Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to bank spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent...

This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best...

Under general conditions the sample covariance matrix of a vector martingale and its differences converges weakly to the matrix stochastic integral ∫₀¹ <italic>BdB′</italic>, where <italic>B</italic> is vector Brownian motion. For strictly stationary and ergodic sequences, rather than martingale differences, a similar result...

Nine leading journals that publish statistical theory are used to provide a data base of institutional and individual research activity in statistics over the period 1980–1986. From this data base, we construct both institutional and individual research rankings according to standardized page...