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Details about Peter Schmidt

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

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Last updated 2013-11-02. Update your information in the RePEc Author Service.

Short-id: psc224


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Working Papers

2011

  1. Using Copulas to Model Time Dependence in Stochastic Frontier Models
    Working Papers, Concordia University, Department of Economics Downloads View citations (3)

2010

  1. Zu Migration und Strukturfonds im Binnenmarkt der EU
    (Migration and the Structural Funds in the Single European Market)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas
    Working Papers, Concordia University, Department of Economics Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2009)

2008

  1. GMM Redundancy Results for General Missing Data Problems
    Working Papers, Concordia University, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2009)

2007

  1. On The Distribution of Estimated Technical Efficiency in Stochastic Frontier Models
    CEPA Working Papers Series, University of Queensland, School of Economics Downloads
    See also Journal Article in Journal of Econometrics (2009)
  2. 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 Downloads View citations (2)
    See also Journal Article in Journal of Productivity Analysis (2007)
  3. Panel Data Models with Multiple Time-Varying Individual Effects
    Working Papers, University of Crete, Department of Economics Downloads View citations (9)

2006

  1. Marginal Comparisons with the Best ant the Efficiency Measurment Problem
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2008)

2004

  1. Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
    See also Journal Article in Journal of Econometrics (2005)
  2. Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (15)
    See also Journal Article in Journal of Productivity Analysis (2006)
  3. Likelihood Based Estimation in a Panel Setting
    Econometric Society 2004 Australasian Meetings, Econometric Society

2002

  1. Confidence Statements for Efficiency Estimates from Stochastic Frontier Models
    Econometrics, EconWPA Downloads View citations (50)
  2. One-step and two-step estimation of the effects of exogenous variables on technical efficiency levels
    MPRA Paper, University Library of Munich, Germany Downloads View citations (193)

2001

  1. "Hall of Fame" Voting: The Econometric Society
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1996

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

1995

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

1994

  1. The Minimum Distance Estimator for Fractionally Integrated ARMA Models
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)

1993

  1. Efficient Estimation of Dynamic Panel Data Models Under Alternative Sets of Assumptions
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (1)
  2. On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (2)
    See also Journal Article in Journal of Econometrics (1996)
  3. Production Frontiers and Efficiency Measurement
    Working Papers, Georgia - College of Business Administration, Department of Economics View citations (11)

1992

  1. A Generalized Method of Moments Estimator for Long-Memory Processes
    Working Papers, Tilburg - Center for Economic Research View citations (1)
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1992) View citations (1)

1991

  1. A Modification of the Schmidt-Phillips Unit Root Test
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (9)
    See also Journal Article in Economics Letters (1991)
  2. 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 for Research in Economics, Yale University Downloads View citations (38)
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (51)

    See also Journal Article in Journal of Econometrics (1992)

1990

  1. Testing forUnit Root in the Presence of Deterministic Trends
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (4)
  2. 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

  1. PRODUCTION FRONTIERS WITH CROSS-SECTINAL AND TIME-SERIES VARIATION IN EFFICIENCY LEVELS
    Working Papers, C.V. Starr Center for Applied Economics, New York University Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (1990)
  2. Testing for a Unit Root in the Presence of Deterministic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)

1988

  1. DICKEY-FULLER TESTS WITH DRIFT
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (8)

1987

  1. Predicting Criminal Recidivism Using "Split Population" Survival Time Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    See also Journal Article in Journal of Econometrics (1989)

Journal Articles

2011

  1. Goodness of fit tests in stochastic frontier models
    Journal of Productivity Analysis, 2011, 35, (2), 95-118 Downloads View citations (5)
  2. One-step and two-step estimation in SFA models
    Journal of Productivity Analysis, 2011, 36, (2), 201-203 Downloads View citations (11)

2010

  1. Estimates of technical inefficiency in stochastic frontier models with panel data: generalized panel jackknife estimation
    Journal of Productivity Analysis, 2010, 34, (2), 83-97 Downloads View citations (3)

2009

  1. GMM redundancy results for general missing data problems
    Journal of Econometrics, 2009, 151, (1), 47-55 Downloads View citations (5)
    See also Working Paper (2008)
  2. Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
    Journal of Econometrics, 2009, 153, (1), 93-104 Downloads View citations (8)
    See also Working Paper (2009)
  3. On the distribution of estimated technical efficiency in stochastic frontier models
    Journal of Econometrics, 2009, 148, (1), 36-45 Downloads View citations (13)
    See also Working Paper (2007)
  4. The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
    Journal of Time Series Econometrics, 2009, 1, (1), 1-44 Downloads View citations (4)

