Ingmar R. Prucha is a Distiguished University Professor in the Department of Economics at the University of Maryland. He received his PhD in mathematical economics from the University of Technology in Vienna in 1977. He also received a post-graduate degree in economics from the Institute for Advanced Studies in Vienna.
Professor Prucha's research interests are in theoretical and applied econometrics. His current research interests in theoretical econometrics include cross-section models and static/dynamic panel-data models with cross-sectional/spatial interactions, dynamic nonlinear time series models, and maximum likelihood and GMM estimation theory. His applied work focuses on the determinants of dynamic factor demand, including investment in physical and R&D capital, and productivity. He teaches in the area of econometrics.
Professor Prucha is Associate Editor of Econometric Theory, the Journal of Econometrics, and Regional Science and Urban Economics, and is a member of the editorial board of Letters in Spatial and Resource Sciences.
Areas of Interest
- Theoretical Econometrics
- Applied Econometrics
Degree TypePhDDegree DetailsMathematical Economics, University of Technology in Vienna, 1977
- Finite Sample Properties of Pre-Test Estimators of Spatial Models, , Regional Science and Urban Economics 46, 103-115, May .
- A Command for Estimating Spatial-Autoregressive Models with Spatial-Autoregressive Disturbances and Additional Endogenous Variables, , Stata Journal 13(2 ), 287-301, January .
- Creating and Managing Spatial-Weighting Matrices Using the spmat Command, , Stata Journal 13(2 ), 242-286, January .
- Limit Theory for Panel Data Models with Cross Sectional Dependence and Sequential Exogeneity, , Journal of Econometrics 174(2 ), 107-126, June .
- Maximum-Likelihood and Generalized Spatial Two-Stage Least-Squares Estimators for a Spatial-Autoregressive Model with Spatial-Autoregressive Disturbances, , Stata Journal 13(2 ), 221-241, January .
- On the I2(q) Test Statistic for Spatial Dependence: Finite Sample Standardization and Properties, , Spatial Economic Analysis 8(3 ), 271-292, September .
- On Two-step Estimation of Spatial Autoregressive Models with Autoregressive Disturbances and Endogenous Regressors, , Econometric Reviews 32(6 ), 686-733, January .
- On Spatial Processes and Asymptotic Inference under Near-Epoch Dependence, , Journal of Econometrics 170(1 ), 178-190, September .
- A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results, , Journal of Regional Science 50(2 ), 592-614, May .
- Spatial Models with Spatially Lagged Dependent Variables and Incomplete Data, , Journal of Geographical Systems 12(3 ), 241-257, September .
- Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances, , Journal of Econometrics 157(1 ), 53-67, July .
- Central Limit Theorems and Uniform Laws of Large Numbers for Arrays of Random Fields, , Journal of Econometrics 150(1 ), 86-98, May .
- Analysis of Spatially Dependent Data, , Journal of Econometrics 140(1 ), 1-4, September .
- HAC Estimation in a Spatial Framework, , Journal of Econometrics 140(1 ), 131-154, September .
- Panel Data Models with Spatially Correlated Error Components, , Journal of Econometrics 140(1 ), 97-130, September .
- The Relative Efficiencies of Various Predictors in Spatial Econometric Models Containing Spatial Lags, , Regional Science and Urban Economics 37(3 ), 363-374, May .
- Estimation Problems in Models With Spatial Weighting Matrices Which Have Blocks of Equal Elements, , Journal of Regional Science 46(3 ), 507-515, August .
- Estimation of Simultaneous Systems of Spatially Interrelated Cross Sectional Equations, , Journal of Econometrics 118(2 ), 27-50, February .
- Instrumental Variable Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances: Large and Small Sample Results, , Spatial and Spatiotemporal Econometrics: Advances in Econometrics, ed. by James P. Lesage, R. Kelley Pace, Emerald Group Publishing Limited 18, 163-198, January .
- Finite Sample Properties of Estimators of Spatial Autoregressive Models with Autoregressive Disturbances, , Papers in Regional Science 82(1 ), 1-26, January .
- 2SLS and OLS in a Spatial Autoregressive Model with Equal Spatial Weights, , Regional Science and Urban Economics 32(6 ), 691-707, November .
- On the Asymptotic Distribution of the Moran I Test Statistic with Applications, , Journal of Econometrics 104(2 ), 219-257, September .
- A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model, , International Economic Review 40(2 ), 509-533, May .
- A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances, , Journal of Real Estate Finance and Economics 17(1 ), 99-121, July .
- Estimation of a Variable Rate of Depreciation: A Dummy Variable Approach, , Structural Change and Economic Dynamics 8(3 ), 319-325, August .
- Estimation of the Spatial Autoregressive Parameter by Two Stage Least Squares Procedures: A Serious Problem, , International Regional Science Review 20(2 ), 103-111, April .
- 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 71(2 ), 343-379, April .
- Generic Uniform Convergence and Equicontinuity Concepts for Random Functions: An Exploration of the Basic Structure, , Journal of Econometrics 60(2 ), 23-63, February .
- On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach, , Statistics 25(4 ), 343-360, March .
- A Note on the Estimation of Non-Symmetric Dynamic Factor Demand Models, , Journal of Econometrics 42(2 ), 275-283, October .
- A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes, , Econometrica 57(3 ), 675-683, May .
- The Variance-Covariance Matrix of the Full Information Maximum Likelihood Estimators in Triangular Structural Systems: Consistent Estimation, , Econometrica 55(4 ), 977-978, July .
- A Class of Partially Adaptive One-Step M-Estimators for the Nonlinear Regression Model with Dependent Observations, , Journal of Econometrics 32(2 ), 219-251, July .
- A Comparison of Alternative Methods for the Estimation of Dynamic Factor Demand Models under Nonstatic Expectations, , Journal of Econometrics 33(1 ), 187-211, October .
- R&D, Production Structure and Rates of Return in the U.S., Japanese and German Manufacturing Sectors: A Nonseparable Dynamic Factor Demand Model, , European Economic Review 30(4 ), 749-771, August .
- Independent or Uncorrelated Disturbances in Linear Regression: An Illustration of the Difference, , Economics Letters 19(1 ), 35-38
- Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components, , International Economic Review 26(2 ), 491-506, June .
- On the Asymptotic Efficiency of Feasible Aitken Estimators for Seemingly Unrelated Regression Models with Error Components, , Econometrica 52(1 ), 203-208, January .
- The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances, , Econometrica 52(3 ), 721-736, May .