A new likelihood-based panel cointegration test which allows a linear time trend in the data generating process is proposed. The test is an extension of the likelihood ratio type test with trend adjustment prior to testing to the panel data framework. Under the null hypothesis, the standardized...

We study the problem of estimating the mean of a normal distribution with known variance, when prior knowledge specifies that this mean lies in a bounded interval. The focus is on a minimax regret comparison of soft and hard threshold estimators, which have become very popular in the context of...

For the problem of model selection, full cross-validation has been proposed as an alternative criterion to the traditional cross-validation, particularly in cases where the latter is not well defined. To justify the use of the new proposal we show that under some conditions, both criteria share...