A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has...

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...

Multiple time series models with stochastic regressors are considered and primary attention is given to vector autoregressions (VAR's) with trending mechanisms that may be stochastic, deterministic or both. In a Bayesian framework, the data density in such a system implies the existence of a...

In approximating the small sample distribution of the least squares estimator of the coefficient in a non-circular autoregression the saddlepoint method is complicated by the presence of a branch point of the integrand within the natural contour of integration. Some new approximations are given...

This paper extends earlier results, which were reported in [7], to include non null distributions. As in [7], attention is concentrated on the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. The results of the present paper encompass...

This paper offers an approach to time series modeling that attempts to reconcile classical and Bayesian methods. The central idea put forward to achieve this reconciliation is that the Bayesian approach relies implicitly on a frame of reference for the data generating mechanism that is quite...

Fisher's equation for the determination of the real rate of interest is studied from a fresh econometric perspective. Some new methods of data description for nonstationary time series are introduced. The methods provide a nonparametric mechanism for modelling the spatial densities of a time...

It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...

In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...