Details about Peter Schmidt

Workplace:

Economics Department, Michigan State University, (more information at EDIRC)

Access statistics for papers by Peter Schmidt.

Last updated 2009-09-21. Update your information in the RePEc Author Service.

Short-id: psc224

---

Jump to Journal Articles

Working Papers

2009

1. Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas
   Working Papers, Concordia University, Department of Economics View citations

2008

2. GMM Redundancy Results for General Missing Data Problems
   Working Papers, Concordia University, Department of Economics
   See also Journal Article in Journal of Econometrics (2009)

2007

3. On The Distribution of Estimated Technical Efficiency in Stochastic Frontier Models
   CEPA Working Papers Series, University of Queensland, School of Economics
   See also Journal Article in Journal of Econometrics (2009)

2006

4. Marginal Comparisons with the Best ant the Efficiency Measurment Problem
   Working Papers, University of Crete, Department of Economics
   See also Journal Article in Journal of Business & Economic Statistics (2008)
5. On the Accuracy of Bootstrap Confidence Intervals for Efficiency Levels in Stochastic Frontier Models with Panel Data
   Working Papers, University of Crete, Department of Economics
   See also Journal Article in Journal of Productivity Analysis (2007)
6. Panel Data Models with Multiple Time-Varying Individual Effects
   Working Papers, University of Crete, Department of Economics View citations

2004

7. Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
   See also Journal Article in Journal of Econometrics (2005)
8. Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
   See also Journal Article in Journal of Productivity Analysis (2006)
9. Likelihood Based Estimation in a Panel Setting
   Econometric Society 2004 Australasian Meetings, Econometric Society

2002

10. Confidence Statements for Efficiency Estimates from Stochastic Frontier Models
    Econometrics, EconWPA View citations

2001

11. "Hall of Fame" Voting: The Econometric Society
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1996

12. Estimating market Prices for Child Care: Sample Design Estimation and Accuracy
    Working Papers, Wellesley College - Department of Economics

1995

13. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act
    NBER Working Papers, National Bureau of Economic Research, Inc

1994

14. The Minimum Distance Estimator for Fractionally Integrated ARMA Models
    Working Papers, Michigan State - Econometrics and Economic Theory View citations

1993

15. Efficient Estimation of Dynamic Panel Data Models Under Alternative Sets of Assumptions
    Working Papers, Michigan State - Econometrics and Economic Theory
16. On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
    See also Journal Article in Journal of Econometrics (1996)
17. Production Frontiers and Efficiency Measurement
    Working Papers, Georgia - College of Business Administration, Department of Economics View citations

1992

18. A Generalized Method of Moments Estimator for Long-Memory Processes
    Working Papers, Tilburg - Center for Economic Research View citations
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1992) View citations

1991

19. A Modification of the Schmidt-Phillips Unit Root Test
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
    See also Journal Article in Economics Letters (1991)
20. Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations
    See also Journal Article in Journal of Econometrics (1992)

1990

21. Testing forUnit Root in the Presence of Deterministic Trends
    Working Papers, Michigan State - Econometrics and Economic Theory View citations
22. Unit Root Tests Based on Instrumental Variables Estimation
    Working Papers, Michigan State - Econometrics and Economic Theory
    See also Journal Article in International Economic Review (1994)

1989

23. PRODUCTION FRONTIERS WITH CROSS-SECTINAL AND TIME-SERIES VARIATION IN EFFICIENCY LEVELS
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations
    See also Journal Article in Journal of Econometrics (1990)
24. Predicting Criminal Recidivism Using "Split Population" Survival Time Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (1989)
25. Testing for a Unit Root in the Presence of Deterministic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1988

26. DICKEY-FULLER TESTS WITH DRIFT
    Working Papers, Michigan State - Econometrics and Economic Theory View citations

Journal Articles

2009

1. GMM redundancy results for general missing data problems
   Journal of Econometrics, 2009, 151, (1), 47-55
   See also Working Paper (2008)
2. On the distribution of estimated technical efficiency in stochastic frontier models
   Journal of Econometrics, 2009, 148, (1), 36-45 View citations
   See also Working Paper (2007)

2008

3. GMM with more moment conditions than observations
   Economics Letters, 2008, 99, (2), 252-255
4. Marginal Comparisons With the Best and the Efficiency Measurement Problem
   Journal of Business & Economic Statistics, 2008, 26, 253-260 View citations
   See also Working Paper (2006)
5. More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
   Journal of Econometrics, 2008, 144, (1), 219-233
6. Valid tests of whether technical inefficiency depends on firm characteristics
   Journal of Econometrics, 2008, 144, (2), 409-427

