Chang, Yoosoon; Phillips, Peter C.B. - In: Econometric Theory 11 (1995) 05, pp. 1033-1094
The paper develops a statistical theory for regressions with integrated regressors of unknown order and unknown cointegrating dimension. In practice, we are often unsure whether unit roots or cointegration is present in time series data, and we are also uncertain about the order of integration...