This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript "alpha") and Z(subscript "t") unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically...

This paper provides a general framework which makes it possible to study the asymptotic behavior of FM regression in models with I(1) and I(0) regressors, models with unit roots, and models with only stationary regressors. This framework enables us to consider the use of FM regression in the...

The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of...

This paper is concerned with model determination methods and their use in the prediction of economic time series. The methods are Bayesian but they can be justified by classical arguments as well. The paper continues some recent work on Bayesian asymptotic, develops embedding techniques for...

The authors' subject is estimation and inference concerning long-run economic equilibria in models with stochastic trends. An asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems. The authors study, in detail, the single-equation...