We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...

This paper seeks to characterize empirically achievable limits for time series econometric modeling. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the true...

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...

Recent work on the theory of regression with integrated process is reviewed. This work is particularly relevant in economics where many financial series and macroeconomic time series exhibit nonstationary characteristics and are often well modeled individually as simple ARIMA processes. The...

In his paper "To Criticize the Critics" (1991), Peter Phillips discusses Bayesian methodology for time series models. The main point that Uhlig and I set out to make, however, was that careful consideration of the implications of the likelihood principle suggests that much of the recent work...

Some challenges for econometric research on trending time are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.

Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation. For a t-test and normalized test, power is found to depend, for a substantial range of parameter...

This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive...

This paper analyzes whether inclusion of a statistically independent random walk in a vector autoregression can result in spurious inference. The problem was raised originally by Ohanian (1988). In a Monte Carlo simulation based on the VAR's estimated by Sims (1980b, 1982), Ohanian found that...

This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips-Hansen...