Our subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia)...

This paper studies the use of spectral regression techniques in the context of cointegrated systems of multiple time series. Several alternatives are considered including efficient and band spectral methods as well as system and single equation techniques. It is shown that single equation...

This paper deals with error correction models (ECM's) and cointegrated systems that are formulated in continuous time. Problems of representation, identification, estimation and time aggregation are discussed. It is shown that every ECM in continuous time has a discrete time equivalent model in...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...