This paper considers unit root tests based on M estimators. The asymptotic theory for these tests is developed. It is shown how the asymptotic distributions of the tests depend on nuisance parameters and how tests can be constructed that are invariant to these parameters. It is also shown that a...

This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance...