This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

We consider Johansen's (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike's (AIC) or the Bayesian...