Regression models sometimes contain a linear parametric part and a part obtained by reducing the dimension of a larger set of data. This paper considers properties of estimates of the interpretable parameters of the model, in a general setting in which a potentially unbounded set of other...

Many non- and semi- parametric estimators have asymptotic properties that have been established under conditions that exclude the possibility of singular parts in the distribution. It is thus important to be able to test for absence of singularities. Methods of testing that focus on specific...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the determinantal equation are well away from the unit circle, and more substantial where one or more roots...

In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive.

This paper uses payments system data to study the impact on personal consumption expenditure, and therefore on economic activity, of occasional extreme events. The usual quarterly data supplied by central statistical agencies are of little use to policy makers for monitoring effects of...