A test is derived for short-memory correlation in the conditional variance of strictly positive, skewed data. The test is quasi-locally most powerful (QLMP) under the assumption of conditionally gamma data. Analytical asymptotic relative efficiency calculations show that an alternative test,...

Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several...

In this paper we have demonstrated the implications of incorrectly normalising the parameters of a reduced rank regression model to achieve global identification, and presented a method for estimating this model without using the ordering restrictions imposed in previous Bayesian and frequentist...

Estimation of the reduced rank regression model requires restrictions be imposed upon the model. Two forms of restrictions are commonly used. Earlier Bayesian work relied on the triangular method of identification which imposes an a priori ordering on the variables in the system, however,...

We propose a new method for estimation of the hazard function from a set of censored failure time data, with a view to extending the general approach to more complicated models. The approach is based on a mixed model representation of penalized spline hazard estimators. One payoff is the...