We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.

We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.

It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression disturbances. In particular, the true size of the test tends to either zero or unity when the spatial autocorrelation coefficient approaches the...

This note generalizes previous results on the asymptotic equivalence of Ordinary and Generalized Least Squares estimates in Linear Regression models with trending data.

In den Wirtschafts- und Sozialwissenschaften wird die Statistik einmal als Datenlieferant und einmal als Dateninterpretierer wahrgenommen. Während die erste Rolle in Zukunft an Bedeutung eher zunehmen wird, scheint sich die Statistik als Dateninterpretierer von den Bedürfnissen der...

We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We also establish implications among other versions of the weak Pareto law.

The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...

This paper is concerned with testing the null hypothesis of no cointegration among I(1) variables when the cointegration residuals are I(d) with 0 < d <1. This possibility is entertained with increasing frequency in many applications, (see e.g. Cheung and Lai 1993 Baillie and Bollerslev 1994 Booth and Tse 1995 or Baillie 1996 for examples. We consider the power of various cointegration tests both for the stationary case d < 5 and for the nonstationary case d > 5.

The paper considers tests against for autocorrelation among the disturbances in linear regression models that can be expressed as ratios of quadratic forms. It shows that such tests are in general not unbiased and that power can even drop to zero for certain regressors and spatial weight...

The paper discusses structural change as possible mechanism that generates the appearance of long memory in economic time series. It shows that there are no long memory effects in German stock returns and that long memory in squares of German stock returns disappears once shifting means are...