A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed...

It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, <italic>Econometric Theory</italic> 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector...

This paper studies a class of Markov models that consist of two components. Typically, one of the components is observable and the other is unobservable or “hidden.” Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...

Problems with the asymptotic theory of nonlinear maximum likelihood estimation in integrated and cointegrated systems are discussed in this paper. One problem is that standard proofs of consistency generally do not apply; another one is that, even if the consistency has been established, it can...