In his paper "To Criticize the Critics" (1991), Peter Phillips discusses Bayesian methodology for time series models. The main point that Uhlig and I set out to make, however, was that careful consideration of the implications of the likelihood principle suggests that much of the recent work...

We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...

This paper seeks to characterize empirically achievable limits for time series econometric modeling. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the true...

Some challenges for econometric research on trending time are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.

Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation. For a t-test and normalized test, power is found to depend, for a substantial range of parameter...

This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive...

This paper analyzes whether inclusion of a statistically independent random walk in a vector autoregression can result in spurious inference. The problem was raised originally by Ohanian (1988). In a Monte Carlo simulation based on the VAR's estimated by Sims (1980b, 1982), Ohanian found that...

This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips-Hansen...

This paper studies the properties of maximum likelihood estimates of co-integrated systems. Alternative formulations of such models are considered including a new triangular system error correction mechanism. It is shown that full system maximum likelihood brings the problem of inference within...

Chan and Tran give the limit theory for the least squares coefficient in a random walk with the iid errors that are in the domain of attraction of a stable law. This note discusses their results and provides generalizations to the case of I(q) processes with weakly dependent errors whose...