Statistical Inference in Regressions with Integrated Processes: Part 2
扩展了Park和Phillips的理论，为包含不同阶积分过程、均值、漂移、时间趋势和协整回归量的多元线性模型建立了渐近回归理论，并详细讨论了VAR系统等特殊模型。
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.