The aim of this paper is to examine the application of measures of persistence in a range of time-series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time-series which, in addition to accommodating the...

This study provides new methods of assessing the adequacy of the Poisson autoregressive time-series model for count data. New expressions are given for the score function and the information matrix and these lead to the construction of new types of residuals for this model. However, these...

A multiple decision procedure of Anderson (1962) is reformulated using invariance rather than similar regions. This extends the range of application from the normal family to elliptically symmetric distributions. The technique is illustrated with a model selection problem.

Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of models in the bond and stock markets. This framework allows for volatility in excess of that...