The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if <italic>X</italic> = (<italic>X</italic>₁,,<italic>X</italic>₂,;t ≥ 0) is a nonergodic diffusion in R², but there exists a linear combination, say, γ′<italic>X</italic>, that is instead ergodic in R, then we say there exists a linear...

This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence...