We obtain an inequality for th esmaple varaince of a Brownian motion on [0,1] and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving a near-integrated regressor, and establishes that in the limit the dispersion of the least squares estimator is greater in...

In this paper, we analyse the behaviour of regression-based tests for seasonal unit roots when the error is periodically heteroscedastic. We show, using the case of quaterly data to illustrate, that the limiting null distribution of tests for unit roots at the zero and Nyquist frequencies are...

The preliminaries in the paper contrast the advantages and disadvantages of using arbitrary scores for ordinal responses in linear models compared to generalised linear models for ordered catagory responses. The context of multilevel and random effects models is a particular focus. Simulation...

The contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it...

This paper builds upon the existing literature on tests of the full hypothesis of deterministic seasonality in a univariate time-series process against the alternative of unit root behaviour at some or all of the zero and seasonal frequencies. Under the assumption of independent Gaussian errors...

In this paper the author uses numerical techniques to investigate the finite sample porperties of data-based approaches to selecting the lag truncation order in the context of the augmented Dickey-Fuller unit root test in a general autoregressice first-order integrated moving-average model.

Methods for scoring ordered classifications in ordered statistical analysis are reviewed. These contrast with model based approaches through generalised linear models. The practical empirical advantages of scoring functions are developed.