Details about Alastair Hall

Workplace:

Department of Economics, School of Social Sciences, University of Manchester, (more information at EDIRC)

Access statistics for papers by Alastair Hall.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pha402

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Working Papers

2013

1. Structural Break Inference using Information Criteria in Models Estimated by Two Stage Least Squares
   Economics Discussion Paper Series, Economics, The University of Manchester
2. Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach
   Economics Discussion Paper Series, Economics, The University of Manchester View citations (1)
   Also in Economics Discussion Paper Series, Economics, The University of Manchester (2012)

2012

3. Estimation and Inference in Unstable Nonlinear Least Squares Models
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
   Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009)
   MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
   See also Journal Article Estimation and inference in unstable nonlinear least squares models, Journal of Econometrics, Elsevier (2013) View citations (13) (2013)
4. Inference on Structural Breaks using Information Criteria
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
   See also Journal Article Inference on Structural Breaks using Information Criteria, Manchester School, University of Manchester (2013) View citations (17) (2013)

2011

5. ON THE ROLE OF THE BROKERAGE INSTITUTION IN THE DEVELOPMENT OF ETHIOPIAN AGRICULTURAL MARKETS
   85th Annual Conference, April 18-20, 2011, Warwick University, Coventry, UK, Agricultural Economics Society View citations (3)

2010

6. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
   Working Papers, Duke University, Department of Economics View citations (3)
   Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) View citations (6)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (33)
   Working Papers, Duke University, Department of Economics (2009) View citations (6)
   Working Papers, Duke University, Department of Economics (2007) View citations (30)
   See also Journal Article Information criteria for impulse response function matching estimation of DSGE models, Journal of Econometrics, Elsevier (2012) View citations (46) (2012)

2009

7. Inference regarding multiple structural changes in linear models with endogenous regressors
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (1)
   See also Journal Article Inference regarding multiple structural changes in linear models with endogenous regressors, Journal of Econometrics, Elsevier (2012) View citations (65) (2012)

2008

8. Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
   MPRA Paper, University Library of Munich, Germany View citations (8)
9. Inference regarding multiple structural changes in linear models estimated via two stage least squares
   MPRA Paper, University Library of Munich, Germany View citations (2)

2007

10. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (29)
11. Non-Nested Testing in Models Estimated via Generalized Method of Moments
    Working Paper Series, North Carolina State University, Department of Economics
    See also Journal Article NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS, Econometric Theory, Cambridge University Press (2011) View citations (15) (2011)

2005

12. EU policy reform simulation based on panel data estimation of on- and off-farm labour supply equations for Dutch dairy farmers
    2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
13. On- and Off-Farm Labour Supply of Dutch Dairy Farmers: Estimation and Policy Simulations
    2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists View citations (6)
14. The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
    Econometrics, University Library of Munich, Germany View citations (12)
    See also Journal Article The large sample behaviour of the generalized method of moments estimator in misspecified models, Journal of Econometrics, Elsevier (2003) View citations (96) (2003)

2000

15. A Consistent Method for the Selection of Relevant Instruments
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (51)
    See also Journal Article A Consistent Method for the Selection of Relevant Instruments, Econometric Reviews, Taylor & Francis Journals (2003) View citations (71) (2003)

1995

16. On Periodic Structures and Testing for Seasonal Unit Roots
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (5)
    Also in CIRANO Working Papers, CIRANO (1995) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (1)
17. Predictive Tests for Structural Change with Unknown Breakpoint
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in CIRANO Working Papers, CIRANO (1995) View citations (5)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (47)
    See also Journal Article Predictive tests for structural change with unknown breakpoint, Journal of Econometrics, Elsevier (1998) View citations (9) (1998)

1994

18. Judging instrument relevance in instrumental variables estimation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (20)
    See also Journal Article Judging Instrument Relevance in Instrumental Variables Estimation, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1996) View citations (196) (1996)

1993

19. On Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1993) View citations (1)

1992

20. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article Generalized Predictive Tests and Structural Change Analysis in Econometrics, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1994) View citations (23) (1994)

1990

21. 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

22. 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

23. 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
    See also Journal Article A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1990) View citations (70) (1990)

1987

24. 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
25. Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Testing nonnested Euler conditions with quadrature-based methods of approximation, Journal of Econometrics, Elsevier (1990) View citations (6) (1990)

1984

26. The Information Matrix Test for the Linear Model
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (1)

Journal Articles

2013

1. Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks
   Journal of Econometric Methods, 2013, 2, (1), 53-67 View citations (9)
2. Economic Time Series: Modeling and Seasonality
   Journal of Time Series Analysis, 2013, 34, (2), 282-283
3. Editors' Introduction to Special Issue of the Manchester School on Structural Breaks and Monetary Policy
   Manchester School, 2013, 81, 1-2
4. Estimation and inference in unstable nonlinear least squares models
   Journal of Econometrics, 2013, 172, (1), 158-167 View citations (13)
   See also Working Paper Estimation and Inference in Unstable Nonlinear Least Squares Models, Centre for Growth and Business Cycle Research Discussion Paper Series (2012) (2012)
5. Inference on Structural Breaks using Information Criteria
   Manchester School, 2013, 81, 54-81 View citations (17)
   See also Working Paper Inference on Structural Breaks using Information Criteria, Centre for Growth and Business Cycle Research Discussion Paper Series (2012) (2012)

