Multivariate autoregressive models with exogenous variables (VARX) are often used in econometric applications. Many properties of the basic statistics for this class of models rely on the assumption of independent errors. Using results of Hong (Econometrica 64 (1996) 837), we propose a new test...

This paper considers principal component analysis (PCA) in familial models, where the number of siblings can differ among families. S. Konishi and C. R. Rao (1992, Biometrika79, 631-641) used the unified estimator of S. Konishi and C. G. Khatri (1990, Ann. Inst. Statist. Math.42, 561-580) to...