It is well known that the distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice the order of integration is rarely blown. This paper examines two conventional approaches to this...

This chapter reviews inference about large autoregressive or moving average roots in univariate time series, and structural change in multivariate time series regression. The “problem” of unit roots is cast more broadly as determining the order of integration of a series; estimation,...

This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the Appendix. When applied to the Nelson-Plosser (1982) data set, the main...