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Cited by 342

The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.

The econometric analysis of models with risk terms

Pagan, Adrian, Ullah, Aman·1988·Journal of Applied Econometrics
DOI 10.1002/jae.3950030202
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Abstract

In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set. Four existing methods commonly used to estimate models with risk terms are examined, and applications of the techniques are made to the estimation of the risk term in the $US/$C exchange market, and the effects of price uncertainty upon production.

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Metadata

Authors
Pagan, A., & Ullah, A.
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
1988-04
Volume
3
Issue
2
Pages
87-105
ISSN
  • 0883-7252 (ISSN-L)
  • 1099-1255
DOI
10.1002/jae.3950030202
OpenAlex
W2107775083
Cited by
342
References
36
FWCI
40.05
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The econometric analysis of models with risk terms. https://app.cochat.ai/papers/10.1002/jae.3950030202
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Pagan, A., & Ullah, A. (1988). The econometric analysis of models with risk terms. Journal of Applied Econometrics. https://doi.org/10.1002/jae.3950030202

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.