This paper investigates the local robustness properties of a general class of multidimensional tests based on <italic>M</italic>-estimators. These tests are shown to inherit the efficiency and robustness properties of the estimators on which they are based. In particular, it is shown that small perturbations of...

The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model <italic>y</italic><italic>null</italic> = α + β<italic>y</italic>_null + <italic>u</italic><italic>null</italic>. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain...

Many regression models have two dimensions, say time (<italic>t</italic> = 1,…,<italic>T</italic>) and households (<italic>i</italic> = 1,…,<italic>N</italic>), as in panel data, error components, or spatial econometrics. In estimating such models we need to specify the structure of the error variance matrix <italic>Ω</italic>, which is of dimension <italic>T N</italic> × <italic>T N</italic>. If <italic>T N</italic> is...