2008

  1. GMM with more moment conditions than observations
    Economics Letters, 2008, 99, (2), 252-255 Downloads View citations (1)
  2. Marginal Comparisons With the Best and the Efficiency Measurement Problem
    Journal of Business & Economic Statistics, 2008, 26, 253-260 Downloads View citations (3)
    See also Working Paper (2006)
  3. 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 Downloads View citations (6)
  4. Valid tests of whether technical inefficiency depends on firm characteristics
    Journal of Econometrics, 2008, 144, (2), 409-427 Downloads View citations (5)

2007

  1. A robust version of the KPSS test based on indicators
    Journal of Econometrics, 2007, 137, (2), 311-333 Downloads View citations (15)
  2. 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 Downloads View citations (10)
    See also Working Paper (2007)
  3. Stochastic frontier models with multiple time-varying individual effects
    Journal of Productivity Analysis, 2007, 27, (1), 1-12 Downloads View citations (19)

2006

  1. 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 Downloads View citations (16)
  2. Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics
    Journal of Productivity Analysis, 2006, 25, (3), 201-212 Downloads View citations (73)
    See also Working Paper (2004)
  3. Is skill more important than luck in explaining fish catches?
    Journal of Productivity Analysis, 2006, 26, (1), 15-25 Downloads View citations (9)

2005

  1. Estimation of a panel data model with parametric temporal variation in individual effects
    Journal of Econometrics, 2005, 126, (2), 241-267 Downloads View citations (14)
    See also Working Paper (2004)

2003

  1. Partial GLS regression
    Economics Letters, 2003, 79, (3), 385-392 Downloads View citations (6)
  2. The Determinants of Econometric Society Fellows Elections
    Econometrica, 2003, 71, (1), 399-407 Downloads View citations (24)

2002

  1. Spurious logarithms and the KPSS statistic
    Economics Letters, 2002, 76, (3), 383-391 Downloads View citations (1)

2001

  1. GMM estimation of linear panel data models with time-varying individual effects
    Journal of Econometrics, 2001, 101, (2), 219-255 Downloads View citations (80)
  2. The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors
    Economics Letters, 2001, 74, (1), 61-66 Downloads View citations (2)

2000

  1. Multiple comparisons with the best, with economic applications
    Journal of Applied Econometrics, 2000, 15, (1), 1-26 Downloads View citations (50)

1999

  1. Efficient GMM and MD estimation of autoregressive models
    Economics Letters, 1999, 62, (3), 265-270 Downloads View citations (6)
  2. Efficient estimation of panel data models with strictly exogenous explanatory variables
    Journal of Econometrics, 1999, 93, (1), 177-201 Downloads View citations (22)
  3. Improved instrumental variables and generalized method of moments estimators
    Journal of Econometrics, 1999, 91, (1), 145-169 Downloads View citations (9)
  4. Redundancy of moment conditions
    Journal of Econometrics, 1999, 91, (1), 89-111 Downloads View citations (51)

1997

  1. Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
    Journal of Econometrics, 1997, 76, (1-2), 309-321 Downloads View citations (37)
  2. 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 Downloads
  3. Revisiting Tobin's 1950 Study of Food Expenditure: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 558-59 Downloads
  4. The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
    Econometric Reviews, 1997, 16, (4), 441-457 Downloads

1996

  1. A minimum distance estimator for long-memory processes
    Journal of Econometrics, 1996, 71, (1-2), 249-264 Downloads View citations (26)
  2. Alternative methods of detrending and the power of unit root tests
    Journal of Econometrics, 1996, 71, (1-2), 227-248 Downloads View citations (11)
  3. On the power of the KPSS test of stationarity against fractionally-integrated alternatives
    Journal of Econometrics, 1996, 73, (1), 285-302 Downloads View citations (140)
    See also Working Paper (1993)

1995

  1. Efficient estimation of models for dynamic panel data
    Journal of Econometrics, 1995, 68, (1), 5-27 Downloads View citations (347)

1994

  1. Unit Root Tests Based on Instrumental Variables Estimation
    International Economic Review, 1994, 35, (2), 449-62 Downloads View citations (1)
    See also Working Paper (1990)

1993

  1. On the power of point optimal tests of the trend stationarity hypothesis
    Economics Letters, 1993, 43, (2), 143-147 Downloads View citations (1)
  2. Some results on testing for stationarity using data detrended in differences
    Economics Letters, 1993, 41, (1), 1-6 Downloads View citations (1)
  3. Unit root tests with conditional heteroskedasticity
    Journal of Econometrics, 1993, 59, (3), 287-300 Downloads View citations (65)

