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The overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered. It is shown that a substantially improved approximation results from a simple modification of this t...

A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample size is small, or when the number of fitted...

The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vect...

In a recent Physical Review Letters article, Vicsek et al. propose a simple but compelling discrete-time model of n autonomous agents (i.e., points or particles) all moving in the plane with the same speed but with diffe...

Locally weighted regression, or loess, is a way of estimating a regression surface through a multivariate smoothing procedure, fitting a function of the independent variables locally and in a moving fashion analogous to ...

Stewart C. Myers President of American Finance Association 1983 This paper's title is intended to remind you of Fischer Black's well-known note on “The Dividend Puzzle,” which he closed by saying, “What should the ...

Matematisk Statistik