Advertisement

Econometrics

  • M. Hashem Pesaran
Part of the The New Palgrave book series

Abstract

Econometrics is a rapidly developing branch of economics which, broadly speaking, aims to give empirical content to economic relations. The term ‘econometrics’ appears to have been first used by Pawel Ciompa as early as 1910; although it is Ragnar Frisch, one of the founders of the Econometric Society, who should be given the credit for coining the term, and for establishing it as a subject in the sense in which it is known today (see Frisch, 1936, p. 95). Econometrics can be defined generally as ‘the application of mathematics and statistical methods to the analysis of economic data’, or more precisely in the words of Samuelson, Koopmans and Stone (1954),

… as the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference (p. 142).

Keywords

Business Cycle Econometric Model Rational Expectation Royal Statistical Society Econometric Method 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Bibliography

  1. Aigner, D.J. 1985. The residential electricity time-of-use pricing experiments: what have we learned? In Social Experimentation, ed. J.A. Hausman and D.A. Wise, Chicago: University of Chicago Press.Google Scholar
  2. Aitken, A.C. 1934–5. On least squares and linear combinations of observations. Proceedings of the Royal Society of Edinburgh 55, 42–8.Google Scholar
  3. Allen, R.G.D. and Bowley, A.L. 1935. Family Expenditure. London: P.S. King.Google Scholar
  4. Almon, S. 1965. The distributed lag between capital appropriations and net expenditures. Econometrica 33, 178–96.CrossRefGoogle Scholar
  5. Amemiya, T. 1983. Nonlinear regression models. In Handbook of Econometrica, ed. Z. Griliches and M.D. Intriligator, Vol. 1, Amsterdam: North-Holland.Google Scholar
  6. Amemiya, T. 1984. Tobit models: a survey. Journal of Econometrics 24, 3–61.CrossRefGoogle Scholar
  7. Anderson, T.W. and Rubin, H. 1949. Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics 20, 46–63.CrossRefGoogle Scholar
  8. Aoki, M. 1976. Dynamic Economic Theory and Control in Economics. New York: American Elsevier.Google Scholar
  9. Balestra, P. and Nerlove, M. 1966. Pooling cross section and time series data in the estimation of a dynamic model: the demand for natural gas. Econometrica 34, 585–612.CrossRefGoogle Scholar
  10. Basmann, R.L. 1957. A generalized classical method of linear estimation of coefficients in a structural equation. Econometrica 25, 77–83.CrossRefGoogle Scholar
  11. Benini, R. 1907. Sull’uso delle formole empiriche a nell’economia applicata. Giornale degli economisti, 2nd series, 35, 1053–63.Google Scholar
  12. Bergstrom, A.R. 1984. Continuous time stochastic models and issues of aggregation over time. In Handbook of Econometrics, ed. Z. Griliches and M.D. Intriligator, Vol. 2, Amsterdam: North-Holland.Google Scholar
  13. Boskin, M.J. 1974. A conditional logit model of occupational choice. Journal of Political Economy 82, 389–98.CrossRefGoogle Scholar
  14. Box, G.E.P. and Jenkins, G.M. 1970. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.Google Scholar
  15. Breusch, T.S. and Pagan, A.R. 1980. The Lagrange multiplier test and its applications to model specification in econometrics. Review of Economic Studies 47, 239–53.CrossRefGoogle Scholar
  16. Brown, T.M. 1952. Habit persistence and lags in consumer behaviour. Econometrica 20, 355–71.CrossRefGoogle Scholar
  17. Brundy, J.M. and Jorgenson, D.N. 1971. Efficient estimation of simultaneous equations by instrumental variables. Review of Economics and Statistics 53, 207–24.CrossRefGoogle Scholar
  18. Burns, A.F. and Mitchell, W.C. 1947. Measuring Business Cycles. New York: Columbia University Press for the National Bureau of Economic Research.Google Scholar
  19. Cagan, P. 1956. The monetary dynamics of hyperinflation. In Studies in the Quantity Theory of Money, ed. M. Friedman, Chicago: University of Chicago Press.Google Scholar
  20. Cameron, A.C. and Trivedi, P.K. 1986. Econometric models based on count data: comparisons and applications of some estimators and tests. Journal of Applied Econometrics 1, 29–53.CrossRefGoogle Scholar
