In this paper, we consider the identification problem arising in the age-period-cohort models, as well as in the extended chain ladder model.  We propose a canonical parametrization based on the accelerations of the trends in the three factors.  This parametrization is exactly identified.  It...

It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique.  We revisit this model.  A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation.  The maximum likelihood estimators...

It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for...

We consider the identification problem that arises in the age-period-cohort models as well as in the extended chain-ladder model. We propose a canonical parameterization based on the accelerations of the trends in the three factors. This parameterization is exactly identified and eases...

We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. The parameters of these models are known only to be identified up to linear trends. Forecasts from such models may therefore depend on arbitrary linear trends. A condition for invariant...

We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. The parameters of these models are known only to be identified up to linear trends. Forecasts from such models may therefore depend on arbitrary linear trends. A condition for invariant...

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks.  This estimator is an example of a one-step M-estimator based on Huber's skip...

We undertake a generalization of the cumulative sum of squares (CUSQ) test to the case of non-stationary autoregressive distributed lag models with quite general deterministic time trends.  The test may be validly implemented with either ordinary least squares residuals or standardized...

The classical Chow (1960) test for structural instability requires strictly exogenous regressors and a break-point specified in advance.  In this paper we consider two generalisations, the 1-step recursive Chow test (based on the sequence of studentized recursive residuals) and its supremum...

A vector autoregression is singular when explosive characteristic roots have geometric multiplicity larger than one.  The singular component is a mixingale.  Martingale decompositions are constructed for sample moments involving the singular component.  This permits weak and strong analysis...