This paper develops the large sample theory for econometric models with time series having roots in proximity of unity. In particular, a special attention is given to the time series with roots outside the n-1-neighborhood of unity, called the weak unit roots. They are the processes with roots...

In this paper, we consider bootstrapping cointegrating regressions. It is shown that the method of bootstrap, if properly implemented, generally yields consistent estimators and test statistics for cointegrating regressions. We do not assume any specific data generating process, and employ the...

This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for theleast squares methods in the presence of conditional heterogeneity...

This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...