The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a...

This note derives the correct limit distributions of the Anderson–Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample...

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance...

Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya–Watson (NW) estimator for cointegrating regression under misspecified lag structure...

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...