caa a22 4500 386371849 CHVBK 20180307112000.0 cr unu---uuuuu 161130e198904 xx s 000 0 eng 10.1017/S0266466600012287 doi S0266466600012287 pii (NATIONALLICENCE)cambridge-10.1017/S0266466600012287 Statistical Inference in Regressions with Integrated Processes: Part 2 [Elektronische Daten] This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors and by others comes within the new framework. Special models of some importance are considered in detail, such as VAR systems with multiple lags and cointegrated variates. Copyright © Cambridge University Press 1989 Park Joon Y. Cowles Foundation for Research in Economics, Yale University Phillips Peter C.B. Cowles Foundation for Research in Economics, Yale University Econometric Theory Cambridge University Press 5/1(1989-04), 95-131 0266-4666 5:1<95 1989 5 ECT https://doi.org/10.1017/S0266466600012287 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0266466600012287 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Park Joon Y. Cowles Foundation for Research in Economics, Yale University NATIONALLICENCE 700 1- Phillips Peter C.B. Cowles Foundation for Research in Economics, Yale University NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/1(1989-04), 95-131 0266-4666 5:1<95 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 386205345 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge