This paper seeks to characterize empirically achievable limits for time series econometric modeling. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the true...

The existence of a uniformly consistent estimator for a particular parameter is well-known to depend on the uniform continuity of the functional that defines the parameter in terms of the model. Recently, Pötscher (Econometrica, 70, pp 1035 - 1065) showed that estimator risk may be bounded...

The maximal invariant forms the basis of a well established theory on hypothesis testing on the covariance structure in linear regression, see Lehman (1997). This paper examines the geometry of the maximal invariant. In particular it derives explicit expressions for both Fisher information and...

Two of the present authors have put forward a projective geometry based model of rational trading that implies a model for subjective demand/supply profiles if one considers closing of a position as a random process. We would like to present the analysis of a subjectivity in such trading models....