Using the power kernels of Phillips, Sun, and Jin (2006, 2007), we examine the large sample asymptotic properties of the <italic>t</italic>-test for different choices of power parameter (<italic>ρ</italic>). We show that the nonstandard fixed-<italic>ρ</italic> limit distributions of the <italic>t</italic>-statistic provide more accurate approximations to the...

This paper studies the statistical properties of vector autoregressions (VAR's) for quite general multiple time series which are integrated processes of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to...

While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly...