This paper introduces various consistent tests for the null of cointegration against the alternative of noncointegration that can be applied to a system of equations as well as to a single equation. The tests are analogs of Choi and Ahn's (1993, Testing the Null of Stationarity for Multiple Time...

This paper considers the factor model <italic>X</italic> = Λ<italic>F</italic> + <italic>e</italic>. Assuming a normal distribution for the idiosyncratic error <italic>e</italic> conditional on the factors {<italic>F</italic>}, conditional maximum likelihood estimators of the factor and factor-loading spaces are derived. These estimators are called generalized principal...

This paper proposes residual-based tests for the null of level- and trend-stationarity, which are analogs of the LM test for an MA unit root. Asymptotic distributions of the tests are nonstandard, but they are expressed in a unified manner by expressing stochastic integrals. In addition, the...

Using the asymptotic normality of the least-squares estimates for the autoregressive (AR) process with real, positive unit roots and at least one stable root, we consider the asymptotic distributions of the Wald and <italic>t</italic> ratio tests on AR coefficients. In addition, we propose a method of...