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Statistical Inference in Regressions with Integrated Processes: Part 2

Published online by Cambridge University Press:  18 October 2010

Joon Y. Park  and
Peter C.B. Phillips
Joon Y. Park
Affiliation:
Cowles Foundation for Research in Economics, Yale University
Peter C.B. Phillips
Affiliation:
Cowles Foundation for Research in Economics, Yale University
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Abstract

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.

Type
Articles
Information
Econometric Theory , Volume 5 , Issue 1 , April 1989 , pp. 95 - 131
Copyright
Copyright © Cambridge University Press 1989

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References

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