In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either <italic>I</italic>(0) or nearly integrated (<italic>NI</italic>) processes. We show that this kind of...

Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a co-explosive system extension and an illustrative example that helps to explain the finding, gives a...