This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript "alpha") and Z(subscript "t") unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically...

This paper provides a general framework which makes it possible to study the asymptotic behavior of FM regression in models with I(1) and I(0) regressors, models with unit roots, and models with only stationary regressors. This framework enables us to consider the use of FM regression in the...

The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of...

An asymptotic theory is developed for nonlinear regression with integrated processes. The models allow for nonlinear effects from unit root time series and therefore deal with the case of parametric nonlinear cointegration. The theory covers integrable and asymptotically homogeneous functions....

A limit theory for Wald tests of Granger causality in levels vector autoregressions (VAR's) and error correction models (ECM's) is developed, which allows for stochastic trends and cointegration. Earlier work is extended to the general case, thereby characterizing when these Wald tests are...