This paper utilizes asymptotic expansions of the Edgeworth type to investigate alternative forms of the Wald test of nonlinear restricti ons. Some formulae for the asymptotic expansion of the distribution of the Wald statistic are provided for a general case that should include most econometric...

A new procedure for statistical inference in cointegrating regressions is developed. The author introduces canonical cointegrating regressions (regressions formulated with the transformed data). The required transformations involve simple adjustments of the integrated processes using stationary...

This paper analyzes monthly data on the exchange rates and price indices of the eleven major industrial countries over the modern period of floating exchange rates. It presents tests that are based upon the null hypothesis of cointegration. The paper finds evidence that most country pairs not...

It is shown that the maximum likelihood estimator of a local to unity parameter can be consistently estimated with panel data when the cross-section observations are independent. Consistency applies when there are no deterministic trends or when there is a homogeneous deterministic trend in the...

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...