Prewhitening of hydrologic as well as other types of natural time series has been suggested
in the literature to eliminate the adverse effect of autocorrelation on the results of trend tests …

It is well known that for continuous time models with a linear drift standard estimation
methods yield biased estimators for the mean reversion parameter both in finite discrete …

The existing asymptotic theory for VAR-based impulse response matching estimators of the
structural parameters of DSGE models does not cover situations in which the number of …

The delta method and continuous mapping theorem are among the most extensively used
tools in asymptotic derivations in econometrics. Extensions of these methods are provided …

Many questions of economic interest in structural VAR analysis involve estimates of multiple
impulse response functions. Other questions relate to the shape of a given impulse …

We derive some new results on the expectation of quadratic forms in normal and nonnormal
variables. Using a nonstochastic operator, we show that the expectation of the product of an …

We show that the general bias-reducing technique of jackknifing can be successfully applied
to stock return predictability regressions. Compared to standard OLS estimation, the …

This paper explores the properties of jackknife methods of estimation in stationary
autoregressive models. Some general results concerning the correct weights for bias …

An approximation to order T− 2 is obtained for the bias of the full vector of least-squares
estimates obtained from a sample of size T in general stable but not necessarily stationary …

In this paper, using US as well as French sectoral data and indicators of price rigidity, we
reexamine the (lack of) relation between price stickiness and inflation persistence. This has …