This month my reading list is a bit different from the usual one. I've taken a look back at past issues of Econometrica and Journal of Econometrics, and selected some important and interesting papers that happened to be published in July issues of those journals.
Here's what I came up with for you:
- Aigner, D., C. A. K. Lovell, & P. Schmidt, 1977. Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6, 21-37.
- Chow, G. C., 1960. Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28, 591-605.
- Davidson, R. & J. G. MacKinnon, 1984. Convenient specification tests for logit and probit models. Journal of Econometrics, 25, 241-262.
- Dickey, D. A. & W. A. Fuller, 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
- Granger, C. W. J. & P. Newbold, 1974. Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.
- Sargan, J. D., 1961. The maximum likelihood estimation of economic relationships with autoregressive residuals. Econometrica, 29, 414-426.