We study the properties of the multi-period-ahead least-squares forecast for the stationary AR(1) model under a general error distribution. We find that the forecast is unbiased up to O(T^(−1)), where T is the in-sample size, regardless of the error distribution and that the mean squared...

I derive the approximate bias and mean squared error of the least squares estimator of the autoregressive coefficient in a stationary first-order dynamic regression model, with or without an intercept, under a general error distribution. It is shown that the effects of nonnormality on the...

The issue of whether the new one-sided procedures for testing inequalities dominate the classical procedure in terms of power remains unresolved in the literature. The Monte Carlo results in this study suggest a theoretical approach that could provide an analytical resolution

We study the finite-sample bias and mean squared error, when properly defined, of the sample coefficient of variation under a general distribution. We employ a Nagar-type expansion and use moments of quadratic forms to derive the results. We find that the approximate bias depends on not only the...

There is widespread concern about differences in the quality of state-run and private schooling. The concerns are especially severe in the numerous developing countries where much of the population has left state-provided schooling for private schooling, including many private schools not...

A convergence approach is utilized to examine deviations from the law of one price. Sample data are menu prices for eight identical products sold by international restaurant franchises in Mexico and the United States. The results suggest mean reverting behaviour in real exchange rate movements...

This paper demonstrates the potential problem in using existing economics journal rankings to evaluate the research productivity of scholars by constructing a new ranking of economics journals and articles. Based on 2142 econometrics sample articles published from 2000 to 2005, our ranking...

Overall journal rankings, which are generated with sample articles in different research fields, are commonly used to measure the research productivity of academic economists. In this article, we investigate a growing concern in the profession that the use of the overall journal rankings to...

The paper examines the relationship between economic growth, tax policy, and distribution of capital and labor ownership in a one-sector political-economy model of endogenous growth with productive government spending financed by a proportional tax on capital income. The analysis shows that...

The generalized method of moments (GMM) estimator is often used to test for convergence in income distribution in a dynamic panel set-up. We argue that though consistent, the GMM estimator utilizes the sample observations inefficiently. We propose a simple ordinary least squares (OLS) estimator...