The exponentially tilted family of densities is used to discuss the relationship between the encompassing principle and the <italic>M</italic>-test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics and in this sense equivalent....

This paper investigates the asymptotic distribution of the maximum likelihood estimator in a stochastic frontier function when the firms are all technically efficient. For such a situation the true parameter vector is on the boundary of the parameter space, and the scores are linearly dependent....

In this article, we investigate a bias in an asymptotic expansion of the simulated maximum likelihood estimator introduced by Lerman and Manski (pp. 305–319 in C. Manski and D. McFadden (eds.), <italic>Structural Analysis of Discrete Data with Econometric Applications</italic>, Cambridge: MIT Press, 1981) for...

In this paper, we extend the GMM framework for the estimation of the mixed-regressive spatial autoregressive model by Lee(2007a) to estimate a high order mixed-regressive spatial autoregressive model with spatial autoregressive disturbances. Identification of such a general model is considered....

This paper examines the asymptotics of the QMLE for unit root dynamic panel data models with spatial effect and fixed effects. We consider a unit root dynamic panel data model with spatially correlated disturbances and a unit root spatial dynamic panel data model. For both models the estimate of...