We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

We introduce conditional score residuals and provide a general framework for the diagnostic analysis of time series models. A key feature of conditional score residuals is that they account for the shape of the conditional distribution. These residuals offer reliable and powerful diagnostic...

We study a class of trending panel regression models with time-varying coefficients that incorporate cross-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent variable. We introduce a local linear dummy variable...