the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against … heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is also robust against outliers and requires weaker moment conditions … conventional QML estimator without taking into account of heteroscedasticity in the errors; it also outperforms the GMM estimators …

among maximum-likelihood based methods. The model is also robust to the choice of environmental variables that will be …

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects … functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model …

recent and global data, we first examine co-integration relationship between domestic and international interest rates to … regimes, with the lack of co-integration relationship or the slower adjustment speed. The result implies some capacity for …