  21. Champernowne, D.G. 1948. Sampling theory applied to autoregressive sequences. Journal of the Royal Statistical Society Series B, 10, 204–31.Google Scholar
  22. Chow, G.C. 1975. Analysis and Control of Dynamic Economic Systems. New York: John Wiley.Google Scholar
  23. Chow, G.C. 1981. Econometric Analysis by Control Methods. New York: John Wiley.Google Scholar
  24. Chow, G.C. 1983. Econometrics. New York: McGraw-Hill.Google Scholar
  25. Chow, G.C. 1984. Random and changing coefficient models. In Handbook of Economics,ed. Z. Griliches and M.D. Intriligator, Vol. 2, Amsterdam: North-Holland.Google Scholar
  26. Christ, C.F. 1952. Economic Theory and Measurement: a twenty year research report, 1932–52. Chicago: Cowles Commission for Research in Economics.Google Scholar
  27. Christ, C.F. 1966. Econometric Models and Methods. New York: John Wiley.Google Scholar
  28. Christ, C. F. 1983. The founding of the Econometric Society and Econometrica. Econometrica 51, 3–6.Google Scholar
  29. Christ, C.F. 1985. Early progress in estimating quantitative economic relations in America. American Economic Review, December, 39–52 (supplementary information and statistical summaries).Google Scholar
  30. Cochrane, P. and Orcutt, G.H. 1949. Application of least squares regression to relationships containing autocorrelated error terms. Journal of the American Statistical Association 44, 32–61.Google Scholar
  31. Cooley, T.F. and Leroy, S.F. 1985. Atheoretical macroeconometrics: a critique. Journal of Monetary Economics 16, 283–368.CrossRefGoogle Scholar
  32. Cooper, R.L. 1972. The predictive performance of quarterly econometric models of the United States. In Econometric Models of Cyclical Behaviour, ed. B.G. Hickman, Studies in Income and Wealth 36, Vol. 2, Cambridge, Mass.: Harvard University Press, 813–925.Google Scholar
  33. Cox, D. R. 1961. Tests of separate families of hypotheses. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, Berkeley: University of California Press, 105–23.Google Scholar
  34. Cox, D.R. 1962. Further results of tests of separate families of hypotheses. Journal of the Royal Statistical Society, Series B, 24, 406–24.Google Scholar
  35. Creedy, J. 1986. On the King-Davenant `law’ of demand. Scottish Journal of Political Economy 33, August, 193–212.Google Scholar
  36. Cross, R. 1982. The Duhem-Quine thesis, Lakatos and the appraisal of theories in macroeconomics. Economic Journal 92, 320–40.CrossRefGoogle Scholar
  37. Davenant, C. 1968. Discourses on the Publick Revenues and on the Trade of England Vol. 1, London.Google Scholar
  38. Davidson, J.E.H., Hendry, D.F., Srba, F. and Yeo, S. 1978. Econometric modelling of the aggregate time-series relationship between consumers’ expenditure and income in the United Kingdom. Economic Journal 88, 661–92.CrossRefGoogle Scholar
  39. Dhrymes, P. 1971. A simplified estimator for large-scale econometric models. Australian Journal of Statistics 13, 168–75.CrossRefGoogle Scholar
  40. Dickey, D.A. and Fuller, W.A. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427–31.Google Scholar
  41. Dickey, D.A. and Fuller, W.A. 1981. The likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057–72.CrossRefGoogle Scholar
  42. Doan, T., Litterman, R. and Sims, C.A. 1984. Forecasting and conditional projection using realistic prior distributions. Econometric Reviews 3, 1–100.CrossRefGoogle Scholar
  43. Domenich, T. and McFadden, D. 1975. Urban Travel Demand: A Behavioural Analysis. Amsterdam: North-Holland.Google Scholar
  44. Drèze, J.H. and Richard, J.-F. 1983. Bayesian analysis of simultaneous equation systems. In Handbook of Econometrics, ed. Z. Griliches and M.D. Intriligator, Vol. 1, Amsterdam: North-Holland.Google Scholar
  45. Duncan, G. 1980. Formulation and statistical analysis of the mixed continuous/discrete variable model in classical production theory. Econometrica 839–52.Google Scholar
  46. Durbin, J. and Watson, G.S. 1950. Testing for serial correlation in least squares regression I. Biometrika 37, 409–28.Google Scholar
