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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 768.
Length: 43 pages
Date of creation: Sep 1985
Date of revision:
Publication status: Published in Review of Economic Studies (1986), 53: 473-495
Note: CFP 659.
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
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.:
- 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.
- Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-69, September.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Robert B. Litterman, 1984. "Forecasting with Bayesian vector autoregressions four years of experience," Staff Report 95, Federal Reserve Bank of Minneapolis.
- Peter C.B. Phillips, 1985.
"Asymptotic Expansions in Nonstationary Vector Autoregressions,"
Cowles Foundation Discussion Papers
765, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February.
- 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.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Brillinger, David R & Hatanaka, Michio, 1969. "An Harmonic Analysis of Nonstationary Multivariate Economic Processes," Econometrica, Econometric Society, vol. 37(1), pages 131-41, January.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Peter C.B. Phillips, 1985.
"Understanding Spurious Regressions in Econometrics,"
Cowles Foundation Discussion Papers
757, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
- Marsh, Terry A & Merton, Robert C, 1986.
"Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices,"
American Economic Review,
American Economic Association, vol. 76(3), pages 483-98, June.
- Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).
If references are entirely missing, you can add them using this form.