2007

7. A robust version of the KPSS test based on indicators
   Journal of Econometrics, 2007, 137, (2), 311-333 View citations
8. On the accuracy of bootstrap confidence intervals for efficiency levels in stochastic frontier models with panel data
   Journal of Productivity Analysis, 2007, 28, (3), 165-181
   See also Working Paper (2006)
9. Stochastic frontier models with multiple time-varying individual effects
   Journal of Productivity Analysis, 2007, 27, (1), 1-12 View citations

2006

10. GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
    Journal of Econometrics, 2006, 133, (1), 387-409 View citations
11. Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics
    Journal of Productivity Analysis, 2006, 25, (3), 201-212 View citations
    See also Working Paper (2004)
12. Is skill more important than luck in explaining fish catches?
    Journal of Productivity Analysis, 2006, 26, (1), 15-25 View citations

2005

13. Estimation of a panel data model with parametric temporal variation in individual effects
    Journal of Econometrics, 2005, 126, (2), 241-267 View citations
    See also Working Paper (2004)

2003

14. Partial GLS regression
    Economics Letters, 2003, 79, (3), 385-392
15. The Determinants of Econometric Society Fellows Elections
    Econometrica, 2003, 71, (1), 399-407 View citations

2002

16. Spurious logarithms and the KPSS statistic
    Economics Letters, 2002, 76, (3), 383-391

2001

17. GMM estimation of linear panel data models with time-varying individual effects
    Journal of Econometrics, 2001, 101, (2), 219-255 View citations
18. The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors
    Economics Letters, 2001, 74, (1), 61-66 View citations

2000

19. Multiple comparisons with the best, with economic applications
    Journal of Applied Econometrics, 2000, 15, (1), 1-26 View citations

1999

20. Efficient GMM and MD estimation of autoregressive models
    Economics Letters, 1999, 62, (3), 265-270 View citations
21. Efficient estimation of panel data models with strictly exogenous explanatory variables
    Journal of Econometrics, 1999, 93, (1), 177-201 View citations
22. Improved instrumental variables and generalized method of moments estimators
    Journal of Econometrics, 1999, 91, (1), 145-169 View citations
23. Redundancy of moment conditions
    Journal of Econometrics, 1999, 91, (1), 89-111 View citations

1997

24. Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
    Journal of Econometrics, 1997, 76, (1-2), 309-321 View citations
25. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 498-500
26. Revisiting Tobin's 1950 Study of Food Expenditure: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 558-59
27. The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
    Econometric Reviews, 1997, 16, (4), 441-457

1996

28. A minimum distance estimator for long-memory processes
    Journal of Econometrics, 1996, 71, (1-2), 249-264 View citations
29. Alternative methods of detrending and the power of unit root tests
    Journal of Econometrics, 1996, 71, (1-2), 227-248 View citations
30. On the power of the KPSS test of stationarity against fractionally-integrated alternatives
    Journal of Econometrics, 1996, 73, (1), 285-302 View citations
    See also Working Paper (1993)

1995

31. A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
    Econometric Reviews, 1995, 14, (1), 19-34 View citations
32. Efficient estimation of models for dynamic panel data
    Journal of Econometrics, 1995, 68, (1), 5-27 View citations

1994

33. Unit Root Tests Based on Instrumental Variables Estimation
    International Economic Review, 1994, 35, (2), 449-62 View citations
    See also Working Paper (1990)

1993

34. On the power of point optimal tests of the trend stationarity hypothesis
    Economics Letters, 1993, 43, (2), 143-147 View citations
35. Some results on testing for stationarity using data detrended in differences
    Economics Letters, 1993, 41, (1), 1-6
36. Unit root tests with conditional heteroskedasticity
    Journal of Econometrics, 1993, 59, (3), 287-300 View citations

1992

37. LM Tests for a Unit Root in the Presence of Deterministic Trends
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 257-87 View citations
38. Models for Which the MLE and the Conditional MLE Coincide
    Empirical Economics, 1992, 17, (1), 67-75 View citations
39. On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Comment
    Journal of Business & Economic Statistics, 1992, 10, (1), 10-14
40. Simultaneous equations and panel data
    Journal of Econometrics, 1992, 51, (1-2), 151-181 View citations
41. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
    Journal of Econometrics, 1992, 54, (1-3), 159-178 View citations
    See also Working Paper (1991)
42. The KPSS stationarity test as a unit root test
    Economics Letters, 1992, 38, (4), 387-392 View citations

