Dolado, Juan J.; Marmol, Francesc - In: Econometrics Journal 7 (2004) 1, pp. 168-190
In this paper, we extend the well-known Sims, Stock and Watson (SSW) (Sims et al. 1990; Econometrica 56, 113-44), analysis on estimation and testing in vector autoregressive process (VARs) with integer unit roots and deterministic components to a more general set-up where non-stationary fractionally...