Multiple Regression with Integrated Time Series
Recent work on the theory of regression with integrated process is reviewed. This work is particularly relevant in economics where many financial series and macroeconomic time series exhibit nonstationary characteristics and are often well modeled individually as simple ARIMA processes. The theory makes extensive use of weak convergence methods and allows for integrated processes that are driven by quite general weakly dependent and possibly heterogeneously distributed innovations. The theory also includes near integrated time series, which have roots near unity, and cointegrated series, which move together over time but are individually nonstationary. A general framework for asymptotic analysis is given which involves limiting Gaussian functionals and extends the LAN and LAMN families of conventional asymptotic theory. An application to the Gaussian AR(1) is reported.
|Date of creation:||Nov 1987|
|Publication status:||Published in Contemporary Mathematics (1988), 80: 79-105|
|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.yale.edu/
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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.:
- Campbell, John Y & Mankiw, N Gregory, 1987.
"Permanent and Transitory Components in Macroeconomic Fluctuations,"
American Economic Review,
American Economic Association, vol. 77(2), pages 111-117, May.
- Mankiw, N. Gregory & Campbell, John, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," Scholarly Articles 3207697, Harvard University Department of Economics.
- John Y. Campbell & N. Gregory Mankiw, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," NBER Working Papers 2169, National Bureau of Economic Research, Inc.
- John Y. Campbell & Robert J. Shiller, 1986.
"Cointegration and Tests of Present Value Models,"
NBER Working Papers
1885, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
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