Econometrics

Econometrics

Volumn , Issue , 2008, Pages 1-392

  Baltagi, Badi H ^a  

^a SYRACUSE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84892251131     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/978-3-540-76516-5     Document Type: Book

References (504)

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21. The data sets used in this text can be downloaded from the Springer website in Germany. The address is: http://www.springer.com/978-3-540-76515-8. Please select the link "Samples & Supplements" from the right-hand column.
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43. Lucas, R. E. (1976), "Econometric Policy Evaluation: A Critique", in K. Brunner and A. M. Meltzer, eds., The Phillips Curve and Labor Markets, Carnegie Rochester Conferences on Public Policy, 1 19-46.
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45. Magnus, J. R. and M. S. Morgan (1987), "The ET Interview: Professor J. Tinbergen", Econometric Theory, 3 117-142.
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47. Manski, C. F. (1995), Identification Problems in the Social Sciences (Harvard University Press: Cambridge).
48. Mann, H. B. and A. Wald (1943), "On the Statistical Treatment of Linear Stochastic Difference Equations", Econometrica, 11 173-220.
49. Mariano, R. S. (1987), "The ET Interview: Professor L. R. Klein", Econometric Theory, 3 409-460.
50. McAleer, M., A. R. Pagan and P. A. Volker (1985), "What Will Take The Con Out of Econometrics", American Economic Review, 75 293-307.
51. Moore, H. L. (1914), Economic Cycles: Their Law and Cause (Macmillan: New York).
52. Morgan, M. (1990), The History of Econometric Ideas (Cambridge University Press: Cambridge, MA).
53. Pagan, A. (1987), "Twenty Years After: Econometrics, 1966-1986", paper presented at CORE's 20th Anniversary Conference, Louvain-la-Neuve.
54. Pesaran, M. H. (1987), The Limits to Rational Expectations (Basil Blackwell: Oxford, MA).
55. Pesaran, M. H. (1990), "Econometrics", in J. Eatwell, M. Milgate and P. Newman; The New Palgrave: Econometrics (W. W. Norton and Company: New York).
56. Phillips, P. C. B. (1977), "Econometrics: A View From the Toolroom", Inaugural Lecture, University of Birmingham, Birmingham, England.
57. Phillips, P. C. B. (1985), "ET Interviews: Professor J. D. Sargan", Econometric Theory, 1 119-139.
58. Phillips, P. C. B. (1986), "The ET Interview: Professor T. W. Anderson", Econometric Theory, 2 249-288.
59. Samuelson, P. A., T. C. Koopmans and J. R. N. Stone (1954), "Report of the Evaluative Committee for Econometrica", Econometrica, 22 141-146.
60. Schultz, H. (1938), The Theory and Measurement of Demand (University of Chicago Press: Chicago, IL).
61. Spanos, A. (1986), Statistical Foundations of Econometric Modelling (Cambridge University Press: Cambridge, MA).
62. Tinbergen, J. (1939), Statistical Testing of Business Cycle Theories, Vol. II: Business Cycles in the USA, 1919-1932 (League of Nations: Geneva).
63. Tintner, G. (1953), "The Definition of Econometrics", Econometrica, 21 31-40.
64. Working, E. J. (1927), "What Do Statistical 'Demand Curves' Show?" Quarterly Journal of Economics, 41 212-235.
65. Amemiya, T. (1994), Introduction to Statistics and Econometrics (Harvard University Press: Cambridge).
66. Baltagi, B. H. (1994), "The Wald, LR, and LM Inequality", Econometric Theory, Problem 94.1.2, 10 223-224.
67. Baltagi, B. H. (2000), "Conflict Among Critera for Testing Hypotheses: Examples from Non-Normal Distributions", Econometric Theory, Problem 00.2.4, 16 288.
68. Bera A. K. and G. Permaratne (2001), "General Hypothesis Testing", Chapter 2 in Baltagi, B. H. (ed.), A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
69. Berndt, E. R. and N. E. Savin (1977), "Conflict Among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model", Econometrica, 45 1263-1278.
70. Breusch, T. S. (1979), "Conflict Among Criteria for Testing Hypotheses: Extensions and Comments", Econometrica, 47 203-207.
71. Buse, A. (1982), "The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note", The American Statistician, 36 153-157.
72. De Groot, M. H. (1986), Probability and Statistics (Addison-Wesley: Mass.).
73. Freedman, D., R. Pisani, R. Purves and A. Adhikari (1991), Statistics (Norton: New York).
74. Freund, J. E. (1992), Mathematical Statistics (Prentice-Hall: New Jersey).
75. Hogg, R. V. and A. T. Craig (1995), Introduction to Mathematical Statistics (Prentice Hall: New Jersey).
76. Jollife, I. T. (1995), "Sample Sizes and the Central Limit Theorem: The Poisson Distribution as an Illustration", The American Statistician, 49 269.
77. Kennedy, P. (1992), A Guide to Econometrics (MIT Press: Cambridge).
78. Mood, A. M., F. A. Graybill and D. C. Boes (1974), Introduction to the Theory of Statistics (McGraw-Hill: New York).
79. Spanos, A. (1986), Statistical Foundations of Econometric Modelling (Cambridge University Press: Cambridge).
80. Ullah, A. and V. Zinde-Walsh (1984), "On the Robustness of LM, LR and W Tests in Regression Models", Econometrica, 52 1055-1065.
81. Zellner, A. (1971), An Introduction to Bayesian Inference in Econometrics (Wiley: New York).
82. Baltagi, B. H. (1995), "Optimal Weighting of Unbiased Estimators", Econometric Theory, Problem 95.3.1, 11 637.
83. Baltagi, B. H. and D. Levin (1992), "Cigarette Taxation: Raising Revenues and Reducing Consumption", Structural Change and Economic Dynamics, 3 321-335.
