Given a scalar random variable Y and a random vector X defined on the same probability space, the conditional distribution of Y given X can be represented by either the conditional distribution function or the conditional quantile function. To these equivalent representations correspond two...

In a recent paper Gonzalez Manteiga and Vilar Fernandez (1995) considered the problem of testing linearity of a regression under MA structure of the errors using a weighted L1-distance between a parametric and a nonparametric fit. They established asymptotic normality of the corresponding test...

A test is derived for short-memory correlation in the conditional variance of strictly positive, skewed data. The test is quasi-locally most powerful (QLMP) under the assumption of conditionally gamma data. Analytical asymptotic relative efficiency calculations show that an alternative test,...

In a recent paper Gonzalez Manteiga and Vilar Fernandez (1995) considered the problem of testing linearity of a regression under MA structure of the errors using a weighted L1-distance between a parametric and a nonparametric fit. They established asymptotic normality of the corresponding test...

The paper derives the asymptotic variance bound for instrumental variables (IV) estimators, and extends the Gauss-Markov theorem for the regressions with correlated regressors and regression errors. For some special class of models, the usual IV estimator attains the lower bound and becomes the...