The family of multiplicative error models, introduced by Engle (<xref>2002</xref>, <italic>Journal of Applied Econometrics</italic> 17, 425–446), has attracted considerable attention in recent literature for modeling positive random variables, such as the duration between trades at a stock exchange, volume transactions,...

The limited dependent variable models with errors having log-concave density functions are studied here. For such models with normal errors, the asymptotic normality of the maximum likelihood estimator was established by Amemiya [1]. We show, when the density of the error distribution is...

The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if <italic>X</italic> = (<italic>X</italic>₁,,<italic>X</italic>₂,;t ≥ 0) is a nonergodic diffusion in R², but there exists a linear combination, say, γ′<italic>X</italic>, that is instead ergodic in R, then we say there exists a linear...

This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence...