

  20. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    See citations under working paper version above.
  21. Hall, Alastair R & Rudebusch, Glenn D & Wilcox, David W, 1996. "Judging Instrument Relevance in Instrumental Variables Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-298, May.
    See citations under working paper version above.
  22. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.

    Cited by:

    1. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
    2. Ingolf Dittmann, 2000. "Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
    3. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," Borradores de Economia 2591, Banco de la Republica.
    4. Mohsen Bahmani-Oskooee & Ali M. Kutan & Su Zhou, 2009. "A century of PPP: supportive results from nonlinear unit root tests," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 11(1), pages 19-27.
    5. Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2007. "Are exports a monotonic function of exchange rate volatility? Evidence from disaggregated pork exports," Canadian Journal of Economics, Canadian Economics Association, vol. 40(1), pages 127-154, February.
    6. Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
    7. Ivan Paya & David Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
    8. Herzer Dierk, 2022. "Semi-endogenous Versus Schumpeterian Growth Models: A Critical Review of the Literature and New Evidence," Review of Economics, De Gruyter, vol. 73(1), pages 1-55, April.
    9. Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 208-223, May.
    10. Lopez, Claude & Papell, David, 2010. "Testing for Group-Wise Convergence with an Application to Euro Area Inflation," MPRA Paper 20585, University Library of Munich, Germany.
    11. Hugo Oliveros, 1995. "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia.
    12. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
    13. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2010. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Post-Print hal-00797485, HAL.
    14. Giacomini, Raffaella & Komunjer, Ivana, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series qt4n99t4wz, Department of Economics, UC San Diego.
    15. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    16. Anthony, Myrvin & MacDonald, Ronald, 1999. "The width of the band and exchange rate mean-reversion: some further ERM-based results," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 411-428.
    17. Inoue, Atsushi & Shintani, Mototsugu, 2006. "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, vol. 133(2), pages 531-555, August.
    18. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc.
    19. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    20. Mishra, Bibhuti Ranjan & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2019. "The dynamic causality between gold and silver prices in India: Evidence using time-varying and non-linear approaches," Resources Policy, Elsevier, vol. 62(C), pages 66-76.
    21. Jian Zhang & Meixia Ren & Xin Lu & Yu Li & Jianjun Cao, 2022. "Effect of the Belt and Road Initiatives on Trade and Its Related LUCC and Ecosystem Services of Central Asian Nations," Land, MDPI, vol. 11(6), pages 1-18, June.
    22. Ghysels, Eric & Lee, Hahn S & Siklos, Pierre L, 1993. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data," Empirical Economics, Springer, vol. 18(4), pages 747-760.
    23. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.
    24. Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series 2004-04, University of Cincinnati, Department of Economics.
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    293. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
    294. Narayan Paresh K & Prasad Biman Chand, 2005. "The Validity of Purchasing Power Parity Hypothesis for Eleven Middle Eastern Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 44-58, August.
    295. Lupi, Claudio, 2009. "Unit Root CADF Testing with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 32(i02).
    296. Paresh Kumar Narayan & Russell Smyth, 2004. "Temporal Causality between Human Capital and Real Income in Cointegrated VAR Processes: Empirical Evidence from China, 1960-1990," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 1-11, April.
    297. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
    298. Christian J. Murray & Hatice Ozer-Balli & David H. Papell, 2006. "PPP Persistence within Sectoral Real Exchange Rate Panels," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Oguz Esen & Ayla Ogus (ed.), Proceedings of the Conference on Human and Economic Resources, pages 388-398, Izmir University of Economics.
    299. Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C., 1998. "Nonlinearities and outliers: robust specification of STAR models," Econometric Institute Research Papers EI 9832, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    300. Weber, Axel A. & Beck, Guenter, 2003. "How wide are European borders? On the integration effects of monetary unions," CFS Working Paper Series 2001/07, Center for Financial Studies (CFS).
    301. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    302. Vlad Ivanenko, 2004. "Access to liquidity and non-monetary trade in Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 16(1), pages 21-38.
    303. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.
    304. Koutmos, Dimitrios, 2019. "Asset pricing factors and bank CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 19-41.
    305. Kem Reat Viseth, 2001. "Currency Substitution and Financial Sector Developments in Cambodia," International and Development Economics Working Papers idec01-4, International and Development Economics.
    306. Qayyum, Abdul, 2002. "Demand for Bank Lending by the Private Business Sector in Pakistan," MPRA Paper 2084, University Library of Munich, Germany, revised 2002.
    307. Oke, T. & Lyhagen, J., 1999. "Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation," Computational Statistics & Data Analysis, Elsevier, vol. 30(4), pages 457-469, June.
    308. Sharma, Anurag & Jha, Raghbendra, 2012. "Fiscal deficits, banking crises and policy reversal in a semi-open economy," Economic Modelling, Elsevier, vol. 29(2), pages 271-282.
    309. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
    310. Weber, Axel A. & Beck, Günter W., 2005. "Price stability, inflation convergence and diversity in EMU: Does one size fit all?," CFS Working Paper Series 2005/30, Center for Financial Studies (CFS).
    311. Geys, Benny, 2010. "War casualties and US presidential popularity: A comparison of the Korean, Vietnam and Iraq war," Discussion Papers, Research Professorship & Project "The Future of Fiscal Federalism" SP II 2010-05, WZB Berlin Social Science Center.
    312. Burke, S. P., 1996. "Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type," Economics Letters, Elsevier, vol. 50(3), pages 315-321, March.
    313. Chen, Shyh-Wei & Shen, Chung-Hua, 2015. "Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries," Economic Modelling, Elsevier, vol. 49(C), pages 260-269.
    314. Yash P. Mehra, 1998. "The bond rate and actual future inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 27-47.
    315. Begona Eguía & Cruz Echevarría, "undated". "Existe alguna relación entre las tasas de desempleo y la estructura demográfica en España?," Studies on the Spanish Economy 11, FEDEA.
    316. Dene T. Hurley & Nikolaos Papanikolaou, 2018. "An Investigation of China‐U.S. Bilateral Trade and Exchange Rate Changes Using the Autoregressive Distributed Lag Model," Economic Papers, The Economic Society of Australia, vol. 37(2), pages 162-179, June.
    317. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    318. David Bernstein, 2000. "To what degree do central banks sterilize the effects of capital flows on domestic money supply?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(1), pages 15-19.
    319. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand.

  23. Dufour, Jean-Marie & Ghysels, Eric & Hall, Alastair, 1994. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 199-229, February.
    See citations under working paper version above.
  24. Hall, Alastair, 1994. "Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection (vol. 54 (1992) pp. 223-250)," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 321-321.

    Cited by:

    1. Carsten Colombier, 2015. "Government Size And Growth: A Survey And Interpretation Of The Evidence – A Comment," Journal of Economic Surveys, Wiley Blackwell, vol. 29(5), pages 887-895, December.
    2. Hooi Hooi Lean & Russell Smyth, 2011. "REITs, interest rates and stock prices in Malaysia," Monash Economics Working Papers 01-11, Monash University, Department of Economics.
    3. Abdul Qayyum, 2005. "Modelling the Demand for Money in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(3), pages 233-252.
    4. Kem Reat Viseth, 2001. "Currency Substitution and Financial Sector Developments in Cambodia," International and Development Economics Working Papers idec01-4, International and Development Economics.

  25. Hall, Alastair, 1993. "Induced seasonality and production-smoothing models of inventory behavior," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 169-172.

    Cited by:

    1. Stephen G. Cecchetti & Anil Kashyap & David Wilcox, 1995. "Why Firms Smooth Seasonals in a Boom," Working Papers 001, Ohio State University, Department of Economics.
    2. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.

  26. Hall, Alastair, 1992. "Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 223-250.

    Cited by:

    1. Lee, Tae-Hwy, 1995. "No lack of relative power of the Dickey-Fuller tests for unit roots," DES - Working Papers. Statistics and Econometrics. WS 4512, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Ochsen, Carsten, 2004. "On the Measurement of Mismatch," Thuenen-Series of Applied Economic Theory 44, University of Rostock, Institute of Economics.
    3. Hall, Alastair & Lee, Tae Yoon, 1996. "Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large," Economics Letters, Elsevier, vol. 52(3), pages 247-255, September.
    4. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
    5. Kem Reat Viseth, 2001. "Currency Substitution and Financial Sector Developments in Cambodia," International and Development Economics Working Papers idec01-4, International and Development Economics.

  27. Pantula, Sastry G. & Hall, Alastair, 1991. "Testing for unit roots in autoregressive moving average models : An instrumental variable approach," Journal of Econometrics, Elsevier, vol. 48(3), pages 325-353, June.

    Cited by:

    1. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
    2. Gui, Xuechen & Gou, Zhonghua, 2021. "Understanding green building energy performance in the context of commercial estates: A multi-year and cross-region analysis using the Australian commercial building disclosure database," Energy, Elsevier, vol. 222(C).
    3. Sook Fwe Yap & Gregory C. Reinsel, 1995. "Results On Estimation And Testing For A Unit Root In The Nonstationary Autoregressive Moving‐Average Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 339-353, May.
    4. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October.
    5. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
    6. Shin, Dong Wan & So, Beong-Soo, 1997. "Semiparametric unit root tests based on symmetric estimators," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 177-184, April.
    7. Hall, Alastair & Lee, Tae Yoon, 1996. "Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large," Economics Letters, Elsevier, vol. 52(3), pages 247-255, September.
    8. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
    9. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.

