Multiple Time Series Regression with Integrated Processes

Peter Phillips and Steven Durlauf

No 768, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak dependence and heterogeneity. The models studied cover cointegrated systems and quite general linear simultaneous equations systems with contemporaneous regressor-error correlation and serially correlated errors. Problems of statistical testing in vector autoregressions and multivariate regressions with integrated processes are also studied. It is shown that the asymptotic theory for conventional tests involves major departures from classical theory and raises new and important issues of the presence of nuisance parameters in the limiting distribution theory.

Keywords: Integrated process; multivariate functional CLT; asymptotic theory for stationary VAR's (search for similar items in EconPapers)
Pages: 43 pages
Date: 1985-09
Note: CFP 659.
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Citations: View citations in EconPapers (7)

Published in Review of Economic Studies (1986), 53: 473-495

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