Nine leading journals that publish statistical theory are used to provide a data base of institutional and individual research activity in statistics over the period 1980–1986. From this data base, we construct both institutional and individual research rankings according to standardized page...

This paper introduces various consistent tests for the null of cointegration against the alternative of noncointegration that can be applied to a system of equations as well as to a single equation. The tests are analogs of Choi and Ahn's (1993, Testing the Null of Stationarity for Multiple Time...

This paper considers the factor model <italic>X</italic> = Λ<italic>F</italic> + <italic>e</italic>. Assuming a normal distribution for the idiosyncratic error <italic>e</italic> conditional on the factors {<italic>F</italic>}, conditional maximum likelihood estimators of the factor and factor-loading spaces are derived. These estimators are called generalized principal...

This paper proposes residual-based tests for the null of level- and trend-stationarity, which are analogs of the LM test for an MA unit root. Asymptotic distributions of the tests are nonstandard, but they are expressed in a unified manner by expressing stochastic integrals. In addition, the...