2012

6. Inference about long run canonical correlations
   Journal of Time Series Analysis, 2012, 33, (4), 665-683 View citations (2)
7. Inference regarding multiple structural changes in linear models with endogenous regressors
   Journal of Econometrics, 2012, 170, (2), 281-302 View citations (65)
   See also Working Paper Inference regarding multiple structural changes in linear models with endogenous regressors, Centre for Growth and Business Cycle Research Discussion Paper Series (2009) View citations (1) (2009)
8. Information criteria for impulse response function matching estimation of DSGE models
   Journal of Econometrics, 2012, 170, (2), 499-518 View citations (46)
   See also Working Paper Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, Working Papers (2010) View citations (3) (2010)
9. The Oxford Handbook of Economic Forecasts
   Journal of Time Series Analysis, 2012, 33, (3), 530-531

2011

10. NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
    Econometric Theory, 2011, 27, (2), 443-456 View citations (15)
    See also Working Paper Non-Nested Testing in Models Estimated via Generalized Method of Moments, Working Paper Series (2007) (2007)

2009

11. A comparative study of three data-based methods of instrument selection
    Economics Letters, 2009, 105, (3), 280-283 View citations (1)
12. Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection
    Economics Letters, 2009, 105, (1), 83-85

2008

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

2007

14. 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
15. Information in generalized method of moments estimation and entropy-based moment selection
    Journal of Econometrics, 2007, 138, (2), 488-512 View citations (53)

2006

16. The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
    Econometric Reviews, 2006, 25, (1), 117-138 View citations (2)

2004

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

2003

18. A Consistent Method for the Selection of Relevant Instruments
    Econometric Reviews, 2003, 22, (3), 269-287 View citations (71)
    See also Working Paper A Consistent Method for the Selection of Relevant Instruments, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (51) (2000)
19. COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY
    Econometric Theory, 2003, 19, (6), 962-983 View citations (8)
20. The large sample behaviour of the generalized method of moments estimator in misspecified models
    Journal of Econometrics, 2003, 114, (2), 361-394 View citations (96)
    See also Working Paper The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models, Econometrics (2005) View citations (12) (2005)

2002

21. Interview with Christopher A. Sims
    Journal of Business & Economic Statistics, 2002, 20, (4), 448-49 View citations (2)
22. Interview with Lars Peter Hansen
    Journal of Business & Economic Statistics, 2002, 20, (4), 442-47 View citations (10)

2001

23. Data mining and the selection of instruments
    Journal of Economic Methodology, 2001, 7, (2), 265-277
24. Testing Target-Zone Models Using Efficient Method of Moments: Comment
    Journal of Business & Economic Statistics, 2001, 19, (3), 269-71

2000

25. Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
    Econometrica, 2000, 68, (6), 1517-1528 View citations (46)
26. GARP, SEPARABILITY, AND THE REPRESENTATIVE AGENT
    Macroeconomic Dynamics, 2000, 4, (3), 324-342 View citations (8)

1999

27. Structural Stability Testing in Models Estimated by Generalized Method of Moments
    Journal of Business & Economic Statistics, 1999, 17, (3), 335-48 View citations (45)
28. Two further aspects of some new tests for structural stability
    Structural Change and Economic Dynamics, 1999, 10, (3-4), 431-443 View citations (2)

1998

29. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 View citations (9)
    See also Working Paper Predictive Tests for Structural Change with Unknown Breakpoint, Cahiers de recherche (1995) View citations (4) (1995)

1996

30. 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
31. Judging Instrument Relevance in Instrumental Variables Estimation
    International Economic Review, 1996, 37, (2), 283-98 View citations (196)
    See also Working Paper Judging instrument relevance in instrumental variables estimation, Finance and Economics Discussion Series (1994) View citations (20) (1994)

1994

32. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 View citations (23)
    See also Working Paper Generalized Predictive Tests and Structural Change Analysis in Econometrics, Cahiers de recherche (1992) View citations (3) (1992)
33. 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 (380)
34. 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 View citations (4)

1993

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

1992

36. 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 (6)

1991

37. Estimating the Speed of Adjustment in Partial Adjustment Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 441-53 View citations (13)
38. Instrument choice and tests for a unit root
    Economics Letters, 1991, 35, (2), 161-165 View citations (1)
39. Testing for unit roots in autoregressive moving average models: An instrumental variable approach
    Journal of Econometrics, 1991, 48, (3), 325-353 View citations (10)

1990

40. 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 (70)
    See also Working Paper A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS, Cahiers de recherche (1988) (1988)
41. Are consumption-based intertemporal capital asset pricing models structural?
    Journal of Econometrics, 1990, 45, (1-2), 121-139 View citations (46)
42. Lagrange Multiplier Tests for Normality against Seminonparametric Alternatives
    Journal of Business & Economic Statistics, 1990, 8, (4), 417-26 View citations (2)
43. Testing nonnested Euler conditions with quadrature-based methods of approximation
    Journal of Econometrics, 1990, 46, (3), 273-308 View citations (6)
    See also Working Paper Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation, Cahiers de recherche (1987) (1987)

1989

44. On the calculation of the information matrix test in the normal linear regression model
    Economics Letters, 1989, 29, (1), 31-35 View citations (2)

1986

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

1985

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

1958

47. INSTITUTIONAL INVESTMENT IN LISTED COMPANY SECURITIES
    The Economic Record, 1958, 34, (69), 375-389 View citations (1)

Books

2004

1. Generalized Method of Moments
   OUP Catalogue, Oxford University Press View citations (73)