scholarly journals Asymptotic Theory of Likelihood Ratio and Rank Order Tests in Some Multivariate Linear Models

1970 ◽  
Vol 41 (1) ◽  
pp. 87-100 ◽  
Author(s):  
Pranab Kumar Sen ◽  
Madan Lal Puri
Keyword(s):  
Likelihood Ratio ◽  
Asymptotic Theory ◽  
Linear Models ◽  
Rank Order ◽  
Multivariate Linear Models

Asymptotic theory of least distances estimate in multivariate linear models

Statistics ◽  
1990 ◽  
Vol 21 (4) ◽  
pp. 503-519 ◽  
Author(s):  
Z. D. Bai ◽  
X.R. Chen ◽  
B.Q. Miao ◽  
C. Radhakrishna Rao
Keyword(s):  
Asymptotic Theory ◽  
Linear Models ◽  
Multivariate Linear Models

scholarly journals Statistical Inference in Regressions with Integrated Processes: Part 2

1989 ◽  
Vol 5 (1) ◽  
pp. 95-131 ◽  
Author(s):  
Joon Y. Park ◽  
Peter C.B. Phillips
Keyword(s):  
Theoretical Investigation ◽  
Time Trends ◽  
Asymptotic Theory ◽  
Linear Models ◽  
Good Deal ◽  
Multivariate Linear Models ◽  
Multiple Lags ◽  
Common Architecture ◽  
Integrated Processes ◽  
New Framework

This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors and by others comes within the new framework. Special models of some importance are considered in detail, such as VAR systems with multiple lags and cointegrated variates.

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