The issue of whether the new one-sided procedures for testing inequalities dominate the classical procedure in terms of power remains unresolved in the literature. The Monte Carlo results in this study suggest a theoretical approach that could provide an analytical resolution

We investigate the finite-sample bias of the quasi-maximum likelihood estimator (QMLE) in spatial autoregressive models with possible exogenous regressors. We derive the approximate bias result of the QMLE in terms of model parameters and also the moments (up to order 4) of the error...

An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...

An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...

We consider the problem of instrumental variable estimation of semipara-metric dynamic panel data models. We propose several new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better...