This paper develops a fully modified OLS (FM-OLS) estimator for cointegrating polynomial regressions, i.e., regressions that include as explanatory variables deterministic variables, integrated ...

This paper examines the sensitivity of the distributions of OLS and 2SLS estimators to the assumption of normality of disturbances in a structural equation with two included endogenous variables. The ...

A brief description of the methods used by the SYSLIN procedure follows. For more information on these methods, see the references at the end of this chapter. There are two fundamental methods of ...

This paper provides Monte Carlo results for the performance of the method of moments (MM), maximum likelihood (ML) and ordinary least squares (OLS) estimators of the credit loss distribution implied ...

When a time series has a unit root, the series is nonstationary and the ordinary least squares (OLS) estimator is not normally distributed. Dickey (1976) and Dickey and Fuller (1979) studied the ...

Abstract: A structural import demand equation is derived and estimated for a large number of countries, using recent time-series techniques that address the problem of non-stationarity. The average ...

Research fellow, Federal Reserve Bank of St. Louis (2003 - 2008) Consultant, Maritz (2005 - 2006) Consultant, Anheuser-Busch (2004 - 2006) Visiting Scholar, Federal Reserve Bank of St. Louis (2001 – ...