This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...

Empirical analyses of Cagan's money demand schedule for hyper-inflation have largely ignored the explosive nature of hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the hyper-inflation, and to (ii) discrepancies between 'estimated'...

type="main" xml:id="rssa12051-abs-0001" <title type="main">Summary</title> <p>It is of considerable interest to forecast future mesothelioma mortality. No measures for exposure are available so it is not straightforward to apply a dose–response model. It is proposed to model the counts of deaths directly by using a Poisson...</p>

Understanding the load pattern created by compact fluorescent lamps is key to evaluating the impact on the utility's system peak demand and calculating energy savings. A household survey was distributed to consumers involved in a Danish CFL programme. The primary goal was to map the daily...

This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a Gaussian vector autoregressive model. The usual asymptotic distribution typically gives rather large size distortions. This is explained by the fact that the asymptotic distribution of the...

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based...