Consider estimating the mean of a normal distribution with known variance, when that mean is known to lie in a bounded interval. In a decision-theoretic framework we study finite sample properties of a class of nonlinear' estimators. These estimators are based on thresholding techniques which...

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

In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration...