Theoretical and Applied Econometrics: The Selected Papers of Phoebus J. Dhrymes

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Overview

This selection of Professor Dhrymes's major papers combines important contributions to econometric theory with a series of well-thought out, skilfully-executed empirical studies. The theoretical papers focus on such issues as the general linear model, simultaneous equations models, distributed lags and ancillary topics. Most of these papers originated with problems encountered in empirical research. The applied studies deal with production function and productivity topics, demand for labour, arbitrage pricing theory, demand for housing and related issues.
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Table of Contents

Acknowledgements
Preface
1 Alternative Asymptotic Tests of Significance and Related Aspects of 2SLS and 3SLS Estimated Parameters 3
2 An Identity Between Double k-class and Two Stage Least Squares Estimators 17
3 A Simplified Structural Estimator for Large-Scale Econometric Models 21
4 Asymptotic Properties of an Iterate of the Two-Stage Least Squares Estimator 29
5 Asymptotic Properties of Simultaneous Least Squares Estimators 37
6 Criteria for Evaluation of Econometric Models 48
7 Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency 82
8 Small Sample and Asymptotic Relations between Maximum Likelihood and Three Stage Least Squares Estimators 98
9 A Simple Proof of the Asymptotic Efficiency of 3SLS Relative to 2SLS Estimators 106
10 A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors 110
11 Asymptotic Properties of Full Information Estimators in Dynamic Autoregressive Simultaneous Equation Models 132
12 A Note on an Efficient Two-Step Estimator 145
13 On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors 149
14 A Comparison of the Forecasting Performance of WEFA and ARIMA Time Series Methods 164
15 On Devising Unbiased Estimators for the Parameters of the Cobb-Douglas Production Function 187
16 On the Treatment of Certain Recurrent Non-linearities in Regression Analysis 195
17 On the Game of Maximizing [actual symbol not reproducible] 205
18 Equivalence of Iterative Aitken and Maximum Likelihood Estimators for a System of Regression Equations 214
19 On the Existence of Generalized Inverse Estimators in a Singular System of Equations 219
20 On the Invariance of Estimators for Singular Systems of Equations 231
21 Efficient Estimation of Distributed Lags with Autocorrelated Errors 253
22 Estimation of Distributed Lags 274
23 On the Strong Consistency of Estimators for Certain Distributed Lag Models with Autocorrelated Errors 290
24 On the Estimation of the Polynomial Lag Hypothesis 305
25 A Comparison of Productivity Behavior in Manufacturing and Service Industries 315
26 Technology and Scale in Electricity Generation 321
27 Some Extensions and Tests for the CES Class of Production Functions 350
28 A Comment on CES Production Functions 360
29 Elasticities of Substitution for Two-Digit Manufacturing Industries: A Correction 362
30 Adjustment Dynamics and the Estimation of the CES Class of Production Functions 365
31 Estimation of Joint Production Functions 374
32 On the Measurement of Price and Quality Changes in Some Consumer Capital Goods 379
33 A Model of Short Run Labor Adjustment 397
34 The Structure of Production Technology: Productivity and Aggregation Effects 436
35 A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory 509
36 The Empirical Relevance of Arbitrage Pricing Models 533
37 An Empirical Examination of the Implications of Arbitrage Pricing Theory 543
38 New Tests of the APT and Their Implications 570
39 Financial Stringency and the Probability of First Homeownership 586
40 On Optimal Advertising Capital and Research Expenditures under Dynamic Conditions 609
41 On the Theory of the Monopolistic Multiproduct Firm Under Uncertainty 614
42 On a Class of Utility and Production Functions Yielding Everywhere Differentiable Demand Functions 633
Name index 643
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