This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...

This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...

We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for multiple predictor variables with local-to-unit roots. By contrast, previous methods that model the predictor variables as nearly integrated are only applicable to univariate...

This paper studies regressions for partially identified equations in simultaneous equations models (SEMs) where all the variables are I(l) and cointegrating relations are present. Asymptotic properties of OLS and 2SLS estimators under partial identification are derived. The results show that the...

General formula for the finite sample and asymptotic distributions of the instrumental variable estimators and the Wald statistics in a simultaneous equation model are derived. It is assumed that the coefficient vectors of both endogenous and exogenous variables are only partially identified,...

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

In this paper, Mallows'(1973) Cp criterion, Akaike's (1973) AIC, Hurvich and Tsai's (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...

In this paper, Mallows'(1973) Cp criterion, Akaike's (1973) AIC, Hurvich and Tsai's (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...

New time and frequency domain tests for the presence of a unit root are developed. The tests are based on generalized least squares (GLS) methods in both the time and the frequency domains. For the time domain tests, moving average processes are assumed for the error terms on the autoregression....