This paper studies the use of the overlapping blocking scheme in unit root autoregression. When the underlying process is that of a random walk, the blocks’ initial conditions are not fixed, but are equal to the sum of all the previous observations’ error terms. When non-...

Ordinary least squares (OLS) is well-known to produce an inconsistent estimator of the spatial parameter in pure spatial autoregression (SAR). This paper explores the potential of indirect inference to correct the inconsistency of OLS. Under broad conditions, it is shown that indirect inference...

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual...