Ebook: Time Series and Econometric Modelling: Advances in the Statistical Sciences: Festschrift in Honor of Professor V.M. Joshi’s 70th Birthday, Volume III

On May 27-31, 1985, a series of symposia was held at The University of Western Ontario, London, Canada, to celebrate the 70th birthday of Pro­ fessor V. M. Joshi. These symposia were chosen to reflect Professor Joshi's research interests as well as areas of expertise in statistical science among faculty in the Departments of Statistical and Actuarial Sciences, Economics, Epidemiology and Biostatistics, and Philosophy. From these symposia, the six volumes which comprise the "Joshi Festschrift" have arisen. The 117 articles in this work reflect the broad interests and high quality of research of those who attended our conference. We would like to thank all of the contributors for their superb cooperation in helping us to complete this project. Our deepest gratitude must go to the three people who have spent so much of their time in the past year typing these volumes: Jackie Bell, Lise Constant, and Sandy Tarnowski. This work has been printed from "camera ready" copy produced by our Vax 785 computer and QMS Lasergraphix printers, using the text processing software TEX. At the initiation of this project, we were neophytes in the use of this system. Thank you, Jackie, Lise, and Sandy, for having the persistence and dedication needed to complete this undertaking.

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Content:
Front Matter....Pages i-xix
Approximation of Linear Systems....Pages 1-12
Some Reflections on the Modelling of Time Series....Pages 13-28
Model Selection and Forecasting: A Semi-Automatic Approach....Pages 29-46
Smoothness in Regression: Asymptotic Considerations....Pages 47-64
A Fast Graphical Goodness of Fit Test for Time Series Models....Pages 65-76
Outliers in Time Series....Pages 77-89
Predicting Demands in a Multi-Item Environment....Pages 91-99
On the Efficiency of a Strongly Consistent Estimator in ARMA Models....Pages 101-105
Recent Results for Time Series in M Dimensions....Pages 107-112
Time Series Valued Experimental Designs: One-Way Analysis of Variance with Autocorrelated Errors....Pages 113-129
Monthly versus Annual Revisions of Concurrent Seasonally Adjusted Series....Pages 131-146
A Walsh-Fourier Approach to the Analysis of Binary Time Series....Pages 147-163
Excitation of Geophysical Systems with Fractal Flicker Noise....Pages 165-188
On Some ECF Procedures for Testing Independence....Pages 189-206
Are Economic Variables Really Integrated of Order One?....Pages 207-217
Fractional Matrix Calculus and the Distribution of Multivariate Tests....Pages 219-234
On Robustness of Tests of Linear Restrictions in Regression Models with Elliptical Error Distributions....Pages 235-251
Nonparametric Inference In Econometrics: New Applications....Pages 253-278
Confidence Intervals for Ridge Regression Parameters....Pages 279-300
Asymptotic Properties of Single Equation Errors in Variables Estimators in Rational Expectations Models....Pages 301-315
Linear Wald Methods for Inference on Covariances and Weak Exogeneity Tests in Structural Equations....Pages 317-338
The Finite Sample Moments of OLS in Dynamic Models when Disturbances are Small....Pages 339-358
The Approximate Moments of the 3SLS Reduced Form Estimator and a MELO Combination of OLS-3SLS for Prediction....Pages 359-371
Bootstrapping and Forecast Uncertainty: A Monte Carlo Analysis....Pages 373-384
Use of the Mean Squared Errors of Forecasts in Testing for Structural Shift: A Comparison with the Chow Test for an Undersized Case....Pages 385-394
Back Matter....Pages 395-396

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Content:
Front Matter....Pages i-xix
Approximation of Linear Systems....Pages 1-12
Some Reflections on the Modelling of Time Series....Pages 13-28
Model Selection and Forecasting: A Semi-Automatic Approach....Pages 29-46
Smoothness in Regression: Asymptotic Considerations....Pages 47-64
A Fast Graphical Goodness of Fit Test for Time Series Models....Pages 65-76
Outliers in Time Series....Pages 77-89
Predicting Demands in a Multi-Item Environment....Pages 91-99
On the Efficiency of a Strongly Consistent Estimator in ARMA Models....Pages 101-105
Recent Results for Time Series in M Dimensions....Pages 107-112
Time Series Valued Experimental Designs: One-Way Analysis of Variance with Autocorrelated Errors....Pages 113-129
Monthly versus Annual Revisions of Concurrent Seasonally Adjusted Series....Pages 131-146
A Walsh-Fourier Approach to the Analysis of Binary Time Series....Pages 147-163
Excitation of Geophysical Systems with Fractal Flicker Noise....Pages 165-188
On Some ECF Procedures for Testing Independence....Pages 189-206
Are Economic Variables Really Integrated of Order One?....Pages 207-217
Fractional Matrix Calculus and the Distribution of Multivariate Tests....Pages 219-234
On Robustness of Tests of Linear Restrictions in Regression Models with Elliptical Error Distributions....Pages 235-251
Nonparametric Inference In Econometrics: New Applications....Pages 253-278
Confidence Intervals for Ridge Regression Parameters....Pages 279-300
Asymptotic Properties of Single Equation Errors in Variables Estimators in Rational Expectations Models....Pages 301-315
Linear Wald Methods for Inference on Covariances and Weak Exogeneity Tests in Structural Equations....Pages 317-338
The Finite Sample Moments of OLS in Dynamic Models when Disturbances are Small....Pages 339-358
The Approximate Moments of the 3SLS Reduced Form Estimator and a MELO Combination of OLS-3SLS for Prediction....Pages 359-371
Bootstrapping and Forecast Uncertainty: A Monte Carlo Analysis....Pages 373-384
Use of the Mean Squared Errors of Forecasts in Testing for Structural Shift: A Comparison with the Chow Test for an Undersized Case....Pages 385-394
Back Matter....Pages 395-396
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