This paper proposes Lagrange multiplier (LM) based tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, individual specific time trends, and a single structural break in both the intercept and...

This paper considers an alternative asymptotic framework to standard sequential asymptotics for nonlinear models with deterministically trending variables. The asymptotic distributions of generalized method of moments estimators and corresponding test statistics are derived using this framework....

This paper provides an empirical implementation of some recent work by the author and Werner Ploberger on the development of "Bayes models" for time series. The methods offer a new data-based approach to model selection, to hypothesis testing and to forecast evaluation in the analysis of time...

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...

Several recent papers conclude that U.S. real GDP is trend stationary, implying that all shocks are transitory and long run path is deterministic. These inferences fail to take into account two problems: the distortion of test size in finite samples due to data-based model selection, and the...