We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...

The paper discusses structural change as possible mechanism that generates the appearance of long memory in economic time series. It shows that there are no long memory effects in German stock returns and that long memory in squares of German stock returns disappears once shifting means are...

This paper obtains Lorenz ordering relationships among order statistics from log-logistic samples of possibly different sizes. Some results extend other families including the Lomax, Burr III and Burr XII distributions.

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region, provided the model contains a constant term. This generalizes previous results of Samarov & Taqqu (Journal of Time Series Analysis 9...

This paper surveys selected applications of the Lorenz curve and related stochastic orders in economics and econometrics, with a bias towards problems in statistical distribution theory. These include characterizations of income distributions in terms of families of inequality measures, Lorenz...