This article is concerned with frequency-domain analysis of dynamic linear models under the hypothesis of rational expectations. We develop a unified framework for conveniently solving and estimating these models. Unlike existing strategies, our starting point is to obtain the model solution...

We study the sustainability of sovereign debt accumulation in 15 OECD countries using quarterly data from 1980 to 2010 with a focus on how and in what countries debt sustainability changed after the commencement of the Euro Convergence Criteria in 1997 as well as after the financial meltdown in...

This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions - that is, relationships between the primary fiscal balance and its determinants, including public...

This study examines the effects of exchange rate and net exports on manufacturing enterprises' profitability on the Pakistan Stock Exchange (PSX). When activity-based accounting is examined using panel data techniques, the main objective is to examine the direction and magnitude of the...

This article studies optimal model averaging for partially linear models with heteroscedasticity. A Mallows-type criterion is proposed to choose the weight. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments...

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their performance in Monte Carlo simulations. It is a well known fact that the natural choice, the least squares dummy variable estimator is biased in the context of dynamic estimation. The...

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....

Model-selection uncertainty corresponds to the uncertainty about the true lag order of the autoregressive process that should be picked. This paper shows that all model-selection criteria perform poorly in small samples. Model-selection uncertainty adds to the bias and variability in the...