We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model.  The parameters of these models are known only to be identified up to linear trends.  Forecasts from such models may therefore depend on arbitrary linear trends.  A condition for invariant...

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks.  This estimator is an example of a one-step M-estimator based on Huber's skip...

The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S(δ): (i) generalizes...

In this paper we model the multicointegration relation, allowing for one structural break. Since multicointegration is a particular case of polynomial or I(2) cointegration, our proposal can also be applied in these cases. The paper proposes the use of a residualbased Dickey-Fuller class of...

This paper addresses the concept of multicointegration in a panel data framework and builds upon the panel data cointegration procedures developed in Pedroni ["Econometric Theory" (2004), Vol. 20, pp. 597-625]. When individuals are either cross-section independent, or cross-section dependence...

This paper derives the exact distribution of the maximum likelihood estimator of a first-order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T-consistent, where T is the sample size. In the unit root case, the...

We consider the identification problem that arises in the age-period-cohort models as well as in the extended chain-ladder model. We propose a canonical parameterization based on the accelerations of the trends in the three factors. This parameterization is exactly identified and eases...

It is well-known that convergence of Laplace transforms in a neighbourhood of the origin is a sufficient criteria for weak convergence. It is worthwhile to note that the interior of the set of convergence points is convex. This provides a link to exponential family theory. As an example an...