Multiple Time Series Regression with Integrated Processes
AbstractThis 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.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 53 (1986)
Issue (Month): 4 (August)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips, 1986. "Weak Convergence to the Matrix Stochastic Integral BdB," Cowles Foundation Discussion Papers 796, Cowles Foundation for Research in Economics, Yale University.
- Marsh, Terry A & Merton, Robert C, 1986.
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765, Cowles Foundation for Research in Economics, Yale University.
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740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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- Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix: Some lemmas and applications," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153210, Tilburg University.
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- Ian Domowitz, 1985. "New Directions in Non-linear Estimation with Dependent Observations," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 1-27, February.
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