The purpose of this tutorial is to continue our exploration of regression by constructing linear models with two or more explanatory variables. This is an extension of Lesson 9. I will start with a ...

This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector autoregression with some unit ...

Testing a low-dimensional null hypothesis against a high-dimensional alternative in a generalized linear model may lead to a test statistic that is a quadratic form in the residuals under the null ...