Innovations in Multivariate Statistical Analysis

of Payment.- 8.1 Introduction.- 8.2 Compatibility of Choice Probabilities with Stochastic Utility Max imisation.- 8.3 Choice of Mode of Payment.- 8.4 Compatibility with Utility Maximisation.- 8.5 Semiparametric Estimation of the Choice Model.- 8.6 Conclusion.- 9 Gibbs Sampling in B-VAR Models with Latent Variables.- 9.1 Introduction.- 9.2 The AR(p) Model with Latent Variables.- 9.3 The Multiple ARX(p) Model with Latent Variables.- 9.4 Further topics.- 9.5 Conclusions.- 10 Least-Squares Autoregression with Near-unit Root.- 10.1 Introduction.- 10.2 Regression without Intercept.- 10.3 Regression with Intercept.- 10.4 Negative Unit Root.- 10.5 Conclusions.- 11 Efficiency Comparisons for a System GMM Estimator in Dynamic Panel Data Models.- 11.1 Introduction.- 11.2 Model and System GMM Estimator.- 11.3 Efficiency Comparisons.- 11.4 Discussion.- 12 The Rank Condition for Forward Looking Models.- 12.1 Introduction.- 12.2 The Rank Condition.- 12.3 Hysteresis.- 12.4 Concluding Remarks.- 13 Notes on the Elementary Properties of Permutation and Re-flection Matrices.- 13.1 Introduction.- 13.2 Definitions.- 13.3 Basic Results.- 13.4 Samuelson Transformation Matrices.- 13.5 Samuelson Reflection Matrices.- 13.6 Givens Rotation Matrices.- 13.7 Eigenvalues of Permutation Matrices.- 13.8 Examples of Permutation Matrices.- 13.9 Concluding Remarks.- 14 S-Ancillarity and Strong Exogeneity.- 14.1 Introduction.- 14.2 The Main Result.- 14.3 An Example.- 15 Asymptotic Inference Based on Eigenprojections of Covariance and Correlation Matrices.- 15.1 Introduction.- 15.2 Preliminaries.- 15.3 Asymptotic Distribution of Eigenprojections.- 15.4 Testing H0 by the Chi-Square Test.- 16 On a Fisher-Cornish Type Expansion of Wishart Matrices.- 16.1 Introduction.- 16.2 The Symmetric Multivariate Normal Distribution.- 16.3 Asymptotic Approximations for Wishart Matrices.- 17 Scaled and Adjusted Restricted Tests in Multi-Sample Analysis of Moment Structures.- 17.1 Introduction.- 17.2 Goodness-of-fit tests.- 17.3 Restricted tests.- 17.4 Illustration.- 18 Asymptotic Behaviour of Sums of Powers of Residuals in the Classic Linear Regression Model.- 18.1 Introduction.- 18.2 Set-up and Main Results.- 19 Matrix Methods for Solving Nonlinear Dynamic Optimisation Models.- 19.1 Introduction.- 19.2 A Nonlinear Optimisation Framework.- 19.3 An Example.- 19.4 Summary.- 20 Computers, Multilinear Algebra and Statistics.- 20.1 Introduction.- 20.2 Problems with the Computer Screen.- 20.3 An Index Notation for the Computer Screen.- 20.4 The Index Notation Applied to Matrix Differential Calculus.- 20.5 Chain Rules.- Author Index.