This paper considers the problem of conducting inference on the regression coefficient in a
bivariate regression model with a highly persistent regressor. Gaussian asymptotic power …

We study the convergence properties of inflation rates among the countries of the European
Monetary Union over the period 1980-2004. Given the Maastricht agreements and the …

It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the
null hypothesis of a unit root is valid under a very general set of assumptions that goes far …

Many of the key macro-economic and financial variables in developed economies are
characterized by permanent volatility shifts. It is known that conventional unit root tests are …

We model earnings processes allowing for lots of heterogeneity across agents. We also
introduce an extension to the linear ARMA model which allows the initial convergence in the …

We propose a class of prior distributions that discipline the long-run behavior of vector
autoregressions (VARs). These priors can be naturally elicited using economic theory, which …

In this paper we focus on two major issues that surround testing for a unit root in practice,
namely,(i) uncertainty as to whether or not a linear deterministic trend is present in the data …

Many key economic and financial series are bounded either by construction or through
policy controls. Conventional unit root tests are potentially unreliable in the presence of …

This paper considers inference in a broad class of nonregular models. The models
considered are nonregular in the sense that standard test statistics have asymptotic …

A fundamental challenge facing applied time‐series analysts is how to draw inferences
about long‐run relationships (LRR) when we are uncertain whether the data contain unit …