We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available. We then derive...

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, we propose a notion of near...

This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly...

This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...

Often we are interested in the largest root of an autoregressive process. Available methods rely on inverting t-tests to obtain confidence intervals. However, for large autoregressive roots, t-tests do not approximate asymptotically uniformly most powerful tests and do not have optimality...

There are a large number of tests for instability or breaks in coefficients in regression models designed for different possible departures from a stable regression. We make two contributions to this literature. First, we provide conditions under which optimal tests are asymptotically...

We consider the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that he currently standard method in econometrics to construct such intervals has a coverage rate far below nominal...