We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for multivariate normality versus multivariate t based on the first...

We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all

This paper is based on an article of Pumplün et al. (2005a) that investigates the use of Design of Experiments in data bases in order to select variables that are relevant for classification in situations where a sufficient number of measurements of the explanatory variables is available, but...

This paper discusses whether differences in the data structure of observational and experimental studies should lead to different strategies for variable selection. On the one hand, it is argued that outliers in the predictor variables have to be treated differently in the two kinds of studies....

In simulation studies Latent Factor Prediction Pursuit outperformed classical reduced rank regression methods. The algorithm described so far for Latent Factor Prediction Pursuit had two shortcomings: It was only implemented for situations where the explanatory variables were of full colum rank....