This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

In view of detecting the stochastic non-stationarity in time series, successive Yule-Walker estimates are considered for general seasonal ARIMA models and their asymptotic laws are obtained. This extends results known on least squares estimates for stable-unstable ARMA. Furthermore, these...

Let observations (X1....Xn) be generated by a harmonic model such that Xt=A0 cos 0t+B0 sin 0t+t, where A0,B0,0 are constants and (t) is a stationary process with zero mean and finite variance. The estimation of A0,B0,0 by the method of least squares is considered. It is shown that, without any...

"In many empirical studies, researchers seek to estimate causal relationships using instrumental variables. When only one valid instrumental variable is available, researchers are limited to estimating linear models, even when the true model may be non-linear. In this case, ordinary least...