1991

43. A modification of the Schmidt-Phillips unit root test
    Economics Letters, 1991, 36, (3), 285-289 View citations
    See also Working Paper (1991)
44. Testing for Stationarity in the Components Representation of a Time Series
    Econometric Theory, 1991, 7, (04), 543-544 View citations

1990

45. Production frontiers with cross-sectional and time-series variation in efficiency levels
    Journal of Econometrics, 1990, 46, (1-2), 185-200 View citations
    See also Working Paper (1989)
46. Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters
    Economics Letters, 1990, 34, (4), 345-350 View citations
47. Three-stage least squares with different instruments for different equations
    Journal of Econometrics, 1990, 43, (3), 389-394 View citations

1989

48. Editors'introduction
    Journal of Econometrics, 1989, 40, (1), 1-1 View citations
49. Efficient Estimation Using Panel Data
    Econometrica, 1989, 57, (3), 695-700 View citations
50. Extended tabulations for Dickey-Fuller tests
    Economics Letters, 1989, 31, (4), 355-357 View citations
51. Predicting criminal recidivism using 'split population' survival time models
    Journal of Econometrics, 1989, 40, (1), 141-159 View citations
    See also Working Paper (1989)

1988

52. Estimation of a fixed-effect Cobb-Douglas system using panel data
    Journal of Econometrics, 1988, 37, (3), 361-380 View citations

1985

53. A Monte Carlo investigation of the accuracy of multivariate CAPM tests
    Journal of Financial Economics, 1985, 14, (3), 359-375 View citations
54. Frontier production functions
    Econometric Reviews, 1985, 4, (2), 289-328 View citations
55. On the Cost of Partial Observability in the Bivariate Probit Model
    International Economic Review, 1985, 26, (1), 71-85 View citations
56. Reply
    Econometric Reviews, 1985, 4, (2), 353-355

1984

57. A Test of the Tobit Specification against an Alternative Suggested by Cragg
    The Review of Economics and Statistics, 1984, 66, (1), 174-77 View citations
58. Bank Market Structure and Competition: A Survey: Comment
    Journal of Money, Credit and Banking, 1984, 16, (4), 656-60 View citations
59. Production Frontiers and Panel Data
    Journal of Business & Economic Statistics, 1984, 2, (4), 367-74 View citations
60. Simple tests of alternative specifications in stochastic frontier models
    Journal of Econometrics, 1984, 24, (3), 349-361 View citations

1983

61. A note on a fixed effect model with arbitrary interpersonal covariance
    Journal of Econometrics, 1983, 22, (3), 391-393

1982

62. A Note on the Comparison of the Mean Square Error of Inequality Constrained Least Squares and Other Related Estimators
    The Review of Economics and Statistics, 1982, 64, (1), 174-76 View citations
63. A note on the computation of inequality constrained least squares estimates
    Economics Letters, 1982, 9, (4), 355-358
64. An Improved Version of the Quandt-Ramsey MGE Estimator for Mixtures of Normal Distributions and Switching Regressions
    Econometrica, 1982, 50, (2), 501-16 View citations
65. An Investigation of the Robustness of the Tobit Estimator to Non-Normality
    Econometrica, 1982, 50, (4), 1055-63 View citations
66. On the estimation of technical inefficiency in the stochastic frontier production function model
    Journal of Econometrics, 1982, 19, (2-3), 233-238 View citations

1981

67. Further Results on the Value of Sample Separation Information [Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model]
    Econometrica, 1981, 49, (5), 1339-43
68. Further evidence on the robustness of the Tobit estimator to heteroskedasticity
    Journal of Econometrics, 1981, 17, (2), 253-258 View citations
69. Testing the restrictions implied by the rational expectations hypothesis
    Journal of Econometrics, 1981, 15, (2), 265-287 View citations

1980

70. A Monte Carlo study of estimators of stochastic frontier production functions
    Journal of Econometrics, 1980, 13, (1), 67-82 View citations
71. A survey of frontier production functions and of their relationship to efficiency measurement
    Journal of Econometrics, 1980, 13, (1), 5-25 View citations
72. Editors' introduction
    Journal of Econometrics, 1980, 13, (1), 1-3
73. Estimating stochastic production and cost frontiers when technical and allocative inefficiency are correlated
    Journal of Econometrics, 1980, 13, (1), 83-100 View citations

1979

74. Estimating technical and allocative inefficiency relative to stochastic production and cost frontiers
    Journal of Econometrics, 1979, 9, (3), 343-366 View citations
75. Some small sample properties of estimators and test statistics in the multivariate logit model
    Journal of Econometrics, 1979, 10, (1), 33-42

