We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting...

Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving financial data. We derive explicit finite sample expressions for the tail...

We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application,...

This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance...

This paper develops a new approach to the estimation of consumer demand models with unobserved heterogeneity subject to revealed preference inequality restrictions. Particular attention is given to nonseparable heterogeneity. The inequality restrictions are used to identify bounds on...

This paper derives the asymptotic distribution of the F-test for the significance of linear regression coefficients as both the number of regressors, k, and the number of observations, n, increase together so that their ratio remains positive in the limit. The conventional critical values for...

Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large,...

This paper develops a framework for the analysis of semiparametric conditional moment models with endogenous and mismeasured causes, which is of empirical importance. We show that one set of valid instruments is sufficient to control for both endogeneity and measurement errors of the causes of...

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV...

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include...