84. Belsley, D. A., E. Kuh and R. E. Welsch (1980), Regression Diagnostics (Wiley: New York).
85. Greene, W. (1993), Econometric Analysis (Macmillian: New York).
86. Gujarati, D. (1995), Basic Econometrics (McGraw-Hill: New York).
87. Johnston, J. (1984), Econometric Methods (McGraw-Hill: New York).
88. Kelejian, H. and W. Oates (1989), Introduction to Econometrics (Harper and Row: New York).
89. Kennedy, P. (1992), A Guide to Econometrics (MIT Press: Cambridge).
90. Kmenta, J. (1986), Elements of Econometrics (Macmillan: New York).
91. Maddala, G. S. (1992), Introduction to Econometrics (Macmillan: New York).
92. Oksanen, E. H. (1993), "Efficiency as Correlation", Econometric Theory, Problem 93.1.3, 9 146.
93. Samuel-Cahn, E. (1994), "Combining Unbiased Estimators", The American Statistician, 48 34-36.
94. Wallace, D. and L. Silver (1988), Econometrics: An Introduction (Addison Wesley: New York).
95. Zheng, J. X. (1994), "Efficiency as Correlation", Econometric Theory, Solution 93.1.3, 10 228.
96. This chapter draws upon the material in Kelejian and Oates (1989) and Wallace and Silver (1988). Several econometrics books have an excellent discussion on dummy variables, see Gujarati (1978), Judge et al. (1985), Kennedy (1992), Johnston (1984) and Maddala (2001), to mention a few. Other readings referenced in this chapter include
97. Baltagi, B. H. (1987a), "To Pool or Not to Pool: The Quality Bank Case", The American Statistician, 41 150-152.
98. Baltagi, B. H. (1987b), "Simple versus Multiple Regression Coefficients", Econometric Theory, Problem 87.1.1, 3 159.
99. Chow, G. C. (1960), "Tests of Equality Between Sets of Coefficients in Two Linear Regressions", Econometrica, 28 591-605.
100. Cornwell, C. and P. Rupert (1988), "Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators", Journal of Applied Econometrics, 3 149-155.
101. Dufour, J. M. (1980), "Dummy Variables and Predictive Tests for Structural Change", Economics Letters, 6 241-247.
102. Dufour, J. M. (1982), "Recursive Stability of Linear Regression Relationships", Journal of Econometrics, 19 31-76.
103. Gujarati, D. (1970), "Use of Dummy Variables in Testing for Equality Between Sets of Coefficients in Two Linear Regressions: A Note", The American Statistician, 24 18-21.
104. Gujarati, D. (1970), "Use of Dummy Variables in Testing for Equality Between Sets of Coefficients in Two Linear Regressions: A Generalization", The American Statistician, 24 50-52.
105. Halvorsen, R. and R. Palmquist (1980), "The Interpretation of Dummy Variables in Semilogarithmic Equations", American Economic Review, 70 474-475.
106. Hanushek, E. A. and J. E. Jackson (1977), Statistical Methods for Social Scientists (Academic Press: New York).
107. Hill, R. Carter and L. C. Adkins (2001), "Collinearity", Chapter 12 in B. H. Baltagi (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
108. Kennedy, P. E. (1981), "Estimation with Correctly Interpreted Dummy Variables in Semilogarithmic Equations", American Economic Review, 71 802.
109. Kennedy, P. E. (1981), "The Balentine: A Graphical Aid for Econometrics", Australian Economic Papers, 20 414-416.
110. Kennedy, P. E. (1986), "Interpreting Dummy Variables", Review of Economics and Statistics, 68 174-175.
111. 2", Econometric Theory, Problem 86.3.1, 2 442.
112. Poirier, D. (1976), The Econometrics of Structural Change (North Holland: Amsterdam).
113. Salkever, D. (1976), "The Use of Dummy Variables to Compute Predictions, Prediction Errors, and Confidence Intervals", Journal of Econometrics, 4 393-397.
114. Suits, D. (1984), "Dummy Variables: Mechanics vs Interpretation", Review of Economics and Statistics, 66 132-139. Chapter 4: Multiple Regression Analysis
115. Suits, D. B., A. Mason and L. Chan (1978), "Spline Functions Fitted by Standard Regression Methods", Review of Economics and Statistics, 60 132-139.
116. Utts, J. (1982), "The Rainbow Test for Lack of Fit in Regression", Communications in Statistics-Theory and Methods, 11 1801-1815.
117. For additional readings consult the econometrics books cited in the Preface. Recent chapters on heteroskedasticity and autocorrelation include Griffiths (2001) and King (2001)
118. Ali, M. M. and C. Giaccotto (1984), "A study of Several New and Existing Tests for Heteroskedasticity in the General Linear Model", Journal of Econometrics, 26 355-373.
119. Amemiya, T. (1973), "Regression Analysis When the Variance of the Dependent Variable is Proportional to the Square of its Expectation", Journal of the American Statistical Association, 68 928-934.
120. Amemiya, T. (1977), "A Note on a Heteroskedastic Model", Journal of Econometrics, 6 365-370.
121. Andrews, D. W. K. (1991), "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59 817-858.
122. Baltagi, B. and Q. Li (1990), "The Heteroskedastic Consequences of an Arbitrary Variance for the Initial Disturbance of an AR (1) Model", Econometric Theory, Problem 90.3.1, 6 405.
123. Baltagi, B. and Q. Li (1992), "The Bias of the Standard Errors of OLS for an AR (1) process with an Arbitrary Variance on the Initial Observations", Econometric Theory, Problem 92.1.4, 8 146.
124. Baltagi, B. and Q. Li (1995), "ML Estimation of Linear Regression Model with AR (1) Errors and Two Observations", Econometric Theory, Solution 93.3.2, 11 641-642.
125. Bartlett'stest, M. S. (1937), "Properties of Sufficiency and Statistical Tests", Proceedings of the Royal Statistical Society, A, 160 268-282.
126. Beach, C. M. and J. G. MacKinnon (1978), "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors", Econometrica, 46 51-58.
127. Benderly, J. and B. Zwick (1985), "Inflation, Real Balances, Output and Real Stock Returns", American Economic Review, 75 1115-1123.
128. Breusch, T. S. (1978), "Testing for Autocorrelation in Dynamic Linear Models", Australian Economic Papers, 17 334-355.
129. Breusch, T. S. and A. R. Pagan (1979), "A Simple Test for Heteroskedasticity and Random Coefficient Variation", Econometrica, 47 1287-1294.
130. Buse, A. (1984), "Tests for Additive Heteroskedasticity: Goldfeld and Quandt Revisited", Empirical Economics, 9 199-216.
131. Carroll, R. H. (1982), "Adapting for Heteroskedasticity in Linear Models", Annals of Statistics, 10 1224-1233.
132. Cochrane, D. and G. Orcutt (1949), "Application of Least Squares Regression to Relationships Containing Autocorrelated Error Terms", Journal of the American Statistical Association, 44 32-61.
133. Cragg, J. G. (1992), "Quasi-Aitken Estimation for Heteroskedasticity of Unknown Form", Journal of Econometrics, 54 197-202.
134. Durbin, J. (1960), "Estimation of Parameters in Time-Series Regression Model", Journal of the Royal Statistical Society, Series B, 22 139-153.
135. Durbin, J. and G. Watson (1950), "Testing for Serial Correlation in Least Squares Regression-I", Biometrika, 37 409-428.
136. Durbin, J. and G. Watson (1951), "Testing for Serial Correlation in Least Squares Regression-II", Biometrika, 38 159-178.
137. Evans, M. A., and M. L. King (1980) "A Further Class of Tests for Heteroskedasticity", Journal of Econometrics, 37 265-276.
138. Farebrother, R. W. (1980), "The Durbin-Watson Test for Serial Correlation When There is No Intercept in the Regression", Econometrica, 48 1553-1563.
139. Glejser, H. (1969), "A New Test for Heteroskedasticity", Journal of the American Statistical Association, 64 316-323.
140. Godfrey, L. G. (1978), "Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables", Econometrica, 46 1293-1302.
141. Goldfeld, S. M. and R. E. Quandt (1965), "Some Tests for Homoscedasticity", Journal of the American Statistical Association, 60 539-547.
142. Goldfeld, S. M. and R. E. Quandt (1972), Nonlinear Methods in Econometrics (North-Holland: Amsterdam).
143. Griffiths, W. E. (2001), "Heteroskedasticity", Chapter 4 in B. H. Baltagi, (ed.), A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
144. Harrison, M. and B. P. McCabe (1979), "A Test for Heteroskedasticity Based On Ordinary Least Squares Residuals", Journal of the American Statistical Association, 74 494-499.
145. Harrison, D. and D. L. Rubinfeld (1978), "Hedonic Housing Prices and the Demand for Clean Air", Journal of Environmental Economics and Management, 5 81-102.
146. Harvey, A. C. (1976), "Estimating Regression Models With Multiplicative Heteroskedasticity", Econometrica, 44 461-466.
147. Hilderth, C. and J. Lu (1960), "Demand Relations with Autocorrelated Disturbances", Technical Bulletin 276 (Michigan State University, Agriculture Experiment Station).
148. Jarque, C. M. and A. K. Bera (1987), "A Test for Normality of Observations and Regression Residuals", International Statistical Review, 55 163-177.
149. Kim, J. H. (1991), "The Heteroskedastic Consequences of an Arbitrary Variance for the Initial Disturbance of an AR (1) Model", Econometric Theory, Solution 90.3.1, 7 544-545.
150. King, M. (2001), "Serial Correlation", Chapter 2 in B. H. Baltagi, (ed.), A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
151. Koenker, R. (1981), "A Note on Studentizing a Test for Heteroskedasticity", Journal of Econometrics, 17 107-112.
152. Koenker, R. and G. W. Bassett, Jr. (1982), "Robust Tests for Heteroskedasticity Based on Regression Quantiles", Econometrica, 50 43-61.
153. Koning, R. H. (1992), "The Bias of the Standard Errors of OLS for an AR (1) process with an Arbitrary Variance on the Initial Observations", Econometric Theory, Solution 92.1.4, 9 149-150.
154. Kr̈amer, W. (1982), "Note on Estimating Linear Trend When Residuals are Autocorrelated", Econometrica, 50 1065-1067.
155. Lott, W. F. and S. C. Ray (1992), Applied Econometrics: Problems With Data Sets (The Dryden Press: New York).
156. Maddala, G. S. (1977), Econometrics (McGraw-Hill: New York).
157. Maeshiro, A. (1976), "Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms", The Review of Economics and Statistics, 58 497-500.
158. Maeshiro, A. (1979), "On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models", International Economic Review, 20 259-265.
159. Magee L. (1993), "ML Estimation of Linear Regression Model with AR (1) Errors and Two Observations", Econometric Theory, Problem 93.3.2, 9 521-522.
160. Mizon, G. E. (1995), "A Simple Message for Autocorrelation Correctors: Don't", Journal of Econometrics 69 267-288.
161. Newey, W. K. and K. D. West (1987), "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55 703-708.
162. Oberhofer, W. and J. Kmenta (1974), "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models", Econometrica, 42 579-590.
163. Park, R. E. and B. M. Mitchell (1980), "Estimating the Autocorrelated Error Model With Trended Data", Journal of Econometrics, 13 185-201.
164. Prais, S. and C. Winsten (1954), "Trend Estimation and Serial Correlation", Discussion Paper 383 (Cowles Commission: Chicago).
165. Rao, P. and Z. Griliches (1969), "Some Small Sample Properties of Several Two-Stage Regression Methods in the Context of Autocorrelated Errors", Journal of the American Statistical Association, 64 253-272.
166. Rao, P. and R. L. Miller (1971), Applied Econometrics (Wadsworth: Belmont).
167. Robinson, P. M. (1987), "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form", Econometrica, 55 875-891.
168. Rutemiller, H. C. and D. A. Bowers (1968), "Estimation in a Heteroskedastic Regression Model", Journal of the American Statistical Association, 63 552-557.
169. Savin, N. E. and K. J. White (1977), "The Durbin-Watson Test for Serial Correlation with Extreme Sample Sizes or Many Regressors", Econometrica, 45 1989-1996.
170. Szroeter, J. (1978), "A Class of Parametric Tests for Heteroskedasticity in Linear Econometric Models", Econometrica, 46 1311-1327.
171. Theil, H. (1978), Introduction to Econometrics (Prentice-Hall: Englewood Cliffs, NJ).
172. Waldman, D. M. (1983), "A Note on Algebraic Equivalence of White's Test and a Variation of the Godfrey/Breusch-Pagan Test for Heteroskedasticity", Economics Letters, 13 197-200.
173. White, H. (1980), "A Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, 48 817-838.
174. Wooldridge, J. M. (1991), "On the Application of Robust, Regression-Based Diagnostics to Models of Conditional Means and Conditional Variances", Journal of Econometrics, 47 5-46.
175. This chapter is based on the material in Maddala (1977), Johnston (1984), Kelejian and Oates (1989) and Davidson and MacKinnon (1993). Additional references on the material in this chapter include
176. Akaike, H. (1973), "Information Theory and an Extension of the Maximum Likelihood Principle", in B. Petrov and F. Csake, eds. 2nd. International Symposium on Information Theory, Budapest: Akademiai Kiado.
177. Almon, S. (1965), "The Distributed Lag Between Capital Appropriations and Net Expenditures", Econometrica, 30 407-423.
178. Breusch, T. S. (1978), "Testing for Autocorrelation in Dynamic Linear Models", Australian Economic Papers, 17 334-355.
179. Davidson, J. E. H., D. F. Hendry, F. Srba and S. Yeo (1978), "Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom", Economic Journal, 88 661-692.
