We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

We construct a novel statistic to test hypothezes on subsets of the structural parameters in an Instrumental Variables (IV) regression model. We derive the chi squared limiting distribution of the statistic and show that it has a degrees of freedom parameter that is equal to the number of...

We show that three convenient statistical properties that are known to hold for the linear model with normal distributed errors that: (i.) when the variance is known, the likelihood based test statistics, Wald, Likelihood Ratio and Score or Lagrange Multiplier, coincide, (ii.) when the variance...

Root cancellation in Auto Regressive Moving Average (ARMA) models leads to local non-identification of parameters. When we use diffuse or normal priors on the parameters of the ARMA model, posteriors in Bayesian analyzes show an a posteriori favor for this local non-identification. We show that...