non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case … with a zero initial condition, to derive the expansion of the relevant joint moment generating function in this more … to the finite-sample distribution of the least-squares estimator in a first-order autoregressive model. The results show …

generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that …This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads … has a limiting mixed normal distribution. Simulation results suggest that this new estimator compares favorably with …

linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the … results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak …

with single-peaked preferences. Using the ordinal extension of preferences, we characterize the class of uniform …

linear regression, which is based on using the technique of Monte Carlo tests. …