In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model...

In this paper, we consider parameter estimation in a linear simultaneous equations model. It is well known that two-stage least squares (2SLS) estimators may perform poorly when the instruments are weak. In this case 2SLS tends to suffer from the substantial small sample biases. It is also known...

Sample selection models are important for correcting the effects of non-random sampling. This paper is about semiparametric estimation using a series approximation to the correction term. Regression spline and power series approximations are considered. Asymptotic normality and consistency of an...