180. Dhrymes, P. J. (1971), Distributed Lags: Problems of Estimation and Formulation (Holden-Day: San Francisco).
181. Durbin, J. (1970), "Testing for Serial Correlation in Least Squares Regression when Some of the Regressors are Lagged Dependent Variables", Econometrica, 38 410-421.
182. Fomby, T. B. and D. K. Guilkey (1983), "An Examination of Two-Step Estimators for Models with Lagged Dependent and Autocorrelated Errors", Journal of Econometrics, 22 291-300
183. Gilbert, C. L. (1986), "Professor Hendry's Econometric Methodology", Oxford Bulletin of Economics and Statistics, 48 283-307.
184. Godfrey, L. G. (1978), "Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables", Econometrica, 46 1293-1302.
185. Griliches, Z. (1961), "A Note on Serial Correlation Bias in Estimates of Distributed Lags", Econometrica, 29 65-73.
186. Hatanaka, M. (1974), "An Efficient Two-Step Estimator for the Dynamic Adjustment Model with Autocorrelated Errors", Journal of Econometrics, 2 199-220.
187. Jorgenson, D. W. (1966), "Rational Distributed Lag Functions", Econometrica, 34 135-149.
188. Kiviet, J. F. (1986), "On The Vigor of Some Misspecification Tests for Modelling Dynamic Relationships", Review of Economic Studies, 53 241-262.
189. Klein, L. R. (1958), "The Estimation of Distributed Lags", Econometrica, 26 553-565.
190. Koyck, L. M. (1954), Distributed Lags and Investment Analysis (North-Holland: Amsterdam).
191. Maddala, G. S. and A. S. Rao (1971), "Maximum Likelihood Estimation of Solow's and Jorgenson's Distributed Lag Models", Review of Economics and Statistics, 53 80-88.
192. Nerlove, M. and K. F. Wallis (1967), "Use of the Durbin-Watson Statistic in Inappropriate Situations", Econometrica, 34 235-238.
193. Schwarz, G. (1978), "Estimating the Dimension of a Model", Annals of Statistics, 6 461-464.
194. Schmidt, P. (1974), "An Argument for the Usefulness of the Gamma Distributed Lag Model", International Economic Review, 15 246-250.
195. Schmidt, P. (1975), "The Small Sample Effects of Various Treatments of Truncation Remainders on the Estimation of Distributed Lag Models", Review of Economics and Statistics, 57 387-389.
196. Schmidt, P. and R. N. Waud (1973), "The Almon lag Technique and the Monetary versus Fiscal Policy Debate", Journal of the American Statistical Association, 68 11-19.
197. Solow, R. M. (1960), "On a Family of Lag Distributions", Econometrica, 28 393-406.
198. Wallace, T. D. (1972), "Weaker Criteria and Tests for Linear Restrictions in Regression", Econometrica, 40 689-698.
199. Wallis, K. F. (1967), "Lagged Dependent Variables and Serially Correlated Errors: A Reappraisal of Three-Pass Least Squares", Review of Economics and Statistics, 49 555-567.
200. Zellner, A. and M. Geisel (1970), "Analysis of Distributed Lag Models with Application to Consumption Function Estimation", Econometrica, 38 865-888.
201. Additional readings for the material covered in this chapter can be found in Davidson and MacKinnon (1993), Kelejian and Oates (1989), Maddala (1992), Fomby, Hill and Johnson (1984), Greene (1993), Johnston (1984), Judge et al. (1985) and Theil (1971). These econometrics texts were cited earlier. Other references cited in this chapter are the following
202. Bera A. K. and G. Permaratne (2001), "General Hypothesis Testing", Chapter 2 in Baltagi, B. H. (ed.), A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
203. Berndt, E. R. and N. E. Savin (1977), "Conflict Among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model", Econometrica, 45 1263-1278.
204. Buse, A. (1982), "The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note", The American Statistician, 36 153-157.
205. Chow, G. C. (1960), "Tests of Equality Between Sets of Coefficients in Two Linear Regressions", Econometrica, 28 591-605.
206. Dagenais, M. G. and J. M. Dufour (1991), "Invariance, Nonlinear Models, and Asymptotic Tests", Econometrica, 59 1601-1615.
207. Engle, R. F. (1984), "Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics", In: Griliches, Z. and M. D. Intrilligator (eds) Handbook of Econometrics (North-Holland: Amsterdam).
208. Fiebig, D. G. (1995), "Iterative Estimation in Partitioned Regression Models", Econometric Theory, Problem 95.5.1, 11 1177
209. Frisch, R., and F. V. Waugh (1933), "Partial Time Regression as Compared with Individual Trends", Econometrica, 1 387-401.
210. Graybill, F. A. (1961), An Introduction to Linear Statistical Models, Vol. 1 (McGraw-Hill: New York).
211. Gregory, A. W. and M. R. Veall (1985), "Formulating Wald Tests of Nonlinear Restrictions", Econometrica, 53 1465-1468.
212. Gregory, A. W. and M. R. Veall (1986), "Wald Tests of Common Factor Restrictions", Economics Letters, 22 203-208.
213. Gujarati, D. (1970), "Use of Dummy Variables in Testing for Equality Between Sets of Coefficients in Two Linear Regressions: A Generalization", The American Statistician, 24 50-52.
214. Hendry, D. F. and G. E. Mizon (1978), "Serial Correlation as a Convenient Simplification, Not as a Nuisance: A Comment on A Study of the Demand for Money by the Bank of England", Economic Journal, 88 549-563.
215. Lafontaine, F. and K. J. White (1986), "Obtaining Any Wald Statistic You Want", Economics Letters, 21 35-40.
216. Lovell, M. C. (1963), "Seasonal Adjustment of Economic Time Series", Journal of the American Statistical Association, 58 993-1010.
217. Salkever, D. (1976), "The Use of Dummy Variables to Compute Predictions, Prediction Errors, and Confidence Intervals", Journal of Econometrics, 4 393-397.
218. Bellman, R. (1970), Introduction to Matrix Analysis (McGraw Hill: New York).
219. Searle, S. R. (1982), Matrix Algebra Useful for Statistics (John Wiley and Sons: New York).
220. This chapter is based on Belsley, Kuh and Welsch (1980), Johnston (1984), Maddala (1992) and Davidson and MacKinnon (1993). Additional references are the following
221. Baltagi, B. H. (1990), "The Differencing Test in a Regression with Equicorrelated Disturbances", Econometric Theory, Problem 90.4.5, 6 488.
222. Baltagi, B. H. (1998), "Regression Specification Error Test as A Gauss-Newton Regression", Econometric Theory, Problem 98.4.3, 14 526.
