Details about Alastair Hall

Access statistics for papers by Alastair Hall.

Last updated 2008-09-02. Update your information in the RePEc Author Service.

Short-id: pha402

Working Papers

2008

1. Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
   MPRA Paper, University Library of Munich, Germany
2. Inference regarding multiple structural changes in linear models estimated via two stage least squares
   MPRA Paper, University Library of Munich, Germany View citations

2007

3. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
   Working Papers, Duke University, Department of Economics View citations
   Also in Working Paper, Federal Reserve Bank of Atlanta (2007) View citations
4. Non-Nested Testing in Models Estimated via Generalized Method of Moments
   Working Paper Series, North Carolina State University, Department of Economics View citations

2005

5. The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Econometrics (2003)

2000

6. A Consistent Method for the Selection of Relevant Instruments
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

1995

7. On Periodic Structures and Testing for Seasonal Unit Roots
   CIRANO Working Papers, CIRANO
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
8. Predictive Tests for Structural Change with Unknown Breakpoint
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
   CIRANO Working Papers, CIRANO (1995) View citations
   See also Journal Article in Journal of Econometrics (1998)

1994

9. Judging instrument relevance in instrumental variables estimation
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
   See also Journal Article in International Economic Review (1996)

1993

10. On Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
11. The Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ

1992

12. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article in International Economic Review (1994)

1990

13. AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)

1989

14. ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1988

15. A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    See also Journal Article in International Economic Review (1990)

1987

16. Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
17. Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Journal of Econometrics (1990)

1984

18. The Information Matrix Test for the Linear Model
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
    See also Journal Article in Review of Economic Studies (1987)

Journal Articles

2008

1. Entropy-Based Moment Selection in the Presence of Weak Identification
   Econometric Reviews, 2008, 27, (4-6), 398-427

2007

2. Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]
   Journal of Econometrics, 2007, 141, (2), 1417-1418
3. Information in generalized method of moments estimation and entropy-based moment selection
   Journal of Econometrics, 2007, 138, (2), 488-512 View citations

2004

4. Editors Report 2003
   Journal of Business & Economic Statistics, 2004, 22, 488-488

2003

5. The large sample behaviour of the generalized method of moments estimator in misspecified models
   Journal of Econometrics, 2003, 114, (2), 361-394 View citations
   See also Working Paper (2005)

2002

6. Interview with Christopher A. Sims
   Journal of Business & Economic Statistics, 2002, 20, (4), 448-49
7. Interview with Lars Peter Hansen
   Journal of Business & Economic Statistics, 2002, 20, (4), 442-47 View citations

2001

8. Testing Target-Zone Models Using Efficient Method of Moments: Comment
   Journal of Business & Economic Statistics, 2001, 19, (3), 269-71

2000

9. Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
   Econometrica, 2000, 68, (6), 1517-1528 View citations
10. Data mining and the selection of instruments
    Journal of Economic Methodology, 2000, 7, (2), 265-277

1999

11. Structural Stability Testing in Models Estimated by Generalized Method of Moments
    Journal of Business & Economic Statistics, 1999, 17, (3), 335-48 View citations
12. Two further aspects of some new tests for structural stability
    Structural Change and Economic Dynamics, 1999, 10, (3-4), 431-443

1998

13. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 View citations
    See also Working Paper (1995)

1996

14. Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large
    Economics Letters, 1996, 52, (3), 247-255
15. Judging Instrument Relevance in Instrumental Variables Estimation
    International Economic Review, 1996, 37, (2), 283-98 View citations
    See also Working Paper (1994)

1994

16. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 View citations
    See also Working Paper (1992)
17. Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection
    Journal of Business & Economic Statistics, 1994, 12, (4), 461-70 View citations
18. Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection (vol. 54 (1992) pp. 223-250)
    Journal of Econometrics, 1994, 60, (1-2), 321-321

1993

19. Induced seasonality and production-smoothing models of inventory behavior
    Journal of Econometrics, 1993, 55, (1-2), 169-172 View citations

1992

20. Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
    Journal of Econometrics, 1992, 54, (1-3), 223-250 View citations

1991

21. Estimating the Speed of Adjustment in Partial Adjustment Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 441-53 View citations
22. Instrument choice and tests for a unit root
    Economics Letters, 1991, 35, (2), 161-165 View citations
23. Testing for unit roots in autoregressive moving average models: An instrumental variable approach
    Journal of Econometrics, 1991, 48, (3), 325-353

1990

24. A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator
    International Economic Review, 1990, 31, (2), 355-64 View citations
    See also Working Paper (1988)
25. Are consumption-based intertemporal capital asset pricing models structural?
    Journal of Econometrics, 1990, 45, (1-2), 121-139 View citations
26. Lagrange Multiplier Tests for Normality against Seminonparametric Alternatives
    Journal of Business & Economic Statistics, 1990, 8, (4), 417-26
27. Testing nonnested Euler conditions with quadrature-based methods of approximation
    Journal of Econometrics, 1990, 46, (3), 273-308 View citations
    See also Working Paper (1987)

1989

28. On the calculation of the information matrix test in the normal linear regression model
    Economics Letters, 1989, 29, (1), 31-35

1987

29. The Information Matrix Test for the Linear Model
    Review of Economic Studies, 1987, 54, (2), 257-63 View citations
    See also Working Paper (1984)

1986

30. A simplified method of calculating the score test for serial correlation in multivariate models
    Economics Letters, 1986, 21, (2), 159-161

1985

31. A simplified method of calculating the distribution free Cox test
    Economics Letters, 1985, 18, (2-3), 149-151