1992

  1. 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 (282)
  2. Models for Which the MLE and the Conditional MLE Coincide
    Empirical Economics, 1992, 17, (1), 67-75 View citations (7)
  3. 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
  4. Simultaneous equations and panel data
    Journal of Econometrics, 1992, 51, (1-2), 151-181 Downloads View citations (61)
  5. Testing for Stationarity in the Components Representation of a Time Series
    Econometric Theory, 1992, 8, (04), 586-591 Downloads View citations (4)
    Also in Econometric Theory, 1991, 7, (04), 543-544 (1991) Downloads View citations (1)
  6. 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 Downloads View citations (2657)
    See also Working Paper (1991)
  7. The KPSS stationarity test as a unit root test
    Economics Letters, 1992, 38, (4), 387-392 Downloads View citations (15)

1991

  1. A modification of the Schmidt-Phillips unit root test
    Economics Letters, 1991, 36, (3), 285-289 Downloads View citations (13)
    See also Working Paper (1991)

1990

  1. Production frontiers with cross-sectional and time-series variation in efficiency levels
    Journal of Econometrics, 1990, 46, (1-2), 185-200 Downloads View citations (360)
    See also Working Paper (1989)
  2. Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters
    Economics Letters, 1990, 34, (4), 345-350 Downloads View citations (6)
  3. Three-stage least squares with different instruments for different equations
    Journal of Econometrics, 1990, 43, (3), 389-394 Downloads View citations (13)

1989

  1. Editors'introduction
    Journal of Econometrics, 1989, 40, (1), 1-1 Downloads
  2. Efficient Estimation Using Panel Data
    Econometrica, 1989, 57, (3), 695-700 Downloads View citations (87)
  3. Extended tabulations for Dickey-Fuller tests
    Economics Letters, 1989, 31, (4), 355-357 Downloads View citations (15)
  4. Predicting criminal recidivism using 'split population' survival time models
    Journal of Econometrics, 1989, 40, (1), 141-159 Downloads View citations (72)
    See also Working Paper (1987)

1988

  1. Estimation of a fixed-effect Cobb-Douglas system using panel data
    Journal of Econometrics, 1988, 37, (3), 361-380 Downloads View citations (14)

1985

  1. A Monte Carlo investigation of the accuracy of multivariate CAPM tests
    Journal of Financial Economics, 1985, 14, (3), 359-375 Downloads View citations (16)
  2. On the Cost of Partial Observability in the Bivariate Probit Model
    International Economic Review, 1985, 26, (1), 71-85 Downloads View citations (85)

1984

  1. A Test of the Tobit Specification against an Alternative Suggested by Cragg
    The Review of Economics and Statistics, 1984, 66, (1), 174-77 Downloads View citations (80)
  2. Bank Market Structure and Competition: A Survey: Comment
    Journal of Money, Credit and Banking, 1984, 16, (4), 656-60 Downloads View citations (2)
  3. Production Frontiers and Panel Data
    Journal of Business & Economic Statistics, 1984, 2, (4), 367-74 View citations (478)
  4. Simple tests of alternative specifications in stochastic frontier models
    Journal of Econometrics, 1984, 24, (3), 349-361 Downloads View citations (35)

1983

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

1982

  1. 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 Downloads View citations (4)
  2. A note on the computation of inequality constrained least squares estimates
    Economics Letters, 1982, 9, (4), 355-358 Downloads
  3. An Improved Version of the Quandt-Ramsey MGE Estimator for Mixtures of Normal Distributions and Switching Regressions
    Econometrica, 1982, 50, (2), 501-16 Downloads View citations (1)
  4. An Investigation of the Robustness of the Tobit Estimator to Non-Normality
    Econometrica, 1982, 50, (4), 1055-63 Downloads View citations (57)
  5. On the estimation of technical inefficiency in the stochastic frontier production function model
    Journal of Econometrics, 1982, 19, (2-3), 233-238 Downloads View citations (937)

1981

  1. 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 Downloads View citations (3)
  2. Further evidence on the robustness of the Tobit estimator to heteroskedasticity
    Journal of Econometrics, 1981, 17, (2), 253-258 Downloads View citations (57)
  3. Testing the restrictions implied by the rational expectations hypothesis
    Journal of Econometrics, 1981, 15, (2), 265-287 Downloads View citations (7)

