Statistical Inference in Regressions with Integrated Processes: Part 2

Peter Phillips and Joon Park

No 819R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper continues the theoretical investigation of Park and Phillips [7]. 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 variants.

Pages: 63 pages
Date: 1986, Revised 1987-02
Note: CFP 722.
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Citations: View citations in EconPapers (39)

Published in Econometric Theory (1989), 5: 95-131

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