Several necessary conditions regarding the order of integration are stated for survey data, which optimally forecast variables with unit roots. The necessary conditions can be easily tested within the cointegration framework, and have applications for modeling the expectations structure. If the...

Lucas (1976) argues that in the event of policy regime changes, regression models are by construction misspecified and therefore behave poorly. Unstable exonometric regressions, however, do not exclude the possibility of an underlying constant behavioral function. When marginal processes are...