Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that...

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...

One of the more obvious empirical characteristics of macroeconomic time series is their tendency to grow, or trend, over time. Dealing with this trendnonstationarity in models of multiple time series has been a major agenda of econometric research for much of the last decade and has produced an...

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...