Andrews, Donald W. K.
Overview
Works:  109 works in 224 publications in 1 language and 875 library holdings 

Roles:  Author, Editor, Honoree 
Classifications:  HB141, 330.015195 
Publication Timeline
.
Most widely held works by
Donald W. K Andrews
Identification and inference for econometric models : essays in honor of Thomas Rothenberg(
Book
)
20 editions published between 2005 and 2010 in English and held by 234 WorldCat member libraries worldwide
"This volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory."Jacket
20 editions published between 2005 and 2010 in English and held by 234 WorldCat member libraries worldwide
"This volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory."Jacket
Estimation of polynomial distributed lags and leads with end point constraints by
Donald W. K Andrews(
Book
)
8 editions published in 1989 in English and held by 36 WorldCat member libraries worldwide
This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be realvalued rather than integervalued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational
8 editions published in 1989 in English and held by 36 WorldCat member libraries worldwide
This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be realvalued rather than integervalued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational
Optimal invariant similar tests for instrumental variables regression by
Donald W. K Andrews(
Book
)
6 editions published in 2004 in English and held by 21 WorldCat member libraries worldwide
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We consider tests that are similar and satisfy a natural rotational invariance condition. We determine tests that maximize weighted average power (WAP) for arbitrary weight functions among invariant similar tests. Such tests include point optimal (PO) invariant similar tests. The results yield the power envelope for invariant similar tests. This allows one to assess and compare the power properties of existing tests, such as the AndersonRubin, Lagrange multiplier (LM), and conditional likelihood ratio (CLR) tests, and new optimal WAP and PO invariant similar tests. We find that the CLR test is quite close to being uniformly most powerful invariant among a class of twosided tests. A new unconditional test, P*,also is found to have this property. For onesided alternatives, no test achieves the invariant power envelope, but a new test. the onesided CLR test. is found to be fairly close. The finite sample results of the paper are extended to the case of unknown error covariance matrix and possibly nonnormal errors via weak instrument asymptotics. Strong instrument asymptotic results also are provided because we seek tests that perform well under both weak and
6 editions published in 2004 in English and held by 21 WorldCat member libraries worldwide
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We consider tests that are similar and satisfy a natural rotational invariance condition. We determine tests that maximize weighted average power (WAP) for arbitrary weight functions among invariant similar tests. Such tests include point optimal (PO) invariant similar tests. The results yield the power envelope for invariant similar tests. This allows one to assess and compare the power properties of existing tests, such as the AndersonRubin, Lagrange multiplier (LM), and conditional likelihood ratio (CLR) tests, and new optimal WAP and PO invariant similar tests. We find that the CLR test is quite close to being uniformly most powerful invariant among a class of twosided tests. A new unconditional test, P*,also is found to have this property. For onesided alternatives, no test achieves the invariant power envelope, but a new test. the onesided CLR test. is found to be fairly close. The finite sample results of the paper are extended to the case of unknown error covariance matrix and possibly nonnormal errors via weak instrument asymptotics. Strong instrument asymptotic results also are provided because we seek tests that perform well under both weak and
Inference with weak instruments by
Donald W. K Andrews(
Book
)
8 editions published in 2005 in English and held by 15 WorldCat member libraries worldwide
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics, " which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs
8 editions published in 2005 in English and held by 15 WorldCat member libraries worldwide
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics, " which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs
Testing for serial correlation against an ARMA (1,1) process by
Donald W. K Andrews(
Book
)
4 editions published between 1994 and 1995 in English and held by 7 WorldCat member libraries worldwide
4 editions published between 1994 and 1995 in English and held by 7 WorldCat member libraries worldwide
Adaptive local polynomial whittle estimation of longrange dependence by
