This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., 1990b. Some further results on the exact small sample properties of the...

A sufficient condition is given such that first-order autoregressive processes are strong mixing. The condition is specified in terms of the univariate distribution of the independent identically distributed innovation random variables. Normal, exponential, uniform, Cauchy, and many other...

This paper considers tests for seasonal and non-seasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative seasonal ARMA(l,l)-ARMA(l,l) alternatives is investigated. This testing problem is non-standard due to...

This paper considers the linear regression model with multiple stochastic regressors, intercept, and errors that have undefined means. This model is of interest from a robustness perspective as a polar case. Generally, least squares estimators are inconsistent in this context. It is shown,...