In this article we give a necessary and su±cient condition for a selfnormalized weak invariance principle, in the case of a strictly stationary Á-mixing sequence fXjgj¸1. This is obtained under the assumptions that the function L(x) = EX2 1 1fjX1·xg is slowly varying at 1 and the mixing...

In this paper we study strong approximations (invariance principles) of the sequential uniform and general Bahadur-Kiefer processes of long-range dependent sequences. We also investigate the strong and weak asymptotic behavior of the sequential Vervaat process, i.e., the integrated sequential...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are...

We obtain high-density fluctuation limits for trajectories of the motions in Cox systems of independent motions in "Rd". The motions are quite general; they include a large class of diffusions, Brownmian bridges and fractional Brownian motions. The limits take values ina space of distributions...

We constructs a class of seperprocesses by taking the high density limit of a sequence of interacting-branching particle systems. The spatial motion of the superprocess is determined by a system of interacting diffusions, the branching density is given by an arbitary bounded non-negative Borel...

We introduce adapted sets and optional sets and we study a type of strong Markov property for set-indexed precesses, that can be associated with the sharp Markov property defined by Ivanoff and Merzbach (2000a).

We propose a Poisson modelling approach to random effects Cox proportional hazards models. Specifically we describe methods of statistical inference for a class of random effects Cox models which accommodate a wide range of nested random effects distributions. The orthodox BLUP approach to...