Document Type
Discussion Paper
Publication Date
1-1-1987
CFDP Number
819R
CFDP Revision Date
1987-08-01
CFDP Pages
62
Abstract
This paper continues the theoretical investigation of Park and Phillips [7]. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors and by others comes within the new framework. Special models of some importance are considered in detail, such as VAR systems with multiple lags and cointegrated variants.
Recommended Citation
Park, Joon Y. and Phillips, Peter C.B., "Statistical Inference in Regressions with Integrated Processes: Part 2" (1987). Cowles Foundation Discussion Papers. 1062.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1062