We introduce a goodness of fit test for ergodic Markov processes. Our test compares the data against the set of stationary densities implied by the class of models specified in the null hypothesis, and rejects if no model in the class yields a stationary density that matches with the data. No...

Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...

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...

This paper studies the asymptotic efficiency in factor models with serially correlated errors and dynamic panel data models with interactive effects. We derive the efficiency bound for the estimation of factors, factor loadings and common parameters that describe the dynamic structure. We use...

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...

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...

Since the pioneering work by Granger (1969), many authors have proposed tests of causality between economic time series. Most of them are concerned only with “linear causality in mean”, or if a series linearly affects the (conditional) mean of the other series. It is no doubt of primary...

This note considers a puzzling phenomenon that is observed in some semiparametric estimation problems. In some cases, using estimated values of the nuisance parameters provides a more efficient estimator for the parameters of interest than does using the true values. This phenomenon takes place...