A classified bibliography of Monte Carlo studies in econometrics

[1]  Arnold Zellner,et al.  An Introduction to Bayesian Inference in Econometrics. , 1974 .

[2]  G. Maddala,et al.  TESTS FOR SERIAL CORRELATION IN REGRESSION MODELS WITH LAGGED DEPENDENT VARIABLES AND SERIALLY CORRELATED ERRORS , 1973 .

[3]  Richard E. Quandt,et al.  Nonlinear methods in econometrics , 1973 .

[4]  V. Smith.  The Small Sample Properties of Selected Econometric Estimators in the Context of Alternative Macro-Models , 1972 .

[5]  Marcel G. Dagenais,et al.  Asymptotic Behavior and Small Sample Performance: Experiments on Regression Parameter Estimation with Incomplete Observations , 1972 .

[6]  E. Malinvaud,et al.  Statistical Methods of Econometrics. by E. Malinvaud , 1972 .

[7]  R. Byron.  Testing for Misspecification in Econometric Systems Using Full Information , 1972 .

[8]  W. M. Mikhail,et al.  Simulating the Small-Sample Properties of Econometric Estimators , 1972 .

[9]  M. Hurd.  Small-Sample Estimation of a Structural Equation with Autocorrelated Errors , 1972 .

[10]  Phoebus J. Dhrymes,et al.  Distributed Lags: Problems of Estimation and Formulation , 1972 .

[11]  V. Kerry Smith,et al.  A Comparison of Maximum Likelihood Versus Blue Estimators , 1972 .

[12]  J. Pratschke,et al.  A Comparison of the Power of the von Neumann Ratio, Durbin-Watson and Geary Tests , 1972 .

[13]  D. Hendry,et al.  Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study , 1972 .

[14]  James B. Ramsey,et al.  A Monte Carlo Study of Some Small Sample Properties of Tests for Specification Error , 1972 .

[15]  G. Rausser,et al.  Approximate Distribution of Parameters in a Distributed Lag Model , 1972 .

[16]  George G. Judge,et al.  Some Finite Sample Results for Theil's Mixed Regression Estimator , 1972 .

[17]  V. Kerry Smith,et al.  A COMPARATIVE TABULAR SURVEY OF MONTE CARLO AND EXACT SAMPLING STUDIES , 1971 .

[18]  Daryl E. Carlson,et al.  The Sampling Distribution of the Least Absolute Residuals Regression Estimates , 1971 .

[19]  P. Schmidt.  Estimation of a Distributed Lag Model with Second Order Autoregressive Disturbances: A Monte Carlo Experiment , 1971 .

[20]  R. A. Patton,et al.  THE OPERATIONAL SIGNIFICANCE OF IDENTIFICATION WITH RESTRICTIONS ON THE VARIANCE‐COVARIANCE MATRIX , 1971 .

[21]  David A. Pierce,et al.  Least squares estimation in the regression model with autoregressive-moving average errors , 1971 .

[22]  W. Stier,et al.  Bestimmung der Auswirkung von Multikollinearität zwischen den erklärenden Variablen in linearen Regressionsmodellen auf Kleinst-Quadrate-Schätzwerte durch Simulation , 1971 .

[23]  Thomas J. Sargent,et al.  Regression With Non-Gaussian Stable Disturbances: Some Sampling Results , 1971 .

[24]  Marc Nerlove,et al.  Further evidence on the estimation of dynamic economic relations from a time series of cross-sections , 1971 .

[25]  V. Smith.  Economic Anonymity and Monte Carlo Studies , 1971 .

[26]  A. Hedayat,et al.  Independent Stepwise Residuals for Testing Homoscedasticity , 1970 .

[27]  V. Smith.  A MONTE CARLO EXPERIMENT WITH A LARGE MACRO-ECONOMETRIC MODEL , 1970 .

[28]  P. Trivedi.  A NOTE ON THE APPLICATION OF ALMON'S METHOD OF CALCULATING DISTRIBUTED LAG COEFFICIENTS , 1970 .

[29]  Melvin J. Hinich,et al.  A Test for a Shifting Slope Coefficient in a Linear Model , 1970 .

[30]  D. Gujarati,et al.  The Student's t Test in Multiple Regression under Simple Collinearity , 1970, Journal of Financial and Quantitative Analysis.

[31]  J. G. Hunt,et al.  The Small Sample Properties of Simultaneous Equation Least Absolute Estimators vis-a-vis Least Squares Estimators , 1970 .

[32]  A. S. Louter,et al.  On the Kuiper test for normality with mean and variance unknown , 1970 .

