Details about Ingmar R. Prucha

Homepage:	http://econweb.umd.edu/~prucha/
Workplace:	Department of Economics, University of Maryland, (more information at EDIRC)

Access statistics for papers by Ingmar R. Prucha.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: ppr355

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Working Papers

2024

1. Differential Test Performance and Peer Effects
   Papers, arXiv.org

2022

2. Efficient Peer Effects Estimators with Group Effects
   Papers, arXiv.org
   See also Journal Article Efficient peer effects estimators with group effects, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)

2019

3. Study of a Peer Effect with Random Group Effects
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2015

4. Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
   CESifo Working Paper Series, CESifo View citations (9)
   See also Journal Article Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity, Econometrica, Econometric Society (2020) View citations (32) (2020)

2014

5. On the Finite Sample Properties of Pre-Test Estimators of Spatial Models
   CESifo Working Paper Series, CESifo View citations (3)
   Also in Working Papers, Regional Research Institute, West Virginia University (2013) View citations (3)
   See also Journal Article On the finite sample properties of pre-test estimators of spatial models, Regional Science and Urban Economics, Elsevier (2014) View citations (3) (2014)

2008

6. A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results
   CESifo Working Paper Series, CESifo View citations (17)
   See also Journal Article A SPATIAL CLIFF‐ORD‐TYPE MODEL WITH HETEROSKEDASTIC INNOVATIONS: SMALL AND LARGE SAMPLE RESULTS*, Journal of Regional Science, Wiley Blackwell (2010) View citations (131) (2010)
7. Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
   CESifo Working Paper Series, CESifo View citations (14)
   See also Journal Article Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances, Journal of Econometrics, Elsevier (2010) View citations (562) (2010)

1999

8. Basic Elements of Asymptotic Theory
   Electronic Working Papers, University of Maryland, Department of Economics View citations (3)
9. Dynamic Factor Demand Models and Productivity Analysis
   Electronic Working Papers, University of Maryland, Department of Economics View citations (13)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (13)
   See also Chapter Dynamic Factor Demand Models and Productivity Analysis, NBER Chapters, National Bureau of Economic Research, Inc (2001) View citations (20) (2001)
10. On the Asymptotic Distribution of the Moran I Test Statistic with Applications
    Electronic Working Papers, University of Maryland, Department of Economics View citations (4)
    See also Journal Article On the asymptotic distribution of the Moran I test statistic with applications, Journal of Econometrics, Elsevier (2001) View citations (335) (2001)

1997

11. A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model
    Electronic Working Papers, University of Maryland, Department of Economics
    See also Journal Article A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1999) View citations (829) (1999)
12. A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
    Electronic Working Papers, University of Maryland, Department of Economics View citations (6)
    See also Journal Article A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances, The Journal of Real Estate Finance and Economics, Springer (1998) View citations (1121) (1998)
13. Estimation of Spatial Regression Models with Autoregressive Errors by Two Stage Least Squares Procedures: A Serious Problem
    Electronic Working Papers, University of Maryland, Department of Economics View citations (41)
    See also Journal Article Estimation of Spatial Regression Models with Autoregressive Errors by Two-Stage Least Squares Procedures: A Serious Problem, International Regional Science Review (1997) View citations (41) (1997)

1996

14. Estimation of a variable rate of depreciation: A dummy variable approach
    Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy"
    See also Journal Article Estimation of a variable rate of depreciation: a dummy variable approach, Structural Change and Economic Dynamics, Elsevier (1997) View citations (1) (1997)

1994

15. On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (2)

1993

16. Estimation of the Depreciation Rate of Physical and R&D Capital in the U.S. Total Manufacturing Sector
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (31)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (34)
    See also Journal Article Estimation of the Depreciation Rate of Physical and R&D Capital in the U.S. Total Manufacturing Sector, Economic Inquiry, Western Economic Association International (1996) View citations (179) (1996)

1991

17. Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
18. Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical Machinery Industry
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (4)
    See also Journal Article Endogenous capital utilization and productivity measurement in dynamic factor demand models Theory and an application to the U.S. electrical machinery industry, Journal of Econometrics, Elsevier (1996) View citations (15) (1996)