  47. Durbin, J. and Watson, G. S. 1951. Testing for serial correlation in least squares regression II. Biometrika 38, 159–78.CrossRefGoogle Scholar
  48. Eisner, R. and Strotz, R.H. 1963. Determinants of business investment. In Commission on Money and Credit, Impacts of Monetary Policy, Englewood Cliffs, NJ: Prentice-Hall, 59–337.Google Scholar
  49. Engle, R.F. 1984. Wald likelihood ratio and Lagrange multiplier tests in econometrics. In Handbook of Econometrics, Vol. 2, ed. Z. Griliches and M.D. Intriligator, Amsterdam: North-Holland.Google Scholar
  50. Engle, R.F., Hendry, D.F. and Richard, J.-F. 1983. Exogeneity. Econometrica 15, 277–304.Google Scholar
  51. Evans, G.B.A. and Savin, N.E. 1981. Testing for unit roots I. Econometrica 49, 753–77.CrossRefGoogle Scholar
  52. Evans, G.B.A. and Savin, N.E. 1984. Testing for unit roots II. Econometrica 52, 1241–70.CrossRefGoogle Scholar
  53. Ferber, R. and Hirsch, W.Z. 1982. Social Experimentation and Economic Policy. Cambridge: Cambridge University Press.Google Scholar
  54. Fisher, F.M. 1966. The Identification Problem in Econometrics. New York: McGraw-Hill.Google Scholar
  55. Fisher, I. 1930. The Theory of Interest. New York: Macmillan. Reprinted, Philadelphia: Porcupine Press, 1977.Google Scholar
  56. Fisher, I. 1937. Note on a short-cut method for calculating distributed lags. Bulletin de l’ Institut International de Statistique 29, 323–7.Google Scholar
  57. Friedman, M. 1957. A Theory of the Consumption Function. Princeton: Princeton University Press.Google Scholar
  58. Frisch, R. 1933a. Editorial. Econometrica 1, 1–4.CrossRefGoogle Scholar
  59. Frisch, R. 1933b. Pitfalls in the Statistical Construction of Demand and Supply Curves. Leipzig: Hans Buske Verlag.Google Scholar
  60. Frisch, R. 1934. Statistical Confluence Analysis by Means of Complete Regression Systems. Oslo: University Institute of Economics.Google Scholar
  61. Frisch, R. 1936. Note on the term `Econometrics’. Econometrica 4, 95.CrossRefGoogle Scholar
  62. Geary, R.C. 1949. Studies in relations between economic time series. Journal of the Royal Statistical Society, Series B 10, 140–58.Google Scholar
  63. Godfrey, L.G. and Wickens, M.R. 1982. Tests of misspecification using locally equivalent alternative models. In Evaluation and Reliability of Macro-economic Models, ed. G.C. Chow and P. Corsi, New York: John Wiley.Google Scholar
  64. Granger, C.W.J. 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424–38.CrossRefGoogle Scholar
  65. Griliches, Z. 1967. Distributed lags: a survey. Econometrica 35, 16–49.CrossRefGoogle Scholar
  66. Grilichez, Z. 1986. Economic data issues. In Handbook of Econometrics, ed. Z. Griliches and M.D. Intriligator, Vol. 3, Amsterdam: North-Holland.Google Scholar
  67. Haavelmo, T. 1943. Statistical testing of business cycle theories. Review of Economics and Statistics 25, 13–18.CrossRefGoogle Scholar
  68. Haavelmo, T. 1944. The probability approach in econometrics. Econometrica 12, Supplement 1–118.Google Scholar
  69. Hansen, L.P. 1982. Large sample properties of generalized method of moments. Econometrica 50, 1029–54.CrossRefGoogle Scholar
  70. Hansen, L.P. and Sargent, T.J. 1980. Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control 2, 7–46.CrossRefGoogle Scholar
  71. Hansen, L.P. and Singleton, K.J. 1982. Generalized instrumental variables estimation of non-linear rational expectations models. Econometrica 50, 1269–86.CrossRefGoogle Scholar
  72. Hart, B.S. and von Neumann, J. 1942. Tabulation of the probabilities for the ratio of mean square successive difference to the variance. Annals of Mathematical Statistics 13, 207–14.CrossRefGoogle Scholar
  73. Hausman, J.Z. 1978. Specification tests in econometrics. Econometrica 46, 1251–72.CrossRefGoogle Scholar
  74. Hausman, J.A. 1983. Specification and estimation of simultaneous equation models. In Handbook of Econometrics, Vol. 1, ed. Z. Griliches and M.D. Intriligator, Amsterdam: North-Holland.Google Scholar
  75. Hausman, J. and Wise, D.A. 1979. Attrition bias in experimental and panel data: the Gary income maintenance experiment. Econometrica 47, 455–73.CrossRefGoogle Scholar