223. Belsley, D. A., E. Kuh and R. E. Welsch (1980), Regression Diagnostics (Wiley: New York).
224. Box, G. E. P. and D. R. Cox (1964), "An Analysis of Transformations", Journal of the Royal Statistical Society, Series B, 26 211-252.
225. Brown, R. L., J. Durbin, and J. M. Evans (1975), "Techniques for Testing the Constancy of Regression Relationships Over Time", Journal of the Royal Statistical Society 37 149-192.
226. Chesher, A. and R. Spady (1991), "Asymptotic Expansions of the Information Matrix Test Statistic", Econometrica 59 787-815.
227. Cook, R. D. (1977), "Detection of Influential Observations in Linear Regression", Technomet rics 19 15-18.
228. Cook, R. D. and S. Weisberg (1982), Residuals and Influences in Regression (Chapman and Hall: New Yo rk).
229. Cox, D. R. (1961), "Tests of Separate Families of Hypotheses", Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, 1 105-123.
230. Davidson, R., L. G. Godfrey and J. G. MacKinnon (1985), "A Simplified Version of the Differencing Test", International Economic Review, 26 639-47.
231. Davidson, R. and J. G. MacKinnon (1981), "Several Tests for Model Specification in the Presence of Alternative Hypotheses", Econometrica, 49 781-793.
232. Davidson, R. and J. G. MacKinnon (1985), "Testing Linear and Loglinear Regressions Against Box-Cox Alternatives", Canadian Journal of Economics, 18 499-517.
233. Davidson, R. and J. G. MacKinnon (1992), "A New Form of the Information Matrix Test", Econometrica, 60 145-157.
234. Davidson, R. and J. G. MacKinnon (2001), "Artificial Regressions", Chapter 1 in Baltagi, B. H. (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
235. Fisher, G. R. and M. McAleer (1981), "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses", Journal of Econometrics, 16 103-119.
236. Gentleman, J. F. and M. B. Wilk (1975), "Detecting Outliers II: Supplementing the Direct Analysis of Residuals", Biometrics, 31 387-410.
237. Godfrey, L. G. (1988), Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches (Cambridge University Press: Cambridge).
238. Hall, A. (1987), "The Information Matrix Test for the Linear Model", Review of Economic Studies, 54 257-263.
239. Harvey, A. C. (1976), "An Alternative Proof and Generalization of a Test for Structural Change", The American Statistician, 30 122-123.
240. Harvey, A. C. (1990), The Econometric Analysis of Time Series (MIT Press: Cambridge).
241. Harvey, A. C. and P. Collier (1977), "Testing for Functional Misspecification in Regression Analysis", Journal of Econometrics, 6 103-119.
242. Harvey, A. C. and G. D. A. Phillips (1974), "A Comparison of the Power of Some Tests for Heteroskedasticity in the General Linear Model", Journal of Econometrics, 2 307-316.
243. Hausman, J. (1978), "Specification Tests in Econometrics", Econometrica, 46 1251-1271.
244. Koning, R. H. (1992), "The Differencing Test in a Regression with Equicorrelated Disturbances", Econometric Theory, Solution 90.4.5, 8 155-156.
245. Kr̈amer, W. and H. Sonnberger (1986), The Linear Regression Model Under Test (Physica-Verlag: Heidelberg).
246. Krasker, W. S., E. Kuh and R. E. Welsch (1983), "Estimation for Dirty Data and Flawed Models", Chapter 11 in Handbook of Econometrics, Vol. I, eds. Z. Griliches and M. D. Intrilligator, Amsterdam, North-Holland.
247. Maeshiro, A. and R. Wichers (1989), "On the Relationship Between the Estimates of Level Models and Difference Models", American Journal of Agricultural Economics, 71 432-434.
248. Orme, C. (1990), "The Small Sample Performance of the Information Matrix Test", Journal of Econometrics, 46 309-331.
249. Pagan, A. R. and A. D. Hall (1983), "Diagnostic Tests as Residual Analysis", Econometric Reviews, 2 159-254.
250. Pesaran, M. H. and M. Weeks (2001), "Nonnested Hypothesis Testing: A
251. Phillips, G. D. A. and A. C. Harvey (1974), "A Simple Test for Serial Correlation in Regression Analysis", Journal of the American Statistical Association, 69 935-939.
252. Plosser, C. I., G. W. Schwert, and H. White (1982), "Differencing as a Test of Specification", International Economic Review, 23 535-552.
253. Ramsey, J. B. (1969), "Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis", Journal of the Royal Statistics Society, Series B, 31 350-371.
254. Ramsey, J. B. and P. Schmidt (1976), "Some Further Results in the Use of OLS and BLUS Residuals in Error Specification Tests", Journal of the American Statistical Association, 71 389-390.
255. Schmidt, P. (1976), Econometrics (Marcel Dekker: New York).
256. Theil, H. (1971), Principles of Econometrics (Wiley: New York).
257. Thursby, J. and P. Schmidt (1977), "Some Properties of Tests for Specification Error in a Linear Regression Model", Journal of the American Statistical Association, 72 635-641.
258. Utts, J. M. (1982), "The Rainbow Test for Lack of Fit in Regression", Communications in Statistics, 11 2801-2815.
259. Velleman, P. and R. Welsch (1981), "Efficient Computing of Regression Diagnostics", The American Statistician, 35 234-242.
260. White, H. (1980), "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, 48 817-838.
261. White, H. (1982), "Maximum Likelihood Estimation of Misspecified Models", Econometrica, 50 1-25.
262. Wooldridge, J. M. (1995), "Diagnostic Testing", Chapter 9 in B. H. Baltagi (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
263. Wu, P. (1993), "Variable Addition Test", Econometric Theory, Problem 93.1.2, 9 145-146.
264. Anselin, L. (2001), "Spatial Econometrics", Chapter 14 in B. H. Baltagi (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
265. Anselin, L. (1988), Spatial Econometrics: Methods and Models (Kluwer: Dordrecht).
266. Anselin, L. and A. K. Bera (1998), "Spatial Dependence in Linear Regression Models with an Introduction to Spatial Econometrics", in A. Ullah and D. E. A. Giles (eds.) Handbook of Applied Economic Statistics (Marcel Dekker: New York).
267. Balestra, P. (1970), "On the Efficiency of Ordinary Least Squares in Regression Models", Journal of the American Statistical Association, 65 1330-1337.
268. Balestra, P. (1980), "A Note on the Exact Transformation Associated with First-Order Moving Average Process", Journal of Econometrics, 14 381-394.
