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Peter Schmidt, The Algebraic Equivalence of the Oberhofer-Kmenta and Theil-Boot Formulae for the Asymptotic Variance of a Characteristic Root of a Dynamic Econometric Model, Econometrica, Vol. 42, No. 3 (May, 1974), pp. 591-592
计量经济模型动态模拟中预测的渐近分布
This paper considers the asymptotic distribution of forecasts made several time periods in the future. Such forecasts typically arise in the dynamic simulation of an econometric model.
具有向量自回归误差的似乎不相关回归估计
We derive an asymptotically efficient method of estimating the coefficients of systems of seemingly unrelated regression equations when a first-order vector autoregressive error specification is hypothesized. This error specification is shown to contain several commonly used specifications as special cases. A Monte Carlo experiment was performed to examine the finite sample performance of our estimator in comparison with several other estimators. The general results were…
向量自回归误差下的似不相关回归估计
We derive an asymptotically efficient method of estimating the coefficients of systems of seemingly unrelated regression equations when a first-order vector autoregressive error specification is hypothesized. This error specification is shown to contain several commonly used specifications as special cases. A Monte Carlo experiment was performed to examine the finite sample performance of our estimator in comparison with several other estimators. The general results were…
Peter Schmidt, On the Difference Between Conditional and Unconditional Asymptotic Distributions of Estimates in Distributed Lag Models with Integer-Valued Parameters, Econometrica, Vol. 41, No. 1 (Jan., 1973), pp. 165-169