Multiple Time Series Regression with Integrated Processes
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.
(This abstract was borrowed from another version of this item.)
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 53 (1986)
Issue (Month): 4 (August)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0034-6527|
References listed on IDEAS
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, 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.
- 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.
- 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.
- 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.
- Robert B. Litterman, 1984. "Forecasting with Bayesian vector autoregressions four years of experience," Staff Report 95, Federal Reserve Bank of Minneapolis.
- Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
- Brillinger, David R & Hatanaka, Michio, 1969. "An Harmonic Analysis of Nonstationary Multivariate Economic Processes," Econometrica, Econometric Society, vol. 37(1), pages 131-41, January.
- Phillips, P. C. B., 1987.
"Asymptotic Expansions in Nonstationary Vector Autoregressions,"
Cambridge University Press, vol. 3(01), pages 45-68, February.
- Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- 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.
- 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.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
- 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.
- Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-69, September.
When requesting a correction, please mention this item's handle: RePEc:bla:restud:v:53:y:1986:i:4:p:473-95. See general 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.