This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are...

This paper establishes that regressors in the models with censored dependent variables need not be bounded for the standard asymptotic results to apply. Thus regressors which grow monotonically with the observation index may be acceptable. It also purports to provide an upper bound on the rate...

This paper proposes a robust estimation procedure, the bounded influence estimate (BIE), that is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the...