This paper generalizes the univariate results of Chan and Tran (1989, <italic>Econometric Theory</italic> 5, 354–362) and Phillips (1990, <italic>Econometric Theory</italic> 6, 44–62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(l) for a random walk with independent and...

This paper proposes the least absolute shrinkage and selection operator–type (Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is formed by the GMM objective function with the addition of a penalty term. The exponent of the penalty term in the regular Lasso...

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, <italic>Journal of Econometrics</italic> 137, 28–67) by means of a simple reparametrization of the model.