Multiple Time Series Regression with Integrated Processes
含一阶单整过程的多元时间序列回归
This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak dependence and heterogeneity. The models studied cover cointegrated systems such as those advanced recently by Granger and Engle and quite general linear simultaneous equations systems with…