Over the last three decades, the LSE methodology (see Hendry, 1993, for an overview) has emerged as a leading approach for pursuing econometrics. One of its main tenets is the concept of general-to-specific modelling: Starting from a general dynamic statistical model, which captures the...

This paper studies the asymptotics of nonstationary fractionally integrated (NFI) multivariate processes with memory parameter d 0.5 . We provide conditions to establish a functional central limit theorem and weak convergence of stochastic integrals for NFI processes under the assumption that...