The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum...

Testing for a mediation effect is important in many disciplines, but is made difficult - even asymptotically - by the influence of nuisance parameters. Classical tests such as likelihood ratio (LR) and Wald tests have very poor size and power properties in some parts of the parameter space, and...

This paper derives exact expressions for statistical curvature and related geometric quantities in the first order autoregressive models with stable and unit roots, as well as explosive roots larger than unity. We develop a method for deriving exact moments of arbitrary order in general...

This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the...

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

Finite sample distributions of studentized inequality measures differ substantially from their asymptotic normal distribution in terms of location and skewness. We study these aspects formally by deriving the second-order expansion of the first and third cumulant of the studentized inequality...