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

This chapter provides an overview of asymptotic results available for parametric estimators
in dynamic models. Three cases are treated: stationary (or essentially stationary) weakly …

Efficient estimators of cointegrating vectors are presented for systems involving deterministic
components and variables of differing, higher orders of integration. The estimators are …

This paper proposes new error correction‐based cointegration tests for panel data. The
limiting distributions of the tests are derived and critical values provided. Our simulation …

This chapter uses fully modified OLS principles to develop new methods for estimating and
testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent …

In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully
modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression …

This paper is an introduction to unit root econometrics as applied in macroeconomics. The
paper first discusses univariate time series analysis, emphasizing the following topics …

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution
has had a substantial impact on applied analysis. Hence, no textbook has managed to cover …

An asymptotic optimality theory for the estimation of cointegration regressions is developed
in this paper. The theory applies to a reasonably wide class of estimators without making …

The second edition of this widely acclaimed text presents a thoroughly up-to-date intuitive
account of recent developments in econometrics. It continues to present the frontiers of …