This chapter reviews inference about large autoregressive or moving average roots in
univariate time series, and structural change in multivariate time series regression. The …

The article discusses the problems pertinent to econometric modeling from cointegration.
For example, the erroneous omission or inclusion of variables could substantially alter the …

This paper proposes new tests for detecting the presence of a unit root in quite general time
series models. Our approach is nonparametric with respect to nuisance parameters and …

This paper derives the asymptotic power envelope for tests of a unit autoregressive root for
various trend specifications and stationary Gaussian autoregressive disturbances. A family …

To test the hypothesis of a difference stationary time series against a trend stationary
alternative, Levin & Lin (1993) and Im, Pesaran & Shin (1997) suggest bias adjusted t …

A new test is proposed for cointegration in a single‐equation framework where the
regressors are weakly exogenous for the parameters of interest. The test is denoted as an …

Retaining the student-friendly approach of previous editions, Introduction to Econometrics,
Fourth Edition, uses clear and simple mathematics notation and step-by step explanations of …

Contrasting inferences about the presence of cointegration often appear in empirical
investigations. For example, in applying the commonly used 'twostep'procedure proposed by …

This paper presents a summary of recent work on a new methodology to test for the
presence of a unit root in univariate time series models. The stochastic framework is quite …

This paper studies testing for a unit root for large n and T panels in which the cross-sectional
units are correlated. To model this cross-sectional correlation, we assume that the data are …