This paper discusses aspects of S.G. Donald et al. (2010) and R. Davidson (2010), which were presented at the Econometrics Journal sponsored special session on the econometrics of inequality measurement, held at the Royal Economics Society Meeting in Surrey in 2010. JEL Classification: C10, C14, C15, I39 ∗This discussion was prepared for presentation at the Econometrics Journal sponsored specia...

Econometrics is an intellectual game played by rules based on the sampling distribution concept. Most students in our econometrics classes are uncomfortable because they don't know these rules, and so do not understand what is "going on" in econometrics. This article offers some explanations for this phenomenon, and suggestions for how this problem can be addressed. Instructors are encouraged t...

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with …xed e¤ects when both the number of individuals n and the number of time periods T are large. We consider the case where T is asymptotically large relative to n, the case where T is asymptotically proportional to n, and the case where n is asymptotically large relative to...