In the classical regression model with fixed regressors the statistic S 2 , i.e. the sum of squared residuals (SSR) divided by the number of degrees of freedom, is an unbiased estimator of the variance of the disturbances. If the model is dynamic and contains lagged-dependent explanatory...

To find approximations for bias, variance and mean-squared error of least-squares estimators for all coefficients in a linear dynamic regression model with a unit root, we derive asymptotic expansions and examine their accuracy by simulation. It is found that in this particular context useful...

In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence, reliance on...

We construct finite-sample distribution-free tests and confidence sets for the parameters of a linear median regression, where no parametric assumption is imposed on the noise distribution. The set-up studied allows for non-normality, heteroscedasticity, non-linear serial dependence of unknown...