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,...

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....