This paper studies the asymptotic efficiency of estimates in nonlinear panel data models with fixed effects when both the cross-sectional sample size and the length of time series tend to infinity. The efficiency bounds for regular estimators are derived using the infinite-dimensional...

This paper proposes the analysis of panel data whose dynamic structure is heterogeneous across individuals. Our aim is to estimate the cross-sectional distributions and/or some distributional features of the heterogeneous mean and autocovariances. We do not assume any specific model for the...

In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly innite order in the presence of individual effects. We utilize the sieve AR approximation with its lag order increasing with the sample size. We establish the consistency and asymptotic normality...

We propose a nonparametric test for Granger-type causality. A conceptually similar work will be Hidalgo (2000), who introduced a nonparametric Granger causality test in the frequency domain for weakly stationary linear processes. He is mainly concerned with the test under long range dependent...

This paper proposes a method of averaging generalized least squares (GLS) estimators for linear regression models with heteroskedastic errors. We derive two kinds of Mallows' Cp criteria, calculated from the estimates of the mean of the squared errors of the tted value based on the averaged GLS...

This dissertation consists of three chapters, each of which proposes methods to deal with the "many moments" problem in a different model. Chapter I develops shrinkage methods for solving the "many moments" problem in the context of instrumental variable estimation. The procedure can be...

This paper develops shrinkage methods for addressing the “many instruments” problem in the context of instrumental variable estimation. It has been observed that instrumental variable estimators may behave poorly if the number of instruments is large. This problem can be addressed by...

Testing the presence of serial correlation in the error terms in fixed effects regression models is important for many reasons. This paper proposes portmanteau tests based on the sum of the squares of autocorrelation estimators. This approach is a direct extension of the Box–Pierce or...

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman,...