This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the...

Monte Carlo experiments establish that the usual "t-statistic" used for testing for first-order serial correlation with artificial regressions is far from being distributed as a Student's t in small samples. Rather, it is badly biased in both mean and variance and results in grossly misleading...

A case is made that today's graduate students in economics must master early on a computational environment suitable for their research needs. The virtues of Mathematica for this purpose are highlighted. Descriptions of its elements that are particularly suited for this need are given along with...