Friday, January 13, 2017

Vintage Years in Econometrics - The 1970's

Continuing on from my earlier posts about vintage years for econometrics in the 1930's, 1940's, 1950's, 1960's, here's my tasting guide for the 1970's.

Once again, let me note that "in econometrics, what constitutes quality and importance is partly a matter of taste - just like wine! So, not all of you will agree with the choices I've made in the following compilation."

1970:
  • Durbin, J., Testing for serial correlation in least-squares regression when some of the regressors are lagged dependent variables. Econometrica, 38, 410-421.
  • Swamy, P. A. V. B., Efficient inference in a random coefficients model. Econometrica, 38, 311-323.
  • Fair, R. C., The estimation of simultaneous equations models with lagged endogenous variables and first order serially correlated errors. Econometrica, 38, 507-516.  
  • Zellner, A. and M. S. Geisel, Analysis of distributed lags with applications to consumption function estimation. Econometrica, 38, 865-888.
1971:
  • Kadane, J. B., Comparison of k-class estimators when the disturbances are small. Econometrica, 39, 723-737.
  • Maddala, G. S., Generalized least squares with an estimated variance covariance matrix. Econometrica, 39, 23-33.
  • Rothenberg, T. J., Identification in parametric models. Econometrica, 39, 577-591.
  • Sargan, J. D. and W. M. Mikhail, A general approximation to the distribution of instrumental variables estimates. Econometrica, 39, 131-169.
  • Zellner, A., An Introduction to Bayesian Inference in Econometrics. Wiley, New York.
1972:
  • Dreze, J., Econometrics and decision theory. Econometrica, 40, 1-18.
  • Goldberger, A. S., Structural equation methods in the social sciences. Econometrica, 40, 979-1001.
  • Nerlove, M., Lags in economic behavior. Econometrica, 40, 221-251.
  • Sawa, T., Finite-sample properties of the k-class estimators. Econometrica, 40, 653-680.
  • Wallis, K. F., Testing for fourth order autocorrelation in quarterly regression equations. Econometrica, 40, 617-636.
  • Wymer, C. R., Econometric estimation of stochastic differential equation systems. Econometrica, 40, 565-577.
1973:
  • 1st. volume of Journal of Econometrics.
  • Anderson, T. W. and T. Sawa, Distributions of estimates of coefficients of a single equation in a simultaneous system and their asymptotic expansions. Econometrica, 41, 683-714.
  • Grether, D. M. and G. S. Maddala, Errors in variables and serially correlated disturbances in distributed lag models. Econometrica, 41, 255-262.
  • Wu, D-M.,  Alternative tests of independence between stochastic regressors and disturbances. Econometrica, 41, 733-750 
1974:
  • Amemiya, T., Multivariate regression and simultaneous equation models when the dependent variables are truncated normal. Econometrica, 42, 999-1012. 
  • Basmann, R. L., D. H. Richardson, and R. J. Rohr,  An experimental study of structural estimators and test statistics associated with dynamical econometric models. Econometrica, 42, 717-730.
  • Deaton, A. S., The analysis of consumer demand in the United Kingdom, 1900-1970. Econometrica, 42, 341-367.
  • Fair, R. C.A Model of Macroeconomic Activity. Volume I: The Theoretical Model, Ballinger.
  • Granger, C.W.J. and P. Newbold, Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.
  • Griliches, Z., Errors in variables and other unobservables. Econometrica, 42, 971-998.
  • Hendry, D. F., Stochastic specification in an aggregate demand model of the United Kingdom. Econometrica, 42, 559-578.
  • Phillips, P. C. B., The estimation of some continuous time models, Econometrica, 42, 803-823.
1975:
  • Goldfeld, S.M. & R.E. Quandt, Estimation in a diseqiuilibrium model and the value of information. Journal of Econometrics, 5, 325-348.
  • Hausman, J. A., An instrumental approach to full information estimators for linear and certain nonlinear econometric models. Econometrica, 43, 727-738. 
  • Sargan, J. D., Gram-Charlier approximations applied to t ratios of k-class estimators. Econometrica, 43, 327-346.
1976:
  • Hendry, D.F., The structure of simultaneous equations estimators. Journal of Econometrics, 4, 51-88.
  • McCallum, B. T., Rational expectations and the natural rate hypothesis: Some consistent estimates. Econometrica, 44, 43-52.
  • Sargan, J. D., Econometric estimators and the Edgeworth approximation. Econometrica, 44, 421-448. 
1977:
  • Aigner, D.J. and G.G. Judge, Application of pre-test and Stein estimators to economic data. Econometrica, 45, 1279-1288.
  • Aigner, D., C.A.K. Lovell, & P. Schmidt, Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6, 21-37. 
  • Amemiya, T.,  The maximum likelihood and the nonlinear three-stage least squares estimator in the general nonlinear simultaneous equation model. Econometrica, 45, 955-968.
  • Barten, A. P., The systems of consumer demand functions approach: A review. Econometrica, 45, 23-50.
  • Berndt, E.R. & N.E. Savin, Conflicting among criteria for testing hypotheses in the multivariate linear regression model. Econometrica, 45, 1263-1277.
  • Byron, R.P.,  Efficient estimation and inference in large econometric systems. Econometrica, 45, 1499-1515.
  • Manski, C.F. & S. R. Lerman, The estimation of choice probabilities from choice based samples. Econometrica,  45, 1977-1988.
  • Mariano, R.S., Finite sample properties of instrumental variable estimators of structural coefficients. Econometrica, 45, 487-496.
  • Phillips, P.C.B., Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica, 45, 463-485.
  • Phillips, P.C.B., A general theorem in the theory of asymptotic expansions as approximations to the finite sample distributions of econometric estimators. Econometrica, 45, 1517-1534.
1978: 
  • Beach, C.M. & J.G. MacKinnon, A maximum likelihood procedure for regresion with autocorrelated errors. Econometrica, 46, 51-58.
  • Geweke, J., Temporal aggregation in the linear regression model. Econometrica, 46, 643-651.
  • Godfrey, L.G., Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46, 1293-1301. 
  • Hausman, J.A., Specification tests in econometrics. Econometrica, 46, 1251-1271.
  • Heckman, J.J., Dummy endogenous variables in a simultaneous equation system. Econometrica, 46, 931-959.
  • Koenker, R. & G. Basset Jr., Regression quantiles. Econometrica, 46, 33-50.
  • Leamer, E.E., Specification Searches: Ad Hoc Inference With Nonexperimental Data. Wiley, New York.
  • Mundlak, Y., On the pooling of time series and cross section data. Econometrica, 46, 69-85.
1979:
  • Dickey, D. A. and W. A. Fuller, Distribution of the estimators for sutoregressive time series with a unit root. Journal of the American Statistical Assocation, 74, 427-431.
  • Heckman, J.J., sample selection bias as a specification error. Econometrica, 47, 153-161.
Best vintages of the 1970's - 1977!

© 2017, David E. Giles



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