1978

76. A Note on Dyamic Simulation Forecasts and Stochastic Forecast-Period Exogenous Variables
    Econometrica, 1978, 46, (5), 1227-30
77. A note on the estimation of seemingly unrelated regression systems
    Journal of Econometrics, 1978, 7, (2), 259-261 View citations
78. Estimation of a Simultaneous Equations Model with Jointly Dependent Continuous and Qualitative Variables: The Union-Earnings Question Revisited
    International Economic Review, 1978, 19, (2), 453-65 View citations
79. On the Estimation of Triangular Structural Systems
    Econometrica, 1978, 46, (5), 1217-21 View citations
80. On the Statistical Estimation of Parametric Frontier Production Functions: Rejoinder
    The Review of Economics and Statistics, 1978, 60, (3), 481-82

1977

81. Estimation of seemingly unrelated regressions with unequal numbers of observations
    Journal of Econometrics, 1977, 5, (3), 365-377 View citations
82. Formulation and estimation of stochastic frontier production function models
    Journal of Econometrics, 1977, 6, (1), 21-37 View citations
83. Some Further Evidence on the Use of the Chow Test under Heteroskedasticity
    Econometrica, 1977, 45, (5), 1293-98 View citations
84. Some Small Evidence on the Distribution of Dynamic Simulation Forecasts
    Econometrica, 1977, 45, (4), 997-1005 View citations

1976

85. On the Statistical Estimation of Parametric Frontier Production Functions
    The Review of Economics and Statistics, 1976, 58, (2), 238-39 View citations
86. The Effect of Unions on Earnings and Earnings on Unions: A Mixed Logit Approach
    International Economic Review, 1976, 17, (1), 204-12 View citations
87. The effects of various treatments of truncation remainders on tests of hypotheses in distributed lag models
    Journal of Econometrics, 1976, 4, (3), 211-230

1975

88. A Note on the Treatment of the Truncation Remainder in the Gamma Distributed Lag
    International Economic Review, 1975, 16, (3), 800-801
89. Estimation of Models with Jointly Dependent Qualitative Variables: A Simultaneous Logit Approach
    Econometrica, 1975, 43, (4), 745-55 View citations
90. On the Efficiency of the Almon Lag Technique
    International Economic Review, 1975, 16, (3), 792-95
91. Some Further Evidence on the Power of the Durbin-Watson and Geary Tests
    The Review of Economics and Statistics, 1975, 57, (3), 379-82 View citations
92. The Prediction of Occupation Using Multiple Logit Models
    International Economic Review, 1975, 16, (2), 471-86 View citations
93. The Small Sample Effects of Various Treatments of Truncation Remainders in the Estimation of Distributed Lag Models
    The Review of Economics and Statistics, 1975, 57, (3), 387-89

1974

94. A Note on Theil's Minimum Standard Error Criterion when the Disturbances are Autocorrelated
    The Review of Economics and Statistics, 1974, 56, (1), 122-23
95. An Argument for the Usefulness of the Gamma Distributed Lag Model
    International Economic Review, 1974, 15, (1), 246-50
96. Cognitive Range in the Theory of Revealed Preference
    Journal of Political Economy, 1974, 82, (1), 174-84
97. Estimation of Distributed Lags in Simultaneous Equation Models: An Expository Treatment
    Australian Economic Papers, 1974, 13, (23), 298-302
98. The Algebraic Equivalence of the Oberhofer-Kmenta and Theil-Boot Formulae for the Asymptotic Variance of a Characteristic Root of a Dynamic Econometric Model
    Econometrica, 1974, 42, (3), 591-92
99. The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
    Econometrica, 1974, 42, (2), 303-09 View citations

1973

100. Calculating the Power of the Minimum Standard Error Choice Criterion
     International Economic Review, 1973, 14, (1), 253-55
101. On the Difference Between Conditional and Unconditional Asymptotic Distributions of Estimates in Distributed Lag Models with Integer-Valued Parameters
     Econometrica, 1973, 41, (1), 165-69 View citations
102. The Asymptotic Distribution of Dynamic Multipliers
     Econometrica, 1973, 41, (1), 161-64

1972

103. A Generalization of the Durbin-Watson Test
     Australian Economic Papers, 1972, 11, (19), 203-09

1971

104. Estimation of a Distributed Lag Model with Second Order Autoregressive Disturbances: A Monte Carlo Experiment
     International Economic Review, 1971, 12, (3), 372-80