Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially...

In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both...

This note shows that two ways of simulation based bias correction–indirect inference and bootstrap bias correction–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors.

We find evidence of a cyclical and seasonal bias in the annual benchmark revisions to the monthly level of non-farm payroll employment. We propose a change to the methodology that would remove the seasonal bias and ensure that the benchmark process does not artificially influence the estimated...

Estimation results from a dynamic factor model confirm an increase in output synchronization across European countries during the run-up to the inception of EMU, but EMU by itself has not continued to foster the emergence of a common business cycle.

Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset.

We study in this note the class of bilinear processes with periodic time-varying coefficients. We give necessary and sufficient conditions ensuring the existence of strict and second order stationary solutions (in periodic sense) and for the existence of higher order moments. The given...

For covariance structure models, the QMLE second-order bias is derived and compared with EL and GMM. Surprisingly, QMLE and EL have the same second-order bias if QMLE and GMM(EL) are equally first-order efficient. Other examples favoring QMLE are given.

Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.