In dynamic regression models conditional maximum likelihood (least-squares) coefficient and variance estimators are biased. Using expansion techniques an approximation is obtained to the bias in variance estimation yielding a bias corrected variance estimator. This is achieved for both the...

In designing Monte Carlo simulation studies for analyzing finite sample properties of econometric inference methods, one can use either IID drawings in each replication for any series of exogenous explanatory variables or condition on just one realization of these. The results will usually...

An approximation to order T−2 is obtained for the bias of the full vector of least-squares estimates obtained from a sample of size T in general stable but not necessarily stationary ARX(1) models with normal disturbances. This yields generalizations, allowing for various forms of initial...

Two linear estimators for stationary invertible vector autoregressive moving average (VARMA) models in echelon form — to achieve parameter unicity (identification) — with known Kronecker indices are studied. It is shown that both estimators are consistent and asymptotically normal with...

Exact inference methods are proposed for asset pricing models with unobservable risk-free rates and coskewness; specifically, the Quadratic Market Model (QMM) which incorporates the effect of asymmetry of return distribution on asset valuation. In this context, exact tests are appealing given...

Simple point-optimal sign-based tests are developed for inference on linear and nonlinear regression models with non-Gaussian heteroskedastic errors. The tests are exact, distribution-free, robust to heteroskedasticity of unknown form, and may be inverted to build confidence regions for the...

Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent structural models, the importance of real wage rigidities in the data, and the extent to which such models provide useful...