Necessary and sufficient conditions for the equality of ordinary least squares and generalized least squares estimators in the linear regression model with firstorder spatial error processes are given.

We consider a misconception common among students of statistics involving "adjusted" and "unadjusted" sums-of-squares. While the presence of misconception has been noted before (e.g. Hamilton (1986)), we argue that it may be related to the language we use in describing the meaning of...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...