  76. Hausman, J.A. and Wise, D.A. 1985. Social Experimentation. Chicago: University of Chicago Press for the National Bureau of Economic Research.CrossRefGoogle Scholar
  77. Hausman, J.A., Hall, B.H. and Griliches, Z. 1984. Econometric models for count data with application to the patents — R & D relationship. Econometrica 52, 909–1038.CrossRefGoogle Scholar
  78. Heckman, J.J. and Singer, B. 1984. Econometric duration analysis. Journal of Econometrics 24, 63–132.CrossRefGoogle Scholar
  79. Heckman, J.J. and Willis, R. 1977. A beta-logistic model for the analysis of sequential labour force participation by married women. Journal of Political Economy 85, 27–58.CrossRefGoogle Scholar
  80. Hendry, D.F. 1976. The structure of simultaneous equations estimators. Journal of Econometrics 4, 51–88.CrossRefGoogle Scholar
  81. Hendry, D.F. and Richard, J.-F. 1982. On the formulation of empirical models in dynamic econometrics. Journal of Econometrics 20, 3–33.CrossRefGoogle Scholar
  82. Hooker, R.H. 1901. Correlation of the marriage rate with trade. Journal of the Royal Statistical Society 44, 485–92.Google Scholar
  83. Hsiao, C. 1983. Identification. In Handbook of Econometrics, Vol. 1, ed. Z. Griliches and M.D. Intriligator, Amsterdam: North-Holland.Google Scholar
  84. Hsiao, C. 1985. Benefits and limitations of panel data. Econometric Reviews 4, 121–74.CrossRefGoogle Scholar
  85. Jorgenson, D.W. 1966. Rational distributed lag functions. Econometrica 34, 135–49.CrossRefGoogle Scholar
  86. Kendall, M.G. 1968. The history of statistical methods. In International Encyclopedia of the Social Sciences, ed. D.L. Sills, Vol. 15, New York: Macmillan and The Free Press, 224–32.Google Scholar
  87. Keynes, J.M. 1921. A Treatise on Probability. London: Macmillan; New York: Harper & Row, 1962.Google Scholar
  88. Keynes, J.M. 1939. The statistical testing of business cycle theories. Economic Journal 49, 558–68.CrossRefGoogle Scholar
  89. Klein, L.R. 1947. The use of econometric models as a guide to economic policy. Econometrica 15, 111–51.CrossRefGoogle Scholar
  90. Klein, L.R. 1950. Economic Fluctuations in the United States 1921–1941. Cowles Commission Monograph No. 11, New York: John Wiley.Google Scholar
  91. Klein, L.R. 1971. Whither econometrics? Journal of the American Statistical Society 66, 415–21.CrossRefGoogle Scholar
  92. Klein, L.R. and Goldberger, A.S. 1955. An Econometric Model of the United States, 1929–1952. Amsterdam: North-Holland.Google Scholar
  93. Koopmans, T.C. 1937. Linear Regression Analysis of Economic Time Series. Haarlem: De Erven F. Bohn for the Netherlands Economic Institute.Google Scholar
  94. Koopmans, T.C. 1949. Identification problems in economic model construction. Econometrica 17, 125–44.CrossRefGoogle Scholar
  95. Koopmans, T.C. 1950. When is an equation system complete for statistical purposes? In Statistical Inference in Dynamic Economic Models, ed. T.C. Koopmans, Cowles Commission Monograph No. 10, New York: John Wiley.Google Scholar
  96. Koopmans, T C, Rubin, H. and Leipnik, R.B. 1950. Measuring the equation systems of dynamic economics. In Statistical Inference in Dynamic Economic Models, ed. T.C.Koopmans, Cowles Commission Monograph No. 10, New York: John Wiley.Google Scholar
  97. Koyck, L.M. 1954. Distributed Lags and Investment Analysis. Amsterdam North-Holland.Google Scholar
  98. Kuh, E. 1959. The validity of cross-sectionally estimated behaviour equations in time series applications. Econometrica 27, 197–214.CrossRefGoogle Scholar
  99. Lawson, T. 1981. Keynesian model building and the rational expectations critique. Cambridge Journal of Economics 5, 311–26.Google Scholar
  100. Learner, E.E. 1978. Specification Searches: Ad Hoc Inference with Non-experimental Data. New York: John Wiley.Google Scholar
  101. Leamer, E.E. 1983. Let’s take the con out of Econometrics. American Economic Review 73, 31–43.Google Scholar
  102. Learner, E.E. 1985a. Vector autoregressions for causal inference. In Carnegie-Rochester Conference Series on Public Policy 22, ed. K. Brunner and A.H. Meltzer, Amsterdam: North-Holland, 255–304.Google Scholar