269. Baltagi, B. H. (1989), "Applications of a Necessary and Sufficient Condition for OLS to be BLUE", Statistics and Probability Letters, 8 457-461
270. Baltagi, B. H. (1992), "Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity", Econometric Theory, Problem 92.2.3, 8 304-305.
271. Baltagi, B. H. and P. X. Wu (1997), "Estimation of Time Series Regressions with Autoregressive Disturbances and Missing Observations", Econometric Theory, Problem 97.5.1, 13 889.
272. Baltagi, B. H. (1998), "Prediction in the Equicorrelated Regression Model", Econometric Theory, Problem 98.3.3, 14 382.
273. Breusch, T. S. (1979), "Conflict Among Criteria for Testing Hypotheses: Extensions and Comments", Econometrica, 47 203-207.
274. Breusch, T. S. and A. R. Pagan (1979), "A Simple Test for Heteroskedasticity and Random Coefficient Variation", Econometrica, 47 1287-1294.
275. Buse, A. (1982), "The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note", The American Statistician, 36 153-157.
276. 2 in Linear Regressions with Dependent Errors", The American Statistician, 40 284-285.
277. Fuller, W. A. and G. E. Battese (1974), "Estimation of Linear Models with Crossed-Error Structure", Journal of Econometrics, 2 67-78.
278. Goldberger, A. S. (1962), "Best Linear Unbiased Prediction in the Generalized Linear Regression Model", Journal of the American Statistical Association, 57 369-375.
279. Harvey, A. C. (1976), "Estimating Regression Models With Multiplicative Heteroskedasticity", Econometrica, 44 461-466.
280. Im, E. I. and M. S. Snow (1993), "Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity", Econometric Theory, Solution 92.2.3, 9 322-323.
281. Kadiyala, K. R. (1968), "A Transformation Used to Circumvent the Problem of Autocorrelation", Econometrica, 36 93-96.
282. Koenker, R. and G. Bassett, Jr. (1982), "Robust Tests for Heteroskedasticity Based on Regression Quantiles", Econometrica, 50 43-61.
283. 2 in the Linear Regression Model with Correlated Errors", Empirical Economics, 16 375-377.
284. Kruskal, W. (1968), "When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach", The Annals of Mathematical Statistics, 39 70-75.
285. Lempers, F. B. and T. Kloek (1973), "On a Simple Transformation for Second-Order Autocorrelated Disturbances in Regression Analysis", Statistica Neerlandica, 27 69-75.
286. Magnus, J. (1978), "Maximum Likelihood Estimation of the GLS Model with Unknown Parameters in the Disturbance Covariance Matrix", Journal of Econometrics, 7 281-312.
287. Milliken, G. A. and M. Albohali (1984), "On Necessary and Sufficient Conditions for Ordinary Least Squares Estimators to be Best Linear Unbiased Estimators", The American Statistician, 38 298-299.
288. 2 in Case of a First-Order Autoregressive Process (positive autocorrelation)", Econometrica, 45 1257-1262
289. Neudecker, H. (1978), "Bounds for the Bias of the LS Estimator in the Case of a First-Order (positive) Autoregressive Process Where the Regression Contains a Constant Term", Econometrica, 46 1223-1226.
290. Newey, W. and K. West (1987), "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55 703-708.
291. Oksanen, E. H. (1991), "A Simple Approach to Teaching Generalized Least Squares Theory", The American Statistician, 45 229-233.
292. Ord, J. K. (1975), "Estimation Methods for Models of Spatial Interaction", Journal of the American Statistical Association, 70 120-126.
293. Phillips, P. C. B. and M. R. Wickens (1978), Exercises in Econometrics, Vol. 1 (Philip Allan/Ballinger: Oxford).
294. Puntanen S. and G. P. H. Styan (1989), "The Equality of the Ordinary Least Squares Estimator and the Best Linear Unbiased Estimator", (with discussion), The American Statistician, 43 153-161.
295. Sathe, S. T. and H. D. Vinod (1974), "Bounds on the Variance of Regression Coefficients Due to Heteroskedastic or Autoregressive Errors", Econometrica, 42 333-340.
296. Schmidt, P. (1976), Econometrics (Marcell-Decker: New York).
297. Termayne, A. R. (1985), "Prediction Error Variances Under Heteroskedasticity", Econometric Theory, Problem 85.2.3, 1 293-294.
298. Theil, H. (1971), Principles of Econometrics (Wiley: New York).
299. Thomas, J. J and K. F. Wallis (1971), "Seasonal Variation in Regression Analysis", Journal of the Royal Statistical Society, Series A, 134 67-72.
300. White, H. (1980), "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, 48 817-838.
301. Zyskind, G. (1967), "On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models", The Annals of Mathematical Statistics, 38 1092-1109
302. This chapter is based on Zellner (1962), Kmenta (1986), Baltagi (1988), Binkley and Nelson (1988), Schmidt (1977) and Judge et al. (1982). References cited are
303. Baltagi, B. H. (1988), "The Efficiency of OLS in a Seemingly Unrelated Regressions Model", Econometric Theory, Problem 88.3.4, 4 536-537.
304. Baltagi, B. H. (1993), "Trace Minimization of Singular Systems With Cross-Equation Restrictions", Econometric Theory, Problem 93.2.4, 9 314-315.
305. Baltagi, B., S. Garvin and S. Kerman (1989), "Further Monte Carlo Evidence on Seemingly Unrelated Regressions with Unequal Number of Observations", Annales D'Economie et de Statistique, 14 103-115.
306. Baltagi, B. H. and J. M. Griffin (1983), "Gasoline Demand in the OECD: An Application of Pooling and Testing Procedures", European Economic Review, 22 117-137.
307. Berndt, E. R. (1991), The Practice of Econometrics: Classic and Contemporary (Addison-Wesley: Reading, MA).
308. Berndt, E. R. and N. E. Savin (1975), "Estimation and Hypothesis Testing in Singular Equation Systems With Autoregressive Disturbances", Econometrica, 43 937-957.
309. Binkley, J. K. and C. H. Nelson (1988), "A Note on the Efficiency of Seemingly Unrelated Regression", The American Statistician, 42 137-139.
310. Boot, J. and G. De Witt (1960), "Investment Demand: An Empirical Contribution to the Aggregation Problem", International Economic Review, 1 3-30
311. Breusch, T. S. and A. R. Pagan (1980), "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics", Review of Economic Studies, 47 239-253.