[33]  T. Naylor.  Policy simulation experiments with macro-economic models: the state of the art. , 1970 .

[34]  R. F. Gilbert,et al.  Estimation of Seemingly Unrelated Regressions with Autoregressive Disturbances , 1970 .

[35]  J. Morrison.  Small Sample Properties of Selected Distributed Lag Estimators , 1970 .

[36]  G. Orcutt,et al.  SHOULD AGGREGATION PRIOR TO ESTIMATION BE THE RULE , 1969 .

[37]  G. Judge,et al.  THE USE OF PRIOR INFORMATION IN ESTIMATING THE PARAMETERS OF ECONOMIC RELATIONSHIPS , 1969 .

[38]  John Y. Lu,et al.  A MONTE CARLO STUDY OF THE REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES , 1969 .

[39]  G. Hansen.  Die Prognoseeignung von LISE- und FIND-Maximum-Likelihood-Schätzwerten , 1969 .

[40]  H. Glejser.  A New Test for Heteroskedasticity , 1969 .

[41]  G. Judge,et al.  A Sampling Study of the Properties of Estimators of Transition Probabilities , 1969 .

[42]  Zvi Griliches,et al.  Small-Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors , 1969 .

[43]  T. R. Rao.  ON METHODS OF INSTRUMENTAL VARIABLES FOR ESTIMATION IN MODELS WITH ERRORS IN VARIABLES , 1969 .

[44]  R. F. Gilbert,et al.  Small Sample Properties of Alternative Estimators of Seemingly Unrelated Regressions , 1968 .

[45]  A. P. J. Abrahamse,et al.  On the Power of the Blus Procedure , 1968 .

[46]  A. Zellner,et al.  Maximum Likelihood and Bayesian Estimation of Transition Probabilities , 1968 .

[47]  S. Shapiro,et al.  A Comparative Study of Various Tests for Normality , 1968 .

[48]  John A. Jacquez,et al.  Linear Regression with Non-Constant, Unknown Error Variances: Sampling Experiments with Least Squares, Weighted Least Squares and Maximum Likelihood Estimators , 1968 .

[49]  R. R. Hocking,et al.  Estimation of Parameters in the Multivariate Normal Distribution with Missing Observations , 1968 .

[50]  Thomas J. Sargent,et al.  Some Evidence on the Small Sample Properties of Distributed Lag Estimators in the Presence of Autocorrelated Disturbances , 1968 .

[51]  S. Goldfeld,et al.  NONLINEAR SIMULTANEOUS EQUATIONS: ESTIMATION AND PREDICTION* , 1968 .

[52]  J. G. Cragg,et al.  SOME EFFECTS OF INCORRECT SPECIFICATION ON THE SMALL-SAMPLE PROPERTIES OF SEVERAL SIMULTANEOUS-EQUATION ESTIMATORS" , 1968 .

[53]  K. Wallis.  Lagged dependent variables and serially correlated errors : a reappraisal of three-pass least squares , 1967 .

[54]  J. Johnston,et al.  Econometric Models and Methods , 1967 .

[55]  H. Thornber.  Finite Sample Monte Carlo Studies: An Autoregressive Illustration , 1967 .

[56]  D. I. Golenko,et al.  The Monte Carlo Method. , 1967 .

[57]  J. Kadane,et al.  Estimation of Returns to Scale and the Elasticity of Substitution , 1967 .

[58]  J. G. Cragg.  SMALL‐SAMPLE PERFORMANCES OF VARIOUS SIMULTANEOUS‐EQUATION ESTIMATORS IN ESTIMATING THE REDUCED FORM , 1967 .

[59]  Roger N. Waud.  Small Sample Bias Due to Misspecification in the “Partial Adjustment” and “Adaptive Expectations” Models , 1966 .

[60]  J. Kadane,et al.  Some Notes on the Estimation of the Constant Elasticity of Substitution Production Function , 1966 .

[61]  Egon S. Pearson.  Alternative tests for heterogeneity of variance; some Monte Carlo results. , 1966, Biometrika.

[62]  John S. Y. Chiu,et al.  A Simulation Study of Effects of Multicollinearity and Autocorrelation on Estimates of Parameters , 1966, Journal of Financial and Quantitative Analysis.

[63]  J. G. Cragg.  On the Sensitivity of Simultaneous-Equations Estimators to the Stochastic Assumptions of the Models , 1966 .

[64]  J. Hammersley,et al.  Monte Carlo Methods , 1965 .

