A limit theory for instrumental variables (IV) estimation that allows for possibly nonstationary processes was developed in Kitamura and Phillips (1992, Fully Modified IV, GIVE, and GMM Estimation with Possibly Non-stationary Regressors and Instruments, mimeo, Yale University). This theory...

This paper considers the properties of systems likelihood procedures for cointegrated systems when the I(2) variables are present. Two alternative methods are proposed: one is based on the full system likelihood, whereas another is based on the subsystem likelihood. By eliminating all unit roots...