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Efficient estimation of the geometric distributed lag model : some Monte Carlo results on small sample properties

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  • Palm, F.C.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Kodde, D.A.
  • Vogelvang, E.

Abstract

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Suggested Citation

  • Palm, F.C. & Kodde, D.A. & Vogelvang, E., 1980. "Efficient estimation of the geometric distributed lag model : some Monte Carlo results on small sample properties," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    • Handle: RePEc:vua:wpaper:1980-12
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    References listed on IDEAS

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    1. Dhrymes, Phoebus J & Taylor, John B, 1976. "On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 362-376, June.
    2. Dhrymes, Phoebus J., 1974. "A note on an efficient two-step estimator," Journal of Econometrics, Elsevier, vol. 2(3), pages 301-304, September.
    3. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    4. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
    5. Hendry, David F & Srba, Frank, 1977. "The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems," Econometrica, Econometric Society, vol. 45(4), pages 969-990, May.
    6. Morrison, J Lawton, Jr, 1970. "Small Sample Properties of Selected Distributed Lag Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 13-23, February.
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    Cited by:

    1. Brouwer, F. & Nijkamp, P., 1981. "Categorical spatial data analysis," Serie Research Memoranda 0022, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-1435, November.
    4. Folmer, H. & Nijkamp, P., 1982. "Linear structural equation models with spatiotemporal auto- and cross- correlation," Serie Research Memoranda 0020, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. P. Nijkamp & P. Rietveld, 1982. "Soft Econometrics As A Tool For Regional Discrepancy Analysis," Papers in Regional Science, Wiley Blackwell, vol. 49(1), pages 3-21, January.
    6. Blommestein, H.J. & Nijkamp, P., 1981. "Soft spatial econometric causality models," Serie Research Memoranda 0020, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    7. Rietveld, P., 1982. "Using ordinal information in decision-making under uncertainty," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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