  28. Hall, Alastair & Hassett, Kevin, 1991. "Instrument choice and tests for a unit root," Economics Letters, Elsevier, vol. 35(2), pages 161-165, February.

    Cited by:

  29. Hall, Alastair & Rossana, Robert J, 1991. "Estimating the Speed of Adjustment in Partial Adjustment Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 441-453, October.

    Cited by:

    1. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.
    2. Glenn D. Rudebusch, 2001. "Term structure evidence on interest rate smoothing and monetary policy inertia," Working Paper Series 2001-02, Federal Reserve Bank of San Francisco.
    3. Glenn D. Rudebusch, 2006. "Monetary Policy Inertia: Fact or Fiction?," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    4. Blinder, Alan S & Maccini, Louis J, 1991. "The Resurgence of Inventory Research: What Have We Learned?," Journal of Economic Surveys, Wiley Blackwell, vol. 5(4), pages 291-328.
    5. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
    6. Scott Schuh, "undated". "Evidence on the Link between Firm-Level and Aggregate Inventory Behavior," Finance and Economics Discussion Series 1996-46, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    7. Lin, Winston T. & Chen, Yueh H. & Hung, TingShu, 2019. "A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology," European Journal of Operational Research, Elsevier, vol. 272(2), pages 766-779.
    8. Lin, Winston T. & Kao, Ta-Wei (Daniel), 2014. "The partial adjustment valuation approach with dynamic and variable speeds of adjustment to evaluating and measuring the business value of information technology," European Journal of Operational Research, Elsevier, vol. 238(1), pages 208-220.
    9. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    10. C. Woo & J. Zarnikau & E. Kollman, 2012. "Exact welfare measurement for double-log demand with partial adjustment," Empirical Economics, Springer, vol. 42(1), pages 171-180, February.

  30. Ghysels, Eric & Hall, Alastair, 1990. "Testing nonnested Euler conditions with quadrature-based methods of approximation," Journal of Econometrics, Elsevier, vol. 46(3), pages 273-308, December.
    See citations under working paper version above.
  31. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-364, May.
    See citations under working paper version above.
  32. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    3. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    4. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    5. Dimitris Hatzinikolaou, 1997. "Does government growth reduce precautionary saving?," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 419-423.
    6. Dimitris Hatzinikolaou & Pantelis Kammas, 2010. "Firing Restrictions, Government Growth, Immigration, and the NAIRU: Evidence from Fifteen OECD Countries," LABOUR, CEIS, vol. 24(4), pages 441-455, December.
    7. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    8. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    9. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    10. Sungbae An & Yongsung Chang & Sun-Bin Kim, 2007. "Can a Representative Agent Model Represent a Heterogeneous Agent Economy?," Discussion Paper Series 0714, Institute of Economic Research, Korea University.
    11. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    12. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    13. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    14. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    15. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    16. Elena Andreou, Eric Ghysels & Eric Ghysels & Andros Kourtellos, 2007. "Regression Models with Mixed Sampling Frequencies," University of Cyprus Working Papers in Economics 8-2007, University of Cyprus Department of Economics.
    17. Jason Cummins & R. Glenn Hubbard, 1995. "The Tax Sensitivity of Foreign Direct Investment: Evidence from Firm-Level Panel Data," NBER Chapters, in: The Effects of Taxation on Multinational Corporations, pages 123-152, National Bureau of Economic Research, Inc.
    18. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
    19. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.
    20. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    21. Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
    22. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
    23. Hatzinikolaou, Dimitris, 1999. "Modelling consumption: permanent-income or rule-of-thumb behaviour?," Economic Modelling, Elsevier, vol. 16(2), pages 293-306, April.
    24. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    25. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    26. Alastair R. Hall, 2013. "Generalized Method of Moments," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 14, pages 313-333, Edward Elgar Publishing.
    27. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
    28. Kramer, Charles, 1999. "Noise trading, transaction costs, and the relationship of stock returns and trading volume," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 343-362, November.
    29. Laurence Bloch & Françoise Maurel, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
    30. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
    31. Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
    32. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    33. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    34. Daniel G. Swaine, 2001. "Are taste and technology parameters stable? a test of \"deep\" parameter stability in real business cycle models of the U.S. economy," Working Papers 01-05, Federal Reserve Bank of Boston.
    35. Sangdai Ryoo, 2002. "Testing for Sunspot in the Foreign Exchange Market," International Economic Journal, Taylor & Francis Journals, vol. 16(3), pages 39-58.
    36. Nicholas Apergis & Spyros Zikos, 2003. "The Law of Verdoorn: Evidence from Greek Disaggregated Manufacturing Time Series Data," The Economic and Social Review, Economic and Social Studies, vol. 34(1), pages 87-104.
    37. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.
    38. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.

