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

Using annual data for the period 1971–2011, this study explores the relationship between
financial development and energy consumption for Saudi Arabia by endogenizing economic …

This trusted textbook returns in its 4th edition with even more exercises to help consolidate
understanding-and a companion website featuring additional materials, including a …

We consider a nonstationary vector autoregressive process which is integrated of order 1,
and generated by iid Gaussian errors. We then derive the maximum likelihood estimator of …

We consider pooling cross-section time series data for testing the unit root hypothesis. The
degree of persistence in individual regression error, the intercept and trend coefficient are …

Many papers have over the last few years been devoted to the estitnation and testing of long-
run relations under the heading of cointegration. Granger (1981), Granger and Weiss …

This paper develops a new approach to the problem of testing the existence of a level
relationship between a dependent variable and a set of regressors, when it is not known …

Panel data econometrics continues to be a hot topic in econometrics and has experienced a
lot of growth over the last two decades. Micro-and Macro-panels are increasing in …

When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …

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 …