This paper examines the efficiency gains of GLS detrending over OLS detrending in the model yt = z′ tγ + ut, where z ′ t = (1, t, ..., t k−1) and ut ∼ I(d), −1/2 < d < 3/2. A famous theorem on trend removal by OLS regression (usually attributed to Grenander and Rosenblatt (1957) gave conditions for the asymptotic equivalence of GLS and OLS in deterministic trend estimation with I(0) errors. Whe...

Johansen’s reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect....

We consider a follow-up study in which an outcome variable is to be measured at fixed time points and covariate values are measured prior to start of follow-up. We assume that the conditional mean of the outcome given the covariates is a linear function of the covariates and is indexed by occasion-specific regression parameters. In this paper we study the asymptotic properties of several freque...

Johansen’s reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect....

It is shown that e¢ cient GMM (generalized method of moments) estimation of a linear model corresponds to standard IV (instrumental variables) estimation of this model, after transforming it such (as in GLS) that its resulting disturbances have a scalar covariance matrix, while using as instruments the original instruments linearly transformed by the transpose of the inverse of the matrix used ...

We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor models, and by taking into account some of the prescriptions for improving empirical tests suggested by ...

In this paper, an error analysis of QR based methods for computing the rst few Lyapunov exponents of continuous and discrete dynamical systems is given. Algorithmic developments are discussed. Implementation details, error estimators and testing are also given.

Epilepsy can cause cerebral transient dysfunctions. Ganoderma lucidum spores (GLS), a traditional Chinese medicinal herb, has shown some antiepileptic effects in our previous studies. This was the first study of the effects of GLS on cultured primary hippocampal neurons, treated with Mg(2+) free medium. This in vitro model of epileptiform discharge hippocampal neurons allowed us to investigate ...

Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically with respect to their small sample suitability inference. Conditions numerical equivalence similarities some provided. Two generalized least squares (GLS) found be more accurate than the other LP in samples. In particular, a lag-augmented GLS estima...