Ploberger and Phillips ("Econometrica", Vol. 71, pp. 627-673, 2003) proved a result that provides a bound on how close a fitted empirical model can get to the true model when the model is represented by a parameterized probability measure on a finite dimensional parameter space. The present note...

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak...

This paper characterizes empirically achievable limits for time series econometric modeling and forecasting. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the...