312. Conniffe, D. (1982), "A Note on Seemingly Unrelated Regressions", Econometrica, 50 229-233.
313. Dwivedi, T. D. and V. K. Srivastava (1978), "Optimality of Least Squares in the Seemingly Unrelated Regression Equations Model", Journal of Econometrics, 7 391-395.
314. Fiebig, D. G. (2001), "Seemingly Unrelated Regression", Chapter 5 in Baltagi, B. H. (ed.), A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
315. Grunfeld, Y. (1958), "The Determinants of Corporate Investment", unpublished Ph. D. dissertation (University of Chicago: Chicago, IL).
316. Hocking, R. R. and W. B. Smith (1968), "Estimation of Parameters in the Multivariate Normal Distribution with Missing Observations", Journal of the American Statistical Association, 63 154-173.
317. Hwang, H. S. (1990), "Estimation of Linear SUR Model With Unequal Numbers of Observations", Review of Economics and Statistics, 72 510-515.
318. Im, EricIksoon (1994), "Trace Minimization of Singular Systems With Cross-Equation Restrictions", Econometric Theory, Solution 93.2.4, 10 450.
319. Kmenta, J. and R. Gilbert (1968), "Small Sample Properties of Alternative Estimators of Seemingly Unrelated Regressions", Journal of the American Statistical Association, 63 1180-1200.
320. Milliken, G. A. and M. Albohali (1984), "On Necessary and Sufficient Conditions for Ordinary Least Squares Estimators to be Best Linear Unbiased Estimators", The American Statistician, 38 298-299.
321. Oberhofer, W. and J. Kmenta (1974), "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models", Econometrica, 42 579-590.
322. Qian, H. (1998), "Equivalence of LR Test and Hausman Test", Econometric Theory, Problem 98.1.3, 14 151.
323. Revankar, N. S. (1974), "Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations", Journal of the American Statistical Association, 71 183-188.
324. Rossi, P. E. (1989), "The ET Interview: Professor Arnold Zellner", Econometric Theory, 5 287-317.
325. Schmidt, P. (1977), "Estimation of Seemingly Unrelated Regressions With Unequal Numbers of Observations", Journal of Econometrics, 5 365-377.
326. Schmidt, P. (1978), "A Note on the Estimation of Seemingly Unrelated Regression Systems", Journal of Econometrics, 7 259-261.
327. Sentana, E. (1997), "Estimation of a Triangular, Seemingly Unrelated, Regression System by OLS", Econometric Theory, Problem 97.2.2, 13 463.
328. Srivastava, V. K. and T. D. Dwivedi (1979), "Estimation of Seemingly Unrelated Regression Equations: A Brief Survey", Journal of Econometrics, 10 15-32.
329. Srivastava, V. K. and D. E. A. Giles (1987), Seemingly Unrelated Regression Equations Models: Estimation and Inference (Marcel Dekker: New York).
330. Srivastava, J. N. and M. K. Zaatar (1973), "Monte Carlo Comparison of Four Estimators of Dispersion Matrix of a Bivariate Normal Population, Using Incomplete Data", Journal of the American Statistical Association, 68 180-183.
331. Telser, L. (1964), "Iterative Estimation of a Set of Linear Regression Equations", Journal of the American Statistical Association, 59 845-862.
332. Wilks, S. S. (1932), "Moments and Distributions of Estimates of Population Parameters From Fragmentary Samples", Annals of Mathematical Statistics, 3 167-195.
333. Zellner, A. (1962), "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias", Journal of the American Statistical Association, 57 348-368
334. This chapter is influenced by Johnston (1984), Kelejian and Oates (1989), Maddala (1992), Davidson and MacKinnon (1993), Mariano (2001) and Stock and Watson (2003). Additional references include the econometric texts cited in Chapter 3 and the following
335. Anderson, T. W. and H. Rubin (1950), "The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations", Annals of Mathematical Statistics, 21 570-582.
336. Baltagi, B. H. (1989), "A Hausman Specification Test in a Simultaneous Equations Model", Econometric Theory, Solution 88.3.5, 5 453-467.
337. Basmann, R. L. (1957), "A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation", Econometrica, 25 77-83.
338. Basmann, R. L. (1960), "On Finite Sample Distributions of Generalized Classical Linear Identifiability Tests Statistics", Journal of the American Statistical Association, 55 650-659.
339. Bekker, P. A. (1994), "Alternative Approximations to the Distribution of Instrumental Variable Estimators", Econometrica 62 657-681.
340. Bekker, P. A. and T. J. Wansbeek (2001), "Identification in Parametric Models", Chapter 7 in Baltagi, B. H. (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
341. Bound, J., D. A. Jaeger and R. M. Baker (1995), "Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Exogenous Explanatory Variable is Weak", Journal of American Statistical Association 90 443-450.
342. Cornwell, C. and W. N. Trumbull (1994), "Estimating the Economic Model of Crime Using Panel Data", Review of Economics and Statistics, 76 360-366.
343. Cragg, J. G. and S. G. Donald (1996), "Inferring the Rank of Matrix", Journal of Econometrics, 76 223-250.
344. Deaton, A. (1997), The Analysis of Household Surveys: A Microeconometric Approach to Development Policy (Johns Hopkins University Press: Baltimore).
345. Durbin, J. (1954), "Errors in Variables", Review of the International Statistical Institute, 22 23-32.
346. Farebrother, R. W. (1985), "The Exact Bias of Wald's Estimator", Econometric Theory, Problem 85.3.1, 1 419.
347. Farebrother, R. W. (1991), "Comparison of t-Ratios", Econometric Theory, Solution 90.1.4, 7 145-146.
348. Fisher, F. M. (1966), The Identification Problem in Econometrics (McGraw-Hill: New York).
349. Gao, C. and K. Lahiri (2000), "Degeneration of Feasible GLS to 2SLS in a Limited Information Simultaneous Equations Model", Econometric Theory, Problem 00.2.1, 16 287.
350. Gronau, R. (1973), "The Effects of Children on the Housewife's Value of Time", Journal of Political Economy, 81:S168-199.
351. Haavelmo, T. (1944), "The Probability Approach in Econometrics", Supplement to Econometrica, 12.
352. Hall, A. (1993), "Some Aspects of Generalized Method of Moments Estimation", Chapter 15 in Handbook of Statistics, Vol. 11 (North Holland: Amsterdam).
353. Hansen, L. (1982), "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica, 50 646-660.
354. Hausman, J. A. (1978), "Specification Tests in Econometrics", Econometrica, 46 1251-1272.
355. Hausman, J. A. (1983), "Specification and Estimation of Simultaneous Equation Models", Chapter 7 in Griliches, Z. and Intriligator, M. D. (eds.) Handbook of Econometrics, Vol. I (North Holland: Amsterdam).
