Essays in Honor of Aman Ullah

Edited by Gloria Gonzalez-Rivera, Department of Economics, University of California Riverside, Riverside, CA, USA R. Carter Hill, Department of Economics, Louisiana State University, Baton Rouge, LA, USA Tae-Hwy Lee, Department of Economics, University of California Riverside, Riverside, CA, USA

PART I: TRIBUTE A Selective Review of Aman Ullahs Contributions to Econometrics - Yong Bao, Yanqin Fan, Liangjun Su and Victoria Zinde-Walsh PART II: PANEL DATA MODELS Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models - Yonghong An, Cheng Hsiao and Dong Li Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions - Badi H. Baltagi and Long Liu Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors - Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects - Liangjun Su and Yonghui Zhang PART III: FINITE SAMPLE ECONOMETRICS Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in Arma Models - Yong Bao Finite Sample Bias Corrected Iv Estimation for Weak and Many Instruments - Matthew Harding, Jerry Hausman and Christopher J. Palmer PART IV: INFORMATION AND ENTROPY On the Construction of Prior Information - An Info-Metrics Approach - Amos Golan and Robin L. Lumsdaine The Wage Premium of Naturalized Citizenship - Esfandiar Maasoumi and Yifeng Zhu Causality and Markovianity: Information Theoretic Measures - Eric Renault and Daniela Scida PART V: ISSUES IN ECONOMETRIC THEORY A Likelihood-Free Reverse Sampler of the Posterior Distribution - Jean-Jacques Forneron and Serena Ng A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data - Ai Han, Yongmiao Hong, Shouyang Wang and Xin Yun Inference in Near-Singular Regression - Peter C. B. Phillips PART VI: NONPARAMETRIC AND SEMIPARAMETRIC METHODS Multivariate Local Polynomial Estimators: Uniform Boundary Properties and Asymptotic Linear Representation - Yanqin Fan and Emmanuel Guerre Model Averaging Over Nonparametric Estimators - Daniel J. Henderson and Christopher F. Parmeter Smoothness: Bias and Efficiency of Nonparametric Kernel Estimators - Yulia Kotlyarova, Marcia M. A. Schafgans and Victoria Zinde-Walsh A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions - Kairat Mynbaev, Carlos Martins-Filho and Aziza Aipenova Local Polynomial Derivative Estimation: Analytic or Taylor? - Jeffrey S. Racine A Simple Consistent Nonparametric Estimator of the Lorenz Curve - Yu Yvette Zhang, Ximing Wu and Qi Li