In this paper, we examine a version of the Sargent (1978) and Kennan (1979) labor demand model under the assumption that the forcing processes are nonstationary. We derive a simple model of dynamic labor demand and highlight the important econometric and time-series implications of the...

This paper studies regression models with a lagged dependent variable when both the dependent and independent variables are nonstationary, and the regression model is misspecified in some dimension. In particular, we discuss the limiting properties of least-squares estimates of the parameters in...