1989

19. DYNAMIC FACTOR DEMAND MODELS, PRODUCTIVITY MEASUREMENT, AND RATES RETURN: THEORY AND AN EMPIRICAL APPLICATION TO THE U.S. BELL SYSTEM
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (5)
    See also Journal Article Dynamic factor demand models, productivity measurement, and rates of return: Theory and an empirical application to the US Bell System, Structural Change and Economic Dynamics, Elsevier (1990) View citations (14) (1990)

1988

20. COMPARISON AND ANALYSIS OF PRODUCTIVITY GROWTH AND R&D INVESTMENT IN THE ELECTRICAL MACHINERY INDUSTRIES OF THE UNITED STATES AND JAPAN
    Working Papers, C.V. Starr Center for Applied Economics, New York University
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (1)
    See also Chapter Comparison and Analysis of Productivity Growth and R&D Investment in the Electrical Machinery Industries of the United States and Japan, NBER Chapters, National Bureau of Economic Research, Inc (1991) View citations (1) (1991)

1987

21. A Note on the Estimation of Non-Symmetric Dynamic Factor Demand Models
    Working Papers, C.V. Starr Center for Applied Economics, New York University
    See also Journal Article A note on the estimation of nonsymmetric dynamic factor demand models, Journal of Econometrics, Elsevier (1989) View citations (7) (1989)
22. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (1)
    See also Journal Article A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes, Econometrica, Econometric Society (1989) View citations (28) (1989)
23. On the Computation of Estimators in Systems with Implicitly Defined Variables
    Working Papers, C.V. Starr Center for Applied Economics, New York University
    See also Journal Article On the computation of estimators in systems with implicity defined variables, Economics Letters, Elsevier (1988) View citations (5) (1988)

1984

24. R&D, Production Structure, and Productivity Growth in the U.S., Japaneseand German Manufacturing Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

1982

25. Formulation and Estimation of Dynamic Factor Demand Equations Under Non-Static Expectations: A Finite Horizon Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in Working Papers, C.V. Starr Center for Applied Economics, New York University (1982) View citations (3)

Journal Articles

2023

1. Efficient peer effects estimators with group effects
   Journal of Econometrics, 2023, 235, (2), 2155-2194 View citations (1)
   See also Working Paper Efficient Peer Effects Estimators with Group Effects, Papers (2022) (2022)
2. GUEST EDITORS’ INTRODUCTION: SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF BENEDIKT M. PÖTSCHER
   Econometric Theory, 2023, 39, (6), 1093-1096
3. Refined GMM estimators for simultaneous equations models with network interactions
   Empirical Economics, 2023, 64, (6), 2535-2542
4. SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS
   Econometric Theory, 2023, 39, (6), 1154-1201 View citations (1)

2020

5. Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
   Econometrica, 2020, 88, (5), 2109-2146 View citations (32)
   See also Working Paper Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity, CESifo Working Paper Series (2015) View citations (9) (2015)

2018

6. A robust test for network generated dependence
   Journal of Econometrics, 2018, 207, (1), 92-113 View citations (7)

2014

7. On the finite sample properties of pre-test estimators of spatial models
   Regional Science and Urban Economics, 2014, 46, (C), 103-115 View citations (3)
   See also Working Paper On the Finite Sample Properties of Pre-Test Estimators of Spatial Models, CESifo Working Paper Series (2014) View citations (3) (2014)
8. Special Issue on Spatial Econometrics: An Editorial Note
   The Review of Regional Studies, 2014, 44, (3), 221-222

2013

9. A command for estimating spatial-autoregressive models with spatial-autoregressive disturbances and additional endogenous variables
   Stata Journal, 2013, 13, (2), 287-301 View citations (46)
10. Creating and managing spatial-weighting matrices with the spmat command
    Stata Journal, 2013, 13, (2), 242-286 View citations (63)
11. Editorial
    Spatial Economic Analysis, 2013, 8, (3), 215-217
12. Limit theory for panel data models with cross sectional dependence and sequential exogeneity
    Journal of Econometrics, 2013, 174, (2), 107-126 View citations (33)
13. Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances
    Stata Journal, 2013, 13, (2), 221-241 View citations (79)
14. On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors
    Econometric Reviews, 2013, 32, (5-6), 686-733 View citations (101)
15. On the I -super-2( q ) Test Statistic for Spatial Dependence: Finite Sample Standardization and Properties
    Spatial Economic Analysis, 2013, 8, (3), 271-292 View citations (1)

2012

16. On spatial processes and asymptotic inference under near-epoch dependence
    Journal of Econometrics, 2012, 170, (1), 178-190 View citations (75)

2010

17. A SPATIAL CLIFF‐ORD‐TYPE MODEL WITH HETEROSKEDASTIC INNOVATIONS: SMALL AND LARGE SAMPLE RESULTS*
    Journal of Regional Science, 2010, 50, (2), 592-614 View citations (131)
    See also Working Paper A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results, CESifo Working Paper Series (2008) View citations (17) (2008)
18. Spatial models with spatially lagged dependent variables and incomplete data
    Journal of Geographical Systems, 2010, 12, (3), 241-257 View citations (21)
19. Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
    Journal of Econometrics, 2010, 157, (1), 53-67 View citations (562)
    See also Working Paper Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances, CESifo Working Paper Series (2008) View citations (14) (2008)

2009

20. Central limit theorems and uniform laws of large numbers for arrays of random fields
    Journal of Econometrics, 2009, 150, (1), 86-98 View citations (107)

2007

21. Analysis of spatially dependent data
    Journal of Econometrics, 2007, 140, (1), 1-4 View citations (17)
22. HAC estimation in a spatial framework
    Journal of Econometrics, 2007, 140, (1), 131-154 View citations (273)
23. Panel data models with spatially correlated error components
    Journal of Econometrics, 2007, 140, (1), 97-130 View citations (432)
24. The relative efficiencies of various predictors in spatial econometric models containing spatial lags
    Regional Science and Urban Economics, 2007, 37, (3), 363-374 View citations (36)

2006

25. ESTIMATION PROBLEMS IN MODELS WITH SPATIAL WEIGHTING MATRICES WHICH HAVE BLOCKS OF EQUAL ELEMENTS*
    Journal of Regional Science, 2006, 46, (3), 507-515 View citations (42)

2004

26. Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler
    Journal of Econometrics, 2004, 118, (1-2), 1-5 View citations (1)
27. Estimation of simultaneous systems of spatially interrelated cross sectional equations
    Journal of Econometrics, 2004, 118, (1-2), 27-50 View citations (227)

2002

28. 2SLS and OLS in a spatial autoregressive model with equal spatial weights
    Regional Science and Urban Economics, 2002, 32, (6), 691-707 View citations (57)

2001

29. On the asymptotic distribution of the Moran I test statistic with applications
    Journal of Econometrics, 2001, 104, (2), 219-257 View citations (335)
    See also Working Paper On the Asymptotic Distribution of the Moran I Test Statistic with Applications, Electronic Working Papers (1999) View citations (4) (1999)

1999

30. A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model
    International Economic Review, 1999, 40, (2), 509-33 View citations (829)
    See also Working Paper A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model, Electronic Working Papers (1997) (1997)

1998

31. A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
    The Journal of Real Estate Finance and Economics, 1998, 17, (1), 99-121 View citations (1121)
    See also Working Paper A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances, Electronic Working Papers (1997) View citations (6) (1997)

1997

32. Estimation of Spatial Regression Models with Autoregressive Errors by Two-Stage Least Squares Procedures: A Serious Problem
    International Regional Science Review, 1997, 20, (1-2), 103-111 View citations (41)
    See also Working Paper Estimation of Spatial Regression Models with Autoregressive Errors by Two Stage Least Squares Procedures: A Serious Problem, Electronic Working Papers (1997) View citations (41) (1997)
33. Estimation of a variable rate of depreciation: a dummy variable approach
    Structural Change and Economic Dynamics, 1997, 8, (3), 319-325 View citations (1)
    See also Working Paper Estimation of a variable rate of depreciation: A dummy variable approach, Discussion Papers, Series II (1996) (1996)
34. Sources of growth of output and convergence of productivity in major OECD countries
    International Journal of Production Economics, 1997, 52, (1-2), 133-146 View citations (5)

1996

35. Endogenous capital utilization and productivity measurement in dynamic factor demand models Theory and an application to the U.S. electrical machinery industry
    Journal of Econometrics, 1996, 71, (1-2), 343-379 View citations (15)
    See also Working Paper Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical Machinery Industry, Working Papers (1991) View citations (4) (1991)
36. Estimation of the Depreciation Rate of Physical and R&D Capital in the U.S. Total Manufacturing Sector
    Economic Inquiry, 1996, 34, (1), 43-56 View citations (179)
    See also Working Paper Estimation of the Depreciation Rate of Physical and R&D Capital in the U.S. Total Manufacturing Sector, Working Papers (1993) View citations (31) (1993)