  103. Learner, E. E. 1985b. Sensitivity analyses would help. American Economic Review 85, 308–13.Google Scholar
  104. Learner, E.E. 1986. A Bayesian analysis of the determinants of inflation. In Model Reliability, ed. D.A. Belsley and E. Kuh, Cambridge, Mass: MIT Press.Google Scholar
  105. Learner, E.E. and Leonard, H. 1983. Reporting the fragility of regression estimates. Reviewof Economics and Statistics 65, 306–17.CrossRefGoogle Scholar
  106. Lenoir, M. 1913. Etudes sur la formation et le mouvement des prix. Paris: Giard et Brière.Google Scholar
  107. Leontief, W.W. 1936. Quantitative input-output relations in the economic system of the United States. Review of Economic Statistics 18, 105–25.CrossRefGoogle Scholar
  108. Leontief, W.W. 1941. The Structure of American Economy, 1919–1929. Cambridge, Mass: Harvard University Press.Google Scholar
  109. Leontief, W.W. 1951. The Structure of American Economy, 1919–1939, 2nd edn, Oxford: Oxford University Press; New York: Oxford University Press, 1960.Google Scholar
  110. Litterman, R.B. 1985. Forecasting with Bayesian vector autoregressions: five years of experience. Journal of Business and Economic Statistics 4, 25–38.Google Scholar
  111. Liu, T.C. 1960. Underidentification, structural estimation and forecasting. Econometrica 28, 855–65.CrossRefGoogle Scholar
  112. Lucas, R.E. 1972. Expectations and the neutrality of money. Journal of Economic Theory 4, 103–24.CrossRefGoogle Scholar
  113. Lucas, R.E. 1973. Some international evidence on output-inflation tradeoffs. American Economic Review 63, 326–34.Google Scholar
  114. Lucas, R.E. 1976. Econometric policy evaluation: a critique. In The Phillips Curve and Labor Markets, ed. K. Brunner and A.M. Meltzer, Carnegie-Rochester Conferences on Public Policy, Vol. 1, Amsterdam: North-Holland, 19–46.Google Scholar
  115. Lyttkens, E. 1970. Symmetric and asymmetric estimation methods. In Interdependent Systems, ed. E. Mosback and H. Wold, Amsterdam: North-Holland.Google Scholar
  116. McAleer, M., Pagan, A.R. and Volker, P.A. 1985. What will take the con out of econometrics? American Economic Review 75, 293–307.Google Scholar
  117. Maddala, G.S. 1983. Limited Dependent and Qualitative Variables in Econometrics, Cambridge: Cambridge University Press.CrossRefGoogle Scholar
  118. Maddala, G.S. 1986. Disequilibrium, self-selection, and switching models. In Handbook of Econometrics, Vol. 3, ed. Z. Griliches and M.D. Intriligator, Amsterdam: North-Holland.Google Scholar
  119. Malinvaud, E. 1966. Statistical Methods of Econometrics. Amsterdam: North-Holland.Google Scholar
  120. Manski, C.F. and McFadden, D. 1981. Structural Analysis of Discrete Data with Econometric Applications. Cambridge, Mass: MIT Press.Google Scholar
  121. Marschak, J. 1953. Economic measurements for policy and prediction. In Studies in Econometric Method, ed. W.C. Hood and T.C. Koopmans, Cowles Commission for Research in Economics Monograph No. 14, New York: John Wiley.Google Scholar
  122. Marschak, J. and Andrews, W.H. 1944. Random simultaneous equations and the theory of production. Econometrica 12, 143–205.CrossRefGoogle Scholar
  123. Mitchell, W.C. 1928. Business Cycles: the Problem in its Setting. New York: National Bureau of Economic Research.Google Scholar
  124. Moore, H.L. 1914. Economic Cycles: Their Law and Cause. New York: Macmillan Press.Google Scholar
  125. Moore, H.L. 1917. Forecasting the Yield and the Price of Cotton. New York: Macmillan Press.Google Scholar
  126. Mundlak, Y. 1961. Empirical production function free of management bias. Journal of Farm Economics 43, 44–56.CrossRefGoogle Scholar
  127. Mundlak, Y. 1978. On the pooling of time series and cross section data. Econometrica 46, 69–85.CrossRefGoogle Scholar
  128. Muth, J.F. 1961. Rational expectations and the theory of price movements. Econometrica 29, 315–35.CrossRefGoogle Scholar
  129. Nelson, C.R. 1972. The prediction performance of the FRB-MIT-Penn model of the US economy. American Economic Review 62, 902–17.Google Scholar
