In studying the asymptotic and finite-sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

The biasedness issue arising from the maximum likelihood estimation of the spatial autoregressive model (SAR) is further investigated under a broader set-up than that in Bao and Ullah (2007a). A major difficulty in analytically evaluating the expectations of ratios of quadratic forms is overcome...

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model...

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, infinite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...

This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...

The bootstrap is shown to be inconsistent in spurious regression. The failure of the bootstrap is spectacular in that the bootstrap effectively turns a spurious regression into a cointegrating regression. In particular, the serial correlation coefficient of the residuals in the bootstrap...