In this chapter we show that all the known estimators of the coefficients of econometric models are inconsistent if their coefficients and error terms are not unique. In their stead, we present models having unique coefficients and error terms, with specific applicability to the analyses of...

As every econometrician knows, in a regression with one regressor, the dependent and explanatory variables may be spuriously correlated if they may have been affected by some third variable, a common cause. In a highly regarded article, Granger and Newbold (1974) were not concerned with this...

It is often thought that the error term in a regression represents the net effect of omitted variables. This poses a problem whenever the purpose of a model is to explain an economic phenomenon, because the estimated coefficients as well as the error will be wrong in the sense that they are not...

Thirty-five years ago, J. W. Pratt and Robert Schlaifer published a critique of then ruling econometric techniques. Introducing a distinction between factors and concomitants in regressions, they determined that a “condition for consistent estimation stated in virtually every book on...

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

This paper contributes to the literature on the estimation of causal effects by providing an analytical formula for individual specific treatment effects and an empirical methodology that allows us to estimate these effects. We derive the formula from a general model with minimal restrictions,...

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

This paper contributes to the literature on the estimation of causal effects by providing an analytical formula for individual specific treatment effects and an empirical methodology that allows us to estimate these effects. We derive the formula from a general model with minimal restrictions,...

This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC)...