We study the effect of errors-in-variables [EV] on cointegration tests and cointegrating regressions. It turns out that the rate of convergence of static ordinary least squares [OLS] estimators is not affected by EV, whereas the limiting distribution does change. However, procedures accounting...

Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity