{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,26]],"date-time":"2026-10-26T02:41:29Z","timestamp":1792982489624,"version":"4.5.0"},"reference-count":21,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4882,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1995,10]]},"abstract":"<jats:p>This paper examines regression tests of whether x forecasts y when the largest autoregressive root of the regressor is unknown. It is shown that previously proposed two-step procedures, with first stages that consistently classify x as I(1) or I(0), exhibit large size distortions when regressors have local-to-unit roots, because of asymptotic dependence on a nuisance parameter that cannot be estimated consistently. Several alternative procedures, based on Bonferroni and Scheffe methods, are therefore proposed and investigated. For many parameter values, the power loss from using these conservative tests is small.<\/jats:p>","DOI":"10.1017\/s0266466600009981","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:40:44Z","timestamp":1236699644000},"page":"1131-1147","source":"Crossref","is-referenced-by-count":274,"title":["Inference in Models with Nearly Integrated Regressors"],"prefix":"10.1017","volume":"11","author":[{"given":"Christopher L.","family":"Cavanagh","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Graham","family":"Elliott","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"James H.","family":"Stock","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009981_ref021","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)01562-Z"},{"key":"S0266466600009981_ref019","doi-asserted-by":"publisher","DOI":"10.2307\/2938337"},{"key":"S0266466600009981_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/2171721"},{"key":"S0266466600009981_ref014","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1080\/07350015.1991.10509827","article-title":"Asymptotic distributions of the unit-root tests when the process is nearly stationary","volume":"9","author":"Pantula","year":"1991","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600009981_ref013","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008938"},{"key":"S0266466600009981_ref011","volume-title":"Fully Modified IV, GIVE, and GMM Estimation with Possibly Nonstationary Regressors and Instruments","author":"Kitamura","year":"1992"},{"key":"S0266466600009981_ref009","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008720"},{"key":"S0266466600009981_ref005","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350492"},{"key":"S0266466600009981_ref004","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478674"},{"key":"S0266466600009981_ref003","volume-title":"Roots Local to Unity","author":"Cavanagh","year":"1985"},{"key":"S0266466600009981_ref001","unstructured":"Bobkoski M.J. (1983) Hypothesis Testing in Nonstationary Time Series. Unpublished Ph.D. Thesis, University of Wisconsin."},{"key":"S0266466600009981_ref006","first-page":"427","article-title":"Distribution of the estimators for autoregressive time series with a unit root","volume":"74","author":"Dickey","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466600009981_ref016","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466600009981_ref008","unstructured":"Elliott G. (1994) Application of Local to Unity Asymptotic Theory to Time Series Regression. Ph.D. Dissertation, Harvard University."},{"key":"S0266466600009981_ref015","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013402"},{"key":"S0266466600009981_ref002","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04598.x"},{"key":"S0266466600009981_ref020","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(91)90034-L"},{"key":"S0266466600009981_ref010","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04636.x"},{"key":"S0266466600009981_ref012","volume-title":"Testing Statistical Hypotheses","author":"Lehmann","year":"1959"},{"key":"S0266466600009981_ref018","volume-title":"Time Series Modeling with a Bayesian Frame of Reference: I. Concepts and Illustrations","author":"Phillips","year":"1991"},{"key":"S0266466600009981_ref007","doi-asserted-by":"publisher","DOI":"10.2307\/2938212"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600009981","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,8]],"date-time":"2025-02-08T05:46:31Z","timestamp":1738993591000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600009981\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995,10]]},"references-count":21,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1995,10]]}},"alternative-id":["S0266466600009981"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600009981","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1995,10]]}}}