It has been known since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...

It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...

We consider the estimation of the slope function in functional linear regression, where a scalar response Y is modelled in dependence of a random function X, when Y and only a panel Z <Subscript>1</Subscript>,…,Z <Subscript> L </Subscript> of noisy measurements of X are observable. Assuming an i.i.d. sample of (Y,Z <Subscript>1</Subscript>,…,Z <Subscript> L </Subscript>) of size n...</subscript></subscript></subscript></subscript>

Recent results in information theory, see Soofi (1996; 2001) for a review, include derivations of optimal information processing rules, including Bayes' theorem, for learning from data based on minimizing a criterion functional, namely output information minus input information as shown in Zellner...