Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1993
example, when there is some cointegration in the system, FM-VAR estimation has a limit theory that is normal for all of the … vectors). Moreover, optimal estimation of the cointegration space is attained in FM-VAR regression without prior knowledge of … the number of unit roots in the system, without pretesting to determine the dimension of the cointegration space and …