In this article we aim to establish intuitively appealing and verifiable conditions for the first-order efficiency and asymptotic normality of ML estimators in a multi-parameter framework, assuming joint normality but neither the independence nor the identical distribution of the observations....

In this paper we bring together those properties of the Kronecker product, the vec operator, and 0-1 matrices which in our view are of interest to researchers and students in econometrics and statistics. The treatment of Kronecker products and the vec operator is fairly exhaustive; the treatment...

Let <italic>X</italic>₀ be a square matrix (complex or otherwise) and <italic>u</italic>₀ a (normalized) eigenvector associated with an eigenvalue λ^o of <italic>X</italic>₀, so that the triple (<italic>X</italic>₀, <italic>u</italic>₀, λ₀) satisfies the equations <italic>Xu</italic> = λ<italic>u</italic>, null. We investigate the conditions under which unique differentiable functions λ(<italic>X</italic>) and <italic>u</italic>(<italic>X</italic>) exist in a...

Many regression models have two dimensions, say time (<italic>t</italic> = 1,…,<italic>T</italic>) and households (<italic>i</italic> = 1,…,<italic>N</italic>), as in panel data, error components, or spatial econometrics. In estimating such models we need to specify the structure of the error variance matrix <italic>Ω</italic>, which is of dimension <italic>T N</italic> × <italic>T N</italic>. If <italic>T N</italic> is...

The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model <italic>y</italic><italic>null</italic> = α + β<italic>y</italic>_null + <italic>u</italic><italic>null</italic>. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain...