This paper considers estimation methods and inference for linear dynamic panel data models with unit-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time-invariant variables in a dynamic version of the Hausman and Taylor...

This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...

This paper considers estimation methods and inference for linear dynamic panel data models with unit-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time-invariant variables in a dynamic version of the Hausman and Taylor...

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is...

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Non-homogeneous regression models are widely used to statistically post-process numerical ensemble weather prediction models. Such regression models are capable of forecasting full probability distributions and correct for ensemble errors in the mean and variance. To estimate the corresponding...

We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...

This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...