This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...

When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break...

<i>Econometric Modeling</i> provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based...

<i>Econometric Modeling</i> provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based...

The classical Chow test for structural instability requires strictly exogenousregressors and a break-point specified in advance. In this paper, we consider twogeneralisations, the one-step recursive Chow test (based on the sequence of studentisedrecursive residuals) and its supremum counterpart,...

This paper provides a means of accurately simulating explosive autoregressive processes, and uses this method to analyse the distribution of the likelihood ratio test statistic for an explosive second order autoregressive process. Nielsen (2001) has shown that for the asymptotic distribution of...

The log normal reserving model is considered. The contribution of the paper is to derive explicit expressions for the maximum likelihood estimators. These are expressed in terms of development factors which are geometric averages. The distribution of the estimators is derived. It is shown that...

It is of considerable interest to forecast future mesothelioma mortality. No measures for exposure are available so it is not straight forward to apply a doseresponse model. It is proposed to model the counts of deaths directly using a Poisson regression with an age-period-cohort structure, but...

The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is...