We derive the asymptotics of the OLS estimator for a purely autoregressive spatial model. Only low-level conditions are used. As the sample size increases, the spatial matrix is assumed to approach a square-integrable function on the square $(0,1)^2$. The asymptotic distribution is a ratio of...

Extending the results in Sargan (1976) and Tanaka (1984), we derive the asymptotic expansions, of the Edgeworth and Nagar type, of the MM and QML estimators of the 1^{st} order autocorrelation and the MA parameter for the MA(1) model. It turns out that the asymptotic properties of the estimators...

In this paper, we propose a method to price collateralized debt obligations (CDO) within Merton's structural model on underlyings with a stochastic mean-reverting covariance dependence. There are two key elements in our development, first we reduce dimensionality and complexity using principal...

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the...

In the recent years, di usion models for interest rates became very pop- ular. In this paper, we try to do a selection of a suitable di usion model for the Italian interest rates. Our data set is given by the yields on three-month BOT, from 1981 to 2001, for a total of 470 observations. We...

Using method of moments techniques (ref: Chamberlain (1984), Gallant and Jorgenson (1979)), this paper's objective is to test the predictions of the theory of job-matching and the theory of human capital pertaining to the covariance structure of residuals from a typical Mincer log earnings...

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the...

In this paper we estimated the traditional cross-country growth model and corrected for model endogeneity bias and country-specific hetereogeneity effects. Using the System-IV Generalized Method of Moments (GMM) approach, we identified the key factors that determine GDP per capita growth rate in...

This paper considers panel data regression models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail to provide consistent estimates of the parameters. We propose a new estimation...

The issue of consumer heterogeneity in discrete choice analysis has been attracting much attention recently. Research has suggested that heterogeneity can result in biased parameter estimates which, in turn, can lead to incorrect conclusions. Among the many methods proposed in the literature to...