[65]  S. Goldfeld,et al.  Some Tests for Homoscedasticity , 1965 .

[66]  D. Teichroew.  A History of Distribution Sampling Prior to the Era of the Computer and its Relevance to Simulation , 1965 .

[67]  L. Taylor,et al.  Three-Pass Least Squares: A Method for Estimating Models with a Lagged Dependent Variable , 1964 .

[68]  T. D. Wallace,et al.  A Sampling Study of Minimum Absolute Deviations Estimators , 1963 .

[69]  J. Kmenta,et al.  A Monte Carlo Study of Alternative Estimates of the Cobb-Douglas Production Function , 1963 .

[70]  R. L. Basmann.  On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics , 1960 .

[71]  A. L. Nagar.  A MONTE CARLO STUDY OF ALTERNATIVE SIMULTANEOUS EQUATION ESTIMATORSi , 1960 .

[72]  D. Champernowne.  An Experimental Investigation of the Robustness of Certain Procedures for Estimating Means and Regression Coefficients , 1960 .

[73]  R. Quandt.  Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes , 1960 .

[74]  T. Yancey,et al.  Parameter Estimates and Autonomous Growth , 1959 .

[75]  R. Quandt.  The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes , 1958 .

[76]  Abbott Weinstein,et al.  Alternative Definitions of the Serial Correlation Coefficient in short Autoregressive Sequences , 1958 .

[77]  G. Ladd.  Effects of Shocks and Errors in Estimation: An Empirical Comparison , 1956 .

[78]  E. S. Page.  A test for a change in a parameter occurring at an unknown point , 1955 .

[79]  A. Weinstein.  Increasing the Effective Length of Short Time-Series for the Purpose of Estimating Autoregressive Parameters* , 1955 .

[80]  F. H. C. Marriott,et al.  BIAS IN THE ESTIMATION OF AUTOCORRELATIONS , 1954 .

[81]  D. Cochrane,et al.  A sampling study of the merits of autoregressive and reduced form transformation in regression analysis. , 1949, Journal of the American Statistical Association.

[82]  N. Metropolis,et al.  The Monte Carlo method. , 1949, Journal of the American Statistical Association.

[83]  G. Orcutt,et al.  TESTING THE SIGNIFICANCE OF CORRELATION BETWEEN TIME SERIES , 1948 .

[84]  M. H. Quenouille.  SOME RESULTS IN THE TESTING OF SERIAL CORRELATION COEFFICIENTS , 1948 .

[85]  G. Hey.  A NEW METHOD OF EXPERIMENTAL SAMPLING ILLUSTRATED ON CERTAIN NON-NORMAL POPULATIONS , 1938 .

[86]  Student,et al.  THE PROBABLE ERROR OF A MEAN , 1908 .

[87]  V. Kerry Smith,et al.  Monte Carlo methods: their role for econometrics , 1973 .

[88]  Joseph P. Newhouse,et al.  An Evaluation of Ridge Estimators , 1971 .

[89]  J. Halton.  A Retrospective and Prospective Survey of the Monte Carlo Method , 1970 .

[90]  G. S. Maddala,et al.  Interdependent systems;: Structure and estimation , 1970 .

[91]  Herbert S. Winokur,et al.  First Order Autoregression: Inference, Estimation, and Prediction , 1969 .

[92]  Clive W. J. Granger,et al.  Spectral Analysis of Short Series--A Simulation Study , 1968 .

[93]  Y. Haitovsky.  Missing Data in Regression Analysis , 1968 .

[94]  J. G. Cragg.  On the Relative Small-Sample Properties of Several Structural-Equation Estimators , 1967 .

[95]  James Durbin,et al.  Tests of serial independence based on the cumulated periodogram , 1967 .

[96]  J. B. Copas,et al.  Monte Carlo Results for Estimation in a Stable Markov Time Series , 1966 .

[97]  R. Quandt.  ON CERTAIN SMALL SAMPLE PROPERTIES OF k-CLASS ESTIMATORS* , 1965 .

[98]  Robert Summers,et al.  A Capital-Intensive Approach to the Small Sample Properties of Various Simultaneous Equation Estimators , 1965 .

[99]  Harvey M. Wagner,et al.  A Monte Carlo Study of Estimates of Simultaneous Linear Structural Equations , 1958 .

[100]  R. Foote.  Analytical tools for studying demand and price structures. , 1958 .

[101]  M. H. Quenouille.  Approximate Tests of Correlation in Time‐Series , 1949 .

[102]  G. Orcutt,et al.  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 , 1948 .