Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...

In this paper we obtain bounds under weaker nonparametric assumptions and explore how the bounds with assumptions imposed.

In this paper we compare via Monte Carlo experiments some methods to estimate the parameter of long-range dependence. We then apply these procedures to a financial time series to investigate its long-memory properties. The evidence of smooth long-range dependence makes the usual Efficiency...

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...

The estimation of the noncentrality parameter of a chi-squared distribution, although simple to state, leads to difficulties, both for frequentist and Bayesian inferences. We propose in this paper a family of admissible improper Bayes estimators and study the minimax behavior of these estimators...

The literature of commodity supply functions is characterized by explanatory variables which are either current of lagged prices. This study not only underlines the existence of other equally or more important factors but also emphasize their explicit incorporation in estimation.

Brief summaries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").