The Paper Has Two Major Parts. the First Part Focuses on the Theoretical Properties of a General Equilibrium Asset Price Model Describing an Economy with Actual Output Stochastically Generated by a Markovian Latent Process of Technolgical Shocks. with a Concealed State Space Economy, Agents Make...

We Present Several Small-Sample Results on the Distribution of Residuals and Estimators of the Disturbance Variance in Econometric Models. We Consider General Linear and Nonlinear Models with Stochastic Regressors and Possibly Nonlinear Restrictions on the Parameters. These Include...

We Tabulate the Limiting Cumulative Distribution and Probability Density Functions of the Least Squares Estimator in a First-Order Autoregressive Regression When the True Model Is Near-Integrated in the Sense of Phillips (1986 A). the Results Are Obtained Using an Exact Numerical Method Which...