The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as nite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are...

When using data from individuals who are in the labour force to disentangle the empirical relevance of cohort, age and time effects for sickness absence, the inference may be biased, affected by sorting-out mechanisms. One reason is unobserved heterogeneity potentially affecting both health...

In the paper steps are taken towards integration of two parts of Trygve Haavelmo’s work: investment theory and econometrics of interrelated markets. Attempts are made to bring the duality in the representation of the capital service price and the capital quantity in relation to the investment...

A system of regression equations (SURE) for analyzing panel data with random heterogeneity in intercepts and coefficients, and unbalanced panel data is considered. A Maximum Likelihood (ML) procedure for joint estimation of all parameters is described. Since its implementation for numerical...