1980

  1. A Monte Carlo study of estimators of stochastic frontier production functions
    Journal of Econometrics, 1980, 13, (1), 67-82 Downloads View citations (82)
  2. A survey of frontier production functions and of their relationship to efficiency measurement
    Journal of Econometrics, 1980, 13, (1), 5-25 Downloads View citations (208)
  3. Editors' introduction
    Journal of Econometrics, 1980, 13, (1), 1-3 Downloads View citations (1)
  4. Estimating stochastic production and cost frontiers when technical and allocative inefficiency are correlated
    Journal of Econometrics, 1980, 13, (1), 83-100 Downloads View citations (26)

1979

  1. Estimating technical and allocative inefficiency relative to stochastic production and cost frontiers
    Journal of Econometrics, 1979, 9, (3), 343-366 Downloads View citations (134)
  2. Some small sample properties of estimators and test statistics in the multivariate logit model
    Journal of Econometrics, 1979, 10, (1), 33-42 Downloads View citations (2)

1978

  1. A Note on Dyamic Simulation Forecasts and Stochastic Forecast-Period Exogenous Variables
    Econometrica, 1978, 46, (5), 1227-30 Downloads
  2. A note on the estimation of seemingly unrelated regression systems
    Journal of Econometrics, 1978, 7, (2), 259-261 Downloads View citations (4)
  3. 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 Downloads View citations (5)
  4. On the Estimation of Triangular Structural Systems
    Econometrica, 1978, 46, (5), 1217-21 Downloads View citations (39)
  5. On the Statistical Estimation of Parametric Frontier Production Functions: Rejoinder
    The Review of Economics and Statistics, 1978, 60, (3), 481-82 Downloads

1977

  1. Estimation of seemingly unrelated regressions with unequal numbers of observations
    Journal of Econometrics, 1977, 5, (3), 365-377 Downloads View citations (20)
  2. Formulation and estimation of stochastic frontier production function models
    Journal of Econometrics, 1977, 6, (1), 21-37 Downloads View citations (2257)
  3. Some Further Evidence on the Use of the Chow Test under Heteroskedasticity
    Econometrica, 1977, 45, (5), 1293-98 Downloads View citations (16)
  4. Some Small Evidence on the Distribution of Dynamic Simulation Forecasts
    Econometrica, 1977, 45, (4), 997-1005 Downloads View citations (3)

1976

  1. On the Statistical Estimation of Parametric Frontier Production Functions
    The Review of Economics and Statistics, 1976, 58, (2), 238-39 Downloads View citations (41)
  2. The Effect of Unions on Earnings and Earnings on Unions: A Mixed Logit Approach
    International Economic Review, 1976, 17, (1), 204-12 Downloads View citations (12)
  3. The effects of various treatments of truncation remainders on tests of hypotheses in distributed lag models
    Journal of Econometrics, 1976, 4, (3), 211-230 Downloads

1975

  1. A Note on the Treatment of the Truncation Remainder in the Gamma Distributed Lag
    International Economic Review, 1975, 16, (3), 800-801 Downloads
  2. Estimation of Models with Jointly Dependent Qualitative Variables: A Simultaneous Logit Approach
    Econometrica, 1975, 43, (4), 745-55 Downloads View citations (19)
  3. On the Efficiency of the Almon Lag Technique
    International Economic Review, 1975, 16, (3), 792-95 Downloads
  4. Some Further Evidence on the Power of the Durbin-Watson and Geary Tests
    The Review of Economics and Statistics, 1975, 57, (3), 379-82 Downloads View citations (3)
  5. The Prediction of Occupation Using Multiple Logit Models
    International Economic Review, 1975, 16, (2), 471-86 Downloads View citations (85)
  6. 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 Downloads

1974

  1. 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 Downloads
  2. An Argument for the Usefulness of the Gamma Distributed Lag Model
    International Economic Review, 1974, 15, (1), 246-50 Downloads View citations (2)
  3. Cognitive Range in the Theory of Revealed Preference
    Journal of Political Economy, 1974, 82, (1), 174-84 Downloads View citations (1)
  4. Estimation of Distributed Lags in Simultaneous Equation Models: An Expository Treatment
    Australian Economic Papers, 1974, 13, (23), 298-302
  5. 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 Downloads View citations (1)
  6. The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
    Econometrica, 1974, 42, (2), 303-09 Downloads View citations (20)

1973

  1. Calculating the Power of the Minimum Standard Error Choice Criterion
    International Economic Review, 1973, 14, (1), 253-55 Downloads View citations (2)
  2. 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 Downloads View citations (1)
  3. The Asymptotic Distribution of Dynamic Multipliers
    Econometrica, 1973, 41, (1), 161-64 Downloads View citations (9)

1972

  1. A Generalization of the Durbin-Watson Test
    Australian Economic Papers, 1972, 11, (19), 203-09 View citations (1)

1971

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

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