Statistical Inference in Regressions with Integrated Processes: Part 2

Joon Young Park · Peter C.B. Phillips

521 citations0/0 files storedEconometric Theory

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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.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990Inference in Linear Time Series Models with some Unit Roots 1986Understanding spurious regressions in econometrics 1986Multiple Time Series Regression with Integrated Processes

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