356. Holly, A. (1987), "Identification and Estimation of a Simple Two-Equation Model", Econometric Theory, Problem 87.3.3, 3 463-466.
357. Holly, A. (1988), "A Hausman Specification Test in a Simultaneous Equations Model", Econometric Theory, Problem 88.3.5, 4 537-538.
358. Holly, A. (1990), "Comparison of t-ratios", Econometric Theory, Problem 90.1.4, 6 114.
359. Kapteyn, A. and D. G. Fiebig (1981), "When are Two-Stage and Three-Stage Least Squares Estimators Identical?", Economics Letters, 8 53-57.
360. Koopmans, T. C. and J. Marschak (1950), Statistical Inference in Dynamic Economic Models (John Wiley and Sons: New York).
361. Koopmans, T. C. and W. C. Hood (1953), Studies in Econometric Method (John Wiley and Sons: New Yo rk).
362. Laffer, A. B., (1970), "Trade Credit and the Money Market", Journal of Political Economy, 78 239-267.
363. Lott, W. F. and S. C. Ray (1992), Applied Econometrics: Problems with Data Sets (The Dryden Press: New York).
364. Manski, C. F. (1995), Identification Problems in the Social Sciences (Harvard University Press: Cambridge)
365. Mariano, R. S. (2001), "Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications", Chapter 6 in Baltagi, B. H. (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts
366. Nelson, C. R. and R. Startz (1990), "The Distribution of the Instrumental Variables Estimator and its t-Ratio when the Instrument is a Poor One", Journal of Business, 63:S125-140.
367. Sapra, S. K. (1997), "Equivariance of an Instrumental Variable (IV) Estimator in the Linear Regression Model", Econometric Theory, Problem 97.2.5, 13 464.
368. Singh, N. and A. N. Bhat (1988), "Identification and Estimation of a Simple Two-Equation Model", Econometric Theory, Solution 87.3.3, 4 542-545.
369. Staiger, D. and J. Stock (1997), "Instrumental Variables Regression With Weak Instruments", Econometrica, 65 557-586.
370. Stock, J. H. and M. W. Watson (2003), Introduction to Econometrics (Addison Wesley: Boston).
371. Theil, H. (1953), "Repeated Least Squares Applied to Complete Equation Systems", The Hague, Central Planning Bureau (Mimeo).
372. Theil, H. (1971), Principles of Econometrics (Wiley: New York).
373. Wooldridge, J. M. (1990), "A Note on the Lagrange Multiplier and F Statistics for Two Stage Least Squares Regression", Economics Letters, 34 151-155.
374. Wald, A. (1940), "Fitting of Straight Lines if Both Variables are Subject to Error", Annals of Mathematical Statistics, 11 284-300.
375. Wu, D. M. (1973), "Alternative Tests of Independence Between Stochastic Regressors and Disturbances", Econometrica, 41 733-740.
376. Zellner, A. and Theil, H. (1962), "Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations", Econometrica, 30 54-78.
377. This chapter is based on Baltagi (2005).
378. Ahn, S. C. and P. Schmidt (1995), "Efficient Estimation of Models for Dynamic Panel Data", Journal of Econometrics, 68 5-27.
379. Amemiya, T. (1971), "The Estimation of the Variances in a Variance-Components Model", International Economic Review, 12 1-13.
380. Anderson, T. W. and C. Hsiao (1982), "Formulation and Estimation of Dynamic Models Using Panel Data, Journal of Econometrics, 18 47-82.
381. Arellano, M. (1989), "A Note on the Anderson-Hsiao Estimator for Panel Data", Economics Letters, 31 337-341.
382. Arellano, M. (1993), "On the Testing of Correlated Effects With Panel Data", Journal of Econometrics, 59 87-97.
383. Arellano, M. and S. Bond (1991), "Some Tests of Specification for Panel Data: Monte Carlo Evidence and An Application to Employment Equations", Review of Economic Studies, 58 277-297.
384. Balestra, P. (1973), "Best Quadratic Unbiased Estimators of the Variance-Covariance Matrix in Normal Regression", Journal of Econometrics, 2 17-28.
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392. Breusch, T. S. (1987), "Maximum Likelihood Estimation of Random Effects Models", Journal of Econometrics, 36 383-389.
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411. Nerlove, M. (1971), "A Note on Error Components Models", Econometrica, 39 383-396.
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416. Taub, A. J. (1979), "Prediction in the Context of the Variance-Components Model", Journal of Econometrics, 10 103-108.
417. Taylor, W. E. (1980), "Small Sample Considerations in Estimation from Panel Data", Journal of Econometrics, 13 203-223.
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460. This chapter draws on the material in Davidson and MacKinnon (1993), Maddala (1992), Hamilton (1994), Banerjee et al. (1993) and Gujarati (1995). Advanced readings include Fuller (1976) and Hamilton (1994). Easier readings include Mills (1990) and Enders (1995).
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492. MacKinnon, J. G. (1991), "Critical Values for Cointegration Tests", Ch. 13 in Long-Run Economic Relationships: Readings in Cointegration, eds. R. F. Engle and C. W. J. Granger (Oxford University Press: Oxford).
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496. Ng, S. and P. Perron (1995), "Unit Root Tests in ARMA Models With Data-Dependent Methods for the Selection of the Truncation Lag", Journal of the American Statistical Association, 90 268-281.
497. Perron, P. (1989), "The Great Cash, The Oil Price Shock, and the Unit Root Hypothesis", Econometrica, 57 1361-1401.
498. Phillips, P. C. B. (1986), "Understanding Spurious Regressions in Econometrics", Journal of Econometrics, 33 311-340.
499. Phillips, P. C. B. and P. Perron (1988), "Testing for A Unit Root in Time Series Regression", Biometrika, 75 335-346.
500. Plosser, C. I. and G. W. Shwert (1978), "Money, Income and Sunspots: Measuring Economic Relationships and the Effects of Differencing", Journal of Monetary Economics, 4 637-660.
501. Sims, C. A. (1972), "Money, Income and Causality", American Economic Review, 62 540-552.
502. Sims, C. A. (1980), "Macroeconomics and Reality", Econometrica, 48 1-48.
503. Sims, C. A., J. H. Stock and M. W. Watson (1990), "Inference in Linear Time Series Models with Some Unit Roots", Econometrica, 58 113-144.
504. Stock, J. H. and M. W. Watson (1988), "Variable Trends in Economic Time Series", Journal of Economic Perspectives, 2 147-174