This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

In this paper the interest is in testing whether a regression function is polynomial of a certain degree. One possible approach to this testing problem is to do a parametric polynomial fit and a nonparametric fit and to reject the null hypothesis of a polynomial function if the distance between...

This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Heteroskedasticity is often a problem in cross-section data and the usual tests for its presence can...

Let X1,X2,...Xn be i.i.d. N-dimensional random variables having an unknown support of probability density denoted G; we suppose that G belongs to a functional class "g" of compact sets with smooth upper surface called boundary fragments. The problem consists in testing the hypotheses G=Go...

A new simple formula is found to correct the underestimation of the standard deviation for total lead time demand when using simple exponential smoothing. This new formula allows one to see readily the significant size of the underestimation of the traditional formula and can easily be...

Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Corrections Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM). The GMM (2SLS) estimators of the cointegrating vector in the ECCM are shown to have normal...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

It is a well-known fact that in linear regressions involving the levels of nonstationary fractionally integrated process spuriously related, the Durbin-Watson statistic converges in probability to zero. In this paper, however, we prove using Monte-Carlo experiments that the behaviour of this...