The three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian and Prucha (2007), which corrects for spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one-period lag of the dependent variable as additional...

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

We consider a multiple mismeasured regressor errors-in-variables model. We develop closed-form minimum distance estimators from any number of estimating equations, which are linear in the third and higher cumulants of the observable variables. Using the cumulant estimators alters qualitative...

We consider a multiple mismeasured regressor errors-in-variables model. We develop closed-form minimum distance estimators from any number of estimating equations, which are linear in the third and higher cumulants of the observable variables. Using the cumulant estimators alters qualitative...