1995

37. On the Econometric Estimation of a Constant Rate of Depreciation
    Empirical Economics, 1995, 20, (2), 299-302 View citations (6)

1994

38. Generic uniform convergence and equicontinuity concepts for random functions: An exploration of the basic structure
    Journal of Econometrics, 1994, 60, (1-2), 23-63 View citations (11)

1991

39. On the specification of accelerator coefficients in dynamic factor demand models
    Economics Letters, 1991, 35, (2), 123-129 View citations (2)

1990

40. Dynamic factor demand models, productivity measurement, and rates of return: Theory and an empirical application to the US Bell System
    Structural Change and Economic Dynamics, 1990, 1, (2), 263-289 View citations (14)
    See also Working Paper DYNAMIC FACTOR DEMAND MODELS, PRODUCTIVITY MEASUREMENT, AND RATES RETURN: THEORY AND AN EMPIRICAL APPLICATION TO THE U.S. BELL SYSTEM, Working Papers (1989) View citations (5) (1989)

1989

41. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
    Econometrica, 1989, 57, (3), 675-83 View citations (28)
    See also Working Paper A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process, Working Papers (1987) View citations (1) (1987)
42. A note on the estimation of nonsymmetric dynamic factor demand models
    Journal of Econometrics, 1989, 42, (2), 275-283 View citations (7)
    See also Working Paper A Note on the Estimation of Non-Symmetric Dynamic Factor Demand Models, Working Papers (1987) (1987)

1988

43. On the computation of estimators in systems with implicity defined variables
    Economics Letters, 1988, 26, (2), 141-145 View citations (5)
    See also Working Paper On the Computation of Estimators in Systems with Implicitly Defined Variables, Working Papers (1987) (1987)

1987

44. The Variance-Covariance Matrix of the Maximum Likelihood Estimator in Triangular Structural Systems: Consistent Estimation
    Econometrica, 1987, 55, (4), 977-78 View citations (4)

1986

45. A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations
    Journal of Econometrics, 1986, 32, (2), 219-251 View citations (16)
46. A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations
    Journal of Econometrics, 1986, 33, (1-2), 187-211 View citations (13)
47. R&D, production structure and rates of return in the U.S., Japanese and German manufacturing sectors: A non-separable dynamic factor demand model
    European Economic Review, 1986, 30, (4), 749-771 View citations (16)

1985

48. Independent or uncorrelated disturbances in linear regression: An illustration of the difference
    Economics Letters, 1985, 19, (1), 35-38 View citations (2)
49. Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components
    International Economic Review, 1985, 26, (2), 491-506 View citations (6)

1984

50. On the Asymptotic Efficiency of Feasible Aitken Estimators for Seemingly Unrelated Regression Models with Error Components
    Econometrica, 1984, 52, (1), 203-07 View citations (17)
51. The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances
    Econometrica, 1984, 52, (3), 721-36 View citations (10)

1979

52. Performance of the LINK System: 1970 versus 1975 Base Year Trade Share Matrix
    Empirical Economics, 1979, 4, (1), 11-41

Chapters

2004

1. INSTRUMENTAL VARIABLE ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES: LARGE AND SMALL SAMPLE RESULTS
   A chapter in Spatial and Spatiotemporal Econometrics, 2004, pp 163-198 View citations (5)

2001

2. Dynamic Factor Demand Models and Productivity Analysis
   A chapter in New Developments in Productivity Analysis, 2001, pp 103-172 View citations (20)
   See also Working Paper Dynamic Factor Demand Models and Productivity Analysis, University of Maryland, Department of Economics (1999) View citations (13) (1999)

1991

3. Comparison and Analysis of Productivity Growth and R&D Investment in the Electrical Machinery Industries of the United States and Japan
   A chapter in Productivity Growth in Japan and the United States, 1991, pp 109-133 View citations (1)
   See also Working Paper COMPARISON AND ANALYSIS OF PRODUCTIVITY GROWTH AND R&D INVESTMENT IN THE ELECTRICAL MACHINERY INDUSTRIES OF THE UNITED STATES AND JAPAN, C.V. Starr Center for Applied Economics, New York University (1988) (1988)

Software Items

2018

1. SPPACK: Stata module for cross-section spatial-autoregressive models
   Statistical Software Components, Boston College Department of Economics View citations (2)