This article extends the Marsh-Merton (1987) model to test the information effects of dividends. A generalized friction method provides for more reliable estimates of the relationship between dividends and the firm's permanent earnings by resolving the estimation problems caused by the dividend...

<b> </b> This paper proposes a test for the null of sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf to test for the null of sphericity of the error terms in a fixed effects panel model with a large number of cross‐sectional...

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are...

This paper discusses issues on the estimation of consumer demand equations subject to binding non-negative constraints. We propose computationally feasible specifications and a simulated maximum likelihood (SML) method for demand systems. Our study shows that the econometric implementation of...

This paper discusses issues on the estimation of consumer demand equations subject to binding non-negative constraints. We propose computationally feasible specifications and a simulated maximum likelihood (SML) method for demand systems. Our study shows that the econometric implementation of...

This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, <CitationRef CitationID="CR3">2003</CitationRef>), we investigate the use of a simple <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$F$$</EquationSource> </InlineEquation> test for testing for cross-sectional dependence when the factor may be known or unknown. The...</equationsource></inlineequation></citationref>

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In...

Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance–covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.