New time and frequency domain tests for the presence of a unit root are developed. The tests are based on generalized least squares (GLS) methods in both the time and the frequency domains. For the time domain tests, moving average processes are assumed for the error terms on the autoregression....

Data reduction involves a physical transition from sample data to econometric estimator and test statistic. This transition induces a mapping on the probability law of the sample, whose image is the distribution of the statistic of interest. At a general level, the mapping can often be captured...

Impulse response and forecast error variance matrix asymptotics are developed for VAR models with some roots at or near unity and some cointegration. For such models, it is shown that impulse responses that are estimated from an unrestricted VAR are inconsistent at long horizons and tend to...

This paper reports an empirical application of new Baynesian methodology to Australian data on consumption, income, liquid assets and inflation. The methods involve the use of objective model based reference priors and objective posterior odds test criteria. The paper provides an overview of...

This paper derives some exact finite sample distributions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. It is shown that the reduced rank regression estimator has a distribution with Cauchy-like tails and no...

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 the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to...

This paper reports quarterly ex ante forecasts of macroeconomic activity for the U.S.A., Japan and Australia for the period 1995-1997. The forecasts are based on automated time series models of vector autoregressions (VAR's), reduced rank regressions (RRR's), error correction models (ECM's) and...

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...

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails,...