This chapter develops an asymptotic theory for a general transformation model with a time trend, stationary regressors, and unit root nonstationary regressors. This model extends that of Han (1987) to incorporate time trend and nonstationary regressors. When the transformation is specified as an...

This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time series, along with the use of a multiple-index structure for...