Donald W. K Andrews(
Book
)
5 editions published between 2002 and 2004 in English and held by 5 WorldCat member libraries worldwide
5 editions published between 2002 and 2004 in English and held by 5 WorldCat member libraries worldwide
Consistent moment selection procedures for generalized method of moments estimation by
Donald W. K Andrews(
Book
)
5 editions published between 1996 and 1999 in English and held by 4 WorldCat member libraries worldwide
5 editions published between 1996 and 1999 in English and held by 4 WorldCat member libraries worldwide
A biasreduced logperiodogram regression estimator for the long memory parameter by
Donald W. K Andrews(
Book
)
3 editions published in 2000 in English and held by 4 WorldCat member libraries worldwide
3 editions published in 2000 in English and held by 4 WorldCat member libraries worldwide
Valid Edgeworth expansion for the Whittle maximum likelihood estimator for stationary longmemory Gaussian time series by
Donald W. K Andrews(
Book
)
3 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
3 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
Higherorder improvements of a computationally attractive kstep bootstrap for extremum estimators by
Donald W. K Andrews(
Book
)
4 editions published between 1999 and 2002 in English and held by 3 WorldCat member libraries worldwide
4 editions published between 1999 and 2002 in English and held by 3 WorldCat member libraries worldwide
On the number of bootstrap repetitions for BCa confidence intervals by
Donald W. K Andrews(
Book
)
3 editions published in 2000 in English and held by 3 WorldCat member libraries worldwide
3 editions published in 2000 in English and held by 3 WorldCat member libraries worldwide
Exactly unbiased estimation of first order autoregressive/unit root models by
Donald W. K Andrews(
Book
)
2 editions published in 1991 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 1991 in English and held by 3 WorldCat member libraries worldwide
Generic uniform convergence by
Donald W. K Andrews(
Book
)
2 editions published in 1990 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 1990 in English and held by 3 WorldCat member libraries worldwide
Higherorder improvements of the parametric bootstrap for Markov processes by
Donald W. K Andrews(
Book
)
3 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide
3 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide
Local polynomial whittle estimation of longrange dependence by
Donald W. K Andrews(
Book
)
3 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide
3 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide
Endofsample instability tests by
Donald W. K Andrews(
Book
)
3 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
3 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
Endofsample cointegration breakdown tests by
Donald W. K Andrews(
Book
)
3 editions published between 2002 and 2003 in English and held by 3 WorldCat member libraries worldwide
3 editions published between 2002 and 2003 in English and held by 3 WorldCat member libraries worldwide
The blockblock bootstrap : improved asymptotic refinements by
Donald W. K Andrews(
Book
)
4 editions published between 2002 and 2004 in English and held by 3 WorldCat member libraries worldwide
4 editions published between 2002 and 2004 in English and held by 3 WorldCat member libraries worldwide
Equivalence of the higherorder asymptotic efficiency of kstep and extremum statistics by
Donald W. K Andrews(
Book
)
4 editions published between 2000 and 2002 in English and held by 3 WorldCat member libraries worldwide
4 editions published between 2000 and 2002 in English and held by 3 WorldCat member libraries worldwide
An Improved heteroskedasticity and autocorrelation consistent covariance matrix estimator by
Donald W. K Andrews(
Book
)
2 editions published in 1990 in English and held by 2 WorldCat member libraries worldwide
2 editions published in 1990 in English and held by 2 WorldCat member libraries worldwide
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Adaptive sampling (Statistics) Asymptotic efficiencies (Statistics) Bootstrap (Statistics) Cointegration Confidence intervals Distributed lags (Economics) Econometric models Econometrics Economics Error functions Estimation theory Gaussian processes Instrumental variables (Statistics) Least squares Loglinear models Management Markov processes Moments method (Statistics) Parameter estimation Polynomials Regression analysis Sampling (Statistics) Statistical hypothesis testing Timeseries analysis
Alternative Names
Andrews, D. W. K.
Andrews, Donald W.
Donald Andrews Canadees econoom
Donald Andrews Canadian economist
Donald Andrews canadisk økonom
Donald Andrews kanadensisk ekonom
Donald Andrews kanadisk økonom
Donald Andrews USamerikanischkanadischer Wirtschaftswissenschaftler
Эндрюс, Дональд
ドナルド・アンドリューズ
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