This article considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time series process against the alternative of a randomized seasonal root with mean unity; that is, the process displays heteroscedastic seasonal integration. The alternative hypothesis...

Estimation of simultaneous-equation, limited dependent variable models is considered. The minimum Chi-squared method is used to compare the asymptotic relative efficiency of marginal and new conditional maximum likelihood estimators for this class of models. Efficient minimum Chi-squared...

A method is presented for generating test statistics that share the same first order asymptotic optimality properties of the classical statistics. Generalizing J. Neyman's work (1959), t he linearized classical statistic tests restrictions in implicit func tion form using a parameter estimator...

Since L. P. Hansen's (1982) seminal paper, the generalized method of moments (GMM) has become an increasingly important method for estimation and inference in econometrics. This paper examines semiparametric quasi-likelihood approaches. Essentially, these methods embed sample versions of the...

This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests...