, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …

. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …

than previously thought. The present study provides asymptotic theory justifying the use of these methods when there are …

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … correct specification but the variance of the limit distribution is larger. Some applications of the limit theory to non …

calculation of long run variation matrices for multivariate time series with long memory and the econometric estimation of such …

, continuing to contribute to variance reduction in IV estimation. However, simulations show that OLS is generally superior to IV … estimation in terms of MSE, even in the presence of endogeneity. Estimation precision is also reduced when the regressor is …