This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of...

In this paper we extend fixed-<italic>b</italic> asymptotic theory to the nonparametric Phillips–Perron (PP) unit root tests. We show that the fixed-<italic>b</italic> limits depend on nuisance parameters in a complicated way. These nonpivotal limits provide an alternative theoretical explanation for the well-known...

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...