In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either <italic>I</italic>(0) or nearly integrated (<italic>NI</italic>) processes. We show that this kind of...

converges to a non-degenerate random variable and contributes to the asymptotic distribution of a Wald test for the null hypothesis of a random walk versus a stable AR(1) alternative. With this newly derived asymptotic distribution, the above Wald test is found to improve its performance. A...

The unrestricted estimator of the information matrix is shown to be inconsistent for an autoregressive process with a root lying in a neighbourhood of unity with radial length proportional or smaller than 1/n, i.e. a root that takes the form rho=1+c/n^alpha, alpha=1. In this case the information...

A limit theory is developed for mildly explosive autoregression under both weakly and strongly dependent innovation errors. We find that the asymptotic behaviour of the sample moments is affected by the memory of the innovation process both in the in the form of the limiting distribution and, in...

A limit theory is developed for mildly explosive autoregression under both weakly and strongly dependent innovation errors. The asymptotic behaviour of the sample moments is affected by the memory of the innovation process both in the form of the limiting distribution and, in the case of long...

A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots &#x03c1;n satisfying &#x03c1;n Ç &#x03c1; &#x2208; (-É, -1] &#x222a; [1, É) and n (