We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more...

This report contains impressions of a participant of the Canadian Econometric Study Group meeting held in October, 2006 in Niagara Falls.

Nonparametric estimation is widely used in statistics and econometrics with many asymptotic results relying on smoothness of the underlying distribution, however, there are cases where such assumptions may not hold in practice. Lack of smoothness may have undesirable consequences such as an...

This report contains impressions of a participant of the UK Econometric Study Group meeting held on July 13-15, 2006 in Bristol, UK.

The paper discusses the choices of mathematical approaches in economics and econometrics, in particular, approaches that either (a) aim for a sharp result or (b) use the least restrictive assumptions. It is argued that, while the choice (a) often necessitates strong mathematical assumptions,...