This paper studies seemingly unrelated linear models with integrated regressors and stationary errors.

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax- induced price changes affect quantities supplied and demanded. In this paper, we present various econometric procedures for estimating how taxes affect demand.

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...

Nonparametric kernel estimation of density is widely used. However, many of the pointwise and global asymptotic results for the estimator are not available unless the density is contunuous and appropriately smooth; in kernel estimation for discrete-continuous cases smoothness is required for the...

We study the evolution of educational attainment of the 1932–1972 cohorts using a calibrated model of investment in human capital with heterogeneous learning ability. The inter-cohort variation in schooling is driven by changes in skill prices, tuition, and education quality over time, and...