This paper investigates the determinants of trade union membership in Australia using the Engle and Granger (1987) theory of co-integrated economic variables. Applying the theory of co-integration yields a model of union membership which can be interpreted as distinguishing between long-run and...

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...

A limiting representation of the Bayesian data density is obtained and shown to be the same general exponential form for a wide class of likelihoods and prior distributions. An embedding theorem is given which shows how to embed the exponential density in a continuous time process. From the...

The concept of a near-integrated vector random process is introduce d, helping the author work towards a general asymptotic theory of regression fo r multiple time series in which some series may be integrated processe s of the ARIMA type, others may be stable ARMA processes with near unit...