In this article we develop a new test procedure for testing a linear hypothesis in a fixed effects linear model with heteroscedastic errors. This test is based on the ordinary least squares estimator (OLSE) of the regression parameter and uses the variance estimator of OLSE that accounts for...

This paper studies a class of estimators for the variance parameter of a stationary stochastic process. The estimators are based on L_p norms of standardized time series, and they generalize previously studied estimators due to Schruben. We show that the new estimators have some desirable...

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt is allowed to have nonparametric autocorrelation, and smoothing is used in...

In analyzing the output process generated by a steady-state simulation, we often seek to estimate the expected value of the output. The sample mean based on a finite sample of size n is usually the estimator of choice for the steady-state mean; and a measure of the sample mean's precision is the...