This paper examines the effect of FDI on employment in the Chinese manufacturing sector. As one of the world's largest recipients of FDI, China has arguably benefited from foreign multinational enterprises in various respects. However, one of the main challenges for China, and other developing...

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models. Consistent estimation and asymptotic normality as N and/or T grows large is established for a comprehensive specification which allows for serial correlation in the form of AR(1) for the...

The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we...

We use Bayesian techniques to select the factors in a multifactor asset pricing model when the assumption of normally distributed returns is relaxed. More precisely, we assume that asset returns are multivariate t-distributed. This setup allows us to capture the well known fat tail property of...