This paper considers the instrumental variables (IV) estimation of the autoregressive distributed lag (ADL) model consisting of fractionally integrated regressors and disturbance term, while allowing for part of the regressors to be endogenous. The idea of Liviatan (1963) and that of Tsay (2007)...

This paper proposes a new class of GMM estimators to increase the effciency of the coeffcient estimate relative to the ordinary least squares (OLS) estimator when all the error term and regressors having nonparametric autocorrelation. This class of GMM estimators are built on the moments...

This paper extends the MD (multiple differenced) methodology of Tsay (2006) to estimate a class of time-series-cross-section (TSCS) models consisting of stationary or nonstationary long memory regressors and errors, while allowing for correlations and heteroskedasticities in both cross-section...

This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model...

This paper derives an analytic approximation formula for the likelihood function of the true random effects stochastic frontier model of Greene (2005) with a time span T = 2. Gaussian quadrature procedure and simulation-based method is not re- quired for the closed-form approach. Combining the...

It is found in Lee (2000) and Rabe-Hesketh et al. (2005) that the typical numerical-integral procedure suggested by Butler and Moffitt (1982) for the random effects probit model becomes biased when the correlation coefficient within each unit is relatively large. This could possibly explain why...

Heckman’s (1976, 1979) sample selection model has been employed in many studies of linear or nonlinear regression applications. It is well known that ignoring the sample selectivity problem may result in inconsistency of the estimator due to the correlation between the statistical errors in...

In this paper we consider a stochastic frontier model in which the distribution of technical inefficiency is truncated normal. In standard notation, technical inefficiency u is distributed as N^+ (μ,σ^2). This distribution is affected by some environmental variables z that may or may not...

This paper investigates the time to first birth, treating coresidence with husband's parents and labor supply as endogenous and using representative data on Taiwanese married women born over 1933-1968. We utilize a full information maximum likelihood estimator for a duration model with...

This paper takes issues with the appropriateness of applying the stochastic frontier analysis (SFA) technique to account for environmental effects and statistical noise in the popular three-stage data envelopment analysis (DEA). A correctly specified SFA model with a censored dependent variable...