  130. Nerlove, M. 1958a. Adaptive expectations and the cobweb phenomena. Quarterly Journal of Economics 72, 227–40.CrossRefGoogle Scholar
  131. Nerlove, M. 1958b. Distributed Lags and Demand Analysis. USDA, Agriculture Handbook No. 141, Washington, DC.Google Scholar
  132. Nerlove, M., Grether, D.M. and Carvalho, J.L. 1979. Analysis of Economic Time Series: A Synthesis. New York: Academic Press.Google Scholar
  133. Neumann, J. von. 1941. Distribution of the ratio of the mean square successive difference to the variance. Annals of Mathematical Statistics 12, 367–95.CrossRefGoogle Scholar
  134. Neumann, J. von. 1942. A further remark on the distribution of the ratio of the mean square successive difference to the variance. Annals of Mathematical Statistics 13, 86–8.CrossRefGoogle Scholar
  135. Orcutt, G. H. 1948. A study of the autoregressive nature of the time series used for Tinbergen’s model of the economic system of the United States, 1919–1932. Journal of the Royal Statistical Society, Series B 10, 1–45 (Discussion, 46–53).Google Scholar
  136. Orcutt, G.H., Greenberger, M., Korbel, J. and Rivlin, A.M. 1961. Microanalysis ofSocioeconomic Systems: A Simulation Study. New York; Harper And Row.Google Scholar
  137. Orcutt, G.H., Merz, J. and Quinke, H. (eds) 1986. Microanalytic Simulation Models toSupport Social and Financial Policy. Amsterdam: North-Holland.Google Scholar
  138. Pagan, A.R. and Hall, A.D. 1983. Diagnostic tests as residual analysis. Econometric Reviews 2, 159–218.CrossRefGoogle Scholar
  139. Paris, S.J. and Houthakker, H.S. 1955. The Analysis of Family Budgets. Cambridge: Cambridge University Press.Google Scholar
  140. Pesaran, M.H. 1981. Identification of rational expectations models. Journal of Econometrics 16, 375–98.CrossRefGoogle Scholar
  141. Pesaran, M.H. 1987. The Limits to Rational Expectations. Oxford: Basil Blackwell.Google Scholar
  142. Pesaran, M.H. and Deaton, A.S. 1978. Testing non-nested nonlinear regression models. Econometrica 46, 677–94.CrossRefGoogle Scholar
  143. Pesaran, M.H. and Smith, R.P. 1985a. Keynes on econometrics. In Keynes’ Economics:methodological issues, ed. T. Lawson and M.H. Pesaran, London: Croom Helm.Google Scholar
  144. Pesaran, M.H. and Smith, R.P. 1985b. Evaluation of macroeconometric models. Economic Modelling, April, 125–34.Google Scholar
  145. Phillips, P.C.B. 1983. Exact small sample theory in the simultaneous equations model. In Handbook of Econometrics, ed. Z. Griliches and M.D. Intriligator, Vol. 1, Amsterdam: North-Holland.Google Scholar
  146. Phillips, P.C.B. 1986. Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311–40.CrossRefGoogle Scholar
  147. Phillips, P.C.B. and Durlauf, S.N. 1986. Multiple time series regression with integrated processes. Review of Economic Studies 53, 473–95.CrossRefGoogle Scholar
  148. Phillips, P.C.B. 1987. Time series regression with unit roots. Econometrica (forthcoming).Google Scholar
  149. Prothero, D.L. and Wallis, K.F. 1976. Modelling macroeconomic time series. Journal of the Royal Statistical Society, Series A 139, 468–86.CrossRefGoogle Scholar
  150. Quandt, R.E. 1982. Econometric disequilibrium models. Econometric Reviews 1, 1–63.CrossRefGoogle Scholar
  151. Ramsey, J.B. 1969. Tests for specification errors in classical linear least squares regression analysis. Journal of the Royal Statistical Society, Series B 31, 350–71.Google Scholar
  152. Reiersol, O. 1941. Confluence analysis by means of lag moments and other methods of confluence analysis. Econometrica 9, 1–24.CrossRefGoogle Scholar
  153. Reiersol, O. 1945. Confluence Analysis by Means of Instrumental Sets of Variables.Google Scholar
  154. Rosen, H.S. 1985. Housing behaviour and the experimental housing-allowance program: what have we learned? In Social Experimentation, ed. J.A. Hausman and D.A. Wise, Chicago: University of Chicago Press.Google Scholar
  155. Rothenberg, T.J. 1984. Approximating the distributions of econometric estimators and test statistics. In Handbook of Econometrics, ed. Z. Griliches and M.D. Intriligator, Vol. 2, Amsterdam: North-Holland.Google Scholar
  156. Ruggles, R. and Ruggles, N. 1956. National Income Account and Income Analysis. 2nd edn, New York: McGraw-Hill.Google Scholar
