This paper provides general conditions which ensure consistency and asymptotic normality for the nonlinear least squares estimator. These conditions apply to time-series, cross-section, panel, or experimental data for single equations as well as systems of equations. The regression errors may be serially correlated and/or heteroscedastic. For an important special case, we propose a new covariance matrix estimator which is consistent regardless of the presence of heteroscedasticity or serial correlation of unknown form. We also give some new tests for model misspecification, based on the information matrix testing principle

Uma rede estatística é uma cole,cão de nós representando variáveis aleatórias e um conjunto de arestas que ligam os nós. Um modelo estocástico por isso e chamado um modelo gráfico. Estes modelos, de gráficos e redes, sáo particularmente úteis para examinar as dependéncias estatísticas baseadas em condi,coes do tipo das que ocorrem frequentemente em economia e estatística. Neste artigo as variáveis aleatórias dos nós serão séries temporais ou processos pontuais. Os casos de gráfos direcionados e não-direcionados são apresentados. A statistical network is a collection of nodes representing random variables and a set of edges that connect the nodes. A probabilistic model for such is called a graphi-cal model. These models, graphs and networks are particularly useful for examining statistical dependencies based on conditioning as often occurs in economics and statis-tics. In this paper the nodal random variables will be time series or point proceses. The cases of undirected and directed graphs are focussed on.

Abstract. Unpleasant realities of real-world data force applied econometricians to violate the prescriptions of econometric theory as taught by our textbooks. Leamer (1978) vividly describes this behavior as wanton sinning in the basement, with sinners ’ metamorphizing into high priests as they ascend to the third floor to teach econometric theory. But this sinning is not completely wanton — applied econometricians do (or should) follow some unwritten rules of behavior, in effect bounding the sinning and promoting a brand of honor among sinners. This paper exposits these rules, and culls from them an unauthorized list of the Ten Commandments of applied econometrics.

The paper illustrates how econometricians practice their subject, using primarily graphical tools. It is based on software which exploits the Windows operating system to show data, results, reports, and graphics simultaneously on screen, and seeks to capture the interactions which were used in the associated lecture to highlight the learning process involved in econometric modelling. The substantive application is a model of the UK inflation process over the past century, which finds an important role for excess demand for goods and services, with additional pressures from excess money, national debt, and deviations from purchasing power parity. 1 Introduction The title of the talk is a deliberate pun on the use of the Windows TM operating system capabilities to throw light on how econometricians practice their subject: the objective is to demonstrate how much can be achieved by a set of primarily graphical tools. In the background is the aim to help `executives' at their desk under...

Widespread international price signals. Based on information from 78 countries over the 1966-1991 period, domestic markets. Unlike previous findings, we conclude that in 60 countries price transmission takes place. A dynamic maximization model shows these results to be consistent with policy makers following international price signals. Results have implications for price instability in world

to stimulate discussion and critical comment. References to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available at www.federalreserve.gov/pubs/ifdp / on the Web.

prior to this class: 1. Knowledge of econometrics at the level of Gujarati (1995) (chapters 1--15) (i.e. Met 201). 2. Knowledge of statistical theory at the level of Freund (1992) (i.e. Stat 250). 3. Some prior exposure to linear algebra, i.e. familiarity with matrix notation, and basic operations on vectors and matrices. 4. Knowledge 1 of a statistical software package such as TSP or SHAZAM. 2 5. Knowledge of intermediate micro- and macroeconomic theory. 4 Organization The class will be organized with lectures and theoretical and applied exercises using TSP or SHAZAM. I do not intend to lecture on everything, but will attempt to give overviews and draw attention to important points and relationships in the material covered in this course. That is, it is the student's responsibility to acquire mastery of the course material. There will be five --- 5 --- sets of mandatory homeworks. The final 5 hour exam is scheduled for 10

The aim of this essay is to deal with economic voting in contexts of multilevel governance and to be a contribution to the debate on attribution of responsibilities in popularity functions literature. We use aggregate and individual data from Catalonia in order to analyse the relation between the state of the economy and the support for a substate government. The empirical analysis shows that the responsibility hypothesis works in regional governments without explicit macroeconomic competencies. We have also considered the evaluations of government performance on certain specific policies in order to clarify and determine the factors that drive Catalan government support. The article considers the implications of the findings for future attempts to model party support in a context of the European Union. JEL: D72. Keywords: Economic vote, popularity functions, attribution of responsabilities, grievance asymmetry. ____________________________________________________________ This pape...