The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: May, 1977, Volume 45, Issue 4
https://doi.org/0012-9682(197705)45:4<969:TPOAIV>2.0.CO;2-A
p. 969-990
David F. Hendry, Frank Srba
The finite sample behavior in a dynamic, simultaneous system of least squares and instrumental variables estimators which allow for autoregressive errors is studied by control variable (CV) simulation. To increase simulation precision, the CV's are based on asymptotic approximations to the econometric estimators and so have the same asymptotic distributions, but known finite sample moments. The CV formulae also clarify the properties of the econometric techniques and combined with response surfaces, reduce the specificity of simulation findings. The results confirm the value of asymptotic theory and show that the autoregressive instrumental variables estimator provides a reasonable approach to the simultaneity-autocorrelation-dynamics interaction.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
