The present article discusses alternative regression models and estimation methods for dealing with multivariate fractional response variables. Both conditional mean models, estimable by quasi-maximum likelihood, and fully parametric models (Dirichlet and Dirichletmultinomial), estimable by...

This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE?s) of the GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...

In this work we present space-time models with simultaneous effect in which the relations between phenomenon measured in different sites are not determined on the base of an a priori structure, but are estimated in the model’s estimation procedure. This approach avoids superimposition of a...

The empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation, and the estimation of the mean squared error (MSE) of EBLUP is important as a measure of uncertainty of EBLUP. To obtain a second-order unbiased estimator of the MSE, the...