A possibly nonstationary autoregressive process, of unknown finite order, with possibly infinite-variance innovations is studied. The ordinary least squares autoregressive parameter estimates are shown to be consistent, and their rate of convergence, which depends on the index of stability,...

This study investigates the causal links between trade, economic growth and inward foreign direct investment (FDI) in China at the aggregate level. The integration and cointegration properties of quarterly data are analysed. Long-run relationships between growth, exports, imports and FDI are...

<title>Abstract</title> It has been demonstrated recently that in small-to-medium samples the empirical significance levels of the asymptotic J-type tests for the SARAR model introduced by Kelejian (2008) can be controlled in many cases by the use of a bootstrap to construct a reference distribution. A feature...

Suppose that the Ordinary Least Squares regressors X follow a vector Ornstein-Uhlenbeck process, with growth matrix bA. The limiting sample variance matrix V is of interest. If A=kI, k[greater-or-equal, slanted]0, then [not partial differential]V/[not partial differential]b[greater-or-equal,...