It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a...

The saddlepoint approximation as developed by Daniels [3] is an extremely accurate method for approximating probability distributions. Econometric and statistical applications of the technique to densities of statistics of interest are often hindered by the requirements of explicit knowledge of...

This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, <italic>Journal of the American Statistical Association</italic> 82, 590–604)...