  157. Samuelson, P.A., Koopmans, T.C. and Stone, J.R.N. 1954. Report of the evaluative committee for Econometrica. Econometrica 22, 141–6.Google Scholar
  158. Sargan, J.D. 1958. The estimation of economic relationships using instrumental variables. Econometrica 26, 393–415.CrossRefGoogle Scholar
  159. Sargan, J.D. 1964. Wages and prices in the United Kingdom: a study in econometric methodology. In Econometric Analysis for National Economic Planning, ed. P.E. Hart, G. Mills and J.K. Whitaker, London: Butterworths.Google Scholar
  160. Sargent, T.J. 1973. Rational expectations, the real rate of interest and the natural rate of unemployment. Brookings Papers on Economic Activity No. 2, 429–72.CrossRefGoogle Scholar
  161. Sargent, T.J. and Wallace, N. 1976. Rational expectations and the theory of economic policy. Journal of Monetary Economics 2, 169–84.CrossRefGoogle Scholar
  162. Schultz, M. 1938. The Theory and Measurement of Demand. Chicago: University of Chicago Press.Google Scholar
  163. Schumpeter, J.A. 1954. History of Economic Analysis. London: George AllenAndUnwin; New York: Oxford University Press.Google Scholar
  164. Shiller, R.J. 1973. A distributed lag estimator derived from smoothness priors. Econometrica 41, 775–88.CrossRefGoogle Scholar
  165. Sims, C.A. 1972. Money, income and causality. American Economic Review 62, 540–52.Google Scholar
  166. Sims, C.A. 1980. Macroeconomics and reality. Econometrica 48, 1–48.CrossRefGoogle Scholar
  167. Sims, C.A. 1982. Policy analysis with economic models. Brookings Papers on Economic Activity No. 1, 107–64.CrossRefGoogle Scholar
  168. Sims, C.A. 1986. Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Review 10, 2–16.Google Scholar
  169. Slutsky, E. 1927. The summation of random causes as the source of cyclic processes. In Problems of Economic Conditions, Vol. 3, Moscow. English trans. in Econometrica 5, (1937), 105–46.Google Scholar
  170. Solow, R.M. 1960. On a family of lag distributions. Econometrica 28, 393–406.CrossRefGoogle Scholar
  171. Srivastava, V.K. 1971. Three-stage least-squares and generalized double k-class estimators: a mathematical relationship. International Economic Review 12, 312–16.CrossRefGoogle Scholar
  172. Stafford, F.P. 1985. Income-maintenance policy and work effort: learning from experimentsand labour-market studies. In Social Experimentation, ed. J.A. Hausman and D.A. Wise,Chicago: University of Chicago Press.Google Scholar
  173. Stigler, G.J. 1954. The early history of empirical studies of consumer behaviour. Journal of Political Economy 62, 95–113.CrossRefGoogle Scholar
  174. Stigler, G.J. 1962. Henry L. Moore and statistical economics. Econometrica 30, 1–21.CrossRefGoogle Scholar
  175. Stone, J.R.N. 1945. The analysis of market demand. Journal of the Royal Statistical Society eries A 108, 286–382.Google Scholar
  176. Stone, J. R.N. et al. 1954a. Measurement of Consumers’ Expenditures and Behaviour in theUnited Kingdom, 1920–38, Vols. 1 and 2. London: Cambridge University Press.Google Scholar
  177. Stone, J.R.N. 1954b. Linear expenditure systems and demand analysis: an application to the pattern of British demand. Economic Journal 64, 511–27.CrossRefGoogle Scholar
  178. Stone, J.R.N. 1978. Keynes, Political Arithmetic and Econometrics. British Academy, Seventh Keynes Lecture in Economics.Google Scholar
  179. Stone, J.R.N. 1984. The accounts of society. Nobel Memorial lecture. Reprinted in Journal of Applied Econometrics 1, (1986), 5–28.Google Scholar
  180. Theil, H. 1954. Estimation of parameters of econometric models. Bulletin of International Statistics Institute 34, 122–8.Google Scholar
  181. Theil, H. 1958. Economic Forecasts and Policy. Amsterdam: North-Holland; 2nd edn, 1961.Google Scholar
  182. Tinbergen, J. 1929–30. Bestimmung und Deutung von Angebotskurven: ein Beispiel. Zeitschrift für Nationalökonomie 1, 669–79.CrossRefGoogle Scholar
  183. Tinbergen, J. 1937. An Econometric Approach to Business Cycle Problems. Paris: HermanAnd Cie Editeurs.Google Scholar
