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Miscellany

The almon estimator and serially correlated disturbances: A comment and application to a New Zealand imports payments’ functionFootnote

Pages 138-150 | Published online: 10 Nov 2009

References

  • Almon , Shirley . 1965 . “The Distributed Lag between Capital Appropriations and Expenditures” . Econometrics , 33 : 178 – 196 .
  • Cochrane , D. and Orcutt , G.H. 1949 . “Applications of Least Squares Regression to Relationships Containing Autocorrelated Error Terms” . Journal of the American Statistical Association , 44 : 32 – 61 .
  • Cohen , M. , Gillingham , R. and Heien , D. 1973 . “A Monte Carlo Study of Complex Finite Distributed Lag Structures” . Annals of Economic and Social Measurement , 2 : 53 – 63 .
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  • Deane , R.S. , Lumsden , M.A. and Sturm , A.B. 1972 . “Some Simulation Experiments with a New Zealand Model” . In A New Zealand Model: Structure, Policy Uses and Some Simulation Results , Edited by: Deane , R.S. Wellington : Reserve Bank of New Zealand . ), Research Paper No. 8
  • Durbin , J. 1970 . “Testing for Serial Correlation in Least Squares Regression when some of the Regressors are Lagged Dependent Variables” . Econometrica , 38 : 410 – 421 .
  • Fair , R.C. and Jaffee , D.M. 1971 . “A Note on the Estimation of Polynomial Distributed Lags” , Econometric Research Program Princeton University . Research Memorandum No. 120
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  • Giles , D.E.A. 1974 . “Estimation of Finite Distributed Lag Models by Polynomial Approximation: A Generalized Bayesian Interpretation” . Department of Economics, University of Canterbury . Discussion Paper No. 7401
  • Griliches , Z. and Rao , P. 1969 . “Small Sample Properties of Several Two‐Stage Regression Methods in the Context of Autocorrelated Errors” . Journal of the American Statistical Association , 64 : 253 – 272 .
  • Hildreth , C. and Lu , J.Y. 1960 . “Demand Relations with Autocorrelated Disturbances” . Michigan State University Agricultural Experiment Station . Technical Bulletin No. 276
  • Johnston , J. 1972 . Econometric Methods , (2nd ed.) , New York : McGraw‐Hill .
  • Kmenta , J. 1971 . Elements of Econometrics , New York : Macmillan .
  • Schmidt , P. and Waud , R.N. 1973 . “The Almon Lag Technique and the Monetary Versus Fiscal Policy Debate” . Journal of the American Statistical Association , 68 : 11 – 19 .
  • Wallis , K.F. 1972 . “Testing for Fourth Order Autocorrelation in Quarterly Regression Equations” . Econometrica , 40 : 617 – 636 .
  • I would like to thank Professor A.C. Rayner and a referee for helpful comments.
  • University of Canterbury.

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