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

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

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

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