Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to band spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent...

This paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n+1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is...

Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics...

Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the data as instruments are studied. The context of the discussion is the simple unit root model where certain advantages to the use of nonlinear instruments are revealed. In particular, certain classes...

This paper studies the effects of spurious detrending in regression. The asymptotic behavior of traditional least squares estimators and tests are examined in the context of models where the generating mechanism is systematically misspecified by the presence of deterministic time trends. Most...

This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak...

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and...

This paper derives the exact probability density function of the limited information maximum likelihood (LIML) estimator of the coefficient vector of the endogenous variables in a structural equation containing n+1 endogenous variables and L = 1 degrees of overidentification. This generalizes...

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 studies the random walk in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of...