The paper exposits Wiener distribution theory for I(1) time series as an overview to a special issue on testing integration and cointegration. The behavior of an I(1) series is related to a Wiener process to derive the limiting distribution of its sample mean. Other Wiener processes are related...

The application of econometric analysis to the process of economic policy formulation is considered. A framework is provided by the theory of reduction, specifically reductions where key information losses would invalidate policy. Consequently, model evaluation, the role of econometric models,...

The authors delineate conditions which favor multistep, or dynamic, estimation for multistep forecasting. An analytical example shows how dynamic estimation may accommodate incorrectly specified models as the forecast lead alters, improving forecast performance for some misspecifications....

Dickey and Fuller ["Econometrica" (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. T"Power of tests for unit roots in the presence of a linear trend"ightly different model with a random initial value...