  184. Tinbergen, J. 1939. Statistical Testing of Business Cycle Theories. Vol. 1: A Method and its Application to Investment activity; Vol. 2: Business Cycles in the United States of America, 1919–1932. Geneva: League of Nations.Google Scholar
  185. Tobin, J. 1958. Estimation of relationships for limited dependent variables. Econometrica 26, 24–36.CrossRefGoogle Scholar
  186. Treadway, A.B. 1971. On the multivariate flexible accelerator. Econometrica 39, 845–55.CrossRefGoogle Scholar
  187. Trivedi, P.K. 1975. Time series analysis versus structural models: a case study of Canadian manufacturing behaviour. International Economic Review 16, 587–608.CrossRefGoogle Scholar
  188. Wallis, K.F. 1977. Multiple time series analysis and the final form of econometric models. Econometrica 45, 1481–97.CrossRefGoogle Scholar
  189. Wallis, K. 1980. Econometric implications of the Rational Expectations Hypothesis. Econometrica 48, 49–73.CrossRefGoogle Scholar
  190. Wegge, L.L. 1965. Identifiability criteria for a system of equations as a whole. Australian Journal of Statistics 3, 67–77.CrossRefGoogle Scholar
  191. Whewell, W. 1850. Mathematical Exposition of some Doctrines of Political Economy: Second Memoir. Cambridge: Cambridge Philosophical Society, 1856, Transaction 9, Pt. I. Philosophical Society.Google Scholar
  192. White, H. 1981. Consequences and detection of misspecified nonlinear regression models. Journal of the American Statistical Association 76, 419–33.CrossRefGoogle Scholar
  193. White, H. 1982. Maximum likelihood estimation of misspecified models. Econometrica 50, 1–26.CrossRefGoogle Scholar
  194. Whittle, P. 1963. Prediction and Regulation by Linear Least-squares Methods. London: English Universities Press; Princeton, N.J.: Van Nostrand.Google Scholar
  195. Wickens, M. 1982. The efficient estimation of econometric models with rational expectations. Review of Economic Studies 49, 55–68.CrossRefGoogle Scholar
  196. Wicksteed, P.H. 1889. On certain passages in Jevons’s theory of political economy. The Quarterly Journal of Economics 3, 293–314.CrossRefGoogle Scholar
  197. Wold, H. 1938. A Study in the Analysis of Stationary Time Series. Stockholm: Almqvist and Wiksell.Google Scholar
  198. Working, E.J. 1927. What do statistical `demand curves’ show? Quarterly Journal of Economics 41, 212–35.CrossRefGoogle Scholar
  199. Wright, P.G. 1915. Review of economic cycles by Henry Moore. Quarterly Journal of Economics 29, 631–41.CrossRefGoogle Scholar
  200. Wright, P.G. 1928. The Tariff on Animal and Vegetable Oils. London: Macmillan for the Institute of Economics.Google Scholar
  201. Yule, G.U. 1895, 1896. On the correlation of total pauperism with proportion of out-relief. Economic Journal 5, 603–11; 6, 613–23.CrossRefGoogle Scholar
  202. Yule, G.U. 1915. Crop production and price: a note on Gregory King’s law. Journal of the Royal Statistical Society 78, March, 296–8.Google Scholar
  203. Yule, G.U. 1926. Why do we sometimes get nonsense correlations between time-series? A study in sampling and the nature of time-series. Journal of the Royal Statistical Society 89, 1–64.CrossRefGoogle Scholar
  204. Zellner, A. 1962. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of the American Statistical Association 57, 348–68.CrossRefGoogle Scholar
  205. Zellner, A. 1979. Statistical analysis of econometric models. Journal of the American Statistical Association 74, 628–43.CrossRefGoogle Scholar
  206. Zellner, A. 1984. Basic Issues in Econometrics. Chicago: University of Chicago Press.Google Scholar
  207. Zellner, A. 1985. Bayesian econometrics. Econometrica 53, 253–70.CrossRefGoogle Scholar
  208. Zellner, A. and Palm, F. 1974. Time series analysis and simultaneous equation econometric models. Journal of Econometrics 2, 17–54.CrossRefGoogle Scholar
  209. Zellner, A. and Theil, H. 1962. Three-stage least squares: simultaneous estimation of simultaneous equations. Econometrica 30, 54–78.CrossRefGoogle Scholar

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1990

Authors and Affiliations

  • M. Hashem Pesaran

There are no affiliations available

Personalised recommendations