  33. Hall, Alastair, 1990. "Lagrange Multiplier Tests for Normality against Seminonparametric Alternatives," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 417-426, October.

    Cited by:

    1. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    2. Ivan Korolev, 2018. "A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models," Papers 1810.07620, arXiv.org, revised Nov 2019.

  34. Hall, Alastair, 1989. "On the calculation of the information matrix test in the normal linear regression model," Economics Letters, Elsevier, vol. 29(1), pages 31-35.

    Cited by:

    1. Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
    2. Schepsmeier, Ulf, 2015. "Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 34-52.

  35. A. R. Hall, 1958. "Institutional Investment In Listed Company Securities," The Economic Record, The Economic Society of Australia, vol. 34(69), pages 375-389, December.

    Cited by:

    1. Monica J. Keneley, 2012. "The Development of the Institutional Investor: The Case of Australian Life Insurers 1945–85," Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 52(3), pages 270-292, November.

Books

  1. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.

    Cited by:

    1. Juan Manuel Julio & Javier Guillermo Gómez & Manuel Dario Hernández, 2017. "La Inflación de los Precios Rígidos en Colombia," Borradores de Economia 1007, Banco de la Republica de Colombia.
    2. Justin Yifu Lin & Miaojie Yu, 2008. "The Economics of Price Scissors : An Empirical Investigation for China," Governance Working Papers 22019, East Asian Bureau of Economic Research.
    3. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
    4. Biljana Tashevska & Daniela Bojadjieva & Gunter Merdzan, 2023. "The Effects Of Remittances On Poverty And Inequality Alleviation In Selected Central And South-East European Countries," Shaping Post-COVID World – Challenges for Economic Theory and Policy, in: Aleksandra Praščević & Miomir Jakšić & Mihail Arandarenko & Dejan Trifunović & Milutin Ješić (ed.),Shaping Post-COVID World – Challenges for Economic Theory and Policy, chapter 9, pages 183-207, Faculty of Economics and Business, University of Belgrade.
    5. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    6. Anita Angelovska Bezoska & Jane Bogoev & Ana Mitreska & Maja Kadievska Vojnovik, 2011. "Investigating the Cyclical Behavior of Fiscal Policy in the Republic of Macedonia during the Period of Transition," Working Papers 2011-01, National Bank of the Republic of North Macedonia, revised 2011.
    7. Piper, Alan T., 2013. "Happiness, Dynamics and Adaptation," MPRA Paper 52342, University Library of Munich, Germany.
    8. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    9. Christev, Atanas & Kupets, Olga & Lehmann, Hartmut, 2005. "Trade Liberalization and Employment Effects in Ukraine," IZA Discussion Papers 1826, Institute of Labor Economics (IZA).
    10. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
    11. Sowell, Fallaw, 2009. "The empirical saddlepoint likelihood estimator applied to two-step GMM," MPRA Paper 15494, University Library of Munich, Germany, revised May 2009.
    12. Taisuke Otsu & Chen Qiu, 2018. "Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect," STICERD - Econometrics Paper Series 595, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011. "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, vol. 162(1), pages 35-43, May.
    14. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    15. Jean-Bernard Chatelain, 2007. "Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112514, HAL.
    16. Dees, Stephane & Pesaran, M. Hashem & Smith, L. Vanessa & Smith, Ron P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," IZA Discussion Papers 3298, Institute of Labor Economics (IZA).
    17. Juan Manuel Julio Román, 2006. "The Monetary Policy Rule During The Transition Toa Stable Lvel Of Inflation: The Case Of Colombia," Borradores de Economia 3613, Banco de la Republica.
    18. Zhen, Chen, 2009. "Long-Run Effects From Consumer Reaction To The Spread Of Foodborne Pathogens: The Case Of E. Coli Contamination Of Beef At Jack In The Box Restaurants," 2009 Conference, August 16-22, 2009, Beijing, China 51341, International Association of Agricultural Economists.
    19. Allen Berger & Leora Klapper & Rima Turk-Ariss, 2009. "Bank Competition and Financial Stability," Journal of Financial Services Research, Springer;Western Finance Association, vol. 35(2), pages 99-118, April.
    20. Jean-Bernard Chatelain & Jean-Christophe Teurlai, 2001. "Pitfalls in Investment Euler Equations," Post-Print halshs-00432130, HAL.
    21. John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
    22. Luca Grassetti, 2011. "A note on transformed likelihood approach in linear dynamic panel models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 221-240, June.
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